Decentralized lending lacks a credit bureau: a borrower's capacity to repay must be inferred entirely from public on-chain activity, without income verification or a liability record. This paper presents zLend, a deployed cash-flow underwriting framework that reconstructs a wallet's daily balance history from raw token transfers and derives short-duration repayment-capacity signals from it. The reconstruction is performed twice per wallet, once restricted to a fixed stablecoin basket and once over all fungible transfers, on the premise that a wallet's total token holdings and its liquid, spendable balance are distinct quantities whose conflation misprices risk. From each series we derive liquidity coverage against a fixed loan size, cash-flow volatility and regularity, a drawdown-and-recovery statistic adapted from quantitative finance, and a recurring-counterparty detector that identifies salary-like payment cadence from transfer timing alone. The two views are then compared: a wallet with large aggregate holdings whose stablecoin reserve rarely covers the loan size is flagged as a liquidity mismatch irrespective of total wealth. We specify the pipeline formally, document the golden-master methodology used to verify a cross-language production migration to numerical tolerance 1e-9, and characterize the tier function's parameter sensitivity with an independent reimplementation validated to exact agreement (78 of 78 field assertions) against the deployed system's reference fixtures. Tier assignment is governed predominantly by the reference loan size, with four of six reference wallets changing tier across loan sizes from USD 10 to USD 25,000; the drawdown and coverage criteria bind on disjoint wallets, so neither subsumes the other; and no criterion in the tier rule is inert. zLend is deployed in production, informing real lending decisions via third-party API integrations.
A physically backed leveraged event position requires real credit: if collateral C receives leverage L, the protocol supplies (L-1)C and uses the combined amount to acquire recognized event exposure. This paper develops a venue-agnostic on-chain credit architecture for that capital layer and an endogenous model of its capital market. It separates traders, Senior Credit LPs, market makers, liquidators, and Liquidation Backstop Providers; formalizes pool and debt shares, utilization- and risk-sensitive interest, collateral-locked position accounts, venue capabilities, market-maker commitments, withdrawal queues, isolated pools, non-redeemable reserves, and a deterministic loss waterfall; and models endogenous provider participation, leverage demand, liquidity withdrawal, liquidator entry, reserve replenishment, runs, and common-factor contagion. Formal results establish balanced real- and integer-unit accounting, settlement-confirmed debt priority, trader residual ownership, idempotent partial settlement, non-dilutive share issuance, junior-before-Senior impairment, loss-participating withdrawal queues, utilization-equilibrium conditions, and loss-allocation and contagion bounds. The release preserves 28 exact fixtures and 31,082 deterministic checks and adds fixed-seed agent-based experiments with 70,207,488 scalar invariant evaluations and zero failures. The experiments show that layered protection reduces but does not eliminate Senior loss, that 5x leverage materially increases capital pressure, and that market-maker capacity can raise aggregate shortfall if admission expands too quickly. Results are synthetic mechanism comparisons under author-specified behavior, not forecasts of APY, defaults, venue liquidity, or production safety.
Variable prepaid forward contracts and option collars paired with margin loans offer similar economics on concentrated equity: downside protection and day-one liquidity in exchange for capped upside. The key difference is tax treatment. A variable prepaid forward is a single contract whose gain or loss is computed on a net basis, whereas a collar consists of two separate options, each tested independently. We model both structures at close (physical settlement) and at roll (cash settlement) and show that the economic difference between the two solutions can be explained by character degradation (the deferral of an option loss into a stock basis adjustment that, when recovered as reduced long-term gain, yields less after-tax value per dollar than a current offset against short-term income), phantom income (a current tax liability with no corresponding net economic gain), and financing spread. In nearly all circumstances, we conclude that the variable prepaid forward is a structurally more efficient alternative.
Brent Sullivan, Roy Haya, Ralph Drybrough· The journal of wealth manage...· 0 citations
Background: Lending secured on graphics processing units reached record volume in 2025, yet compute assets have no published residual-value methodology of the kind aircraft, rail and shipping finance have relied on for decades. Lenders price an asset whose value curve nobody has estimated.
Objectives: To determine whether a defensible residual-value curve for data-centre accelerators can be built from public information, to build one, and to test how sensitive disclosed 2025 structures are to getting it wrong.
Methods: Two constructions are attempted on evidence to 31 December 2025. The market approach standard in transport finance proves unusable: the published secondary-price evidence is thin and mutually contradictory. We therefore build an income-anchored curve, Compute Base Value, as the present value of the remaining net rental stream, terminating at an endogenous economic life: the age at which net rental revenue falls to cash operating cost. It is calibrated on a 15 October 2025 rental cross-section, thermal design power and 2025 colocation and energy costs, then adjusted for illiquidity and distress and applied to seven structures.
