无风险借贷的一个提案,暂时没有号,讨论中 这是老外的一个想法,但是里面参数太多。
我的方案虽然类似但是不同:
会不会造成锚定资产的流动性危机?记录:2020/03/12-2020/03/13市场流动性危机。
个人抵押率 | CR | BSIP77 |
维持抵押率 | ICR | BSIP77 |
爆仓抵押率 | MCR | BSIP77 |
借贷综合抵押率 | LCR | LCR=((抵押物+1p1)×价格)) /(债务-1p2) ,LCR>=MCR |
借贷爆仓抵押率 | LMCR | LMCR为理事会设定参数,MSSR<LMCR<MCR |
借贷池 | P1 | 任何账户都可以将自己想要借出的资产放置到个人借贷池中,资产一旦被借将会被立即锁定,借贷池可以设置借贷利率。短期借贷的放入此池。个人可设置多个借贷池。UI设置排行榜。 |
预付息池 | P2 | 借入人需要将自己的利息预付至预付息池中,借入资产前会检测预付息池中利息是否足够,如果足够将会立即扣息并借入。 |
借贷利率 | i1 | 出借人设定借贷利率 |
借贷日期(日) | LD | 出借人可设定借出日期,付息以借出日期为周期。大于等于30日的借贷日期将会视为长期借贷。 |
利息手续费 | i2 | 系统抽成每笔结算利息。 |
借贷物 | 1p1 | bts |
借贷物 | 1p2 | bitasset |
最少借贷物 | i3 | ((抵押物+1p1)×债仓)/((债仓 - 1p2)×抵押物)>= ICR/LMCR |
锚定资产保险金 | 锚定资产区收取的利息费/爆仓费/市场手续费 |
出借人出借资产被锁定后,不能主动解锁。
没有进行借贷的,CR<MCR, 系统平仓
短借贷 :
- if CR<LMCR or 未及时付息, 中止借贷;
长借贷(大于=30日) :
- if LCR<MCR, 系统拍卖;
- 提前七日付息,未及时预付息, if CR < MSSR, 系统拍卖 ; if CR >= MSSR, 中止借贷;
- 竞拍者只需要对利息进行竞拍;
- 中标者需要支付给出借人原借入人需要支付的月息或者季息(拍卖阶段为低息,需讨论套利者利用利息套利的情况),多出来的利息差系统与出借人8/2分成;
- 中标者会获得借入人的债仓,同时按照原约定到期付息;
- 竞拍周期为每15分钟一循环,最长持续时限48小时;
- CR < (LMCR+MSSR)/2,借入人不能主动关闭长期借贷。
风险处理:
- 如果CR<MSSR, 债仓会由智能资产管理账户临时接管并进行系统拍卖。
竞拍人用利息竞拍成功后,需支付给借出人需要支付的月息或者季息,多出来的利息差系统与借出人8/2分成;
长期借贷:如果48小时到期后,无人竞拍,债仓会流转至智能资产管理账户进行长期利息背仓。 - 流转至智能资产管理账户进行长期贷利息背仓, 由锚定资产保险金付息降杠杆提高抵押率慢慢平仓;
- 债仓CR>LMCR后,会出售债仓进行付息平仓操作。
- 锚定资产管理账户优先借贷锚定资产风险资金池,锚定资产风险资金池不参与外部借贷。
残留问题:
1.如果48小时拍卖期限到期后,无人竞拍,债仓会流转至智能资产管理账户进行利息背仓,由锚定资产手续费及竞拍利息差降杠杆提高抵押率。
当然这样也会存在问题,对于活跃的智能资产没有问题,对于流动性差的就有问题。
黑天鹅/债券:
当发生锚定资产手续费及竞拍利息差无法支付利息进行背仓或抵押池不足的情况 :
对应智能资产管理账户在预付息日发行风险债券,风险债券在bitasset交易对进行交易,7日到期后如果无法兑换到足够的锚定资产进行平仓,这部分债仓将会变成黑仓,黑仓仍可平仓,但是锚定资产区所有的收费的项目将不再进行派息分红,直到黑仓变成正常仓位。
风险债券的发行规模为:背负债仓的所需平仓的锚定资产规模;
风险债券的发行价格:1:1 锚定资产;
风险债券的赎回:按照实际收入进行利息+本金赎回;
风险债券赎回日期:不定期;
当然另外一个比较硬的方案是,风险债券强制1:1兑换;
2.竞拍规则的制定,预防投机倒把,利用系统漏洞强拍,抢拍:
因为ZB可以杠杆借币做空来挤爆抵押者,那么对应的方案应当是内盘抵押者可以借币或者锚定资产来提高共同抵押率来防止被挤爆,两者的共同点就是都需要给借贷者付息。
漏洞
漏洞1:如果拍卖过程中,快速下跌怎么处理?自动归到智能资产管理账户背仓?
