比特大陆首次公开募股(IPO)攻略

摘要:在这篇文章中,我们就比特大陆的财务数据进行分析,由于打算 IPO ,这些数据被提供(或泄露)给了市场。这些数据表明,比特大陆在 2017 年实现了高利润和现金流,但可能目前公司正在亏损。比特大陆还将其大部分运营现金流用于购买比特币现金,因此按市值计价目前损失约 3.28 亿美元。我们的结论是,IPO本身可能会顺利进行,但是未来公司如何使用从投资者哪儿所获取的资金将是关键,管理层可能需要加强在这一方面的管理规划。

 

IPO 进程

比特大陆预计将于 2018 年 8 月底向香港证券交易所提交 IPO 申请,预计将于 2018 年底上市。该公司刚刚根据 140 亿美元的估值进行了一轮上市前的融资,并筹集了数亿美元。因此,我们认为公司上市时估值将超过 200 亿美元,并筹集数十亿美元的资金。

关于上述融资情况的文件(也包含比特大陆财务数据)已在推特上流传。我们有理由相信这些文件的真实性,这些文件的内容将作为本报告的基础依据。

 

比特大陆在采矿行业的地位

领域 公司 比特大陆的地位
芯片制造/晶圆代工 台积电, 三星, 格罗方德, 中芯国际 比特大陆没有涉及该领域
ASIC 设计,矿机组装和销售 比特大陆, 迦南, 翼比特, 芯动科技, Bitfury 比特大陆是这个领域的龙头企业,同时这也是比特大陆的核心业务。在 2017 年,比特大陆声称其在该领域加密币市场占有率达到 85% ,比特币市场占有率达到 77% 。
矿池运营 BTC.com , AntPool (蚂蚁矿池), BTC.TOP , Slush ,  ViaBTC & F2Pool 比特大陆在该市场占有主导地位。 比特大陆拥有 BTC.com 和蚂蚁矿池两个最大的矿池。比特大陆同时也是 ViaBTC 投资者。在过去 6 个月,上述 3 个矿池加起来的市场占有率约为48% 。
自营挖矿业务 Hive Blockchain, Genesis mining, 比特大陆 在 2016 年,比特大陆占有领导地位,然而,上市前的文件显示比特大陆在该领域有倒退的迹象。在 2016 年,公司挖矿产生的收益占公司总收益 18.4% ,到了 2018 年一季度,该比例降至 3.3% 。  

(资料来源:比特大陆上市前文件,BitMEX 研究)

 

IPO 有认购需求吗?

根据上表,比特大陆在加密币挖矿相关的大部分领域都占有主导地位。比特大陆很可能是区块链领域里规模最大、利润最高的公司,这使公司对许多投资者来说非常具有吸引力。

在过去的几年甚至几十年里,投资人在分析科技行业时都学到了一点,无论对错,一定要投资该行业的龙头企业。排名第一的公司通常受益于网络/规模效应而独大,因此其他规模较小的竞争对手往往会较易失败。下面名单说明了该现象:

领域 公司
通信软件 Whatsapp, Line (日本), 微信(中国)
搜索 谷歌
出行软件 优步
电商 亚马逊(美国),阿里巴巴(中国)
音乐平台 Spotify
视频网站 Youtube

不管有没有道理,现在很多人都认为区块链是下一个基于互联网的最重要的技术之一,比特大陆是这个领域的龙头企业。这种网络效应逻辑是否能够应用在 ASIC 设计和配送公司尚不清楚,而一味的将企业做大所带来的好处也可对传统的产业更有利。我们认为,不仅要从技术的角度来看待加密币挖掘,而且要从能源密集型产业(如自然资源开采)的角度来看待它。这些行业与互联网的产业相比,所能带来的规模效益更为有限。因此,我们不认为就因为它是目前最规模最大的加密币挖掘公司,就应该盲目的投资,明显某些投资人天真地这么认为。

 

比特大陆自身经营的采矿业务收益下跌

正如我们上面提到的,比特大陆 IPO 前的文件中最有意思的发现之一是比特大陆自己经营的采矿业务急剧下降。虽然其占总收入的比重大幅下降,但按绝对值计算, 2017 年,自营的采矿收入仍增长了 250% ,只是它被具有 948% 增长的矿机销售盖过了。

比特大陆 – 自营采矿业务收入的比重

(资料来源:比特大陆上市前文件,BitMEX 研究)

我们认为,这种下降表现出了比特大陆从竞争日益激烈、利润率越来越低的领域撤出(相对而言)的明智战略决策。我们认为,采矿业产业链越下游的竞争更剧烈,其变化也更快,比特大陆因此采取了明智的战略布局,将集中精力在产业链上游,同时上游也是整个产业链价值越来越大的地方。在某些方面,这对于比特币去中心化来说是个好消息,因为一个占主导地位的矿工已经退出。我们认为,在网络系统安全的重要性来说, ASIC 的设计和销售不及挖矿本身来的重要,在理论上矿工可以选择构建区块的矿池,并选择在哪个区块上构建新的区块。当然,比特大陆在 ASIC 领域中的主导权力和支配地位仍然是比特币系统的一个重大问题。

 

目前比特大陆很可能出现了亏损

在文件中,比特大陆披露了采矿相关的主要产品销售数量、销售额、和至关重要的毛利率。我们已经在下面的表格中显示了相关的数据。数据显示,比特大陆在 2017 销量超过 100 万台 S9 ,然后在 2018 一季度累积销售了 70 万台。

 

矿机及相关产品财务指标

2016 2017 Q1 2018 BitMEX 预测 (现价)
销售收入按产品分布 – 百万美元 
S9 (Bitcoin) 98.1 1,347.4 1,225.9
S7 (Litecoin) 106.3
L3 (Litecoin) 0.9 421.6 344.0
D3 (Dash) 411.6
T9 (Bitcoin) 34.9 84.2
A3 (Siacoin) 76.8
V9 (Bitcoin)
其他 3.3 9.3 9.1
APM Power 13.6 104.8 78.7
222.2 2,329.0 1,829.7
价格 – 美元
S9 1,429.0 1,257.0 1,719.0 499.0
S7 593.0 212.0
L3 1,315.0 1,685.0 1,404.0 209.0
D3 1,581.0 179.0 176.0
T9 1,031.0 991.0
A3 1,431.0
V9 145.0
APM Power 108.0 110.0 95.0
毛利润率
S9 58.8% 55.7% 69.9% (11.6%)
S7 58.6%
L3 21.2% 71.0% 44.6% (133.8%)
D3 76.2% (108.8%) (113.8%)
T9 19.9% 49.7%
A3 78.3%
V9 (34.5%)
57.9% 58.9% 61.9% 损失
总销售(数量)
S9 68,672 1,071,901 713,158
S7 179,315
L3 676 250,181 245,007
D3 260,313
T9 33,885 84,932
A3 53,703
APM Power 125,513 952,785 828,194
374,176 2,569,065 1,924,993

(资料来源:比特大陆上市前文件,BitMEX 研究,比特大陆官网)

使用所披露的 2017 年毛利率,我们计算了出每台机器的隐含成本。假设成本维持不变(这可能不太现实),我们能够根据比特大陆网上的最新价格进一步计算出毛利率。分析表明,比特大陆目前处于亏损状态,主要 S9 产品的利润率为负 11.6% ,L3产品的利润率超过负 100% 。在现实情况中,成本很可能已经下降,所以情况未必会那么糟,但我们认为,比特大陆很可能正在承受着重大的损失。

低价位的产品很可能是比特大陆精心策划的,通过价格战打击他们的竞争对手的销售额,造成他们经济困难,从而将他们挤出市场。在我们看来,这是驱使比特大陆 IPO 的主要原因之一。成功的首次公开募股( IPO )可以为比特大陆带来实施这一战略需要的火力,并消除竞争对手先进行 IPO 所带来的优势。

另一个低价位和亏损销售的原因可能是比特大陆在资产负债表上库存太多。截至 2018 年 3 月,比特大陆在账面上有 12 亿美元的库存,相当于 2017 年销售额的 52% 。因此,比特大陆可能需要重新评估库存价值,这可能会产生比亏本销售更大的损失。

 

经营现金流量和资产负债表

这些文件包含汇总资产负债表数据。比特大陆的优势是它完全没有债务,公司在 2017 年的现金流很强劲。其劣势包括:

  1. 2017 年支付给台积电预付款总额接近 8.66 亿美元,这削弱了比特大陆的营运资金状况;
  2. 巨大的库存量,约 12 亿美元(超过最高年销售额的 50% ),这说明生产过剩;
  3. 持有大量的竞争币投资组合,其成本约为 12 亿美元,这说明了比特大陆的现金流的主要流向。
资产负债表 – 百万美元 2016 2017 Q1 2018 BitMEX 预测 (目前价值)
加密币
比特币现金 673.5 887.5      558.7
比特币 69.1 216.1 148.2      153.1
莱特币 2.2 49.0 51.2         56.1
达世币 103.0 103.4         55.0
以太币 0.6 0.8           0.3
其他调整 (40.0) (336.7) (18.7)            –  
总加密币资产     31.3      705.5     1,172.4      823.2
固定资产    54.0 355.7 175.7
其他   2.4  2.7   3.0
台积电预付款     42.7      866.0 666.0
应收账款              7.7   66.4 167.4
库存     61.9   1,034.1     1,243.8
现金 18.2 60.6 104.9
总资产 218.2   3,091.0     3,533.2
负债      81.3   1,638.3 896.1
净资产 136.9   1,452.7     2,637.1

(资料来源:比特大陆上市前文件,BitMEX 研究,价格来源自 Bitfinex )

(备注:上述预测是根据 2018 年 8 月 28 日的加密币价格, 2018 年 3 月 31 日的加密币持有量)

 

该公司的关键资产之一是其加密币组合,截至 2018 年 3 月,其价值(按成本计算)接近 12 亿美元。截至 2018 年 3 月,其中包括了超过 100 万个比特币现金。自比特大陆投资以来,该竞争币投资组合的市场价值已经下跌,几乎所有的损失都来自比特币现金,如下图所示。

 

比特大陆的加密币投资 — 价值变化与成本价格 — 百万美元

(资料来源:比特大陆上市前文件,BitMEX 研究,价格来源自 Bitfinex )

(备注: 2018 年 8 月 28 日的价格, 2018 年 3 月 31 日的加密币持有量。图表假设加密币持有量不变)

 

下图表示出了公司投资在比特币现金的量是非常大的。比特大陆在 2017 年用了其运营现金流的 69% 来购买比特币现金 。尽管这可能有所夸大,因为某些比特币现金可能是透过比特币硬分叉而得到的。从数据我们可以推测出 1,021,316 个比特币现金中,大概有 71,560 个是这样获取的。

 

比特大陆 2017 年现金流出 – 百万美元

(资料来源:比特大陆上市前文件,BitMEX 研究)

 

具体情况甚至比上面所指出的还要糟糕。比特大陆不仅将 2017 年的大部分现金流投入于比特币现金,还将其整个经营历史所产生的大部分现金流都投入于比特币现金。文件显示,比特大陆在 2016 年没有产生现金流,而在 2018 年第一季度只有 2,500 万美元(可能是由于支付了台积电的大额预付款)。

 

比特大陆经营现金流 – 百万美元

(资料来源:比特大陆上市前文件,BitMEX 研究)

 

从某种意义上说,这一切都无关紧要。比特大陆愿意把自己的资金花在风险资产上,他们知道自己承受什么样的风险。但对于一家上市公司来说,情况便不同了,股东会希望该公司投资于核心业务或将多余的资金返还给投资者。当然,可能我们对香港规管的期望可能过高了。

 

为什么比特大陆要 IPO?

我们认为,进行 IPO 的主要原因很简单,首先比特大陆的竞争对手也在计划进行 IPO ,行业竞争激烈,正如比特大陆的亏损定价所表明。其竞争对手迦南正在筹划 IPO ,比特大陆不太可能让他们获得资金优势。比特大陆的首次公开募股( IPO )应该会把市场上原先准备投资于迦南或其他矿机公司的资金抽走一部分,因此 IPO 是持续打价格战的一个的合理战术。

IPO 的另一个原因可能是,在已经将大部分营运现金流投入比特币现金的情况下, IPO 所获得的资金可以用来加强资产负债表。截至 2018 年 3 月,比特大陆的资产负债表上只有大约 1.05 亿美元的现金,如果该公司没有购入这么多比特币现金,这个数字可能接近 10 亿美元。与此同时,该业务确实需要大量现金,例如所需支付台积电的预付现金,在 2017 年最高达到 8.66 亿美元。

 

关于比特大陆技术优势的争论

没有人能够撼动比特大陆的市场地位及规模 比特大陆正在失去它的领导地位,它的矿机性能在过去两年没有显著的提升
  • 的确,与比特大陆的矿机相比,其竞争对手近期退出了更高效的矿机,但这不意味着一切。数据显示,在过去的 27 个月内,比特大陆交付了 190 万台 S9 ,总矿机交付数量达到 300 万台。没有任何一个竞争对手能达到如此规模。其竞争对手一年最多只能提供数十万台矿机。
  • 同时,虽然竞争对手的矿机可能更高效,但比特大陆的 S9 矿机可靠,且哈希相对稳定。
  • 例如,根据官方数据, Dragonmint T1 相对高效。但哈希的波动比预期高出许多,这对利润率低的矿工来说是无法接受的,由于预算有限,他们需要稳定及表现相对可预期的矿机。 S9 是市面上唯一可靠的产品。
  • 比特大陆是行业的领导者,它也在带头降价,导致其他 ASIC 设计公司面临着巨大的财务压力。比特大陆已经吸引了许多世界各地包括硅谷在内的风险投资人,并在计划着 IPO ,这将巩固比特大陆的行业竞争力。
  • 2015 年 12 月,比特大陆退出了 S9 矿机,一款 16nm 的产品,其效能达到 110W/TH。其后,比特大陆未曾改良或推出过效能更佳的产品。这可是两年前了。
  • 自 2017 年初以来,比特大陆耗资上亿美元试图推出至少三款比特币矿机芯片,16 nm , 12nm ,及近期的 10nm 芯片,但都没有成功。
  • 失败的下线( IC 设计的最后一道工序)使竞争者有足够的时间来生产及推出效能更佳的矿机,其中 Innosilicon T2 和 ShenMA M10 都比 S9 更高效,它们的能耗分别为 80W/TH 和 65W/TH 。
  • 比特大陆也流失了部分技术人才,例如,前设计总监杨作兴博士离职并创立了一家与比特大陆竞争的矿机公司,比特大陆正就侵权问题提出诉讼
  • 在失去了创新及生产更高效矿机能力的情况下,比特大陆只能透过降价来维持它的销售收入,直到它最终失去领导地位。
  • 就因为情况不乐观,这也是为什么市场上会有传言说比特大陆试图误导投资者它已经拿到新加坡的政府投资,尽管我们没有任何有效证据证明该指控属实。

围绕比特大陆技术能力的叙述有好有坏,而真相可能永远位于中间。然而,有一点是很清楚的,如果这些矿机公司真的上市,该产业对市场来说会更加透明及清晰,我们认为这对于加密币整体来说是一个重大的利好。

 

结论

在某种程度上,比特大陆的一些重大失误,比如在牛市中生产太多的矿机和购买太多的投机性加密货,与传统矿业公司管理团队的行为有些相似。例如,黄金矿业公司经常在牛市中投资高成本资产,而后在熊市中不投资高质量的低成本资产。也许不能只责怪这些公司,对冲基金和持有这些公司的股票的机构投资者,也需要承担一部分责任。贪婪、恐惧这些市场情绪都影响着我们的决策。因此,尽管比特大陆犯了错,但在很多方面来说,这些失误并不罕见也不出乎我们的意料。

我们相信您肯定听过 “加密币会生存下去” 这句话。在那种环境下,我们认为比特大陆有成为该领域中最伟大的公司的潜力。比特大陆可以成为加密币领域的传奇,在未来几十年中为股东带来丰厚的回报,但是为了实现这个目标(而且比说起来困难多了),比特大陆的管理团队可能需要改进对公司资源的管理。一旦公司上市,想在动荡和不可预测的市场中进行资本配置的决策将变得非常困难,受情绪影响的投资决策将是不会被市场容忍的。

 

 

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BitMEX (www.bitmex.com)

Unboxing Bitmain’s IPO

Abstract: In this piece we review and analyse Bitmain’s financial data, which was made available (or leaked) as part of the pre-IPO process. The figures indicate Bitmain was highly profitable and cash generative in 2017, but may currently be loss making. Bitmain also spent the majority of its operating cash flow acquiring Bitcoin Cash and may have suffered mark to market losses of US$328 million as a result. We conclude that the IPO itself may go well, however going forwards the allocation of investor capital will be key and management may need to improve in this area.

The IPO process

Bitmain expects to submit IPO documents to the Hong Kong Stock Exchange at the end of August 2018, with a public listing expected towards the end of 2018. The company has just conducted a pre-IPO round, raising several hundred million dollars at a valuation of around $14 billion. Therefore we believe the company is likely to attempt to raise several billion dollars at the IPO stage, with a valuation north of $20 billion.

Documents outlining this process, which also contain Bitmain financial data, have been leaked on Twitter. We have reason to believe the authenticity of these documents, which forms the basis for this report.

Bitmain’s position in the mining industry

Area Companies Bitmain’s position
Chip manufacturing/foundry TSMC, Samsung, Global Foundries, SMIC Bitmain has no presence or prospects in this area
ASIC design, mining machine assembly and distribution Bitmain, Canaan Creative, Ebang, Innosilicon, Bitfury Bitmain is the dominant player in this area and this is the company’s core business. In 2017 Bitmain claims to have had a cryptocurrency market share of 85% and a Bitcoin share of 77%
Mining pool operator BTC.com, AntPool, BTC.TOP, Slush, ViaBTC & F2Pool Bitmain has a dominant position in this space. BTC.com & Antpool are the two largest pools, which are both owned by Bitmain. Bitmain is also an investor in ViaBTC. In the last six months these three pools had a combined global market share of around 48%
Mining farm operator Hive Blockchain, Genesis mining, Bitmain In 2016 Bitmain is likely to have been a dominant player, however the pre-IPO documents show Bitmain has significantly scaled back in this area.  Revenue from own mining operations has fallen from 18.4% of total revenue in 2016 to just 3.3% in Q1 2018.