Results: Economic life falls from 7.2 years at 300 W to 4.3 years at 1,800 W. A 700 W accelerator retains 73%, 46%, 25% and 10% of delivery value over four years, close to the personal-computer profile and a third of the aircraft convention. Every disclosed structure running past four years loses collateral coverage within eighteen months.
Conclusion: Compute collateral behaves like computer capital, not transport capital. Amortisation within four years is the binding constraint, and residual-dependent structures have no feasible advance rate.
Benedict Amissah-Ocran, Mark Tettey Ayumu· International Journal of Mul...· 0 citations
This paper investigates the optimal design of information disclosure at debt rollover to maximize an entrepreneur’s ex ante borrowing capacity and social welfare. We develop a model where an entrepreneur secures a startup loan for project experimentation and must refinance for production. Borrowing capacity is limited by the pledgeability of project cash flows, which is eroded by three interacting forces: the entrepreneur’s moral hazard, premature liquidation risk following a liquidity shock, and rent dissipation arising from creditor competition. We show that a coarse “pass-or-fail” signal structure maximizes borrowing capacity. This binary structure is informative to balance incentive provision against liquidation risk, yet sufficiently coarse to mitigate rent dissipation. Furthermore, we demonstrate that the welfare-maximizing signal structure remains a pass-or-fail form, with an optimal threshold that tightens as the entrepreneur’s borrowing need increases.
This paper was accepted by Lin William Cong, finance.
Funding: H. Xu acknowledges support from the National Social Science Fund of China [Project Code: 23BJY251].
Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2024.07999 .
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final. This paper specifies Axient, a physically backed margin layer for binary event markets that separates leverage maturity from claim maturity and makes the hard-flat decision under explicit execution uncertainty. The model distinguishes quoted book proceeds, matched proceeds, settled proceeds, and redemption. At decision time, the protocol selects the smallest sale whose lower settled-proceeds envelope covers an upper bound on debt at the settlement horizon plus a buffer. We prove robust ex-ante debt clearing, pathwise debt-extinguishment and debt-free-finality invariants, maximal residual spot exposure, payout-vector and dispute-duration invariance of lender principal after debt extinction, and an impossibility boundary when execution, signer control, settlement, or market closure leave the registered operating set. We also derive a book-dependent leverage envelope, aggregate hard-flat capacity without double-counting shared liquidity, and scenario-conditional reserve bounds. A deterministic verifier covers step books, partial fills, settlement delay, adversarial book transformations, shared-book liquidation, reserve allocation, zero liquidity, and multiple payout vectors. The operating and stress sets are author-specified; empirical calibration is separate. The contribution is a conditional mechanism-design result and reference-implementation boundary, not a production-safety claim.
This study examines whether financial technology firms transmit or absorb volatility between digital financial assets and traditional retail banking. Existing research treats these domains separately, comparing FinTech with incumbent banks or cryptocurrencies with equities, leaving the three-way structure unexamined. Using 1,321 aligned daily returns from Coinbase's April 2021 listing to July 2026, a balanced tripartite panel is constructed from two FinTech firms, two retail banks, and two digital assets, benchmarked against the S&P 500. Bitcoin's 24-hour calendar is reconciled with equity trading through log-return accumulation, folding 602 weekend sessions into the following trading day and preserving realised variance that truncation would discard. Volatility connectedness is estimated on model-free Garman-Klass realized volatility rather than on fitted GARCH variances, which avoids the generated-regressor fragility that a proxy robustness check shows can otherwise reverse the headline results. Three formal hypotheses were tested. The null of no structural trend in FinTech systematic risk is rejected since Newey-West trend regressions on rolling betas return probability values below .001 for both the platforms. The null hypothesis of no volatility contagion into retail banking is rejected on a stationary panel, yielding a total spillover index of 48.18 per cent, with banking drawing 20.33 per cent of its forecast error variance through FinTech against 3.75 per cent directly from digital assets. The null hypothesis that the intermediary role does not reverse across macro-financial regimes cannot be rejected because FinTech remains a net transmitter in the boom, tightening cycle, and banking crisis alike. Therefore, FinTech operates as a stable amplifying conduit rather than a cushion, transmitting structural repricing at horizons that a daily monitoring dashboard is least able to observe. Risk-adjusted performance inverts the disruption narrative: retail banking returned 15.83 per cent annually against minus 23.18 per cent for fintech. Perimeter regulation should treat FinTech as a systemic-transmission node.
Yatharth Kumar, Nameera Aziz· International Journal For Mu...· 0 citations
We use cookies to run the site and, with your consent, for analytics and to show ads.
See our Cookie Policy.