漏洞2:比如从6块跌到1毛,这个债券需要偿还的时间就相当长,相当于5年或者更长时间的债券,此锚定资产所有的收入将会长时间用来保证债券的合理价值赎回。
漏洞3:如果有大量的bitasset在借贷池中被锁定,可能会造成流动性问题,但是似乎是被债仓锁的,问题的严重性需要考量。
例:
1.小红的抵押率 CR>1.6;
2.价格下跌;
3.小红的抵押率无限接近于MCR=1.55,就要爆仓了;
4.小红此时可以从小明借贷智能资产/bts来保证她的债仓在大于借贷爆仓抵押率(也就是她自己的抵押率CR)>=MCR(或者其它由理事会设定的参数)的情况下不会被强平,同时保证自己+借贷来的债仓的综合抵押率必须大于ICR;
5.小红不能动用从小明借贷的资产;
6.小红必须提前支付给小明利息;
7.价格又跌了;
8.小红的抵押率无限接近与LMCR,如果她不增加抵押率或者还一部分款的使自己的借贷爆仓抵押率LMCR的话,一旦小于LMCR或者自己+借贷来的债仓的综合抵押率小于LCR,她就会被系统强制平仓;
9.小红一旦被触发强平,从小明借贷的资产将会归还给小明;
10.利息由市场决定;
11.如果小明借贷给小红资产,在借贷时间没有到期或者小红没有主动终止合约或者小红没有被强平之前,小明不能撤回资产;
12.小明借贷出的资产,将会锁定在自己账户的借贷池中;
13.利息类型的支付可以按照抵押物的类型进行决定;
14.没有进行这样借贷的抵押者如果CR<MCR, 就会直接被系统强平。
当然这个简单的方案是一个比较保险的方法: 持有智能资产及bts的用户都可以去借贷获利,变相的staking.
老外的翻译
BSIP:
Title: Debt Asset Feature - MPLP (Margin Position Liquidity Pool)
Author: [bench] <https://github.com/froooze>
Status: Draft
Type: Protocol
Created: 2019-08-27
Discussion: https://github.com/bitshares/bsips/issues/182
Abstract
- The
MPLP
enables a lower maintenance collateral ratio (mcr
) withmcr
<MCR
andmcr
> 1 by borrowingextra debt asset
withinterest
. - The
liquidity pool
enables thedebt asset
holder to earninterest
through lending. - The internal maintenance collateral ratio (
mcr
) is changed, but not the internal collateral ratio (cr
). - When
extra debt asset
is removedmcr
=MCR
again.
