解碼 DeFi：抵押貸款限制了信用風險，但網路威脅依然存在

This collateralisation system is designed to limit the credit risk for the lender, but it does not eliminate it entirely. The lender is still exposed to the risk of a sharp devaluation of the collateral (asset B in the diagram), for example in the event of a contagion between the crypto-assets used as collateral (see article by Tovanich, Kassoul, Weidenholzer and Prat, 2023), or a cyberattack on the platform. On this issue, see also the rapport by the ACPR.

這種抵押系統旨在限制貸方的信用風險，但並不能完全消除風險。貸方仍面臨抵押品（圖中的資產 B）急劇貶值的風險，例如用作抵押品的加密資產之間發生傳染時（參見 Tovanich、Kassoul、Weidenholzer 和 Prat 的文章） ，2023），或平台上的網路攻擊。關於這個問題，也請參閱 ACPR 的融洽關係。

Blockchain, an unrivalled source of data

This blog post studies the data directly available on the Ethereum blockchain, which accounts for 80% of DeFI activity. We analyse two DeFI platforms: Aave and Compound. By way of illustration, according to Defillama, on 1 September 2023, Aave had USD 4.5 billion locked in its smart contracts, of which 85% was on the Ethereum blockchain.

區塊鏈，無與倫比的數據來源這篇部落格文章研究了以太坊區塊鏈上直接可用的數據，該數據佔 DeFi 活動的 80%。我們分析了兩個 DeFi 平台：Aave 和Compound。例如，根據 Defillama 的說法，2023 年 9 月 1 日，Aave 的智慧合約鎖定了 45 億美元，其中 85% 位於以太坊區塊鏈上。

To extract the data, the Banque de France has deployed an archive node in its cloud, in other words an archive of all data generated since the blockchain was created, including historical states, which is synchronised in real time with the global Ethereum network. This node allows us to collect historical data without relying on a third-party data provider. 

為了提取數據，法蘭西銀行在其雲端部署了一個存檔節點，換句話說，存檔了自區塊鏈創建以來生成的所有數據，包括歷史狀態，並與全球以太坊網路即時同步。該節點允許我們在不依賴第三方資料提供者的情況下收集歷史資料。

We then collected more than a million lending and borrowing transactions from the Aave and Compound platforms for three stablecoins: USDC, USDT and DAI, all of which aim to keep their tokens at parity with the US dollar.  

然後，我們從 Aave 和 Compound 平台收集了超過 100 萬筆借貸交易，涉及三種穩定幣：USDC、USDT 和 DAI，所有這些穩定幣都旨在保持其代幣與美元平價。

The setting of interest rates in DeFI 

On the main DeFI platforms, interest rates are set automatically using an algorithm coded into each platform’s smart contract. These algorithms are based on the amount deposited and borrowed for each crypto-asset, and are known to all users. The formula is simple: the borrow rate is an increasing function of the utilisation rate – in other words, the ratio between the amount borrowed and the amount deposited (Chart 3 shows the function applied by Aave for the token USDC).

DeFi 中的利率設定在主要 DeFi 平台上，利率是使用編碼到每個平台的智慧合約中的演算法自動設定的。這些演算法是基於每種加密資產的存入和借入金額，並且為所有用戶所知。公式很簡單：借款利率是利用率的遞增函數，換句話說，就是藉入金額與存入金額之間的比率（圖 3 顯示了 Aave 對 USDC 代幣應用的函數）。

The interest rates cannot be negative. They can be as high as 80% if there is an imbalance between borrowers and lenders. They rise to a limited extent when utilisation rates are low and very sharply beyond an inflection point decided by the platform and programmed into its smart contract. This inflection point is intended to keep the equilibrium utilisation rate close to a “target rate” (of 80% or 90% depending on the platform), as a high rate will attract lenders to the platform (see Chart 3). The parameters differ across platforms and across tokens, and depend in particular on the risk associated with each crypto-asset. The deposit rate is generally equal to the borrow rate multiplied by the utilisation rate.

利率不能為負。如果借款人和貸款人之間存在不平衡，比例可能高達 80%。當利用率較低且急劇超出平台決定並編程到其智能合約中的拐點時，它們的上升幅度有限。此拐點旨在使均衡利用率保持接近「目標利率」（80%或90%，取決於平台），因為高利率將吸引貸款人進入平台（見圖3）。這些參數在不同平台和代幣之間有所不同，並且特別取決於與每種加密資產相關的風險。存款利率一般等於借款利率乘以使用率。

Chart 3: Interest rates in DeFI are an increasing function of the utilisation rate

圖 3：DeFI 的利率是利用率的遞增函數