Users want to better manage their encrypted assets to improve risk adjusted returns , What kind of 「 hold-all 」？
DeFi What functional modules should there be ？《 understand DeFi Key perspectives 》（2020 In the first 80 period ） From payment and settlement 、 Aggregate resources and equity segmentation 、 Transfer resources across time and space 、 To manage risk 、 Provide information and solve incentive problems 6 This paper combs the basic financial functions .
This paper starts from DeFi Continue to discuss this issue from the perspective of user needs . Consider one DeFi user , He wants to better manage his encrypted assets to improve risk adjusted returns , What kind of 「 hold-all 」？ The following functional modules are proposed in this paper ：
Obtain stable income , Including deposit and Staking;
Risk exposure switching , With DEX As a representative , especially AMM;
Amplify risk exposure , Include DeFi To loan ,DeFi Leverage long 、 Short , as well as DeFi Futures and forwards , but DeFi Swaps don't make much sense ;
Non linear exposure , With DeFi Options represent ;
Exposure Token turn .
In addition, there are two basic functional modules ：1. Predicting machine ;2. Collateral adequacy monitoring and clearing .
Obtain stable income —— Deposit money and Staking
DeFi When users' liquidity demand and risk preference are not high , You can save money and Staking Obtain stable income .Staking The benefits come from participation PoS The block out reward obtained by the consensus algorithm of type public chain . The deposit proceeds from the interest paid by the borrower , Need to combine DeFi Borrow to understand .
《DeFi Basic module and risk analysis framework 》（2020 In the first 31 period ）、《Staking Risks and solutions 》（2020 In the first 50 period ） and 《DeFi The theory of interest 》（2020 In the first 74 period ） This problem is discussed .
Risk exposure switching ——DEX
DeFi When users expect other encrypted assets to provide higher risk adjusted returns than their current positions , Can pass DEX Adjust position .AMM It's the one that's getting the most attention right now DEX programme .
《 from Uniswap Look at the development of decentralized exchanges 》（2020 In the first 69 period ）、《 Centralized exchanges introduce automatic market makers （AMM） Feasibility and Scheme 》（2020 In the first 71 period ）、《 Solve the problems caused by impermanent losses through market mechanism AMM Unsustainable problems 》（2020 In the first 77 period ）、《 Sustainable automatic market makers （SAMM） programme 》（2020 In the first 86 period ） This problem is discussed .
Amplify risk exposure ——DeFi To loan ,DeFi Leverage long 、 Short ,DeFi Futures and forwards
DeFi Users expect a certain encrypted asset to provide a higher risk adjusted return , But when you don't want to adjust your current position , Can pass DeFi Lending and DeFi Leverage long 、 Short to amplify risk exposure . For the simplicity of the discussion , The following assumes that the user holds a number of encrypted assets , Want to gain exposure to another crypto asset .
DeFi To loan
DeFi The core step of borrowing is ：
At the beginning （ Write it down as 0 moment , The same below ）, User to x In quantity X As collateral , Lend y In quantity Y.
In the future T, The user reimburses y In quantity Y （ Plus interest ）, Release x In quantity X.
The above two steps seem simple , But it forms the basis of the next analysis , Therefore, it is necessary to explain in detail .
First of all , mortgage 、 Release and loan 、 repayment , Both are reflected as user address and hosting address （escrow address） Smart contract operation between . The importance and application of this will be discussed later .
second ,《 understand DeFi Key perspectives 》（2020 In the first 80 period ） It has been emphasized that , Within the public chain is the de trust link , The public chain address can't be the real credit subject , Borrowing depends on excess collateral （over collateralization）.
Suppose you're in X As a loan Y When collateral is , Valuation discount （haircut） yes h<100%. Suppose the initial moment ,X and Y The market price of （ In legal tender or bitcoin , The same below ） Respectively px(0) and py(0), So there are
More Than This , stay DeFi Every moment before the loan matures ,DeFi The lending platform should monitor whether the excess mortgage conditions are met ：
Once the mortgage conditions are exceeded (2) Not satisfied at a certain moment , that DeFi The lending platform will initiate collateral clearing , Sell as collateral X, purchase Y, To ensure loan security . Collateral liquidation can take the form of auction , And attract arbitragers to participate through price discounts ; It can be a centralized way , It can also be decentralized .
Third , stay DeFi In lending , The user has the right to x In quantity X Risk exposure to , Also obtained through borrowing y In quantity Y Risk exposure to , It reflects the goal of enlarging risk exposure .
DeFi Leverage long
DeFi There are many ways to achieve leverage , Here are two examples .