Motivation
- No motivation to create bitAssets #189
- Liquidity is eaten away by BTS shorter and not used to increase the
CR
of debt holder #181 - Increasing CR only possible, when
collateral
is increased ordebt
is reduced - Low balance of the shorting asset by the shorter
- Small price decrease triggers margin call wall and suppresses price further
- Increasing
MSSR
does also increase premium, selling pressure and penalty
Rationale
- Minimize margin calls
- Increase circulating supply of
debt asset
, without increasing system risk
Definitions
- CR
= (
debt-
extra debt asset)/
collateral`(external collateral ratio) - CR:抵押物/(债务-额外借贷物)(外部抵押率)
-
MCR
= maintenanceCR
or margin callCR
- MCR=维持抵押率或者强平抵押率
-
ICR
= initialCR
(amount to borrow fromliquidity pool
and blockchain) - ICR=初始抵押率(从流动池及区块链可借的数量)
-
cr
=debt
/collateral
(internal collateral ratio) - cr:抵押物/债务(内部抵押率)
-
mcr
= internal maintenancecr
= targetcr
(user based) - mcr:内部维持抵押率
-
min mcr
(MCR
,ICR
,lp1
,lp3
) - 最小内部维持抵押率(MCR, ICR,1p1,1p3)
-
extra debt asset
= (ICR
-cr
) *collateral
- 额外债务:(ICR-cr)×抵押物
-
interest
=extra debt asset
*a
* (1/cr
)^b
*interest rate
- 利息=额外债务×a×(1/cr)^b *利息率
-
interest balance
-=interest
- 利益余额=利息
-
insurance pool
+=interest
*interest fee
- 保险池+=利息×利息手续费
-
interest lender
=interest
* (1 -interest fee
) - 利息出借人=利息×(1-利息手续费)
-
interest balance lender
+=interest lender
- 利息余额出借人+=利息出借人
Boundaries
Margin Position Holder 债仓持有者
-
cr
> 1 -
mcr
> 1 -
interest balance
>interest
- 利息余额>利息
- 1 >
interest fee
> 0 - 1> 利息手续费>0
Liquidity Pool 流动池
-
cr
≤ 1 (t=0) -
cr
≤mcr
(t>0)
Solution
- The
MPLP
orliquidity pool
reduces margin calls by lowering themcr
without adding extra BTS or decrease thedebt
of the position - MPLP 或者 流动池 通过降低 mcr 减少了强平,而不需要增加额外的bts或者平掉仓位。
- The user has the option to increase the
CR
by locking theextra debt asset
next todebt
, without paying the currentdebt
back - 用户可以选择通过锁定额外的债务来增加CR,而不需要平掉当前债仓。
Pools 池子
- For every
debt asset
, there is a separatedliquidity pool
- Every
liquidity pool
has areward pool
, which collects theinterest lender
- Every
liquidity pool
has ainsurance pool
, which is financed by theinterest fee
- 每一个借贷资产,都有一个单独的流动池
- 每一个流动池都有一个奖励池,用来收集利息出借人
- 每一个流动池都有一个保险池,由利息手续费资助。
Timing
- Every
liquidity pool
has a certaintime threshold
, which defines the max. linear removing rate by the lender - The borrower can remove
extra debt asset
instantly by settingmcr
=MCR
- The
time thresholds
defines, how long a borrower has to pay theinterest
in front - 每一个流动池都有一个时间阈值,其由借出者决定最大。线性移动率。
- 借入人可以通过设置mcr=MCR快速移除额外债务。
- 时间阈值决定,借入人需要提前多长时间付息。
Interest 利息
-
Interest rate
is defined by supply/demand of (lp1
+lp2
+lp3
)/(lp1
+lp2
) -
Interest
is paid in thedebt asset
. Lender can decide, if he wants to get paid indebt asset
orsettled debt asset
(BTS) -
Interest
is paid from a newinterest balance
, which must be held in the correspondingdebt asset
- When integrated (Δt)
Interest
is as big, as the last paidinterest
, newinterest
must be paid to cover theinterest
fortime threshold
and currentcr
- 利息率由供给/需求决定:(
lp1
+lp2
+lp3
)/(lp1
+lp2
) - 利息支付类型由借出物决定。出借人可以决定,如果他想要获得借出物或者抵押物(bts)。
- 利息从一个新的利息余额支付,其必须持有对应的借出物。
- 当综合(Δt)利息太大,当最新支付利息时,新的利息必须支付来覆盖满足因时间阈值及当前cr要求的利息
