DeFi杠杆（英）

BISWorkingPapers No1171 DeFiLeverage byLiobaHeimbachandWenqianHuang MonetaryandEconomicDepartment March2024 JELclassification:G12,G23,O36 Keywords:leverage,collateralisedborrowing,decentralisedfinance,automatedalgorithm BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2024.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) DeFiLeverage1 LiobaHeimbach2WenqianHuang3 1WearegratefulforhelpfulcommentsfromRaphaelAuer,MikeAlonso,AndreaBarbon,AgostinoCapponi,JonanthanChiu,PedroCuadrosSolas,MarcGlowka,AlfredLehar,CyrilMonnet,TheoNijman,AndreasSchrimpf,VladSushko,NikolaTarashev,GaneshViswanath-Natraj,ShihaoYu,ArielZetlin-Jones,ShengxingZhang,MariusZoican,andparticipantsattheBankforInternationalSettlementsresearchmeet-ing,PSEworkshoponcentralclearingandmarketinfrastructures:newchallenges,GerzenseesummerworkshopinMoney,Payments,BankingandFinance,theSwissNationalBankTechnologyandFinanceseminar,INQUIREUKconference,theCEMLAconferenceandtheEBApolicyresearchworkshop.LiobaHeimbachacknowledgesthefinancialsupportfromtheINQUIREEuroperesearchgrant.TheviewsareoursandnotnecessarilythoseoftheBankforInternationalSettlements. 2ETHZurich,hlioba@ethz.ch. 3BankforInternationalSettlements,wenqian.huang@bis.org. DeFiLeverage Abstract Indecentralizedfinance(DeFi),lendingprotocolsaregovernedbypredefinedalgorithmsthatfa-cilitateautomaticloans-allowinguserstotakeonleverage.ThispaperexaminesDeFileverage–i.e.,theasset-to-equityratio–usingwallet-by-walletdataonmajorlendingplatforms.Theoverallleveragetypicallyrangesbetween1.4and1.9,whilethelargestandmostactiveusersconsistentlyexhibithigherleverageincomparisontotherest.Leverageismainlydrivenbyloan-to-valuere-quirementsandborrowcost,aswellascryptomarketpricemovementsandsentiments.Higherborrowerleveragegenerallyundermineslendingresilience,particularlyincreasingtheshareofoutstandingdebtclosetobeingliquidated.Borrowerswithhighleveragearemorelikelytotilttowardsvolatilecollateralwhentheirdebtpositionsareabouttobeliquidated. JELclassification:G12,G23,O36 Keywords:Leverage,collateralisedborrowing,decentralisedfinance,automatedalgorithm. 1Introduction Decentralizedfinance(DeFi)haswitnessedameteoricrisesince2020,disruptingtraditionalfinan-cialservicesbyofferingusersanalternativewayofconductingtransactions.AmongtheplethoraofDeFiprotocols,lendingplatformshaveemergedasacornerstone,facilitatingcollateralisedbor-rowingactivitiesonaneconomicallysignificantscale(Aramonte,Huang,andSchrimpf,2021;Chiu,Ozdenoren,Yuan,andZhang,2022).Attheirzenith,theseplatformsheldover$35billionindepositsand$25billioninoutstandingdebt,underscoringtheirsignificancewithintheDeFiecosystem(IOSCO,2022;FSB,2023b).Despiteitsimportance,theintricaciesofuserbehaviorandpooldynamicswithinDeFilendingremainlargelyunexplored. Borrowingwithcollateralandtheassociatedleverage,however,arenotnewtopicsintradi-tionalfinance.Theroleofcollateralandleveragehasbeenthoroughlyinvestigatedingeneralequi-libriummodels(Geanakoplos,2001;Geanakoplos,2010),infinancialintermediarytheory(AdrianandShin,2010;AdrianandShin,2014)andinasymmetricinformationproblems(AcharyaandViswanathan,2011),aswellasineventfulmarketssuchastherepurchaseagreements(i.e.,repo)(Infante,2019).However,obtainingdetaileddataonuser-levelleveragehasproventobechal-lenging,resultinginsporadicempiricalanalyses(withfewexceptionssuchasAng,Gorovyy,andVanInwegen,2011;KahramanandTookes,2017). Thispaperaimstobridgetheseknowledgegapsbyprovidingacomprehensiveanalysisofleveragetakingbehaviorincollateralisedborrowing.Thecontributionofthepaperisthree-fold.Firstly,tothebestofourknowledge,wearethefirsttodocumentindividualDeFiwallets’leverage –whichisdefinedastheasset-to-equityratio(i.e.,theleverageconceptinAdrianandShin(2010)andAdrianandShin(2014)).UsinggranulardatafromtheEthereumblockchain,ourpaperpro-videsanextensiveexaminationofDeFileverage,elucidatingitsoveralltrends,groupdisparities,anddrivingfactors.Secondly,ouranalysispresentsnewempiricalevidenceonthesystemicriskimpactofhighleverageonDeFilendingplatforms.Inparticular,wefocusonlendingresilienceandstrategicsubstitutionbehaviour,basedonindividualwallets’investmentportfoliodata.Lastbutnotleast,althoughDeFiremainsapredominantlyself-referentialsystem,thelessonsgleanedfromDeFilending–arealworldlaboratory–couldpotentiallyberelevanttounderstandfinancialstabilityconcerns,inparticularinrepoandsecuritieslendingmarketsgiventhesimilaritiesthey share.Wesystemicallyreviewthesimilarities,aswellasthedistinctions,betweenDeFilendingandtraditionalcollateralisedborrowing,suchasrepo. Themainfindingsconsistofthreeparts.Firstly,weexaminetheoveralltrendsofDeFilever-ag