First of all , stay DeFi The steps of borrowing and lending 1 after , The user uses the lent y In quantity Y Purchase quantity py(0)*y/px(0) Of X. If (1) Medium was established , The user owns X The number of becomes
Above is DeFi The easiest way to leverage long . If understood as ETH, Will be understood as Dai, It is through MakerDAO To do more ETH The mechanism of .
second , Consider the following ：
At the beginning , User to x In quantity X Enlarge for principal l>1 Double lever , That is to borrow （l-1)*x In quantity X, Buy again y In quantity Y, And with these Y As collateral for leveraged lending ;
In the future T, Users sell all or part of Y, repay (l-1)*x In quantity X （ Plus interest ） after , The rest is your net income .
At the beginning ,
Suppose that when taking as collateral for borrowing , Valuation discount （haircut） yes h*<100%. stay DeFi Leverage long every moment before maturity t< or =T,DeFi Leveraged long platforms should monitor whether the excess mortgage conditions are met ：
Once the mortgage conditions are exceeded (5) Not satisfied at a certain moment , that DeFi Leverage long platform will initiate collateral liquidation （ The collateral clearing mechanism is similar to DeFi The loan part , Don't repeat the discussion . The same below .), Sell as collateral Y, purchase X , To repay the borrowed (l-1)*x In quantity X （ With interest ）. If the collateral is cleared and the principal and interest of the loan are repaid, there is still , Just return it to the user . It should be noted that , Users may not be able to 100% Recovery of principal investment （ namely x In quantity X）.
If there has been no collateral liquidation event , So in T moment , The net income from users' long leverage is （ Assuming no interest on the loan , The same below ）：
(6) The economic meaning of is very clear .DeFi There are three sources of leverage gains ：1. Put in the principal ;2. Leverage multiple ;3. The excess rate of return on long targets ：
DeFi Leverage short
DeFi Leveraged shorting can also be achieved in a variety of ways , Here are two examples .
First of all , stay DeFi The steps of borrowing and lending 1 after , To be lent y In quantity Y Sell out , stay T Always buy the same amount of... From the market at a lower price Y, To repay the principal and interest of the loan and release the mortgage . Suppose you don't consider loan interest and (1) Medium was established , The net profit from short selling by users is ：
(7) explain , There are two sources of revenue from short selling ：1. Put in the principal h*px(0)*x;2. The price of the subject matter of short selling fell by 1-py(T)/py(0).
second ,DeFi The second example of leverage being long , Long on leverage Y At the same time , It's actually a leveraged short X, Don't repeat the instructions .
DeFi Futures and forwards
The above examples of amplifying risk exposure need to buy and sell emerging goods . In mainstream financial markets , A more convenient way to obtain exposure through leverage is futures and forward . Both futures and forwards promise , The user buys or sells the agreed amount of assets at the agreed price at the agreed future time . Futures are standardized derivatives traded on the floor , In the long term, it is an over-the-counter derivative with personalized design . In futures trading , Users need to provide margin to the exchange ; In forward transactions , Both parties need to provide collateral , As a means of mitigating counterparty credit risk . Futures margin and forward collateral , It should be adjusted according to the fluctuation of capital price . The leverage of futures and forwards is the ratio of nominal principal to margin or collateral . Because the amount of margin or collateral is roughly equal to the nominal principal multiplied by the fluctuation range of asset price , So the leverage of futures and forward can be very high . In other words , In mainstream financial markets , Users can leverage higher risk exposure with smaller funds .
As a contrast ,DeFi The leverage effect of futures and forward is not prominent . Let's look at the long-term example first . Suppose one party to the transaction （ It might be called 「 Underwriter 」） Promise the other party （ It might be called 「 user 」）, In the future T With y In quantity Y purchase x In quantity X. In order to ensure the future performance ability of both parties to the transaction , The underwriter needs to send x In quantity X Transfer to escrow address , And users also need to send y In quantity Y Transfer to escrow address . therefore , Underwriters and users are equivalent to providing full collateral , Will not suffer X and Y The impact of price fluctuations , But the leverage of users is much weaker .
DeFi The example of futures is similar , The user is equivalent to providing a full deposit , Leverage is also weak .DeFi If futures want to support secondary market trading , In the case of exposure Token turn . This issue will be highlighted below .
Non linear exposure ——DeFi option
That's right DeFi To loan ,DeFi Leverage long 、 Short , as well as DeFi In the discussion of futures and forward , Leveraged exposures are linear , This can be seen from the relevant formula .
DeFi Options can realize nonlinear risk exposure . stay DeFi In call options , The underwriter promises that the user , Users can in the future T With y In quantity Y purchase x In quantity X, But if the price is not ideal , Users can also not exercise this right . obviously , The user is in T The condition for exercising the right at any time is px(T)*x>py(T)*y. The net income of users at the moment is ：
(8) Shows the meaning of non-linear exposure . What we need to see is ,(8) It can be seen as a call option on , It can also be seen as a put option on , So there is no need to discuss DeFi Put option .