Liquidity Pool Portion流动池部分
Sub pools辅助池
-
lp1
is for users withmcr
<MCR
-
lp2
is for users withCR
<ICR
-
lp3
is availabledebt asset
-
lp1
:mcr
<MCR
的用户使用 -
lp2
:CR
<ICR
的用户使用 -
lp3
:可用的借贷物
Distribution分类
-
The
lp2
must be first fully filled, beforemcr
<MCR
-
在
mcr
<MCR
前,lp2
必须首先装满; -
The
lp1
can only increase, whenlp3
> 0 -
当
lp3
> 0,lp1
只能增加; -
The
lp1
is distributed, to enable everyone the samemin mcr
-
lp1
分布完后,使任何人的有同样的min mcr
-
Lender removes
debt asset
fromliquidity pool
: Iflp3
>debt asset
than Δlp3
=debt asset
Iflp3
= 0 than Δlp1
=debt asset
/time threshold
(linear removed) -
出借人从流动池移除借贷物:
if
lp3
>借贷物than Δ
lp3
=借贷物if
lp3
= 0than Δ
lp1
=借贷物/时间阈值(线性移动)
Margin Call Gap
-
ICR
>MCR
- The
ICR
must be different fromMCR
to increase demand inliquidity pool
before margin call gets active - 在强平激活前,ICR必须不同于MCR以增加在流动池的需求
- Every
liquidity pool
user increases demand from theliquidity pool
untilCR
≥ICR
- 每一个流动池用户增加来自流动池的需求直到
CR
≥ICR
- Margin calls happen for
liquidity pool
and non-liquidity pool
users, whenCR
<MCR
- 强平发生在流动池及没有流动池的用户,当其 CR<MCR
Margin Calls 强平
- prioritized by
cr
- 优先由cr决定
- reduce
collateral
,debt
,debt asset
and demand forextra debt asset
- 减少抵押物,债务,借贷物,需求额外借贷物。
Partial 1部分1
- if
cr
> 1 andcr
<mcr
- than sell
collateral
to reachcr
≥mcr
Partial 2 部分2
- if
interest balance
<interest
- than
mcr
=MCR
and sellcollateral
to reachCR
≥MCR
Full全部
- if
cr
≤ 1 - than sell all
collateral
The full margin call does change the ownership of the collateral
, extra debt asset
and interest
to the liquidity pool
.
全部强平将会改变抵押物,额外抵押物及流动池利息的所有权。
The remaining debt
/debt asset
is covered by the insurance pool
.
剩余的 债务/借贷物 将会被保险池覆盖
Recovery 恢复
-
cr
=mcr
The MPLP
allows during a full margin call, to get the margin position with extra funds back. The cr
needs to be increased with extra collateral
or debt asset
to mcr
. This is only possible until all collateral
is sold.
MPLP允许在一次全部强平过程中,用额外的资产来获得被强平的仓位。cr需要用额外的抵押物或者借贷物增加至mcr。这只有抵押物没有被全部卖出才可能发生。
System Risk
Parameters
ICR
MCR
-
a
&b
interest fee
Insurance pool
insurance pool` += (`ICR` - `cr`) * `collateral` * `a` * (1/`cr`)^`b` * `interest fee` * `interest rate
The insurance pool
covers the system risk, when:
-
mcr
<MCR
-
cr
<MCR
-
cr
≤ 1
Example
- Total supply: 3 million bitUSD (100%)
- Total supply in the liquidity pool: 0.6 million bitUSD (20%)
-
Interest rate
for 14 days (=time threshold
): 2% -
a
= 10,b
= 7 -
interest balance
= 4 bitUSD -
ICR
= 1.55 |MCR
= 1.5
Stage 1
- BTS price: 0.05 bitUSD
- 10k BTS as collateral
- 323 bitUSD debt
-
CR
= 1.55
Stage 2
- BTS price drop to 0.04 bitUSD
-
CR
=cr
= 1.24
Stage 3
- 65 bitUSD are needed to reach
ICR
again -
Interest
: 65 bitUSD * 10 * (1/1.24)⁷ * 2% = 2.88 bitUSD -
interest balance
= 1.12 bitUSD
Stage 4
- The 65 bitUSD gets locked to the margin position, without paying back the 323 bitUSD debt
- 10k BTS as collateral
- 323 bitUSD debt
- 65 bitUSD
extra asset balance
- 258 bitUSD overall debt
-
CR
= 1.55
Stage 5
After 14 days the 65 bitUSD balance gets removed from extra asset balance
, if the user doesn’t add extra funds to interest balance
. Chances to get are margin call are now high because CR
gets now reduced to cr
.