(Source: Bitmain pre-IPO documents, BitMEX Research)

Will there be demand for the IPO?

Bitmain has a strong or dominant position in most areas in cryptocurrency mining, as the table above illustrates. Bitmain is likely to be the largest and most profitable company in the blockchain space, which is likely to make the company attractive to many investors.

In the last few years and decades the key lesson many technology investors have learnt, rightly or wrongly, is to always invest in the number one company. The number one company typically benefits the most from network effects and as a result smaller rivals tend to fail. The below list of usual suspects illustrate this basic point:

Sector Company
Messaging app Whatsapp, Line (Japan), WeChat (China)
Search Google
Ride sharing Uber
eCommerce Amazon (US), Alibaba (China)
Music streaming Spotify
Online Video streaming Youtube

Justified or not, the blockchain space is now regarded by many as one of the the next big internet based technologies and Bitmain is the number one player in this space. Whether this network effect type logic can apply to ASIC design and distribution is not clear to us and the benefits of being big may be limited to the more traditional economies of scale. We think it is important to not only look at cryptocurrency mining through the technology lens, but also to look at it from the angle of an energy intensive industry, like mining for natural resources. In these sectors the benefits of scale are more limited than for internet based networks. Therefore we don’t completely agree that one should blindly invest in the largest cryptocurrency mining entity, we just think than some investors, perhaps naively, may think this way.  

Bitmain’s own mining operation declines

As we alluded to above, one of the most interesting discoveries in the Bitmain pre-IPO documents was the sharp decline in Bitmain’s own mining farm business. Although the share of revenue has dramatically fallen, in absolute terms own mining revenue still grew by 250% in 2017, its just that the 948% growth in equipment sales overshadowed this.

Bitmain – share of revenue from own mining operations

(Source: Bitmain pre-IPO documents, BitMEX Research)

We believe this decline represents a smart strategic decision by Bitmain to divest (relatively speaking), from an increasingly competitive and lower margin area. In our view, as one moves down the mining supply chain, the competition is likely to increase faster and Bitmain made a sensible move by trying to focus their efforts up the chain, where an increasingly large proportion of the value from mining may accrue. In some ways this is good news for Bitcoin decentralisation, as a dominant mining player has stepped back. We believe ASIC design and distribution is less critical to network security than mining farm operation, which in theory choose the pools who construct blocks and select which blocks to build on top of. Of course Bitmain’s power and dominance in the ASIC space still remains as a significant problem for Bitcoin.

Currently Bitmain are likely to be making losses 

In the documents, Bitmain disclosed the revenue, sales and crucially gross profit margin for each of the main mining products. We have displayed the relevant data in the table below. The data shows that Bitmain sold over a million S9’s in 2017 and then over 0.7 million in Q1 2018 alone.

Financial metrics by mining product

2016 2017 Q1 2018 BitMEX  projection (Current prices)
Revenue by product – $m 
S9 (Bitcoin) 98.1 1,347.4 1,225.9
S7 (Litecoin) 106.3
L3 (Litecoin) 0.9 421.6 344.0
D3 (Dash) 411.6
T9 (Bitcoin) 34.9 84.2
A3 (Siacoin) 76.8
V9 (Bitcoin)
Other 3.3 9.3 9.1
APM Power 13.6 104.8 78.7
Total 222.2 2,329.0 1,829.7
Price – $
S9 1,429.0 1,257.0 1,719.0 499.0
S7 593.0 212.0
L3 1,315.0 1,685.0 1,404.0 209.0
D3 1,581.0 179.0 176.0
T9 1,031.0 991.0
A3 1,431.0
V9 145.0
APM Power 108.0 110.0 95.0
Gross profit margin
S9 58.8% 55.7% 69.9% (11.6%)
S7 58.6%
L3 21.2% 71.0% 44.6% (133.8%)
D3 76.2% (108.8%) (113.8%)
T9 19.9% 49.7%
A3 78.3%
V9 (34.5%)
Total 57.9% 58.9% 61.9% Loss
Volume (units)
S9 68,672 1,071,901 713,158
S7 179,315
L3 676 250,181 245,007
D3 260,313
T9 33,885 84,932
A3 53,703
APM Power 125,513 952,785 828,194
Total 374,176 2,569,065 1,924,993

(Source: Bitmain pre-IPO documents, BitMEX Research, Bitmain website)

Using the disclosed gross profit margin from 2017, we calculated the implied cost price of each machine. Assuming these costs remain unchanged (which may be unrealistic), we were able to calculate gross profit margins based on the latest prices on the Bitmain store. This analysis implies Bitmain are currently loss-making, with a negative profit margin of 11.6% for the main S9 product and a margin of over negative 100% on the L3 product. In reality costs are likely to have declined so the situation may not be as bad, however we think it is likely Bitmain are currently making significant losses.

These low prices are likely to be a deliberate strategy by Bitmain, to squeeze out their competition by causing them to experience lower sales and therefore financial difficulties. In our view, herein lies the key to one of the main driving forces behind the decision to IPO. A successful IPO may increase the firepower available to continue this strategy and eliminate an advantage rivals could have by doing their IPOs first.  

Another reason for these low prices and apparent losses may be that Bitmain has too much inventory on the balance sheet. As at March 2018 Bitmain had $1.2 billion of inventory on the books, equal to 52% of 2017 sales. Bitmain may therefore have had to suffer inventory write downs, which could have generated further losses in addition to the loss making sales.

Use of operating cash flow and balance sheet

The documents contain summary balance sheet data. On the positive side is that Bitmain has no debt and the company was highly cash generative in 2017. The negatives include:

  1. Large prepayments to TSMC, totalling almost $866m in 2017, which weaken Bitmain’s working capital situation;
  2. A large inventory balance, of around $1.2bn (over 50% of peak annual sales) illustrating overproduction;
  3. A large portfolio of altcoins, with a cost base of $1.2 billion which represents the primary use of Bitmain’s cash flow.
Balance sheet – US$ million 2016 2017 Q1 2018 BitMEX projection (Current value)
Cryptocurrency
Bitcoin Cash 673.5 887.5      558.7
Bitcoin 69.1 216.1 148.2      153.1
Litecoin 2.2 49.0 51.2         56.1
Dash 103.0 103.4         55.0
Ethereum 0.6 0.8           0.3
Other adjustment (40.0) (336.7) (18.7)            –  
Total coin assets     31.3      705.5     1,172.4      823.2
Fixed assets    54.0 355.7 175.7
Other   2.4  2.7   3.0
TSMC prepayment     42.7      866.0 666.0
Receivables              7.7   66.4 167.4
Inventory     61.9   1,034.1     1,243.8
Cash 18.2 60.6 104.9
Total assets 218.2   3,091.0     3,533.2
Liabilities      81.3   1,638.3 896.1
Net assets 136.9   1,452.7     2,637.1

(Source: Bitmain pre-IPO documents, BitMEX Research, Prices from Bitfinex)

(Notes: Projections based on prices as at 28 August 2018, coin holdings as at 31 March 2018)

One of the key assets of the company is its portfolio of cryptocurrencies, valued (on a cost basis) at almost $1.2bn as at March 2018. As at March 2018 this consisted of over 1 million Bitcoin Cash. The market value of the altcoin portfolio has fallen in value since Bitmain invested, with almost all the losses attributable to Bitcoin Cash, as the chart below shows.

Bitmains investment in cryptocurrency – change in value vs cost price – $ million

(Source: Bitmain pre-IPO documents, BitMEX Research, Prices from Bitfinex)

(Notes: Prices as at 28 August 2018, coin holdings as at 31 March 2018. Chart assumes coin holding do not change)

As the following chart below illustrates, the Bitcoin Cash investment itself is very significant, to the extent that the company spent around 69% of its 2017 operating cash flow on purchasing Bitcoin Cash. Although this could be an exaggeration, some of the Bitcoin Cash would have been inherited from pre-fork Bitcoin. The figures imply that around 71,560 of the 1,021,316 Bitcoin Cash coins could have been inherited in this way. 

Bitmain use of 2017 cashflow – $m

(Source: Bitmain pre-IPO documents, BitMEX Research)

The situation is even worse than the above indicates. Not only did Bitmain spend a majority of the 2017 cash flow into Bitcoin Cash, they also spent a majority of cash flow from their entire history of operations, into Bitcoin Cash. The documents show that Bitmain generated no cash flow in in 2016 and then only $25m in Q1 2018 (perhaps due to large TSMC prepayments).

Bitmain operating cashflow – $m

(Source: Bitmain pre-IPO documents, BitMEX Research)

In a sense of course none of this matters. Bitmain spent their own funds on risky assets and they knew the risks. For a public company the situation could be a different, with investors expecting the company to invest in core operations or return money to investors. Although perhaps our expectations for governance here are too high for Hong Kong.

Why are Bitmain doing the IPO?

In our view the primary motivating factor for the IPO is simply that Bitmain’s competitors are also planning on doing them and the industry is fiercely competitive, as Bitmain’s loss making prices indicate. Rival Canaan Creative are planning on an IPO and Bitmain are unlikely to let them obtain such a funding advantage. Bitmain’s IPO should deduct money from the pool of capital that could otherwise be invested in Canaan as well as the other miners and it is therefore a good complement to the strategy of lowering prices.

The other reason for the IPO may be to strengthen the balance sheet after investing the majority of the operating cash flow into Bitcoin Cash. Bitmain only had around $105 million of cash on the balance sheet as at March 2018, when this figure could have been nearer a billion dollars if the company hadn’t acquired so much Bitcoin Cash. At the same time the business does require a lot of cash, for example the large advance cash payments TSMC require, which reached a peak of $866m in 2017.

The debate over Bitmain’s technological advantage

Nobody can challenge the performance and scale of Bitmain’s operations Bitmain is losing its lead and has not increased the performance of its miners in over two years
  • It is true that Bitmain competitors have recently released more efficient mining machines than Bitmain, however this is only part of the picture. The figures show that in the past 27 months, Bitmain has delivered 1.9 million S9’s and 3.0 million mining machines in total. No competitor has the capability to deliver on anything like that scale. Rivals can at best deliver a few hundred thousand machines per annum
  • At the same time, although machines from rivals are more efficient, Bitmain’s S9 product is more reliable and has less variance with respect to the hashrate
  • For example, although the Dragonmint T1 product is more efficient, according to official figures. the hashrate variance is higher than expected, this is not acceptable for low margin mining farm operators, who need a predictable product for budgeting purposes. The S9 is the only product that has the necessary reliability
  • Bitmain is the largest player and is lowering prices, such that the other ASIC design companies are now under severe financial stress. Bitmain has already attracted investments from some of the top VC funds in Silicon Valley and the upcoming IPO will ensure Bitmain’s dominance for years to come
  • The Bitmain S9, a 16nm product, was released in December 2015, with an efficiency of around 110 W/TH. The company has not successfully innovated or improved its Bitcoin miner performance since then. This is over 2 and a half years ago
  • Since early 2017 Bitmain has tried to release at least three new more efficient Bitcoin mining chips, one at 16nm, one at 12nm and more recently 10nm in March 2018. Each of these releases failed, costing Bitmain hundreds of millions of dollars. Even TSMC themselves have mentioned that they think the Bitmain investment strategy is too optimistic, which may be part of the reason they insist on such large prepayments
  • These failed tapeouts have finally resulted in competitors producing better machines, today the Innosilicon T2 and ShenMA M10 are more efficient than the S9, with a 80W/TH and 65W/TH performance respectively
  • Bitmain has lost its technological edge as key staff, such as former director of design Dr Yang Zuoxing, have left. Dr Yang is said to have founded a rival mining firm which was sued by Bitmain for a patent violation 
  • Without the ability to innovate and produce better equipment, the only way Bitmain can generate sales is by lowering prices, until eventually the company loses its dominant market position
  • This desperate situation is why some claim that Bitmain tried to mislead investors into thinking it had received an investment from the government investment funds in Singapore. Although we have seen no compelling evidence of Bitmain misleading in the way suggested

The narrative surrounding Bitmain’s technical capabilities can be spun in either direction and as ever the truth may lie somewhere in the middle. However, one thing is clear, if these mining companies do go public, the picture should be far less murky going forwards and we think that could be a significant positive for the cryptocurrency community.

Conclusion

In a way some of Bitmain’s biggest mistakes, such as producing too many units and buying too many speculative altcoins in a bull market, are somewhat analogous to the typical behaviour of mining company management teams.  For instance gold mining firms often invest in high cost assets in bull markets and then fail to invest in quality low cost assets in bear markets. Perhaps it is not totally fair to blame these companies, the hedge funds and institutional investors who own the shares are often just as, if not more, at fault. Greed, fear and the emotions of market moves can affect us all. Therefore although Bitmain has made mistakes, in many ways they are not unusual or unexpected.

We are sure you have heard it before, but “cryptocurrency is here to stay”. In that environment we think Bitmain has the ingredients to be one of the great companies in the space. Bitmain can be a legendary crypto company, generating strong shareholder returns for decades to come, but in order to achieve this (and it’s a lot harder than it sounds) the Bitmain management team may need to improve their management of company resources. Once the company goes public, capital allocation decisions in this volatile and unpredictable market will be difficult enough, letting emotions impact too many investment decisions may not be tolerated.

 

中本聪有一百万个比特币吗?

摘要:我们研究了在 2009 年,一位矿工能主导比特币的程度到底有多大。我们回顾了 2013 年塞尔吉奥·德米安·勒纳( Sergio Demian Lerner )的分析,他通过分析当时区块中 ExtraNonce 值的增加发现了不同的区块都与同一矿工的矿机相关。我们以他的分析作为基础并得出结论,尽管论证远没有许多人认为的那么完美,但有合理的证据表明,在 2009 年具有单一的优势的矿工可以产出约 700,000 个比特币。尽管我们的分析本身不够有力,但没有一个完美的方法来论证这个问题。

 

2009 年开采出来的比特币 – ExtraNonce 与区块高度

(资料来源: BitMEX 研究,比特币区块链)

 

2009 年占主导地位的矿工的辩论史

在 2013 年 4 月初,区块链研究员塞尔吉奥·德米安·勒纳试图争辩说,中本聪在 2009 年开采了一百万个比特币。这个断言背后的逻辑是基于 2009 年的哈希值一直处于低水平,大约每秒 700 万,这相当于仅一个矿工的垄断水平。与此同时,这个哈希值大约与比特币刚上线前 14 天的哈希值相同,塞尔吉奥认为这短时期整个网络只有中本聪一个矿工。社区中的许多人对塞尔吉奥的说法持怀疑态度。其持怀疑态度的主要原因基于以下几点:

  1. 7 MH /秒的预计是基于区块时间戳推测而来的并且不可靠,样本大小也不够大
  2. 没有理由相信山本聪在前 14 天内都在独自挖矿
  3. 许多人都记得在该期间有采过矿
  4. 塞尔吉奥关于硬件的假设是错误的

很可能有些人可能会偏向否定塞尔吉奥的说法,因为如果中本聪在早期开采了大量比例的代币,对某些人来 说这可能会损害整个代币系统的完整性。然而,我们认为,塞尔吉奥最初提出的论证的确有些薄弱。

 

ExtraNonce 重磅来袭

就在几天后,塞尔吉奥在他的博客上发表了一个更有说服力的论点及更而强有力的证据证明当初一个矿工曾经占主导地位。这最终说服了社区中的许多人,直到今天,许多人都认为中本聪可能开采了大约一百万个比特币。

塞尔吉奥的证据集中在名为 ExtraNonce 的东西。 ExtraNonce 不是比特币系统的一部分,因为它不是共识规则的一部分,也没有任何关于如何该字段应该如何解释的官方说法。 ExtraNonce 是 Coinbase 交易中的一个部分,一旦区块头中的标准随机数用完,它可以在几次哈希尝试后为矿工提供额外的熵。如下图所示,随着 ExtraNonce 的变化,它将沿着 merkle 树向上影响到区块头(尽管在 2009 年,大多数区块仅包含 Coinbase ,因为系统当时太不用于交易。)

(比特币区块结构的说明图)


塞尔吉奥发表了下面的图片,其中 Y 轴上为 ExtraNonce 而 X 轴上为区块高度(他错误地将 X 轴标记为时间)。图像显示 ExtraNonce 的坡度随时间而增加。一些斜坡(黑色)据说具有相似的梯度,它们不会重叠,而且一旦达到一定高度它们就会回落到零。这某程度代表了所有的黑线都属于一个矿工(很可能是中本聪)而且这个矿工现在控制了近百万比特币。虽然关于斜坡的梯度,高度和缺乏重叠等技术要点都很难理解和评估,但我们认为图像本身显然非常有说服力。

(资料来源: Bitslong


新的 BitMEX 研究 – 单一矿工分配区块

我们决定重复塞尔吉奥的分析,但我们的目标是计算由单一实体挖掘的区块数量并了解所有区块分配。该分析很有挑战性,因为斜坡与许多其他点有着相互作用。因此,不可能进行准确的分配。因此,我们的分析绝非完美,我们多种方法并用,包括统计分析,随机数生成器甚至手动审查来分配一些区块。我们过程中可能会犯很多错误,我们并不认为我们的方法是完美的或科学的。然而,据我们所知,这是第一次有人尝试论证 2009 年的每个区块分配是否属于单一实体。下面的高分辨率图片代表了我们认为 2009 年每个区块的分配情况。

 

2009 年开采的比特币区块 – 单一矿工获得的分配 –  ExtraNonce 值( y 轴)与区块高度(轴)

(资料来源: BitMEX 研究,比特币区块链)

 

区块分配分析

截至 2009 年 8 月,我们同意塞尔吉奥的结论。在 8 月份之前,有 22 个斜坡,它们都具有相似的高度和坡度(大约每个区块增加 4 个 ExtraNonce )。同时,这些斜坡几乎从不重叠。(在一些情况下,不到 5 个区块的重叠显然是巧合)。

