4.3x cbETH Carry + 1x cbBTC Lending Yields - Aave & Compound

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Description

This strategy earns blended cbBTC, ETH, and COMP yields by taking advantage of differences in Aave and Compound.

By depositing cbBTC into Aave, this strategy earns 1x the Aave cbBTC lending interest. This also allows the strategy to borrow WETH against the cbBTC collateral with a 20% buffer.

Borrowed WETH from Aave is swapped for cbETH earning the interest differentials between cbETH liquid staking yields and Aave WETH borrow interest.

The cbETH is then used to create a 7x leveraged cbETH:ETH position (5% liquidation buffer) which earns an additional 6x interest differential between cbETH liquid staking yields and Compound WETH borrow interest. The total WETH borrowed on Compound also earns additional COMP borrow rewards.

+ cbBTC supply interest (Aave)

+ cbETH liquid staking yields

- ETH borrow interest

+ COMP rewards on ETH borrow (Compound)

Strategy

Main strategy

1. Lend $cbBTC - Aave

2. Borrow $ETH

   1. 62.5% deposit for 20% buffer against LTV

3. Swap borrowed $ETH → $cbETH

4. Flash loan 6x the borrowed $cbETH amount

   1. 5% buffer from LTV

5. Lend all $cbETH - Compound

6. Borrow $ETH

7. Swap $ETH to $cbETH to cover flash loan

Exit Strategy

1. Flash loan $ETH

2. Repay $ETH debt - Compound

3. Withdraw $cbETH collateral - Compound

4. Swap $cbETH → $ETH

5. Repay $ETH debt - Aave

6. Withdraw $cbBTC collateral - Aave

7. Withdraw $cbBTC

Protocol Parameters

Aave

• ~0.16% cbBTC Supply Interest

• ~2.40% WETH Borrow Interest

• 73% cbBTC Max LTV

Compound

• ~2.22% WETH Borrow

• ~0.98% COMP Borrow Rewards

Coinbase

• ~3.08% cbETH Liquid Staking Yields

OpenOcean

• 0.1% Max Slippage Config

Strategy Performance Conditions

Profit

• cbETH continuously increases in value vs WETH.

• WETH borrow cost is less than cbETH liquid staking yields across Aave and Compound (including COMP rewards).

• cbBTC supply interest is greater than the interest differentials between cbETH yield and WETH borrow.

Loss

• cbETH depegs from ETH.

• cbETH liquid staking yields falls below WETH borrow costs.

Calculation Template

Create Your Own Strategies!

Create a copy of the sheet below and tweak it to create your own personalized strategy.

https://docs.google.com/spreadsheets/d/1aCQklmz1JE7M1wR89h-y8VrvYjNzsjmuijzEQPSMvBw/edit?usp=sharing

Estimated Returns

https://docs.google.com/spreadsheets/d/1zV3ZRVcl_IzALd2dNDpNrCG9PglJigg1sRBBDVKW9To/edit?usp=sharing