可组合金融（英）

Composable FinanceMichael Junho LeeFederal Reserve Bank of New York Staff Reports, no. 1177January 2026 Abstract Composability–open interactions between assets and protocols–facilitates a modular financialarchitecture. I document the emergence of composed asset transformation, where tokenized assets are re-bundled to alter access, liquidity, and risk characteristics to broaden and enhance the set of tokenizedU.S.dollar instruments. Yet, I argue that“naive”composability fundamentally conflicts with theprovision of pooled arrangements needed for liquidity provision, risk-sharing, and capital backstops. Idemonstrate this in an economy consisting of a vertical chain of protocols. Upper-layer protocols expandaccess to users, but bootstrap contingent liquidity from lower-layer protocols, resulting in a waterfall of JEL classification: E41, E42, G10, G20, D47Key words: composability, tokenization, composed asset transformation, decentralized finance, protocol Lee: Federal Reserve Bank of New York (email: michaeljunholee@gmail.com). The author gives specialthanks to Janice Wang for exceptional research assistance. To view the authors’ disclosure statements, visithttps://www.newyorkfed.org/research/staff_reports/sr1177.html. 1Introduction Composability is a design principle where systems consist of components thatcan be selected, assembled, and reassembled in various combinations to satisfyspecific user requirements.It reflects a deep philosophy of modular technical Permissionless blockchains offer compelling infrastructure for a composablefinancial system. Decentralized protocols facilitate a market of “financial primi-tives,” basic functions such as custody, exchange, and lending, and allow for the output of one protocol to serve as the input for another without restrictions. Thesecould evolve into a competitive market of ideas, whereby builders compete on tai- I first document an emerging practice I refer to ascomposed asset transformation,in which tokenized assets are restructured to alter the liquidity, access, and riskcharacteristics of financial claims. Composability facilitates traditional asset trans- formations achieved through securitization, including asset restructuring to im- Notwithstanding these virtues, I argue that “naive” implementation of com-posability conflicts with the provision of pooling mechanisms, a cornerstone offinance. Pooling mechanisms allow for the aggregation of resources (money) or I demonstrate this specifically in the context of liquidity provision. I consideran economy consisting of a vertical chain of protocols, each building on top ofanother. Protocols take capital as input, and provide services that generate long- offered by protocols. I show that upper-layer protocols bootstrap contingent liquidity from lower-layer protocols, resulting in a waterfall of liquidity externalities flowing all the waydown to the base protocol. Up to a certain tolerance, the base protocol internal-izes costs and sustains full liquidity provision, enabling protocols to expand reach. Liquidity provision and more generally, pooled mechanisms work by facilitat-ing cross-subsidization between users faced with idiosyncratic shocks. A protocol recoups costs associated with liquidity provision from profits generated throughits long-term users. An upper-layer protocol integrates a lower-layer protocolex-clusivelyfor its liquidity provision, without contributing to longer-term capital. This shortens the effective duration of capital held in the lower-layer protocol. Ata breaking point, the base protocol rations liquidity at the expense of its users and the entire ecosystem built on top of it.The composability problem with liquidity provision is not only instructive, butcritical, in light of a burgeoning tokenized U.S. dollar ecosystem (Lee 2025).Todate, there is over $300 bln in tokenized US dollar assets, consisting of stablecoins, Explicitly, I provide a map detailing how stablecoins and tokenized treasuriesare used by a web of protocols to create composed stablecoins augmented withdifferent access and financial characteristics.Composed stablecoins bundle liq-uid, safe assets with illiquid, risky claims, which could lead to cross-contagionthrough operational and financial dependencies. Moreover, the network of proto- nonrival protocols, differentiated services allow gains to accrue through compos-ability by enabling access to a broader set of users. However, when upper-layerprotocols offer rival services, they not only impose externalities on the base pro- A notable example on the rival composability problem is that of Morpho Op-timizer, a lending protocol built on top of existing lending protocols, Aave andCompound. Morpho offered an innovative on-chain lending and borrowing ser-vice that quickly grew its total value locked to over $2 bln within 18 monthsafter launch. However, its design inherently posed an externality on lower-layer protocols in two ways. First, it provided rate g