2009 年 8 月以后,上述现象在一定程度上有所改变。斜坡的斜率变化很大(从每个区块的 nonces 从 1.1 到10 )。同时,斜坡高度不一致,两者之间存在较大的间隙。因此,尽管图像看起来仍然令人信服,在我们看来,认为矿工是一个实体的依据是有点薄弱的。我们给出了以下的结果,其中包含 2009 年 8 月前后的数据。

类别 区块数目 比特币数目
分配给占主导低位的矿工 14,815 740,750
弱分布( 2009  年 8 月以后) 4,553 227,650
总数量 19,368 968,400
未分布 16,920 846,000
汇总数量 36,288 1,814,400

(资料来源: BitMEX 研究,比特币区块链)

 

关于分析说服力的辩论

分析支持方 分析怀疑方
  • 图像非常有代表性,它很明显的说明了有一个占主导地位的矿工。 虽然很难很完美的从统计上的概念来解释的非常清楚,但结论是很明显的。
  • 许多斜坡具有以下特征:
    1. 相似的梯度
    2. 相似的高度
    3. 通常一个斜坡的开始是紧接着一个斜坡的结束
    4. 这些斜坡很少重叠
    5. 许多斜坡长达上百个区块
  • 这些也太过于巧合了。因此,许多区块别单一实体开采的可能性是非常高的。
  • 尽管 ExtraNonce 分析本身很有趣并具有启发性,当它一涉及到预测占主导地位矿工开采的代币数量时,基本上是没有用的。分配代币时使用的方法包括最大化每个斜坡中的区块数,用这个方法是因为没有其他可用的分配机制。因此预计出来分配给占主导地位的矿工的区块数量是被高估的。
  • 该分析是构建在逻辑谬误上的。在任何时期,都会有至少一家矿工在 ExtraNonce 中占有最大份额或占有最快增长速度的 ExtraNonce 。也有少数类型的斜坡是不重叠的。将来自不同潜在矿工斜坡放在一起是具有误导性的,并且可能基于错误的逻辑推理。
  • 即便斜坡是类似的,这也可能是因为不同的实体有相似的设置,每个矿工都不是独立的,他们可能只是正在运行相同的软件,或者使用相同的流行硬件,导致看似相同的模式。

 

结论

总而言之,尽管有些强而有力的证据表明在 2009 年有一家占主导地位的矿工,但我们认为这些证据远没有许多人想象的那么具有说服力。虽然有图有真相,有时图片可能有点误导。即使有人相信塞尔吉奥的说法,我们认为该证据也只是支持这样的说法, 占主导地位的矿工可能产出的比特币远远少于一百万个比特币。也许600,000到700,000 个比特币是一个比较接近的估算。

上面没有提到占主导地位的矿工是否是中本聪,虽然我们知道中本聪挖掘了 9 号区块,我们在分析中也已经分配该区块给占主导地位的矿工。然而,这是一个只有 11 个区块的斜坡,所以它肯定无法给出决定性的结论。无论谁是主要的矿工,钥匙都有可能已经丢失或被丢弃。

我们以一句中本聪的名言来结尾并作为参考:

为什么不保留您的钱包以备不时只需而要删除它呢?您不应该删除您的钱包。

(资料来源: bitcointalk

尽管我们是有点断章取义。。。

 

 

 

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BitMEX (www.bitmex.com)

Does Satoshi have a million bitcoin?

Abstract: We examine the extent to which one miner dominated Bitcoin in 2009. We review Sergio Demian Lerner’s 2013 analysis, where he discovered that the increase in the ExtraNonce value in the block can potentially be used to link different blocks to the same miner. We build on his analysis and conclude that although the evidence is far less robust than many assume, there is reasonable evidence that a single dominant miner in 2009 could have generated around 700,000 bitcoin. Although our analysis itself is weak and there is no perfect way of approaching this problem.

Bitcoin blocks mined in 2009 – ExtraNonce vs block height


(Source: BitMEX Research, Bitcoin blockchain)

The history of the debate over the dominant miner in 2009

Towards the start of April 2013, blockchain researcher Sergio Demian Lerner attempted to argue that Satoshi had mined a million bitcoin in 2009. The logic behind this assertion was that the hashrate throughout 2009 was at a low level, around 7 million hashes per second and this was said to be consistent with one miner being highly dominant. At the same time this hashrate was around the same to that which was present in Bitcoin’s first 14 days, which Sergio assumes may be a period in which Satoshi was the only miner. Many in the community were sceptical of Sergio’s claims. The scepticism seems to be based on the following:

  1. The 7 MH/second estimate is based on block timestamps and unreliable, nor is the sample size large enough
  2. There is no reason to believe Satoshi mined alone in the first 14 days
  3. Many individuals recalled mining themselves in the period
  4. Sergio’s assumptions about hardware were incorrect

It is likely that some people could have been biased in dismissing Sergio’s claims, since if Satoshi had mined a significant proportion of the early coins, in the eyes of some that could damage the monetary integrity of the system. However, in our view, the evidence Sergio initially presented was somewhat weak.

The ExtraNonce bombshell

Just a few days later, Sergio then posted a far more persuasive argument on his blog, with much stronger evidence that a single miner was dominant. This then eventually convinced many in the community and to this day many people believe Satoshi is likely to have mined around one million bitcoin.

Sergio’s evidence centred around something called the ExtraNonce. The ExtraNonce is not part of the Bitcoin protocol, in that it is not part of the consensus rules nor is there a formal specification about how to interpret the field. The ExtraNonce is an area in the Coinbase transaction which can vary after several hashing attempts to provide extra entropy for miners, once the standard nonce in the block header has been used up. As the image below illustrates, as the ExtraNonce changes, the impact works its way up the merkle tree into the block header (although in 2009 most blocks contained only the Coinbase transaction, as the network was not used for transactions.)

(Illustrative diagram of the structure of a Bitcoin block)

Sergio published the below picture, with the ExtraNonce on the y-axis and the blockheight on the x-axis (He incorrectly labeled the x-axis as time). The image shows that the ExtraNonce increase over time, in a series of slopes. Some of the slopes (in black) are said to be of a similar gradient, not to overlap and to go back down to zero once they reach a certain height. This is said to demonstrate that all the black lines belonged to one miner (potentially Satoshi) and that this miner now controlled almost a million Bitcoin. Although the technical points about the gradient of the slopes, the height and the lack of overlap may be quite difficult to appreciate and evaluate, the image itself is clearly very powerful and persuasive, in our view.

(Source: Bitslog)

The new BitMEX Research allocation of blocks to the dominant miner

We decided to repeat Sergio’s analysis, except our objective was to count the blocks mined by the apparent single entity and allocate all the blocks. The excercise was challenging, since the slopes interact with many other points. It is therefore impossible to do an accurate allocation. As a result, our analysis is far from perfect and we used a variety of methods, including statistical analysis, random number generators and even manual review to allocate some blocks. We will have made many errors and we do not claim our methodology is robust or scientific. However, as far as we are aware, this is the first attempt to allocate every block in 2009 as belonging to the apparent single entity or not. The below high resolution image below represents our allocation for every block in 2009.

Bitcoin blocks mined in 2009 – Allocation to the dominant miner – ExtraNonce value (y-axis) vs block height (axis)

(Source: BitMEX Research, Bitcoin blockchain)

Analysis of the allocation

Up to August 2009 we agree with Sergio’s conclusion.  There are 22 slopes prior to August, which all have both similar height and gradient (Around an increase in the value of the ExtraNonce by 4 per block found). At the same time these slopes almost never overlap. (The tiny amount of apparent overlap in some instances in less than 5 blocks and therefore may just be coincidence).

After August 2009 the pattern breaks down to some extent. The gradient of the slopes varies considerably (from 1.1 nonces per block to 10 nonces per block). At the same time the height of the slopes is inconsistent and there are many large gaps between them. Therefore although the image still looks compelling, the evidence that the miner is one entity is somewhat weak, in our view. We have presented results below, which include figures both pre and post August 2009.

Category Number of blocks Number of bitcoin
Allocated to the dominant miner 14,815 740,750
Weak allocation (After August 2009) 4,553 227,650
Total 19,368 968,400
Not allocated 16,920 846,000
Grand total 36,288 1,814,400

(Source: BitMEX Research, Bitcoin blockchain)

Debate over the strength of the analysis

Supporting the analysis Weaknesses of the analysis
  • The image is highly powerful, just looking at it illustrates there is a dominant miner. Although explaining it statistically may be challenging, the conclusion is clear.
  • Many of the slopes have the following characteristics:
    1. A similar gradient to each other
    2. Similar heights
    3. Slopes often start shortly after another slope has finished
    4. The slopes rarely overlap
    5. Many of the slopes are hundreds of blocks long
  • This is all too much to be a coincidence. Therefore the evidence that many of the blocks were mined by a single entity is highly compelling
  • Although the ExtraNonce analysis is interesting and revealing, when it comes to estimating the number of coins mined by the dominant miner, it is essentially useless. The methodology used when conducting the allocation involves maximising the number of blocks in each slope, this is required due to the lack of any other available mechanism for allocation. Therefore the number of blocks allocated to the dominant miner is grossly overestimated.
  • The analysis is built on a logical fallacy. In any period there is going to be at least one miner who has the largest share or the steepest rate of increase in the ExtraNonce. There are also going to be at least some types slopes which do not overlap. Grouping these slopes from potentially different miners together is misleading and potentially based on flawed reasoning.
  • Even if the slopes are similar, this could be because different entities had a similar setup. Each miner is not independent, in the sense that they are likely to be running the same software or could be using the same popular hardware, which could produce the same pattern.

Conclusion

In conclusion, although there is strong evidence of a dominant miner in 2009, we think the evidence is far less robust than many have assumed. Although a picture is worth a thousand words, sometimes pictures can be a little misleading. Even if one is convinced, the evidence only supports the claim that the dominant miner may have generated significantly less than a million bitcoin in our view. Perhaps 600,000 to 700,000 bitcoin is a better estimate.

None of the above says much about whether the dominant miner was Satoshi, although we know Satoshi mined block 9, which we have allocated to the dominant miner in our analysis. However this is in a slope of just 11 blocks, so it’s certainly not conclusive. Whoever the dominant miner was, it is of course possible the keys have been lost or discarded by now.

We will end with one famous quote from Satoshi to consider:

Why delete a wallet instead of moving it aside and keeping the old copy just in case?  You should never delete a wallet.

(Source: Bitcointalk)

Although, maybe we are giving that quote out of context…

 

比特币价格在 2011 年 6 月瞬间崩盘至 0.01 美元

摘要:我们将了解 2011 年 6 月 MtGox 交易所上的比特币价格升至 32 美元后突然崩盘跌至 0.01 美元的事件情况。我们将探讨 MtGox 的无能,并分析价格崩盘的原因。然后我们再来看看崩盘后发生的政治斗争和市场不确定性。

 

2011 年 5 月至 2011 年 6 月 18 日的比特币价格

(资料来源: YouTube , MtGox , BitMEX 研究 )

概述

如果您喜欢价格波动和市场丑闻,那么 2011 年夏天的比特币是个激动人心的。在几天的时间里,比特币的价格在 MtGox 交易所从最高的 32 美元暴跌至 0.01 美元, MtGox 是一个位于东京的交易平台,当时占据市场主导地位。这件事发生的几个月前,价格才由 2 美元左右升到 32 美元。跌至 0.01 美元这件事现在已成为比特币历史上的一个着名事件。

在这篇文章中,我们将分析价格崩盘的原因及其后果。当时的主要交易所 –  MtGox ,在事件上疏忽了,这对比特币本身来说并非是个有利的宣传。但在我们看来,具有讽刺意味的是,那个夏天发生的事件,使得越来越多人对比特币有兴趣了。

 

MtGox 的安全问题和事件经过

引发了 2011 年 6 月的价格崩盘以及围绕着 MtGox 的黑客行为问题从未得到充分解释。比特币社区充斥着关于 MtGox 是否有足够得流动性及比特币到底被盗了多少的传闻。

感谢金·尼尔森( Kim Nilsson )在 2017 年发布的一份报告,我们现在对 2011 年发生的事件以及其对 MtGox 造成的损害有了相对深刻的了解。具有讽刺意味的是,尽管该事件对市场及 MtGox 的声誉(尤其是其偿付能力)产生了很大影响,但与其他安全事件相比,这一事件的经济伤害是微不足道的。然而,对许多人来说,这让他们对 MtGox 有了新的认识,这表明其严重缺乏监控系统,良好的治理,控制和安全措施。

下表列出了 MtGox 交易所的一些主要安全事件, 2011 年 6 月的黑客攻击以绿色高亮表示。与总损失的 837,000 个比特币相比,这一事件只损失了 2,000 个比特币,这是一个相对较小的数额。

 

已知 MtGox 的比特币损失列表

日期 事件名称 注释 损失金额(美元) 损失金额( BTC )
2011 年 1 月 20 日 自由储备资金提取(一) 50,000
2011 年 1 月 30 日 自由储备资金提取(二) 一个用户声称他账户中突然出现了 20 亿美元,他将其全数取走了。然而似乎没有发生电汇转账,所以可能没有损失。
2011 年 3 月 1 日 钱包窃取(一) 黑客从服务器获取了 MtGox wallet.dat 文件。是提款交易相关文件。截至 2018 年 7 月 19 日,被盗的 80,000 个比特币从未被移动过。 80,000
2011 年 3 月 22 日 钱包窃取(二) 据说有人获取了一个持有 300,000 个比特币的钱包,这个比特币钱包以在未加密状态储存在公共硬盘上。小偷决定退还 297,000 个比特币,保留 1% 作为交易费用。还回的交易数量为 280,00017,000 3,000
2011 年 6 月 19 日 价格下跌至 0.01 美元 黑客获取了杰德·麦卡勒布

( Jed McCaleb )的管理账户,卖掉账户中的比特币以便压低价格,他以每天 1,000 美元的限额尽可能提取比特币。其他以低价购入比特币的用户也可能已经将资金提走。

2,000
2011 年 8 月 11 日 Bitomat 在该公司删除其私钥后,承担了 Bitomat 的债务 17,000
2011 年 9 月 数据库入侵 一名黑客获得了对数据库的编写访问权,并提高了余额以提取资金 77,500
2011 年 9 月 钱包窃取(三) 黑客再次获取了主要 wallet.dat 文件,并于 2011 年 10 月开始提取资金。

MtGox 似乎没有注意到这一点。

603,000
2011 年 10 月 错误存款记录 上述黑客提取资金的交易被错误地记录为新的 MtGox 存款,总计 44,300 个比特币。这导致客户在其账户中看到的存款余额增加了。因此,黑客对 MtGox 造成的损害比被盗加密币的总值更高。然而,部分错误已得到纠正,因此净影响可能约为 30,000 个比特币。 30,000
2011 年 10 月 28 日 销毁比特币 软件错误导致资金发送后无法进行兑换。

此类交易的示例可点击此处此处找到

2,609
2013 年 5 月及 8 月 美国执法部门扣押资金 美国联邦调查局扣押了MtGox 的 Dwolla 账户中的资金,原因是该交易所没有符合美国法规。 5,000,000
2013 年 5 月 Coinlab 争议 Coinlab 根据牌照争议起诉 MtGox 。 5,000,000
2011 年至 2013 年 Willy Bot MtGox 交易计划旨在弥补上述损失中的一部分,但实际上最终使事情变得更糟 51,600,000 22,800
总额 61,650,000 837,909

(资料来源:Cracking MtGox , BitMEX 研究)

 

2011 年 6 月发生的事件概览

截至 6 月 19 日之前的几周内,许多 MtGox 用户表明他们的账户曾遭到黑客入侵。大约在同一时间, MtGox 用户的数据库,包括他们密码中的 MD5 哈希(具有不明确/不一致的盐策略)都泄露了出去。许多客户密码被破解了。一些客户在另一个交易平台 Tradehill 使用相同的密码认证也遇到了安全问题。尽管如此, MtGox 并没有暂停交易,该决定受到许多客户质疑。

东京时间 6 月 20 日凌晨 3 点,交易所涌现出了大量卖单,价格从 17.50 美元左右跌至 0.01 美元,交易在此水平上持续了几分钟,然后才恢复。这造成了高度不确定性,有些人甚至以为是比特币网络出现了问题。

现在看来,实际发生的情况可能是黑客可能已经获得了杰德·麦卡勒布( Jed McCaleb )账户的访问权,杰德·麦卡勒布( Jed McCaleb )是 MtGox 的创始人,他在三个月前将交易所卖给了马克·卡佩莱斯( Mark Karpeles )。此账户似乎保留了对数据库的管理权限,因此黑客能够操纵账户余额并在 MtGox 系统上为自己授予大量比特币。黑客很可能已经开始出售这些加密币。

我们认为 MtGox 没有意识到他们管理不善的问题,即便是在黑客攻击之后,就该事件公司给出的解释也是不完整或不准确的。

 

提现限额

当时, MtGox 的每日提款限额为 1,000 美元,这适用于比特币和美元(通过 Dwolla )。这意味着黑客(或通过以低价购买比特币而受益于黑客行为的任何其他人)将无法通过提取资金获利,除非在 1,000 美元的限额以内。然而, 1,000 美元的比特币限额是基于平台上比特币的市场价格而定的,并且由于比特币价格下降到 0.01 美元,理论上每个用户可以提取的最大额度是 100,000 个比特币,这当然不是个小数目。

然而,幸运的是, MtGox 似乎还有一个基于比特币数目的提款限制,很多用户都没有意识到这一点。正如马克·卡佩莱斯( Mark Karpeles )当时所说:

2011-06-20 00:16:43 MagicalTux 的 btc 提款限额救了我们

(资料来源:IRC,注:马克·卡佩莱斯是 MtGox的首席执行官兼所有人)

 

马克随后提到,在该事件发生后仅被提走了约 2,000 个比特币,这对于 MtGox 来说是一个相对正面的结果。

被提走约 2,000 个比特币

(资料来源:IRC )

 

当时人们对这个数字非常怀疑,许多人认为被盗的数量远远超过这个金额。带有讽刺意味的是,这个 2,000 个比特币的数字现在看来似乎是正确的,然而 MtGox 在其他事件中损失得更多。由于价格崩盘和交易暂停,此事件在当时的曝光度非常高,导致 MtGox 平台的无能被广泛宣传。