The leverage ratio of options is reflected in the currency of nominal principal and option premium , The premium depends on the option pricing . Yes DeFi option , Mainstream pricing methods can also be used .《DeFi Oracle and arbitrage mechanism 》（2020 In the first 76 period ） We discussed the decentralized Oracle NEST Option pricing involved .
But with DeFi Futures are the same as forwards , To guarantee DeFi The future performance ability of both parties to the option transaction , The underwriter needs to transfer the quantity to the escrow address in advance , Users also need to transfer the quantity to the hosting address in advance . For users ,DeFi The leverage effect of options is also weak .
In mainstream financial markets , Standardized options can be traded on the market .DeFi If options are to support secondary market trading , It also involves... Of risk exposure Token turn .
thus , This article discusses DeFi futures 、 Derivatives such as forwards and options . In these DeFi Derivatives , Because the address in the public chain is not enough to be a real credit subject , Counterparty credit risk can only be mitigated by full collateral or margin . This makes the leverage effect of derivatives weaker than that of mainstream financial markets .
The last thing to say is , In mainstream financial markets , Swaps or swaps are also a broad category of derivatives , Especially interest rate swaps . stay DeFi In the ecological , There is little point in discussing swaps , And swaps can be seen as a series of forward portfolios , The analysis is not complicated .
Exposure Token turn
Exposure Token Chemical pair DeFi It is of great significance in many ways . First of all , That's right DeFi To loan ,DeFi Leverage long 、 Short ,DeFi Futures and forwards , as well as DeFi Discussion of options , It is carried out under the point-to-point trading mechanism . But in practice , Intensive use to achieve economies of scale and improve liquidity , It is better to cluster transactions with the same terms . such , You just need one 「 Symbol 」 To represent the share of each user .
second , Users for various reasons （ Such as liquidity demand ）, It may be necessary to DeFi To loan 、 Leveraged positions 、 futures 、 Forwards and options wait until the maturity , Transfer the risk exposure . This involves the of the relevant collateral and future payment obligations 「 pack 」 Transfer the possession of , This requires the risk exposure Token turn . In view of the prevalence of excess mortgage conditions , Risk exposure Token Securitization helps to improve the efficiency of collateral use .
Third , Exposure Token After that , Even in DEX Trade on , It also helps DeFi Ecology provides mobility , Promote price discovery and market transparency . This is right DeFi Ecological development will have a good help .
Exposure Token The foundation of virtualization is the application of smart contracts and managed addresses , It also shows DeFi A key difference from mainstream financial markets . In summary , Exposure Token The key to industrialization is , The relevant terms of risk exposure 「 encapsulation 」 To a 「 Homogenization 」（fungible） Token, bring Token The transfer does not involve Token internal structure . Next, use the example above to illustrate .
DeFi To loan
Steps in 1 after , Users get the number of , There are a number of as collateral at the escrow address , And obtained the following DeFi To loan Token：
If Always from Token Address transfer quantity to hosting address The quantity transferred from the hosting address to Token Address End The destruction Token
DeFi Leverage long and short in risk exposure Token Turn on , And DeFi Borrowing is similar to , Don't repeat the instructions .
DeFi Futures and forwards
After the user provides a quantity of as collateral , You will get the following DeFi futures / forward Token：
The amount transferred from the escrow address to the underwriter's address at any time The amount transferred in from the hosting address to the user address at any time The destruction Token
After the user provides a quantity of as collateral , You will get the following DeFi option Token：
If moment ,Token The representative's rights are enforced The amount transferred from the escrow address to the underwriter's address The number of transfers from the hosting address to the user address Else The amount transferred from the escrow address to the underwriter's address The number of transfers from the hosting address to the user address End The destruction Token
As can be seen from the above examples ： First of all ,Token Can be transferred between different users , And only need to adjust accordingly after the transfer 「Token Address 」 that will do , The managed address can be regarded as a global variable ; second , Exposure Token turn , In essence, it is to put future payment requirements 「 encapsulation 」 get up ; Third , In addition to the use of smart contracts , Exposure Token Management of managed addresses in virtualization , You may also need to use multi signature technology .
Exposure Token The logic of transformation can also find correspondence in reality . such as , After buying a house with a mortgage , The property right of the house is in the state of mortgage , The buyer's acquisition is actually a Token：
If Token The holder pays off the principal and interest of the loan as agreed Cancellation of house property right mortgage registration Token The holder obtains the complete property right of the house Else The bank obtains the property right of the house End
The house transaction is accompanied by the change of house property certificate and mortgage adjustment , It's all... In essence Token Part of the transaction .
writing ： Zou Chuanwei , Chief economist of Wanxiang blockchain
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