2024-03-24-国际清算银行-DeFi杠杆（英）_46页_831kb

DeFi Leverage: Analysis and Key Findings

Overview

This report examines DeFi leverage, analyzing user behavior, driving factors, and systemic impacts on lending platforms from 2021 to 2023. DeFi lending platforms hold substantial economic significance, with deposits exceeding $35B and outstanding debt of $25B.

User Leverage and Behavior

• Overall Leverage: Ranges from 1.4 to 1.9, tracking crypto market prices with a 3-month lag.
• Group Differences: High-leverage users include those with largest outstanding debt and most frequent borrowing activities.
• Long vs Short Positions: Long wallets (stablecoin debt/ volatile assets) and short wallets (volatile debt/ stablecoin assets) show negatively correlated leverage. High leverage benefits long wallets during price drops but harms short positions during price rises.

Driving Factors

• Key Drivers: LTV-implied leverage, borrow costs, market sentiment, and collateral volatility significantly influence user leverage.
• Gap Between Actual and Implied Leverage: Users maintain conservative approaches due to liquidation risks and search-for-yield motives, keeping actual leverage typically below LTV-implied levels.

Systemic Impact

• High borrower leverage increases loan-risk through higher VaR and potential system-wide contagion, revealing new risks in these automated platforms, requiring careful resilience management.

Conclusion

DeFi leveraged borrowing exhibits distinct user behaviors influenced by market sentiment and automated risk management. Though innovative, these platforms introduce novel systemic risks requiring further regulatory attention.