 

回溯争议

在价格崩盘期间,许多投资者都以 0.01 美元的价格交易。一些投资者不愿意错过从 1 美元到 32 美元左右的价格反弹,因此在系统中输入了等待买入的委托,买入委托的金额一直到 0.01 美元。对他们而言,这次崩盘正是他们所期待的。令许多这些投资者感到沮丧的是,在事件发生后, MtGox 表示他们将回溯所发生的交易:

在我们回溯东京时间 6 月 20 日凌晨 3 点发生的巨大比特币销售之后的所有交易后,比特币将回到 17.5 美元左右。当时一个拥有大量加密币的账户遭到入侵,无论谁偷走了它(使用香港的 IP 登录),他们首先卖掉账户里的所有加密币,然后再买回那些加密币,其后尝试取出买回的加密币。 1,000 美元/天的提款限额在此账户中有效,黑客只能取出价值 1,000 美元的加密币。除此之外,没有任何账户受到损害,也没有任何损失。由于这对比特币市场产生了巨大影响,我们将回溯自大甩卖以来发生的每笔交易,并确保此账户在再次开放之前是安全的。

(资料来源: MtGox )

 

在 MtGox 做出该宣布后,市场上对就是否应该进行回溯进行了大量辩论。很明显,回溯的结果对辩论的许多参与方有着经济利益,这无疑会影响他们的观点。在许多方面,这个回溯与以太坊网络上在 2016 年 DAO “回溯” 之间存在一些相似之处,在辩论中也出现了类似的论点。

支持回溯 反对回溯
  • 大多数传统交易所倾向于在特殊情况下回溯交易,特别是如果交易以极不寻常的价格发生。在该情况下,价格是极端且不寻常的。
  • 比特币是被盗窃所得来的,因此用户不应受益于该赃物。
  • 比特币可能只是 MtGox 数据库中的记录,并不存在,因此他们可能无法交付加密币。
  • MtGox 应承担责任并赔偿所有相关方。特别是 MtGox 在此事件发生几周前并没有采取适当的行动。许多用户已经表示他们的账户被入侵, MtGox 依然允许继续交易。
  • MtGox 对该事件没有任何对策,因此应遵守及承认这些交易。
  • 如果 MtGox 在这种情况下回溯交易,那么以后用户可能不再次信任他们。
  • 回溯是一个单方面的决定,如果只有少量的资金被盗, MtGox 会选择回溯交易吗?这似乎对穷人和富人有着不同规则。
  • 尽管有一些主要传统交易所在特殊情况下回溯交易的例子,但他们在也有些情况下也没有这样做。
  • 遵守及承认交易更加符合适者生存,全天候交易的加密币社区文化,这些方面当时比今天更为普遍。

加密币社区似乎在这个问题上存在分歧,有些人甚至认为应该投票决定。

 

某位投资者用 2,622 美元购买了 26 万个比特币

事件发生后的第二天,一位名叫“凯文”的投资者声称在崩盘事故中购买了大约 260,000 个比特币,并且表示他应该有这些比特币的所有权。他解释说:

我的 MtGox 账户中有大约 3,000 美元,这是我通过早期销售加密币获得的。我查看了市场统计数据,并意识到有大量委托以 0.01 美元的价格购买 BTC,这将满足卖方委托上所有卖剩的比特币。我想如果我以 0.0101 美元的价格买入,我的委托会优先执行,因此我可以买到大量的比特币。

(资料来源: Bitcointalk

凯文发布了他声称的交易确认信息:

06/19/11 17:51 以 0.0101 美元买入 BTC 259684.77

凯文然后继续解释价格崩盘背后的可能原因,即卖家试图操纵价格下跌,以便他们可以在 1,000 美元限制内提取更多加密币。在我们看来,凯文的表述很可能是对价格崩盘的准确解释。这种逻辑与 MtGox 的说法存在矛盾,即进行黑客攻击的人其实是比特币的买方。

我可以在 0.001 美元的价格开一个较大的卖单委托,再次使市场崩盘,并且可以提取所有的比特币,因为它们的价值为每个跌倒 0.001 美元,将可以将总提款额压到低于 1,000 美元的限制。我决定坚决反对这种做法,当我意识到开巨大卖单委托的人可能也是出于同样的原因。

然而,某些人怀疑凯文的故事的准确性,认为凯文声称的交易量与 MtGox 数据不一致。在 0.0101 美元的崩盘时,该数据显示交易量仅为 55,000 个比特币,并且在此期间只交易了 238,000 个比特币。似乎只有 3,000 个比特币以 0.0101 美元的价格交易了。这些数字低于凯文暗示的数字,尽管凯文声称的交易由于各种原因可能被排除在这些数据之外。众所周知,该数据的可靠性也只是一般,并且不清楚数据的信息本身有否精确的定义。在我们看来,没有理由相信任何一方所表述的全部真相,但凯文对崩盘的解释似乎是合理的。

 

MtGox 在崩盘期间的报价

(资料来源: BitMEX 研究, MtGox 。注:比特币交易量)

 

储备证明

MtGox 交易所停止了几周,许多用户对平台的偿付能力感到焦虑。丢失的比特币数量存在不确定性,用户担心 MtGox 面临挤兑的风险,最终将导致交易所进入清算和用户亏损。为了减少这些担忧,正如下面的聊天记录和比特币交易所示, MtGox 试图通过 2011 年 7 月 18 日的链上交易来证明它拥有大量的比特币。

 

IRC 聊天记录 –  2011 年 7 月 18 日

(资料来源:  IRC Logs )

(资料来源:  blockchain.info )

 

当时,上述行动似乎缓解了许多投资者的紧张情绪。

 

结论

在这些事件发生几周后,经过多次犯错, MtGox 最终恢复交易,涉及大金额交易被回溯。然而,到目前为止,据我们所知, MtGox 无法对发生的事情提供一个一致的解释。  MtGox 缺乏一致性的叙述导致许多人认为 MtGox 对其系统的监控和掌握是很差的,而且公司疏忽了。许多人总结道,“永远不要再相信 MtGox了。”

然而不幸的是, MtGox 不知何故继续作为交易所在加密币生态圈中占据了三年的主导地位。然而,当人们看到当今生态圈中某些平台和参与者的行为和透明度,我们至少可以得出结论,与 2011 年相比,市场从有了显着的改善。

 

 

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BitMEX (www.bitmex.com)

The bitcoin flash crash to $0.01 in June 2011

Abstract: We look at the events surrounding the bitcoin price rally in June 2011 to $32 and the following temporary flash crash down to $0.01, on the MtGox exchange. We look at the incompetence of MtGox and examine the causes of the crash. We then look at the political battle and uncertainty which occurred in the aftermath of the crash.

Bitcoin price from May 2011 to 18 June 2011

(Source: YouTube, MtGox, BitMEX Research)

 

Click here to download the pdf version of this report

 

Overview

If one likes price volatility and scandals, the summer of 2011 was an exciting time for Bitcoin. Over the course of a few days, bitcoin plummeted in value from a peak of $32 to just $0.01 on the MtGox exchange, a trading platform based in Tokyo, which was dominant at the time. This was after a recent rally, with bitcoin trading at around $2 a couple of months earlier. The crash down to $0.01 is now a famous part of Bitcoin history.

In this piece, we look at the cause of the crash and its aftermath. Although the major exchange of the time, MtGox, was shown to the community to be largely negligent, which may not have been the best advertisement for Bitcoin. In our view the engaging nature of the events which occurred that summer, ironically made a significant contribution to the level of interest in the space.

MtGox security issues & the context of the event

There was significant uncertainty surrounding the hack at MtGox which caused the June 2011 price crash and the issues surrounding it were never fully explained. The Bitcoin community was riddled with rumours about whether MtGox was solvent and how much bitcoin was stolen.

Thanks to a report published in 2017 by Kim Nilsson, we now have a relatively strong understanding of what occurred in 2011 and the damage that this caused to MtGox.  Ironically, despite the huge impact on the market and the company’s reputation, in terms of MtGox’s solvency, this event was largely insignificant compared to other security incidents. For many however, a new window into MtGox was opened up, which illustrated a severe lack of monitoring systems, governance, controls and security measures.

The  table below lists some of the major security incidents at the MtGox exchange, with the June 2011 hack highlighted in green. This incident may have only directly cost the exchange 2,000 bitcoin, an inconsequential amount, compared to roughly 837,000 bitcoin of total losses.

List of known MtGox losses

Date Incident name Description USD lost BTC lost
20 Jan 2011 Liberty Reserve withdrawal exploit 50,000
30 Jan 2011 Liberty Reserve withdrawal exploit 2 A user supposedly withdrew US$2billion from their account which never existed. Although it seems no wire transfer actually occurred and therefore there may have been no losses
1 March 2011 Wallet theft 1 Hackers obtained the MtGox wallet.dat file from the server. This is believed to be the withdrawal transaction. As of 19 July 2018, the stolen 80,000 bitcoin has never been moved. 80,000
22 May 2011 Wallet theft 2 Somebody is believed to have accessed a wallet containing 300,000 bitcoin, which was kept unencrypted on a public drive. The thieves decided to return 297,000 bitcoin, keeping a 1% fee. The return transactions are believed to be for 280,000 and 17,000. 3,000
19 June 2011 Price crash to $0.01 Hacker gained access to Jed McCaleb’s administrative account, and sold bitcoins to crash the price, to withdraw as many bitcoins as possible within the US$1,000 per day limit. Other users who purchased bitcoin at low prices may have also withdrawn funds. 2,000
11 Aug 2011 Bitomat Took over the debts of Bitomat after the company deleted its private keys 17,000
Sept 2011 Database hacked A hacker gained write access to the database and inflated balances to withdraw funds 77,500
Sept 2011 Wallet theft 3

A hacker obtained the main wallet.dat file again and began withdrawing funds in October 2011.

MtGox appears not to have noticed this.

603,000
October 2011 Incorrect deposits The change from the above hacker’s withdrawal transactions were incorrectly booked as new MtGox deposits, totalling 44,300 bitcoin. This resulted in customers seeing new deposit balances in their accounts. In some ways the hackers therefore caused more damage to MtGox than the value of coins which were stolen. Some of these errors were corrected, so the net impact may be around 30,000 bitcoin. 30,000
28 Oct 2011 Destroyed bitcoin

A software bug caused funds to be sent in such a way that they could not be redeemed.

Example of such transactions can be found here & here

2,609
May & Aug 2013 US law enforcement seizures Federal agencies in the US seized funds from MtGox’s Dwolla account due to allegations the exchange was not complaint with US regulations. 5,000,000
May 2013 Coinlab dispute Coinlab sued MtGox in a dispute over a licensing agreement. 5,000,000
2011 to 2013 Willy Bot MtGox trading program designed to make up some of the above losses, but actually ended up making things worse. 51,600,000 22,800
Total 61,650,000 837,909

(Source: Cracking MtGox, BitMEX Research)

Overview of the events in June 2011

In the weeks leading up to 19 June, many users of MtGox were reporting that their accounts had been hacked. At around the same time a database of MtGox users, including an MD5 hash of their passwords (with an unclear/inconsistent salt policy) was leaked and made available. Many passwords were identified. Some traders used the same credentials at the rival exchange, Tradehill, who also experienced security issues. Despite this, MtGox did not suspend trading, a decision which many traders questioned.

On 19th June 2011 (3am on 20th June Tokyo time), there were large sell orders on the exchange and the price crashed from around $17.50 to $0.01 and trading continued at this level for several minutes before recovering. This lead to a high degree of uncertainty, with some assuming there may be a problem with the Bitcoin network.

It now seems likely that what actually happened was that a hacker may have obtained access to the account of Jed McCaleb, the founder of MtGox who sold the exchange to Mark Karpeles around three months earlier. This account appears to have retained administrative rights to the database and therefore the hacker was able to manipulate account balances and grant themselves a large number of bitcoins on the MtGox system. The hacker is the likely to have begun selling some of these coins.

Due to the poor management of MtGox, in our view it is unlikely that the company were aware of this, even in the aftermath of the hack, and therefore the explanations provided at the time of the events were incomplete or inaccurate.

The withdrawal limits

At the time, MtGox had a daily withdrawal limit of US$1,000, this applied to both bitcoin and USD (via Dwolla). This meant that the hacker (or any others who benefited from the hack by buying bitcoin at low prices), would be unable to benefit by withdrawing the funds, except within the US$1,000 limit. However, the US$1,000 bitcoin limit was based on the market price of bitcoin on the platform and since the price fell to $0.01, in theory the maximum each user could withdraw was 100,000 bitcoin, certainly not a small amount.

Fortunately, however, MtGox appeared to also have a bitcoin based withdrawal limit, that many users were unaware of. As the Mark Karpeles said at the time:

2011-06-20 00:16:43 MagicalTux the btc withdrawal limit saved us

(Source: IRC, Note: MagicalTux is the CEO & owner of MtGox, Mark Karpeles)

Mark then mentioned that only 2,000 bitcoin were withdrawn in the aftermath of the event, which was a relatively positive result for MtGox.

Got about 2,000 BTC out

(Source: IRC)

There was widespread scepticism about this number at the time, with many believing much more was stolen. Ironically, this 2,000 bitcoin figure now seems about right, although MtGox had lost far more in other incidents. However, due to the price crash and suspension of trading, this incident was very public at the time and resulted in the incompetence of the MtGox platform being exposed to the community.

The rollback debate

Many trades took place at the artificially low price of around $0.01 during the crash. Some traders & investors were unhappy at missing out on the price rally from around $1 to $32, and therefore had buy orders waiting in the system, all the way down the order book to $0.01. To them, this crash is exactly what they were waiting for. To the dismay of many of these traders, in the aftermath of the incident MtGox said they would reverse the trades which occurred during the crash:

The bitcoin will be back to around 17.5$/BTC after we rollback all trades that have happened after the huge Bitcoin sale that happened on June 20th near 3:00am (JST). One account with a lot of coins was compromised and whoever stole it (using a HK based IP to login) first sold all the coins in there, to buy those again just after, and then tried to withdraw the coins. The $1000/day withdraw limit was active for this account and the hacker could only get out with $1000 worth of coins. Apart from this no account was compromised, and nothing was lost. Due to the large impact this had on the Bitcoin market, we will rollback every trade which happened since the big sale, and ensure this account is secure before opening access again.

(Source: MtGox)

After this announcement there was significant debate in the community as to whether the rollback should occur. Obviously many participants in the debate had a financial interest in the outcome and this was no doubt effecting their views. In many ways, there were some parallels between this rollback and the 2016 DAO “rollback” on the Ethereum network, with some similar arguments being made.

Supporting the rollback Opposing the rollback
  • Most traditional exchanges tend to roll back trades in exceptional circumstances, particularly if trades occur at extremely unusual prices. The prices in this instance were certainly extreme.
  • The bitcoin were stolen and therefore users should not benefit from stolen goods.
  • The bitcoin may never have existed and may only have been entries in MtGox’s database and therefore it may not be possible to deliver the coins.
  • MtGox should take responsibility and compensate all parties involved. In particular MtGox did not act appropriately in the weeks prior to this event when many users reported that their accounts were hacked and they allowed trading to continue.
  • MtGox had no policy with respect to the matter and should therefore honour the trades.
  • If MtGox reversed the trades in this case, then users may not trust them again.
  • Reversal is an arbitrary process, would MtGox reverse trades if a much smaller amount of money was stolen? This is one rule for the rich and another for the poor.
  • Although there are some examples of major traditional exchanges reversing trades in exceptional circumstances, there are examples where they have not done so.
  • Honouring the trades is more consistent with the no bailout, dog eat dog, 24×7 uptime, immutability type culture in the community, which was in some ways more prevalent at the time than it is today.

The community appeared to be split on this issue, with some even favouring a vote to decide.

The trader who bought 260,000 bitcoins for US$2,622

The day after the incident, a trader called “Kevin”, claims to have purchased around 260,000 bitcoins during the crash and was arguing that he should be able to keep the coins. As he explained:

I had around $3,000 USD in my MtGox account, from earlier sales I’d made. I looked at the market stats, and realized that there were tons of orders to buy BTC at $0.01 that would likely eat up any remaining bitcoins this seller had on the order. I figured if I put a buy order in for $0.0101, my order would execute first and I could buy a huge amount of bitcoins

(Source: Bitcointalk)

Kevin posted what he claimed to be the trade confirmation:

06/19/11 17:51  Bought BTC 259684.77 for 0.0101

Kevin then went on to explain the likely reason behind the price crash, which was that the seller was trying to manipulate the price down so that they could withdraw more coins within the US$1,000 limit. In our view this part of Kevin’s story is likely to be an accurate explanation for the price crash. This logic contradicts the claim from MtGox that the person who conducted the hack was also the buyer of the bitcoin.

I could place a reasonably sized sell order for $0.001, crash the market again, and withdraw probably all of the bitcoins, since they’d be valued at $0.001 each and would fit under the $1,000 USD limit. I also decided against this, when I realized that whoever placed the gigantic sell order was probably doing so for the exact same reason

However, some have doubted the accuracy of Kevin’s story, claiming the volume of trades he claims is not consistent with the MtGox feed. The feed appeared to show trading volume of only 55,000 bitcoins during the crash past $0.0101 and only 238,000 bitcoins traded in the period. Only 3,000 bitcoin seem to have been traded at the $0.0101 price. These figures are lower than those implied by Kevin, although Kevin’s trades could have been excluded from this data for a variety of reasons. The feed was also notoriously unreliable and it was not clear if there was a precise definition of some for the information in the feed. In our view, there is no reason to believe the whole truth of any of the parties involved in this incident, but Kevin’s explanation for the crash itself seems plausible to us.

MtGox price feed during the crash

(Source: BitMEX Research, MtGox. Note: Volume in bitcoin)

The proof of reserves

The MtGox exchange was down for several weeks and many users were becoming anxious about the solvency of the platform. There was uncertainty over the amount of bitcoin which were lost and users were concerned about a run on MtGox, eventually leading to the exchange going into liquidation and users losing funds. In an attempt to reduce some of these concerns, as the chat log and bitcoin transaction show below, MtGox attempted to prove it had access to a significant quantity of bitcoin, by conducting an onchain transaction on 18th July 2011.

