In the Proof of Stake (PoS) Ethereum ecosystem, users can stake ETH on Lido to receive stETH, a Liquid Staking Derivative (LSD) that represents staked ETH and accrues staking rewards. LSDs improve the liquidity of staked assets by facilitating their use in secondary markets, such as for collateralized borrowing on Aave or asset exchanges on Curve. The composability of Lido, Aave, and Curve enables an emerging strategy known as leverage staking, where users supply stETH as collateral on Aave to borrow ETH and then acquire more stETH. This can be done directly by initially staking ETH on Lido or indirectly by swapping ETH for stETH on Curve. While this iterative process enhances financial returns, it also introduces potential risks. This paper explores the opportunities and risks of leverage staking. We establish a formal framework for leverage staking with stETH and identify 442 such positions on Ethereum over 963 days. These positions represent a total volume of 537,123 ETH (877m USD). Our data reveal that the majority (81.7%) of leverage staking positions achieved an Annual Percentage Rate (APR) higher than that of conventional staking on Lido. Despite the high returns, we also recognize the risks of leverage staking. From the Terra crash incident, we understand that token devaluation can greatly impact the market. Therefore, we conduct stress tests under extreme conditions, particularly during stETH devaluations, to thoroughly evaluate the associated risks. Our simulations indicate that leverage staking can exacerbate the risk of cascading liquidations by introducing additional selling pressures from liquidation and deleveraging activities. Moreover, this strategy poses broader systemic risks as it undermines the stability of ordinary positions by intensifying their liquidations.

翻译：在权益证明（PoS）以太坊生态系统中，用户可通过Lido质押ETH以获取stETH——一种代表已质押ETH并累积质押奖励的流动性质押衍生品（LSD）。LSD通过促进质押资产在二级市场（如在Aave上进行抵押借贷或在Curve上进行资产兑换）的运用，提升了质押资产的流动性。Lido、Aave与Curve的可组合性催生了一种新兴策略——杠杆质押，即用户在Aave上提供stETH作为抵押品借入ETH，继而获取更多stETH。此过程可直接通过初始在Lido质押ETH实现，或间接通过Curve将ETH兑换为stETH完成。尽管这种迭代操作能提升财务收益，但也带来了潜在风险。本文深入探讨杠杆质押的机遇与风险。我们建立了一个基于stETH的杠杆质押形式化框架，并在963天内识别出以太坊上442个此类头寸，其总规模达537,123 ETH（约8.77亿美元）。数据显示，绝大多数（81.7%）杠杆质押头寸实现的年化收益率（APR）高于Lido上的常规质押。尽管收益可观，我们也认识到杠杆质押的风险。从Terra崩溃事件可知，代币贬值可能对市场产生重大冲击。为此，我们在极端条件下（尤其是stETH贬值期间）进行压力测试，以全面评估相关风险。模拟结果表明，杠杆质押可能通过清算与去杠杆活动产生的额外抛售压力，加剧级联清算风险。此外，该策略因加剧普通头寸的清算而削弱其稳定性，从而引发更广泛的系统性风险。