Conclusion
- Without borrowing from the
liquidity pool
, the user needs to sell 1178 BTS to cover theMCR
- With the
liquidity pool
only 2.88 bitUSD are needed, to cover the interest forCR
increase toICR
Comparison
Case | MPLP |
MPL |
BSIP-70 |
---|---|---|---|
Motivation | interest rate | market fee | interest rate |
Borrower | peer | blockchain | peer |
Input | debt asset | BTS/every asset | every asset |
Purpose | increase CR & debt
|
increase liquidity | lending/trading |
Collateral | no | no | yes |
Order book | no | no | yes |
- In a bear market the
interest lender
for theliquidity pool
should be higher than BSIP-70 - In a bull market the
interest lender
for theliquidity pool
should be lower than BSIP-70
Discussion and Summary for Shareholders
The MPLP
provides a free market solution to evaluate the best CR
in terms of risk/reward or cost/reward based on the market liquidity. The MPLP
enables a voluntary extra risk level for margin position holders, which is fully compatible to our current market mechanics. The amount of debt, which can be borrowed from blockchain and the system risk is here not increased.
Negative Feedback Loops
Proof of stake
The possibility to stake debt asset
and profit from the interest
, will increase supply of debt asset
and demand for BTS. A lot of successful coins have staking options, which is still missing in the BitShares ecosystem.
CR and Debt increase
Because the user gets a third option to increase CR
from the liquidity pool
with extra asset balance
, no debt
needs to be paid back.
Interest Rate
The liquidity pool tries to find a fair market price for the inequity of debt asset
distribution.
A higher interest rate
means more inequity, which results in a higher debt asset
supply for the liquidity pool
.
Market Liquidity
Markets with lower liquidity have a higher value for min mcr
, a
, b
and interest fee
.
Worker Cost Reduction
Worker payments are hold in bitFIAT. The option to earn interest
on bitFIAT, does reduce the worker costs and demand for BTS from the reserve pool.
See also
- #213 - BSIP78: Asset Feature - MLP (Market Liquidity Pool)
- Dynamic price feeds based on EMAs and smartcoin metrics
- #161 - BSIP77: Require Higher CR When Creating/Adjusting Debt Positions
- #164 - BSIP74: Margin Call Fee Ratio
- Smart Bond lending system
Changes
-
Proof of stake
topic added - Changed topic from
settlement fund
tomargin position liquidity pool
- Removed
settlement
- Added
interest rate
- Removed
margin call fees
-
CR and debt increase
topic added -
Worker cost reduction
topic added -
Example
topic added -
Comparison
topic added -
Margin call gap
topic added -
Goals
topic added -
Definition
topic added -
Boundaries
topic added -
Interest balance
added - internal
CR
=cr
added -
Margin call
topic added -
interest
parametersa
&b
added -
System risk
topic added -
Abstract
topic added -
Market liquidity
topic added - Introduced
ICR
/MCR
instead ofMCR
/CCR
(Call CR) -
Recovery
topic for full margin call added
Copyright
This document is placed in the public domain.