IRC Chat log – 18 July 2011

(Source: IRC Logs)

(Source: blockchain.info)

At the time, the above action seemed to settle the nerves of many of the traders.

Conclusion

A few weeks after these events, after many false starts, trading at MtGox eventually resumed and the bulk of the trades were reversed. However, to this day, as far as we are aware, MtGox has not been able to provide a coherent explanation for what occurred. The lack of a consistent narrative from MtGox lead many to believe that MtGox had poor monitoring and controls of its systems and that the company was run negligently. Many concluded “never to trust MtGox again”.

Unfortunately, however, MtGox somehow continued to dominate the exchange ecosystem for another three years. However one views the conduct and transparency of some of the platforms and players in the ecosystem today, we can at least conclude that things have  significantly improved since 2011.

 

Tether :波多黎各季度财务数据更新

摘要:继续我们先前关于 Tether 的研究,波多黎各的金融监管机构刚刚发布了 2018 年第一季度的财务数据,其提供了更多与 Tether 相关的证据。除此之外,一位与 Tether 相关的消息人士向我们证实,我们初步报告中的推测是正确的。

先前的报告中提到,我们认为普罗特波罗的贵族银行是 Tether 的主要储备银行,几个月后,彭博社便在 2018 年 5 月发布了一篇文章,进一步证实了我们的看法。正如彭博社所说:

知情人士透露,去年波多黎各圣胡安的贵族银行接管了 Bitfinex 的银行业务。

除此之外,BitMEX 研究团队还与 Tether 关系密切的人士进行了交流,他们也确认了我们在 2018 年 2 月的报告中的推测。我们最初是根据波多黎各金融监管机构披露的数据而推测的。目前该机构又进一步提供了截至 2018 年 3 月的最新季度数据。我们认为,新的数据依然支持着我们最初的推测。

 

2018 年第一季度的财务数据更新

包括贵族银行在内的国际金融实体( IFE )类别的银行存款达到 35 亿美元,本季度增长 6.9% 。该类别机构的总资产达到 41 亿美元,本季度增长 7% 。这种适度增长与加密币交易量的增长吻合,这可能是基于 Tether 流通量增长和加密币生态系统的持续增长,而本季度因加密币价格走弱而缓慢了下来。本季度, Tether 的流通总值增加了 62.7% ,达到 23 亿美元。

见下图,我们更新了之前的图表,该版本比较了 Tether 总流通量与包含了贵族银行在内的波多黎各银行类别机构的存款总额。

波多黎各的 IFE存款总额与 Tether 流通量比,单位为百万美元。(资料来源: IFE 账户资料, BitMEX 研究, Coinmarketcap )

现金占总资产的百分比(表明全储备银行业务)在本季度也从 85.8% 上升至 91.0% 。 这也表明了加密币或与 Tether 相关的业务量,正如我们在上一篇文章中所解释的如此。

波多黎各的 IFE现金总额占总资产的百分比。(资料来源: IFE 账户资料, BitMEX 研究)

在本季度,监管机构似乎将 “ Tether 余额” 的名称由 “银行中的现金” 改为,“存款、货币市场投资和利息相关投资余额”。 我们不认为这有可疑的地方。

 

 

 

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Tether: Puerto Rico financial data quarterly update

Abstract: Following our earlier research pieces on Tether, financial information from Q1 2018 has been released by the financial regulators in Puerto Rico, providing more evidence of the impact of Tether. In addition to this, a source close to Tether has confirmed to us that the speculation in our initial report is correct.

After our earlier speculation that Noble Bank in Puetro Rico was Tether’s primary reserve bank, a few months later in May 2018 Bloomberg released an article further substantiating our claims. As Bloomberg put it:

According to three people with knowledge of the matter, Noble Bank International, based in San Juan, Puerto Rico, took over banking duties for Bitfinex last year.

In addition to the above, BitMEX Research has also now spoken to people close to Tether, who have also confirmed the reliability of most of the claims in our February 2018 report. Our initial discovery was based on the disclosure of data from the financial regulator in Puerto Rico, who have recently provided the latest update, for the quarter ended March 2018. In our view, the data continues to support our initial speculation.

New Financial Data for Q1 2018

Bank deposits in the International Financial Entities (IFE) category, which includes Noble Bank, were $3.5 billion, up 6.9% in the quarter. Total assets in the category were $4.1 billion, up 7% in the quarter. This moderate growth coincides with a the moderate increase in the volume of crypto-coin trading, which has likely resulted from the continued growth of the Tether balance and crypto-coin ecosystem, moderated by crashing crypto-coin prices in the quarter. In the quarter, the value of Tether in issue increased by 62.7% to $2.3 billion.

We have updated the chart below from the version in our earlier piece, which compares the Tether balance with the deposits in the banking category in Puerto Rico which contains Noble Bank.

Puerto Rico’s IFE aggregate deposits versus the Tether balance in millions of USD. (Source: IFE Accounts, BitMEX Research, Coinmarketcap)

 

Cash as a percentage of total assets (an indication of full-reserve banking) also increased in the quarter, from 85.8% to 91.0%. This also indicates crypto-coin or Tether-related activity, as we explained in the previous piece.

Puerto Rico’s IFE aggregate cash balance as a percentage of total assets. (Source: IFE Accounts, BitMEX Research)

 

In the quarter the regulator appears to have changed the name of the Tether balance, to “Deposits, money market investments and other interest-bearing balances” from “Cash in banks“. We do not view this as suspicious.

 

稳定币( Stablecoins )的历史进程(第一部分)

摘要:在这篇文章中,我们回顾了一些去中心化的稳定币的历史,主要重点关注两个案例研究, BitShares ( BitUSD )和 MakerDAO ( Dai )。我们研究了各种产品设计的有效性,例如包含价格可预见性和抵押品。我们的结论是,虽然成功的稳定币很可能代表了金融技术发展的圣杯,但到目前为止我们所研究的所有系统似乎都缺乏能够大规模扩展的能力。我们分析的加密币似乎都基于 “为什么会不以这个价格进行交易?” 的定价逻辑,尽管随着技术改进,根据对这种推理的定价依赖正在下降。

概述

去中心化的稳定币旨在实现比特币(数字交易的抗审查性)和传统金融资产如美元或黄金的价格稳定性等特征。这些稳定币的系统不同于 Tether 之类的加密币,其是由一个实体机构来控制持有的美元抵押品,这导致系统中心化,因此容易被有关机构取缔。

 

随着去中心化交易所相关概念的萌芽,去中心化的稳定币被称为金融技术的 “圣杯” ,因为它们具有非常强大的潜在好处。在我们看来,这种技术对社会的变革性质将是巨大的,可能比具有浮动汇率的比特币或以太币更为重要。去中心化的稳定币可以具有比特币的优势(抗审查性与电子交易能力),其也没有汇率不稳定的缺陷以及需要鼓励用户和商家采用新的代币的问题。这种系统可以非常成功,因此很多人试图开展这样的项目便不足为奇了:

 

稳定币项目清单

名称 类型 发行日 白皮书链接
BitShares (BitUSD) 加密币抵押 2014 年 7 月 21 日 白皮书
Nu (NuBits) 加密币抵押 2014 年 9 月 24 日 白皮书
Steem (SteemUSD) 加密币抵押 2016 年 4 月 19 日 白皮书
Corion 无抵押 2017 年 10 月 14 日 白皮书
MakerDAO (Dai) 加密币抵押 2017 年 12 月 27 日 白皮书
Alchemint 加密币抵押 2018 年 9 月 白皮书
BitBay 无抵押 2018 年 9 月 白皮书
Carbon 无抵押 不适用 白皮书
Basis 无抵押 不适用 白皮书
Havven 加密币抵押 不适用 白皮书
Seignoriage Shares 无抵押 不适用 白皮书

 

创建此类系统所涉及的技术往往被低估了。事实上,要构建一个足够强大且能够完全承受与金融市场相关的周期或波动风险的去中心化稳定币系统是几乎不可能的。例如,大多数形式的法定货币,甚至是美元本身,都没有实现这一目标,信贷周期依然为美元银行存款带来风险。因此,在我们看来,建立在美元之上的稳定币系统永远不会比传统银行更可靠。

在经济学中存在货币供应的概念,随着层数的增加,风险和潜在的通胀也在增加。人们可以将这个稳定币系统添加到这个模型的顶部,作为一个新的风险层:

  • M0 – 票据和硬币以及在中央银行的存款
  • M1 – 银行活期存款(包括 M0 )
  • M2 – 银行储蓄账户存款(包括 M1 )
  • M3 – 货币市场账户中的货币(包括 M2 )
  • MZM – 按需赎回的所有金融资产中的资金(包括 M3 )
  • MSC( Synthetic Crypto Money ) – 合成加密稳定币系统(包括 MZM )内的资金

无论多先进或复杂的去中心稳定币技术,我们认为代币不会比货币供应链的上游更有生命力。

 

在这篇文章中,我们探讨了构建这些合成美元类型代币系统的一些最有著名及有趣的案例。  2014 年的 BitUSD 及一个更近期的项目 – MakerDAO ( Dai )。

 

案例一: BitShares ( BitUSD ) –  2014 年

资料
名称 BitUSD
发行日 2014 年 7 月 21 日
加密币抵押
价格可预见性

 

我们将探讨的第一个稳定币是 BitUSD ,它是一个在 BitShares 平台上的稳定币。  BitShares 是一个 2014 年推出的权益委托证明( DPOS )平台:

  • 丹尼尔·拉里默( Daniel Larimer )( EOS 和 Steem 背后的主要系统设计师)
  • 查尔斯·霍斯金森( Charles Hoskinson )(前以太坊基金会首席执行官兼 Cardano 设计师)和
  • 斯坦·拉里默( Stan Larimer )(丹尼尔的父亲)

 

BitShares 只是丹尼尔·拉里默设立的一系列去中心化自治公司( DAC )平台中的一个,如下图所示:

(注:丹尼尔·拉里默的公司Invictus Innovations推出了许多代币/ DAC 平台,包括 Protoshares , Angelshares 和 BitShares 。黑色箭头代表 Protoshares 代币持有者被授予新链中的代币, Invictus Innovations 承诺将在所有新的 DAC 平台上提供新代币。资料来源: BitSharestalk

 

BitUSD 营销材料

(资料来源: BitShares Youtube 视频简介

 

BitUSD 系统动态

资金池 解析
Bitshares BitShares 平台的原始代币。
Bitshares 作为抵押品 独立于 Bitshares 资金来源,作为抵押品支持稳定币的价格。
BitUSD 价格稳定的代币,设计的用途为追踪美元的价格。

 

参与方 解析
BitUSD 持有者 BitUSD 稳定币的投资者和用户。 BitUSD 的持有人能够赎回抵押品中的 Bitshares 代币。
BitUSD 创建者 创建 BitUSD 的群体,通过将 BitShares 作为抵押品将其出售到市场(创建新贷款)来创建新的 BitUSD 。这笔贷款可能会持续一小段时间,之后需要展期或将其抵押品提升至初始保证金水平。
投资者 那些在去中心化平台上以 Bitshares 交易 BitUSD 的群体,反之亦然。因此有一个 Bitshares 与 BitUSD 的市场兑价。
区块挖掘者 Bitshares 区块生产者/矿工消费着 BitShares 以支持 BitUSD 的价格,如果 BitShares 的价值小于它所支持的 BitUSD 价值的 150% ,他们只有权这么做(基于 BitUSD 和 BitShares 去中心化系统的自身汇率)。然后矿工可以使用 Bitshares 来兑换/销毁 BitUSD 。 (发布后, 150% 的保证金水平增加到 200% )
价格稳定机制 价格走向 解析
投资者心理学(不清楚 / “为什么不以 1 美元交易?” ) 双向 在 BitUSD 系统中似乎没有特定的价格稳定机制。我们可以自由兑换并创建 BitUSD ,但此交易价格将由去中心化交易所的 BitUSD 与 BitShares 价格决定,该价格与“真实美元价格”无关。在某种程度上,价格参考自身的价格。因此没有任何机制直接将 BitUSD 的价格维持在 1 美元,但他们提出的论点是“为什么它会以任何除了 1 美 元以外的其他价格进行交易?”我们认为这种逻辑很弱。
BitUSD 赎回(间接) 正面 如果抵押代币( BitShares )的价值下跌,任何 BitUSD 持有人都可以赎回 BitUSD 并获得价值 1 美元的 BitShares ,前提是假设 BitUSD 的市场价格仍然是 1 美元并且抵押品中有足够的 BitShares 。

 

只有在 BitShares 值下降且 BitUSD 市场价格保持在 1 美元的情况下,此稳定性机制才能保护系统的完整性。我们认为,它并没有直接稳定 BitUSD 价格在 1 美元左右的功效。如果 BitUSD 的价格偏离了 1 美元,这种机制可能无法帮助价格回调。

 

我们认为,重要的是要将保护抵押品价值的机制和直接导致代币价格稳定的机制区分开来。

 

缺点

抵押品价值下跌 – BitShares 是一种新的,未经测试的低价值资产,因此其价值波动很大。如果代币在一笔创建 BitUSD 贷款的贷款期内的价值急剧下跌 50% ,可能没有足够的抵押品来覆盖且可能会有脱钩的情况出现。

 

缺乏价格预见性 – 在我们看来,这种设计中最具争议的一个方面是缺乏任何价格的预期机制,为系统提供真实世界的汇率。然而,任何价格预期系统都难以实现,并可能隐含一些弱点和被操纵的可能性。我们将在第二部分中详细讨论这一点。在我们看来,唯一真正的解决方法是稳定币系统需要从去中心化的交易所获取交易价格,前期是可以从现实世界获取去中心化的美元交易价格。 BitShares 的去中心化交易所不允许 “实际美元” 交易。像 Bisq 这样没有中央清算的去中心化交易系统理论上可以允许交易“实际美元”价格且能提供交易价格。因此,如果这些系统出现,稳定币最终可能被认为是建立在具有流动性且稳健的去中心化交易平台之上的第二层技术。

 

操纵 – 去中心化交易平台上 Bitshares 与 BitUSD 的交易量较低,因此区块挖掘者可以通过使 Bitshares 相对于 BitUSD 的价格下跌来操纵市场,使他们能够以折扣价获得 Bitshares 。


缺乏任何价格稳定机制 – 该系统的主要缺点是缺乏任何能将价格导向 1 美元的机制,除了 “它还能以多少钱来交易?” 的逻辑。

 

丹尼尔·拉里默对系统的辩护

在丹尼尔看来, BitUSD 创造的机制类似于美元在经济中的创造方式,由金融机构将其“借到”经济体系中。

这与日常银行系统中创建美元的方式相同。在抵押品的支持下,美元被“借到”经济体系中,就目前的银行系统而言,抵押品是你的房子。在我们的系统中,是它在 DAC 本身的权益。

(资料来源:让我们谈谈比特币第 129 集

 

丹尼尔在某种程度上是正确的,但正如我们在这篇文章的介绍中所解释的那样,这些合成美元远不如传统银行创造的货币那么可靠,并且可以被视为一个全新的风险层,因为它们甚至在架构上离远基础货币更远。除此之外,在获得银行贷款时,银行通常有法律义务在客户要求时提供实物现金。虽然对 BitUSD 持有者来说他们也可以这么要求,但对于 BitUSD 的创建者来说,他们没有法律义务。虽然银行通常没有足够的现金储备来偿还所有存款,但他们有法律义务,这是 BitUSD 与美元银行存款的一个重要区别。

 

对于缺乏价格挂钩的弱点,拉里默假设 “价格反馈是不必要的” ,其回应如下:

它实现了保证金自动追加,如果价格向对卖空的仓位不利的方向走,那便会迫使卖空方在市场上覆盖他们的仓位并买回金融产品并创造一个挂钩。市场挂钩的前提是所有市场参与者都将根据他们认为市场参与者未来交易的方向进行买入和卖出。唯一合理的策略是假设它将在未来根据挂钩汇率进行交易。如果你不相信他们你必须决定它将走向何方,向上或向下。如果你没有想法你便放弃了在市场交易。如果你觉得它是没用的,那你便会卖掉股票然后退出市场,而系统便会失败。因此,它是一个自我强化的市场挂钩,导致资产始终拥有美元的购买力。

(资料来源:让我们谈谈比特币第 129 集

 

在我们看来, 1 美元的价格是 “唯一理性选择” 的论点很弱。基本上,如果价格不是 1 美元,那会是什么?在我们看来,这种逻辑在某些时期可能适用,但它不可持续,也不会实现规模效应。

 

结论

现有的 BitUSD 流通量远低于许多人所想,在某些时期,发行量仅为 40,000 美元左右。与此同时,流动性非常低,价格稳定性较弱,如下图所示。 BitUSD 的主要设计师在 2017 年提出了一个新的 stablecoin SteemUSD ,这次系统包涵了一个价格供给的设计。因此,我们认为 BitUSD 是一个有意思的早期实验性系统,它没有做到它所希望实现的,也没有成功建立一个强大的稳定币。

(资料来源:Coinmarketcap

 

案例二: MakerDAO( Dai ) –  2017 年

资料
名称 Dai
发行日 2017 年 12 月 27 日
加密币抵押
价格可预见性 有(间接)

 

我们参考的下一个稳定币是 Dai ,它存在于以太坊平台上。该系统非常复杂,有四个相关的资金池和六个可能的稳定机制。目前大约发行了 5,000 万美元等值的 Dai ,而且价格挂钩机制似乎运作的相当不错。

 

系统动态

资金池 解析
以太坊 以太坊是用于 Maker 和 Dai 区块链平台的原始代币
以太坊池 发放 Dai 代币时,以太坊作为抵押品被放置在抵押品池中。这些通常被称为抵押债务头寸( CDP )
Dai Dai 是 ERC-20 代币,通过抵押池中的以太币生成。 Dai 是价值 1 美元的稳定币。
Maker Maker 代币是 MakerDAO 的治理代币。它的用途在于决定与生态系统稳定性有关的各种举措的投票。在抵押品解锁过程中也必须持有它。在该过程中,可以从用户获得稳定费,其中必须以 Maker 支付。  Maker 也属于 ERC-20 代币。
参与方 解析
Dai 创建者 将以太坊发送到智能合约的人,锁定以太坊以换取 Dai 。这些人也被称为 CDP 所有者。
Dai 持有人/用家 持有人不一定是 Dai 的创建者。他们可能投资持有或使用 Dai 稳定币。
Maker 代币持有人 Maker 代币持有者能对 MakerDAO 系统的若干功能和参数进行投票。他们管理着稳定费率和清算比率等参数,并负责提名其他团体。
管理员 这些交易员监督着 Dai 抵押品,如果价格下跌至不足的水平,则需要通过用 Dai 来公开购买抵押品。
Oracles 报价方提交价格信息的汇总,用于为 Maker 和以太坊决定价格(但不是 Dai 本身)。这些代理商由 MakerDAO 代币持有者提名。

为了防止价格操纵,价格发布与系统产生影响之间存在一小时的滞后。除此之外,还使用中位数机制来选择价格,这涉及忽略最高和最低价格。在我们看来,如果和价格可预见性有利益冲突并试图进行操纵,这些机制可能不足保护整体系统。

 

全球结算者 这是 MakerDAO 代币持有者提名的另一个团体。这个团队可以通过给予持有人某个固定价格赎回抵押品的权利来解除整个 Dai 制度
价格稳定机制 价格走向 解析
Dai 赎回 正面 理论上,主要的稳定机制是以价值 1 美元的以太币来兑换 Dai 。赎回只能由CDP持有者来执(除非他没有足够的抵押品)。如果 Dai 的价格下降, CDP 的持有者需要使用他们目前持有的 Dai 或在市场上购买,然后他们可以根据 oracles 提供的价格来兑换/消除价值 1 美元的以太坊。
Dai 创建 负面 为了补充 Dai 赎回过程,防止 Dai 攀升价过高,是太坊持有者能通过将以太坊置于 CDP 内来创造新的 Dai 。
目标汇率 (未激活) 双向 存在 “目标利率反馈机制”( TRFM ),其似乎是系统中的另一种价格稳定机制。但是,它还没有激活,也还没有制定出有关机制。

其想法是目标汇率由 MakerDAO 代币持有者设定。目标利率基本上是适用于创建或赎回 Dai 的价差,旨在纠正价格。

CDP 清算(间接) 正面 交易员/管理员可以通过这种机制赎回由另一个 CDP 持有的以太坊抵押品。只有当此抵押品的价值降至不足以支持 Dai 时才会发生这种情况,在该情况下 Dai 的价值为 150% 。这应该激励 CDP 持有者继续增持他们的 CDP ,以确保有大量的以太坊缓冲区。

这是确保系统完整性并确保抵押品价值始终充足的必要机制。然而,目前尚不清楚这是否可以直接使 Dai 的价值维持在1美元。这种机制可以被认为是稳定机制的一个组成部分,它只是确保了抵押品的水平是足够的。我们认为,需要其他赎回制度才能使其机制变得有意义。

全球结算 正面 此机制可随时触发启动。启动该机制基本上为所有 Dai 的持有者提供了一个选项,可以在触发时根据 oracle 价格转换回以太坊的固定值,价值 1 美元(或者根据系统中的抵押品总价格,换成任何价格) 。这个和正常赎回之间的区别在于价格是固定的,并且对所有  Dai持有者开放,而不是与特定的 CDP 配对。

我们认为,这种机制可以用作对 CDP 持有人的威胁,以确保他们在价格下跌的情况下继续赎回 Dai ,而不是继续在更低的价格情况持有。

如果出现错误或其他紧急情况,也可以使用全球结算。

MakerDAO 代币发行(间接) 正面 MakerDAO 代币持有人充当最后买家。如果系统中的抵押品价格(汇集的以太坊)降至 100% 以下,MakerDAO 将在公开市场上自动创建和拍卖,以筹集额外资金来弥补该系统的抵押价值。因此,如果系统抵押价值不足, Maker 持有人将承担损失。

我们认为,这种机制再次保护了抵押品的价值,但并没有直接帮助 Dai 的价格回归到 1 美元。

 

核心稳定机制分析 –  Dai 赎回

主要的稳定机制似乎是,如果 Dai 的价格太低, CDP 持有者可以赎回,如果价格太高,人们可以创造新的 Dai 。例如,如果戴的价格下降到 80 美分, CDP 持有者可以在市场上购买 Dai 并赎回它,得到价值 1 美元的以太坊并赚取不错的利润。这就是系统在正常情况下的运作方式。

 

以上所述似乎是一个强大的稳定机制,应该将 Dai 的价格保持在 1 美元或接近 1 美元。然而,该理论可能只有在 CDP 持有者期望 Dai 的价格回到 1 美元时才有效。如果 Dai 的价格已经下降到 80 美分, CDP 持有者如果预计 Dai 价格会进一步跌至 60 美分他们便可能不愿意赎回,因为价格下跌将使他们能够获得更多的利润。没有机制可以保证价格下跌到 80 美分时,它不会继续下跌。

 

因此,稳定机制可能在某种程度上取决于两个群体, Dai 持有者和 CDP 持有者之间的角力。这两个群体基本上是在市场上相互交易, Dai 持有者销售 Dai 而 CDP 持有者是潜在买家。如果权力平衡转向 CDP 持有者,而他们资本充足,耐心,协作并有决心,这个群体可以战胜 Dai 代币持有者,驱使价格下跌,然后再买回来赚取大量利润。这看似不太可能,但在我们看来,稳定机制可能不适用于所有市场情况。虽然我们认为 Dai 在某些方面优于 BitUSD ,但 Dai 价格挂钩机制以与 BitUSD 相同,都依赖于市场心理和投资者期望。因此, Dai 的挂钩机制也很弱,不太可能产生规模效应。

 

全球结算系统可以减轻上述风险。如果 CDP 持有者成功地操纵 Dai 的价格,这可能会触发全球结算。然后 Dai 持有人将获得大约 1 美元的以太坊。因此,全球结算机制触发的威胁可能会维持 Dai 的价格在一定区间。然而,这种威胁的有效性还取决于各团体, CDP 持有者, MakerDAO 代币持有者和全球结算触发者的决心。

 

结论

我们认为 Dai 是目前市场上最健全,最先进的稳定比系统之一。我们认为,在研究 Dai 的价格稳定机制时,没有一种强有力的机制可以确保价格稳定。相反,它们有一个复杂的系统网络,它们在某种程度上相互牵引并使用循环逻辑。人们可以声称这种复杂性是为了模糊缺乏强大而明确的稳定性机制而创建的,但它更有可能是个实验性试错的系统设计。

 

因此,该系统仍然依赖于投资者的期望和心理,尽管其程度低于 BitUSD 。虽然现有的稳定系统至少在一段时间内可以有作用,但我们认为它们不足以抵御市场动荡或 Dai 和 CDP 持有者之间的权力不平衡。因此,寻找 “圣杯” 仍在继续着。

 

 

 

 

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BitMEX (www.bitmex.com)

 

A brief history of Stablecoins (Part 1)

Abstract: In this piece we look over the history of distributed stablecoins, focusing on two case studies, BitShares (BitUSD) and MakerDAO (Dai). We examine the efficacy of various design choices, such as the inclusion of price oracles and pooled collateral. We conclude that while a successful stablecoin is likely to represent the holy grail of financial technology, none of the systems we have examined so far appear robust enough to scale in a meaningful way. The coins we have looked at seem to rely on “why would it trade at any other price?” type logic, to enforce price stability to some extent, although dependence on this reasoning is decreasing as technology improves.

Overview

Distributed stablecoins aim to achieve both the characteristics of crypto-coins like Bitcoin (censorship resistant digital transactions) and the price stability of traditional financial assets, such as the US Dollar or gold. These systems are distinct from tokens such as Tether, where one entity controls a pool of US Dollar collateral, ultimately making the system centralised and thus susceptible to being shut down by the authorities.

Along with the somewhat related idea of distributed exchanges, distributed stablecoins have been referred to as the “holy grail” of financial technology, due to their very strong potential benefits. In our view the transformative nature of such a technology on society would be immense, perhaps far more significant than Bitcoin or Ethereum tokens with their floating exchange rates. Distributed stablecoins could have the advantages of Bitcoin (censorship resistance combined with the ability to transact electronically), without the difficulties of a volatile exchange rate and the challenge of encouraging users and merchants to adopt a new unknown token. Such a system is likely to be very successful and therefore it is no surprise that so many people have attempted to launch such projects:

List of stablecoin projects

Name Type Launch Date White paper link
BitShares (BitUSD) Crypto-collateralized 21 July 2014 White paper
Nu (NuBits) Crypto-collateralized 24 Sept 2014 White paper
Steem (SteemUSD) Crypto-collateralized 19 April 2016 White paper
Corion Non-collateralized 14 Oct 2017 White paper
MakerDAO (Dai) Crypto-collateralized 27 Dec 2017 White paper
Alchemint Crypto-collateralized Sept 2018 White paper
BitBay Non-collateralized Sept 2018 White paper
Carbon Non-collateralized n/a White paper
Basis Non-collateralized n/a White paper
Havven Crypto-collateralized n/a White paper
Seignoriage Shares Non-collateralized n/a White paper

The technical challenges involved in creating such systems are often underestimated. Indeed constructing a distributed stablecoin system, which is robust enough to withstand cycles or the turbulence and volatility linked to financial markets may be almost impossible. For instance perhaps most forms of fiat money, even the US Dollar itself, have not even achieved that, with credit cycles putting US Dollar bank deposits at risk. A stablecoin system which builds on top of the US Dollar is therefore never going to be more reliable than traditional banking, in our view.

In economics there is a concept of money supply, with risk and the potential inflationary impact increasing as the number of layers increase. One could add this stablecoin systems on top, as a new high risk layer:

  • M0 – Notes & coins plus deposits at the central banks
  • M1 – Money on deposit in a bank current account (including M0)
  • M2 – Money on deposit in a bank savings account (including M1)
  • M3 – Money in a money market account (including M2)
  • MZM – Money in all financial assets redeemable on demand (including M3)
  • MSC (Synthetic Crypto Money) – Money inside synthetic crypto stablecoin systems  (including MZM)

However advanced or sophisticated the distributed stablecoin technology is, we believe the token is likely to be less robust than the layers above it in the money supply tree.

In this piece we review some of the most prominent and interesting attempts at building these synthetic US Dollar type systems. BitUSD in 2014 and then a more recent project, MakerDAO (Dai).

 

Case study 1: BitShares (BitUSD) – 2014

Factbox
Coin Name BitUSD
Launch Date 21 July 2014
Crypto collateral Yes
Price oracle No

The first stable coin we will discuss is BitUSD, a stablecoin on the BitShares platform. BitShares was a delegated proof of stake (DPOS) platform launched in 2014 by:

  • Daniel Larimer (The primary architect behind EOS and Steem),
  • Charles Hoskinson (the former Ethereum Foundation CEO & Cardano architect), and
  • Stan Larimer (Daniel’s father).

BitShares is just one in a long line of decentralised autonomous corporation (DAC) type platforms released by Daniel Larimer, as the below image shows:

(Note: Daniel Larmier’s company Invictus Innovations launched a number of token/DAC platforms including Protoshares, Angelshares and BitShares. The black arrows represent Protoshares coin holders being granted tokens in the new chains, which Invictus Innovations promised to deliver on all new DAC platforms. Source: BitSharestalk)

 

BitUSD Marketing material

(Source: Introduction to BitShares Youtube video)

BitUSD System dynamics

Pools of Funds Description
Bitshares The native currency of the BitShares platform
Bitshares held as collateral Separate pools of Bitshares  held as collateral, used as backing for the stablecoin.
BitUSD The stable token, designed to track the value of the US Dollar

 

Groups of Participants Description
BitUSD holders Investors and users of the BitUSD stable coin. Holders of BitUSD are able to redeem the tokens for the Bitshares held in collateral.
BitUSD creators Those that create new BitUSD, by selling it into the market (creating new loans), by posting BitShares as collateral. This loan may be for a small period of time, after which it needs to be rolled over or have its collateral topped up to the initial margin level.
Traders Those exchanging BitUSD for Bitshares, and vica versa, on the platform’s own distributed exchange. There is therefore a Bitshares vs BitUSD market price.
Block producers Bitshares block producers/miners have a role of spending the BitShares backing BitUSD, something they are only entitled to do if the value of the BitShares is less than 150% of the value of the BitUSD it is backing (based on the BitUSD vs BitShares exchange rate on the system’s own distributed exchange). The miner can then uses the Bitshares to redeem/destroy the BitUSD. (After the launch the 150% margin level was increased to 200%)

 

Price Stability Mechanisms Price Direction Description
Investor psychology (Unclear/”Why not trade at $1?”) Both directions There does not appear to be a specific price stability mechanism in the BitUSD system. One can redeem and create BitUSD, however the price this transfer occurs at is determined by the BitUSD vs BitShares price in distributed exchange, which is not linked to “real USD”. In a way the price references itself. There is therefore no direct mechanism keeping the price of BitUSD at $1, but the argument put forward is “why would it trade at any other price?” In our view this logic is weak.
BitUSD redemption (indirect) Positive Should the value of the collateral currency (BitShares) fall, any BitUSD holder can redeem the BitUSD and obtain $1 worth of BitShares, assuming the market price of BitUSD is still worth $1 and there is sufficient BitShares held in collateral.

This stability mechanism protects the integrity of the system only in the event that the value of BitShares falls and the BitUSD market price remains at $1. It does not directly stabilize the price of BitUSD around $1, in our view. If the price of BitUSD deviates from $1, this mechanism may not help correct the price.

In our view, it is important to draw the distinction between a mechanism designed to protect the value of collateral and that of a mechanism which directly causes the price of the stablecoin to converge.

Weaknesses

Exposure to a fall in the value of collateral – BitShares was a new, untested and low value asset, and therefore its value was volatile. If the value of the token falls by 50% sharply, in a period spanned by one of the loans used to create BitUSD, there may be insufficient collateral and the peg could fail.

Lack of a price oracle – In our view one of the most controversial aspects of this design is the absence of any price oracle mechanism, providing the system with real world exchange rates. However any price oracle system is challenging to implement and may introduce several weaknesses and avenues for manipulation. We will talk more about this in part 2. In our view, the only real way around this may be that any stablecoin system may require a price feed from a distributed exchange, which can in theory publish a distributed price feed from real world US Dollar transactions. The distributed exchange in BitShares did not allow “real USD”. A distributed exchange system like Bisq, without a central clearing could in theory allow “real USD” prices and provide a distributed price feed.   Therefore stablecoins may eventually be considered as a layer two technology on top of liquid and robust distributed exchange platforms, should these systems ever emerge.

Manipulation – Trading volume in the Bitshares vs BitUSD market on the distributed exchange platform was low, it was therefore possible for block producers to manipulate the market by causing the value of Bitshares to fall relative to BitUSD, enabling them to obtain Bitshares at a discount.

Lack of any price stability mechanism – The main weakness of the system is the lack of any mechanism to move the price towards $1, other than the “where else would it trade?” logic.

Daniel Larimer’s defence of the system

In Daniel’s view, the mechanism of BitUSD creation is analogous to how USD are created in the economy, in that financial institutions lend them into existence.

It’s the same way dollars are created in the regular banking system. Dollars are learnt into existence backed by collateral, in the case of the current banking system the collateral is your house. In the case of our system its shares in the DAC itself.

(Source: Lets talk Bitcoin episode 129)

 

In a way Daniel is correct here, however as we explained in the introduction to this piece, these synthetic dollars are far less reliable than those created by more traditional banks, and can be considered as a whole new layer of risk, as they are even further away from base money. In addition to this, when obtaining a bank loan, the bank typically has a legal obligation to provide the customer physical cash should they demand it. While such an outcome for BitUSD holder is possible, its not a legal obligation for the creators of BitUSD. Although obviously banks typically do not have the cash in reserve to pay back their deposits, we think the fact they have a legal obligation to do so is an important distinction to draw when comparing BitUSD to US Dollar banking deposits.

In response to the supposed weakness of a lack of a price peg, Larimer argues in favor of his “hypothesis that the price feed is unnecessary” as follows:

It implements automatic margin calls, such that if the price moves against someone who is effectively short, it forces them to cover and buy it back in the market and that creates a peg. The market peg works on the premise that all market participants buy and sell based on what they think market participants will be buying and selling in the future. The only rational choice is to assume that it’s going to trade based on the peg in the future. If you don’t believe that they you have to decide on which way it’s going to go, up or down. And if you don’t have a way of saying you abstain from the market. If you don’t think it works you sell the shares and get out, as the systems going to fail in the first place. So its a self reinforcing market peg, that causes the asset to always have the purchasing power of the dollar.

(Source: Lets talk Bitcoin episode 129)

 

In our view this idea that a price of $1 is the “only rational choice” is a weak argument. It is basically saying that if the price is not $1, then what will it be? This logic may hold true for some periods, but it is not sustainable and will not scale, in our view.

Conclusion

The volume of BitUSD in existence was a lot lower than many had hoped, in some periods there was only around $40,000 in issuance. At the same time liquidity was very low and the price stability was weak, as the below chart illustrates. The main architect of BitUSD went on to propose a new stablecoin SteemUSD in 2017, this time including a price feed system. Therefore we consider BitUSD as an interesting early experiment, it did not achieve what was hoped nor did it build a robust stablecoin.

(Source: Coinmarketcap)

 

Case Study 2: MakerDAO (Dai) – 2017

Factbox
Coin Name Dai
Launch Date 27 Dec 2017
Crypto Collateralized Yes
Price Oracles Yes (indirect)

The next stablecoin we look at is Dai, which exists on the Ethereum platform. This system is highly complex, with four relevant pools of funds and six possible stability mechanisms. There are currently around $50 million worth of Dai in issuance and the peg seems to be holding up reasonably well.

System dynamics

Pools of Funds Description
Ethereum Ethereum is the native token of the Blockchain platform used for Maker & Dai
Pooled Ethereum Ethereum is placed in pools used as collateral for issuance of the Dai token. These are often referred to a collateralized debt positions (CDPs)
Dai Dai is an ERC-20 token that is generated by collateralizing pooled Ether. Dai is the stablecoin token, designed to be valued at $1.
Maker The Maker token is MakerDAO’s governance token. It is used to vote on various initiatives that pertain to the stability of the ecosystem. It is also mandatory to possess during the collateral unlocking process. During such a process, a stability fee is garnered from the user, where payment is accepted exclusively in Maker. Maker is also an ERC-20 token.

 

Groups of Participants Description
Dai Creators An individual who sends Ethereum to a smart contract, locking up Ethereum in exchange for Dai. These people are also known as CDP owners.
Dai Holder/User A Dai holder may or may not be a Dai creator. They may invest in or use the Dai stablecoin token.
Maker Token Holders Maker token holders vote on several functions and parameters of the MakerDAO system. They manage aspects such as stability fees and liquidation ratios, as well as having responsibility to nominate other groups.
Keepers These traders monitor the Dai collateral and if it falls to an insufficient level, purchase the collateral in an open auction, by spending Dai.
Oracles Price feed producers submit price information that is aggregated and used to select a given price for both Maker and Ethereum (but not Dai itself). These agents are nominated by MakerDAO token holders.

In order to prevent manipulation, there is a one hour lag between the price publication and when it impacts the system. In addition to this a median type mechanism is used to select the price, which involves ignoring the highest and lowest prices. In our view this may not prove to be robust enough if the oracles have a conflict of interest and try to engage in manipulation.

Global settlers This is another group nominated by the MakerDAO token holders. This group can unwind the entire Dai system, by giving Dai holders the right to redeem their collateral at a fixed price.

 

Price Adjustment Mechanics Price Direction Description
Dai Redemption Positive The primary stability mechanism is the ability, in theory, to redeem Dai for $1 worth of Ethereum. Redemption can only be conducted by CDP owners (unless there is insufficient collateral). If the price of Dai falls, CDP owners need to either use Dai they currently hold or buy it in the market, and then they can redeem/delete Dai for $1 worth of Ethereum based on the price feed provided by the price oracles.
Dai Creation Negative To complement the Dai redemption process, the mechanism to prevent the price of Dai climbing too high, is the ability of Ethereum holders to create new Dai, by placing Ethereum inside of CDPs.
Target rate (Not active) Both directions There is a “Target Rate Feedback Mechanism” (TRFM), which appears to be another price stability mechanism in the system. However, it is not yet active nor have several specifications of the mechanism been worked out yet.

The the idea is that a target rate is set by the MakerDAO token holders. The target rate is essentially a spread which applies to the creation or redemption of Dai, designed to correct the price.

CDP liquidation (indirect) Positive There is a mechanism by which traders/keepers can redeem the Ethereum collateral held by another CDP. This can only occur if the value of this collateral falls to an insufficient level to backup the Dai, in this case 150% of the value of Dai. This should incentivise CDP owners to keep topping up their CDPs to ensure there is a large buffer of Ethereum.

This is a necessary mechanism to ensure the integrity of the system and ensure the value of the collateral is always sufficient. However it is not clear if this directly keeps the value of Dai at $1. This mechanism can be thought of as a building block on the stability mechanism, which merely ensures the level of collateral is sufficient. Other redemption systems are needed to make this meaningful, in our view.

Global Settlement Positive This mechanism can be triggered at any time. The triggering essentially gives all Dai holders an option to convert back to a fixed value of Ethereum, worth $1 according to the oracle price feed, at the time of the triggering (or whatever price is possible given the total level of collateral in the system). The difference between this and normal redemption, is that the price is fixed and its open to all Dai token holders and not paired to a particular CDP.

The idea is that this mechanism can be used as a threat against CDP holders, to ensure they keep redeeming Dai in the event the price falls, rather than holding out for an even lower price.

Global settlement can also be used in the event of bugs or other emergencies.

MakerDAO token issuance (indirect) Positive MakerDAO token holders act as the buyer of last resort. If the collateral (pooled Ethereum) in the system were to drop below 100% collateralization, MakerDAO is automatically created and auctioned on the open market to raise additional funds to collateralize the system. Hence, if the system becomes undercollateralized, Maker holders absorb the damage.

Again this mechanism protects the value of collateral, but does not directly help the price of Dai converge to $1, in our view.

Analysis of the core stability mechanism – Dai redemption

The primary stability mechanisms appear to be the ability of CDP owners to redeem if the price of Dai is too low and for people to create new Dai if the price is too high. For example if the price of Dai falls to 80 cent, CDP owners could purchase Dai in the market and redeem it, unlocking $1 worth of Ethereum and making a nice profit. This is how the system should work under normal circumstances.

The above appears to be a robust stability mechanism which should keep the price of Dai at or near $1. However, the theory may only work if CDP owners expect the price of Dai to correct back to $1. If the price of Dai has fallen to 80 cent, CDP owners may be reluctant to redeem if they expect the Dai price to fall further to 60 cent, as such a price would enable them to make even more profit. There is no guarantee that once the price reaches 80 cent, it won’t continue to fall.

Therefore the stability mechanism could depend somewhat on the power dynamics between two groups, Dai owners and CDP owners. These two groups are essentially trading against each other in the market, Dai owners are selling of Dai and CDP owners are the potential buyers. If the power balance shifts towards CDP owners, such that they are well capitalised, patient, collaborative and determined, this group could outmaneuver the Dai token holders, drive the price down, and then buy it back and make a large profit. This may seem unlikely, but in our view the stability mechanism may not work in all market scenarios. Although we consider Dai as superior to BitUSD, in some limited ways, the Dai peg relies on market psychology and investor expectations, in the same way as BitUSD. Therefore the Dai peg is also weak and unlikely to scale.

The global settlement system can mitigate the above risk. If CDP owners are successfully manipulating the price of Dai down too far, this could trigger global settlement. Dai holders would then get around $1 of Ethereum back. Therefore the threat of global settlement may keep the price of Dai up. However again the effectiveness of this threat depends on the determination of the various groups, the CDP owners, MakerDAO token holders and global settlement activators.

Conclusion

We consider Dai to be one of the most sophisticated and advanced stablecoins systems which has been produced so far. In our view, when digging into Dai’s stability mechanisms, there is no one powerful mechanism which ensures stability. Instead we have a complex network of systems, which to some extent reference each other and use circular logic.  One could claim this complexity was created to obfuscate the lack of a strong and clear stability mechanism, but it is more likely to be an indication of an experimental trial and error type approach to the design of the system.

Therefore the system is still reliant on investor expectations and psychology, although to a lesser extent than the BitUSD. While the stability systems in place could work, at least for a while, we think they are not robust enough to withstand market turmoil or some types of power imbalances between Dai holders and CDP owners. Therefore, the search for the holy grail continues.

 

比特币经济学 – 债务通缩的漩涡(第三部分)

摘要

这份研究报告是关于比特币经济学三篇文章中的最后一篇。在第一部分中,我们探讨了一些普罗大众对银行如何提供贷款的常见误解,以及当银行具有扩大信贷的能力时对整体经济的影响。我们分析了金钱应有的固有特性,并评估这对商业周期所产生的影响。在第二部分中,我们探讨了与传统形式的金钱相比,比特币为什么具有一些独特的特性组合。我们解释了这对银行进行信贷扩张能力所产生的影响。在本篇文章(第三部分)中,我们探讨了比特币的通货紧缩特性,并研究了由于比特币本身的某些弱点,通货紧缩可能是必然发生的。我们还会探讨比特币能够如何抵御一些传统通货紧缩的经济弊端,而这些因素可能是一些比特币批评者所没有考虑到的。

点击此处下载本报告的 pdf 版本

 

比特币的通货紧缩问题

对比特币和相关加密币最常见的批评之一是其有限的供应量(比特币为 2,100 万)以及其通货紧缩的特性,这可能对经济发展有着不利因素。批评者认为,历史告诉我们,有限的货币供应量是个糟糕的货币政策,其将导致或加剧经济崩溃。要么是因为人们认为金钱将升值导致不愿意消费,又或者因为债务的实际价值增加,导致负债的实际的经济负担越来越重。比特币批评者认为支持比特币的人是 “经济幼稚” 的,因为他们未能从过去的经验学习到教训。

在关于比特币经济学的第三篇文章中,我们认为它的情况比这些批评者所想的更为复杂,因为比特币与其之前的货币类型的本质不同。比特币具有某些独特的特征,这使得它更能适应通缩的货币政策。当然,比特币的局限性及弱点也可能存在,意味着过多的通货膨胀可能使其产生传统货币形式所没有的负面后果。在我们看来,这些问题往往被比特币批评者们所忽略。

 

关于比特币通胀问题的评论

中央银行票据(货币)的供应可以很轻易地扩大和收缩。为了应对市场对银行票据突如其来的需求增加(从消费/投资转向对货币的需求:即通货紧缩的冲击),中央银行可以通过买入证券和外币来增加市场的货币供应量。应对市场对于银行票据的需求大幅降低,中央银行可以通过出售证券和其他资产在市场上吸收流通货币。在[比特币]的情况下,后者的操作模式不被包括在其代码协议中。也就是说,加密货系统代码通常包含货币供应的规则,但没有货币收缩或注销的规则。我们能取消这种不可逆的特征吗?

– Mitsuru Iwamura (“我们能否稳定加密币的价格?:了解比特币的设计及其与中央银行竞争的潜力”) –  2014 年

 

关键在于,如果没有通货膨胀机制,例如每年增加 2% 比特币供应,那么这种货币注定失败,因为人们会开始囤积它,因为人们认为它明年的价值将高于今年的价值。


– David Webb (视频 51 分钟处) –  2014 年

 

更广泛地说,完全限制供应或自带的通缩机制并非一个世界性通用货币应该具有的特性。金钱的力量在于满足社会需求的能力。从我的角度来看,比特币内置的通缩机制意味着它满足社会需求的能力较差。也许我的想法会被证明是错的。我们拭目以待。

– 经济学家(“比特币通缩问题”) –  2014 年

 


该货币的 “供应量” 最终将被限制在 2,100 万个单位。对比特币自由主义的信徒来说,这是排除中央银行操控通货膨胀的最简便的方法。然而,现代中央银行有充分的理由支持低通胀的货币政策。在现实世界中,工资是具有 “粘性” 的:公司发现很难削减员工的工资。实际上,小幅度的通货膨胀滋润了这种制度,因为某程度上来说它削减了无法跟上通货膨胀的工人的工资。如果货币供应增长缓慢,那么价格就会下降,而具有粘性工资的工人的成本会更高,进一步使得失业率上升。如果受雇工人囤积现金并期望物价进一步下跌,那么经济下滑势头将加剧。

– “经济学人”(“从无到有”) –  2014 年

 


我们目前的全球经济体系非常糟糕,但我认为比特币是最糟糕的。对于初学者来说, BTC 本质上是通缩的。比特币能被挖掘出来的数量是有上限的(专用术语 “开采” :新的比特币是通过数学运算所创建的,这也将使得比特币的挖掘变得越来越困难 – 就像计算一个越来越大的素数数字,他们与下个数字距离越来越大)。这意味着生成新比特币的成本会随着时间的推移而增加,导致比特币的价值相对于市场上可用的商品和服务而增加。追逐商品的钱少了;每个人只需要花费更少的现金(因为商品的供应大于资金的供应)。

– Charlie Stross (“为什么我要比特币被烧成灰烬”) –  2013 年

 


尽管如此,仍然有 2,100 万的供应限制问题。如果达到上限,比特币供应的未来必须走向部分准备金制度的道路,因为只重新借出现有加密币,或者有一天可以用比特币为贷款进行结算 – 这是常规银行惯例 – 才能克服供应缺乏的问题。

– Izabella Kaminska – 金融时报(“比特币问题”) –  2013 年

 

因此,[比特币] 这个实验告诉了我们关于货币制度范围内的所有事物,它展示了对新的黄金标准这种制度的反感 – 因为它显示了这种制度对金钱囤积,通货紧缩和经济萧条的情况下有多么的脆弱。

– Paul Krugman (“金色网络恐惧症”) –  2011 年

 

尽管比特币已经在整体供应量上进行了自我约束,但它没有一个能针对需求波动的机制。对比特币需求的增加将导致以比特币计价的商品价格下降(通货紧缩),而该需求下降将导致以比特币计价的商品价格上涨(通货膨胀)。在每种情况下会发生什么?让我们从通货紧缩开始说起,因为现在对比特币的需求正在上升。当人们认为一个商品明天的价值会比今天更高时,人们会怎么做?很明显,他们将持续持有该商品!谁愿意放弃价值不断上涨的金钱?换句话说,需求上升将导致未来需求进一步上升。非理性蔓延。通货紧缩会持续导致通货紧缩,无穷无尽,或者至少到市场崩溃之前。

– 地下经济学家(“为什么比特币不能成为货币”) –  2010 年

 


通缩和债务通缩漩涡

数十年来,许多经济学家一直在讨论通货膨胀的优缺点。然而,争论的主要观点是基于一下理论;来自不同学派的经济学家对这个话题有不同的看法。可以说,目前的经济共识认为通缩是一种不良的经济现象,而以每年约达到 2% 的温和通货膨胀是需要的。而倾向奥地利学派的学者则不成比例地支持比特币和黄金这些具有通货紧缩特性的商品,他们反对集权管理通货膨胀并以正通货膨胀作为货币政策目标的管理方式。

 

对通货紧缩的负面看法的主要驱动因素之一似乎是基于 1929 年的经济大萧条和债务通缩漩涡。该理论认为,在经济衰退和通货紧缩期间,债务的实际价值增加。这种增长加剧了已经疲软的市场经济。经济学家欧文·费雪( Irving Fisher )因为这套理论而出名,他以该理论解释了 1837 年, 1873 年和 1929 年的经济大萧条。

 

我们可以将一系列后果浓缩至下列九个环节:

  1. 债务清算导致公司流动性出现问题和
  2. 随着银行贷款的还清,存款货币的收缩以及流通速度放慢。由于流动性不足造成的资产出售所引起的存款货币的收缩及其速度的放缓将造成
  3. 价格下降,美元价值膨胀。假设,如上所述,价格的下降不受到通货再膨胀或其他因素的影响,那么
  4. 由于破产导致,企业净资产价值将进一步下降,及
  5. 利润下降,而这个社会就像一个害怕亏损经营的私人企业一样,将根据“资本主义”的原则
  6. 减少产量,减少贸易和劳动人口。这些亏损,破产和失业将导致
  7. 对市场前景悲观及对市场失去信心,进而导致
  8. 囤积货币和货币流通速度进一步放慢。以上八个变化将引起
  9. 复杂利率的波动,特别是名义利率下降,货币利率下跌以及实际利率或商品利率攀升。

显然,债务和通货紧缩以一种非常简单的逻辑方式解释了大量的市场现象

– Irving Fisher ( 1933 )


通货紧缩真的如这些批评者说那么糟糕吗?

批评人士指责比特币支持者 “经济幼稚” 时,他们可能不完全正确,或者他们可能漏掉了一些细微差别。首先,不需要成为奥地利经济学家我们也可以质疑通缩(供应上限)是否一定代表会出现问题。通货紧缩在某些情况下可能不好,但可能取决于其市场经济的特点和社会通用的货币类别。社会学不像计算机科学及数学题目,没有人能给出一个正确性高的完美答案,且学术领域的意见是随时间而不断变化的。此外,经济环境也会随着时间而变化,这可能会导致大环境一系列的变动,而其中在不同阶段使用不同的通货膨胀货币政策可能是更理想的。因此,固化的硬性规则,例如“通货紧缩对市场总是差的”,未必是正确的理念。例如,费雪关于通货膨胀的观点对 20 世纪的经济状态来说是正确的,但到 2150 年,技术可能已经从根本上改变了市场经济运作模式,而导致另一种通货膨胀货币政策可能更适合当时的社会。

 

比特币具有不同的特征,所以债务通缩漩涡论点的相关性可能不那么高

正如我们在本系列文章中的第一部分和第二部分中所解释的那样,比特币拥有与传统经济使用的货币,如美元或黄金等,不同的特性。传统的货币,如美元,是基于债务,这是法定货币的固有特性。然而,比特币可能对信贷扩张更具有抵御性,因为它本身并不与债务挂钩。因此,在基于比特币的经济体中,在经济崩溃和通货紧缩的情况下,债务实际价值增长的影响可能不如人们想象的那么严重。这使基于比特币的经济体中的债务通缩漩涡论点变得不那么重要。在我们看来,这是很多比特币评论家在评估比特币通货紧缩货币政策的劣势时忽略的一点。

 

比特币自身的通货膨胀缺点

除了比特币的一些潜在的优势,即是它对通缩更具适应力,比特币的批评者也可能忽略了一些比特币的潜在缺点,即是它更容易受到通货膨胀的影响:

  • 任意环境损害 – 对比特币的另一种常见批评是能源密集型开采过程造成的环境破坏。虽然我们在挖矿诱因系列的第二部分中已经解释过,但这个问题可能被高估,因为矿工在采矿地点方面有许多选择。这种灵活性可以减少环境破坏,因为矿工可能会利用废弃的能源项目,而不是投资新项目。然而,值得注意的是,由比特币造成的负面环境破坏的确是一个显着的外部负面影响。采矿激励措施由交易费用和区块奖励(通货膨胀)组成。因此,增加通货膨胀会增加环境损害的程度并增加外部负面影响。如果确定实行 2% 的通胀政策,这可能意味着系统每年至少花费 2% 的总价值来 “损害” 环境。通货膨胀政策的决定难免有些武断,选择的通货膨胀率越高,对环境破坏的程度就越大。这与现有的金融体系有着相似之处。至少在一些评论家看来,中央银行刺激经济实现通胀目标的政策也可以说是造成了较高的环境损害。尽管基于比特币的系统对于通货膨胀与环境损害之间的联系更为直接且较容易衡量。与其实行永续的通货膨胀政策,在比特币中,区块奖励每四年减半,直到矿业激励完全由交易费用代替。这意味着环境损害的程度将由市场主导,因为它代表用户愿意为系统安全而支付的费用,而不是任意通货膨胀货币政策所产生的环境损害。
  • 使矿工和用户的利益一致 – 矿工目前主要通过开采奖励而不是交易费来激励着他们。这会导致生态圈中产生一些潜问题,例如矿工和用户的利益可能不一致。举例来说,矿工可以排除区块中的交易,这将会违背用户的利益。如果矿工主要是由交易费而被激励的话,他们不太可能采取这种行动,而比特币的通缩政策将确保这将最终成为现实。
  • 无法产生代币价值 – 供应上限可以被视为比特币投资者的最关注的卖点,这可能有助于使投资者对它产生的兴趣,这是系统发展所必需的。如果它最初选择了永久性通胀政策,比特币可能无法取得任何成功,即使通货紧缩政策不是最理想的。

 

这场辩论的讽刺 – 关于经济面的批评只有在比特币取得巨大成功时才有意义

这些讨论大多集中在比特币被广泛采用的经济基础上,通货膨胀动态才会对社会产生影响。在我们看来,这个结果不太可能发生,比特币的批评者应该认为更不可能。在我们看来,比特币可能会满足一个小众的市场,即同时可以抵制审查和具有数字支付性能,但它不太可能成为经济活动的主流货币。因此,关于比特币通货紧缩性质的辩论怎么看都是无关紧要的。因此,这些批评者将此作为反对比特币的论据是有点奇怪的。

这一点类似于保罗·克鲁格曼( Paul Krugman )在 2013 年“比特币是邪恶的”片段中所提到的那样。尽管克鲁格曼先生在比特币社区受到了嘲讽,但最明显的是他在 1998 年的评论中指出:“到 2005 年左右,互联网对经济的影响将不会超过传真机。”我们认为,下列引用的句子是准确且合理的:

让我们来谈谈比特币是否是一个泡沫,以及这是否是一件好事 – 以便确保我们不会将这些问题与彼此混淆。

– Paul Krugman – “比特币是邪恶的” – 2013

 

也许中本聪认为拥有有限的供应上限和通货紧缩的特性有助于系统的成功,即使社会的普遍认知是温和的通货膨胀会对市场更有利。从系统设计的角度来看,靠谱的支付系统应该是优先考虑的事情,因为即使系统本身对社会非常有利,但一个不成功的系统最终也无用武之地。

 

结论

我们的结论是,与 “经济幼稚” 无关,一些比特币支持者可能对债务,通货紧缩,货币属性和信贷扩张之间的关系有更细致的理解,而不是批评者认为的那样。相反,人们可能会认为这是主流市场对于货币和债务之间的关系缺乏了解,以及比特币有可能使两者脱钩,但这都是普遍的误解。事实上,对于许多人而言,比特币将债务与货币分离并从而造成通缩的环境却又不导致债务通缩漩涡问题的这个能力是重点,而不是缺陷。

然而,即使比特币解决了这个经济问题,认为比特币会导致更加繁荣的经济体系仍是较天真的想法。比特币是一个新颖独特的系统,可能会导致更多的经济问题,也许是意想不到的或从未见过的。毕竟没有完美的 “钱” 。仅仅将过去的传统经济面临问题套在这种新型的金钱上是不正确的。虽然可能比较困难,但确定比特币潜在面临的经济问题可能需要更进一步的分析和对底层技术的更深入理解。

讽刺的是,如果人们认为与通货紧缩相关的这些经济问题具有发生的机会,就像批评者们间接暗示的那样,这意味着比特币有可能被广泛采用并取得巨大成功。在这种情况下,或许明智的做法是购买和持有。

 

 

 

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Bitcoin Economics – Deflationary Debt Spiral (Part 3)

Abstract

This report is the third in a three part piece on Bitcoin economics. In the first piece, we looked at common misconceptions with respect to how banks make loans and the implications this has on the ability of banks to expand the level of credit in the economy. We analysed the inherent properties of money which ensure that this is the case and evaluate the impact this could have on the business cycle. In part two, we considered why Bitcoin might have some unique combinations of characteristics, compared to traditional forms of money.  We explained the implications this could have on the ability of banks to engage in credit expansion. In this piece (part three), we examine the deflationary nature of Bitcoin and consider why this deflation may be necessary due to some of Bitcoin’s weaknesses. We also look at how Bitcoin could be more resilient to some of the traditional economic disadvantages of deflation than some of Bitcoin’s critics may think.

 

Click here to download the pdf version of this report

 

Bitcoin’s deflation problem

One of the most common critiques of Bitcoin and related crypto-coin systems, is the supply cap (in the case of Bitcoin 21 million) and the associated deflationary nature of the system, which could be damaging to the economy. Critics have argued that history has taught us that a finite monetary supply can be a poor economic policy, resulting in or exacerbating, economic crashes. Either because people are unwilling to spend appreciating money or because the real value of debt increases, resulting in a highly indebted economy. Bitcoin proponents are often called “economically naive”, for failing to have learnt these economic lessons of the past.

In this third piece on Bitcoin economics, we explain that the situation may be more complex than these critics think, as Bitcoin is fundamentally different to the types of money that came before it. There may be unique characteristics about Bitcoin, which make it more suited to a deflationary policy. Alternatively, limitations or weaknesses in Bitcoin could exist, which mean that too much inflation could have negative consequences not applicable to traditional forms of money. In our view, these issues are often overlooked by some of Bitcoin’s economic critics.

A selection of quotes about Bitcoin’s inflation problem

The supply of central bank notes can easily expand and contract. For  a  positive  demand  shock  to  bank  notes  (shifting  from  consumption/investment  to money: i.e. it is a  deflationary  shock),  the  central  bank increases money  supply  by  buying  securities and  foreign  currencies.    For  a  negative  demand  shock  to  bank  notes,  the  central  bank absorbs money in circulation by selling securities and other assets.  In case of [Bitcoin], the latter operation is not included in its protocol. That is  to  say,  the  cryptocurrency  protocol  usually  includes  the  currency  supply  rule,  but  does  not  have  a  currency  absorption  or  write-off  protocol. Can we reduce this irreversibility?

– Mitsuru Iwamura (“Can We Stabilize the Price of a Cryptocurrency?: Understanding the Design of Bitcoin and Its Potential to Compete with Central Bank Money”) – 2014

 

The point is that by not building in an inflation, of say 2% per annum in the global supply of Bitcoins, you almost doom it as a currency, because people will start hoarding it, knowing that it’s going to be worth more next year than it is this year

 –  David Webb (51 minutes into the video) – 2014

 

More broadly, a hard supply cap or built-in deflation is not an inherent strength for a would-be money. A money’s strength is in its ability to meet society’s needs. From my perspective, Bitcoin’s built-in deflation means that it does a poorer job than it might at meeting society’s needs. Maybe I will be proven wrong. We shall see.

 –  The Economist (“Bitcoin’s Deflation Problem”) – 2014

 

The currency’s “money supply” will eventually be capped at 21m units. To Bitcoin’s libertarian disciples, that is a neat way to preclude the inflationary central-bank meddling to which most currencies are prone. Yet modern central banks favour low but positive inflation for good reason. In the real world wages are “sticky”: firms find it difficult to cut their employees’ pay. A modicum of inflation greases the system by, in effect, cutting the wages of workers whose pay cheques fail to keep pace with inflation. If the money supply grows too slowly, then prices fall and workers with sticky wages become more costly. Unemployment tends to rise as a result. If employed workers hoard cash in expectation of further price reductions, the downturn gathers momentum.

 – The Economist (“Money from Nothing”) – 2014

 

Our current global system is pretty crap, but I submit that Bitcoin is worst.  For starters, BtC is inherently deflationary. There is an upper limit on the number of bitcoins that can ever be created (‘mined’, in the jargon: new bitcoins are created by carrying out mathematical operations which become progressively harder as the bitcoin space is explored—like calculating ever-larger prime numbers, they get further apart). This means the cost of generating new Bitcoins rises over time, so that the value of Bitcoins rise relative to the available goods and services in the market. Less money chasing stuff; less cash for everybody to spend (as the supply of stuff out-grows the supply of money).

 –  Charlie Stross (“Why I want Bitcoin to die in a fire”) – 2013

 

Nevertheless, there is still the 21m limit issue. If the limit is reached, the future of Bitcoin supply has to go down the path of fractional reserve banking, since only re-lending existing coin, or lending on the basis that settlement can one day be made in Bitcoin — a la conventional banking practice — can overcome the lack of supply

 Izabella Kaminska – Financial Times (“The problem with Bitcoin”) – 2013

 

 

So to the extent that the experiment [Bitcoin] tells us anything about monetary regimes, it reinforces the case against anything like a new gold standard – because it shows just how vulnerable such a standard would be to money-hoarding, deflation, and depression.

–  Paul Krugman (“Golden Cyberfetters”) – 2011

 

While Bitcoin has managed to bootstrap itself on a limited scale, it lacks any mechanism for dealing with fluctuations in demand. Increasing demand for Bitcoin will cause prices in terms of Bitcoin to drop (deflation), while decreasing demand will cause them to rise (inflation). What happens in each of these cases? Let’s start with deflation, because right now demand for Bitcoin is on the rise. What do people do when they think something’s value will be higher tomorrow than it is today? Well, they acquire and hold on to it! Who wants to give up money that’s constantly rising in value? In other words, rising demand causes demand to rise further. Irrational exuberance at its finest. Deflation begets deflation, ad infinitum, or at least until something breaks.

The Underground Economist (“Why Bitcoin can’t be a currency”) – 2010

 

Deflation and the deflationary debt spiral

Many economists have been debating the advantages and disadvantages of inflation for decades. Nevertheless, this primary point of contention is one of theory; economists, from differing schools of thought have a variety of views on the topic.  It is fair to say that the current economic consensus is that deflation is an undesirable economic phenomenon, while moderate inflation of around 2% per annum is desired. Those with Austrian school leanings, who oppose centrally managing inflation towards a certain positive target, tend disproportionality to support Bitcoin and gold’s somewhat deflationary nature.

One of the primary drivers for the negative view on deflation appears to be the 1929 great depression and the idea of a deflationary debt spiral. The theory is that during a period of economic recession and deflation, the real value of debt increases. Such an increase compounds the misfortunes of an already weak economy. Economist Irving Fisher is often credited with formulating this theory, as a response the financial crises of 1837, 1873 and the 1929 great depression.

Then we may deduce the following chain of consequences in nine links:

  1. Debt liquidation leads to distress setting and to
  2. Contraction of deposit currency, as bank loans are paid off, and to a slowing down of velocity of circulation. This contraction of deposits and of their velocity, precipitated by distress selling, causes
  3. A fall in the level of prices, in other words, a swelling of the dollar. Assuming, as above stated, that this fall of prices is not interfered with by reflation or otherwise, there must be
  4. A still greater fall in the net worths of business, precipitating bankruptcies and
  5. A like fall in profits, which in a “capitalistic,” that is, a private-profit society, leads the concerns which are running at a loss to make
  6. A reduction in output, in trade and in employment of labor. These losses, bankruptcies, and unemployment, lead to
  7. Pessimism and loss of confidence, which in turn lead to
  8. Hoarding and slowing down still more the velocity of circulation. The above eight changes cause
  9. Complicated disturbances in the rates of interest, in particular, a fall in the nominal, or money, rates and a rise in the real, or commodity, rates of interest.

Evidently debt and deflation go far toward explaining a great mass of phenomena in a very simple logical way

 – Irving Fisher (1933)

 

Is deflation as bad as these critics claim?

To the extent that critics accuse Bitcoin supporters of being economically naive, they may not always be entirely correct or they could be missing some nuances. Firstly, one does not need to be an Austrian economist to question whether deflation (supply cap) is always undesirable. Deflation could be bad in some circumstances, but it may depend on the characteristics of the economy and the type of money used in society. The social sciences are not like maths or computer science, nobody really knows the right answer to a high degree of certainty and opinions in the academic community change over time. Furthermore, economic circumstances can change over time, which can result in a different set of dynamics, where different inflation policies are optimal. Therefore a hard rule, fixed for all time, such as “deflation is always bad”, may not be the correct philosophy. For example, maybe Fisher’s view on inflation was correct for the economy in the 20th century, however by 2150 technology may have fundamentally changed to such an extent, such that another inflation policy may be more appropriate for society.

Bitcoin has different characteristics and the deflationary debt spiral argument may be less relevant

As we explained in part 1 and part 2 of this piece, Bitcoin possesses properties which are fundamentally different to the traditional money used in the economy such as the US Dollar or gold backed systems. Traditional money, such as the US Dollar are based on debt, which is an inherent property of fiat money. Alternatively Bitcoin may have properties which make it resilient to credit expansionary forces, such that the money is not inherently linked to debt. Therefore in the event of an economic crash and deflation, in a Bitcoin based economy, the impact of increases in the real value of debt could be less significant than one may think. This could make the deflationary debt spiral argument less relevant in a Bitcoin based economy.  In our view, it is likely that many of the Bitcoin critics may have overlooked this point when evaluating the disadvantages of Bitcoin’s deflationary monetary policy.

Disadvantages of inflation unique to Bitcoin

In addition to Bitcoin having some potential advantages, which could make it more resilient to the disadvantages of deflation, Bitcoin’s critics may also have overlooked some of Bitcoin’s weaknesses, which may make it more vulnerable to inflation:

  • Arbitrary environmental damage – Another common criticism of Bitcoin is the environmental damage caused by the energy intensive mining process. Although as we explained in the second part in our series on mining incentives, this issue could be overestimated since miners have a uniquely high level of choice with respect to the geographic location of their mining operations. This flexibility could reduce environmental damage as miners may use failed energy projects rather than investing in new ones.  However, it is still important to note that, the negative environmental damage caused by Bitcoin does seem to be a significant negative externality.  Mining incentives are made up of transaction fees and the block reward (inflation). Therefore increasing inflation increases the level of environmental damage and increases the negative externality. If a 2% inflation policy is decided upon, this could mean at least 2% of the value of the system is spent “damaging” the environment per annum. The inflation policy decision is somewhat arbitrary and the more inflation is selected the greater the extent of environmental damage. There may even be parallels here with the existing financial system. The policy of central banks to stimulate the economy, to achieve their inflation targets, could also be said to cause an arbitrarily high level of environmental damage, at least in the eyes of some critics. Although the link between inflation and environmental damage in a Bitcoin based system is more direct and measurable.  Instead of continued inflation, in Bitcoin the block reward halves every four years until mining incentives are driven entirely by transaction fees. This means that the level of environmental damage will be driven by the market, in that it could represent the amount that users are willing to pay for security, rather than an arbitrarily high level of environmental damage which would be the result of an inflationary monetary policy.
  • Aligning the interests of miners and users – Miners are currently primarily incentivised by the block reward rather than transaction fees. This results in a number of potential problems in the ecosystem, for example perhaps the interests of miners and users are not well aligned. Miners could, for example, exclude transactions from blocks, against the interests of users. Miners may be less likely to take this kind of action if they are primarily incentivised by transaction fees, something Bitcoin’s deflationary policy ensures will eventually become reality.
  • Inability to generate coin value – The supply cap can be considered as a key selling point of Bitcoin for investors and is likely to have helped generate investor interest which may have been necessary to bootstrap the system. If a perpetual inflationary policy was chosen, Bitcoin may not have been able to succeed to the extent it has, even if the deflationary policy is inferior from an economic perspective.

The irony of this debate – economic criticisms are only relevant if Bitcoin is a tremendous success

Much of this discussion focuses on the economics of Bitcoin, assuming Bitcoin is widely adopted, such that the inflationary dynamics have an impact on society. In our view this is an unlikely outcome and perhaps should be considered even more unlikely by Bitcoin’s critics. In our view, Bitcoin may satisfy a useful niche, that of making both censorship resistant and digital payments, but it’s unlikely to become the main currency in the economy. Therefore the debate about Bitcoin’s deflationary nature should be considered as largely irrelevant anyway. Hence it is therefore somewhat odd that some critics use this as an argument against Bitcoin.

This point is similar to one Paul Krugman made in his 2013 “Bitcoin is Evil” piece. Although Mr Krugman is widely derided in the Bitcoin community, most notably for his 1998 comment that “by 2005 or so, it will become clear that the Internet’s impact on the economy has been no greater than the fax machine’s”, we consider the distinction he draws in the quote below as both accurate and sensible:

So let’s talk both about whether BitCoin is a bubble and whether it’s a good thing — in part to make sure that we don’t confuse these questions with each other.

Paul Krugman – “Bitcoin is Evil” – 2013

 

Perhaps Satoshi thought that having a finite supply cap and a deflationary bias, may help the system succeed, even if from society’s point of view, moderate inflation would be more utilitarian. From a system design perspective, producing a working payment system should be the priority, since a system which does not succeed, even if it’s hypothetically beneficial to society, is ultimately useless.

Conclusion

We conclude that rather than being driven by economic naivety, some Bitcoin supporters may have had a more nuanced understanding of the relationship between debt, deflation, the properties of money and credit expansion than the critics think. In contrast one could argue it’s the economic mainstream’s lack of understanding of the relationship between money and debt, and the potential ability of Bitcoin to somewhat decouple the two, which is the most prevalent misunderstanding. Indeed to many, Bitcoin’s ability to decouple debt from money and thereby result in a deflationary climate without the deflationary debt spiral problem is the point, rather than a bug.

However, even if Bitcoin has solved this economic problem, perhaps it’s naive to think Bitcoin would result in a more prosperous economic system. Bitcoin is a new and unique system, which is likely to cause more economic problems, perhaps unexpected or new ones. After all there is no perfect money. It just may not be correct to apply the traditional economic problems of the past, to this new type of money. Although it may be more difficult, identifying Bitcoin’s potential economic problems may require more analysis and a stronger understanding of the underlying technology.

Ironically, if one thinks these economic problems associated with deflation have a remote chance of being relevant, like the critics indirectly imply, that would mean Bitcoin has a significant chance of becoming widely adopted and hugely successful. In that case, perhaps the sensible thing to do is buy and “HODL”.