Summary
LlamaRisk supports adding underlying assets of their PT counterparts to the dedicated E-Modes. This adjustment has already been initialized within the latest PT-eUSDe August Expiry Onboarding proposal and confirmed via the corresponding AIP. We believe that supporting this change for the rest of the tokens will further improve the PT token yield leveraging utility on Aave’s Core market while keeping the risks unchanged. This change would also have a positive effect on the maturity migration experience, letting users migrate the debt without having to tap into secondary market liquidity.
While the PT underlying E-Mode serves to provide efficiency improvements, it is important to set an adequate LTV vs. LT buffer so that any downward changes in the linear discount rate would not result in liquidations for the most aggressive looping positions. This risk is mitigated by aligning the risk oracle’s LTV/LT increases with the expected maximal oracle price deviation at different time-to-maturity durations. We will continue monitoring the positions and the PT oracle price changes.
We also support the increase of eUSDe supply cap. Nonetheless, we have yet to see the liquidity migration to the new PT-eUSDe maturity pool, therefore we recommend implementing the PT-eUSDe August maturity token supply cap changes via Risk Stewards as the liquidity situation allows it.
PT and Underlying Asset E-Mode
The PT underlying E-Modes will provide more efficiency via a larger PT vs. base asset correlation, eliminating secondary market peg risks encountered when leveraging PTs with unrelated stablecoins. However, the main direct improvement is expected to be the ability to migrate the debt collateralized by PTs tokens to a new maturity without having to be exposed to secondary market liquidity.
This adjustment will also be naturally reflected for eUSDe PT tokens, as the integration of eUSDe token on Aave’s Core market has been confirmed and will be deployed tomorrow (27th of May, 2025). Alternatively, PT-eUSDe pools on Pendle also allow redeeming for USDe directly. This has lead to a more efficient E-Mode setup being proposed together with eUSDe August Expiry PT Tokens deployment. It can be expected that an equivalent PT-underlying E-Mode setup would be proposed for other PT tokens in future ARFCs.
PT-eUSDe August Maturity
The old maturity PT-eUSDe-29MAY2025 will expire in 2 days. Therefore, a large part of users using this pool will be migrating to a new PT-eUSDe-14AUG2025 pool. At the time of writing, the full transition of liquidity has not started yet, with $59M of liquidity currently residing in the new pool in comparison with the $143M liquidity in the May maturity pool. It remains to be seen when the liquidity providers start to shift. As soon as this transition happens, Aave will be ready to accommodate new inflows.
Source: LlamaRisk, May 26th, 2025
Disclaimer
This review was independently prepared by LlamaRisk, a community-led decentralized organization funded in part by the Aave DAO. LlamaRisk LlamaRisk serves as Ethena’s Risk Committee member and an independent attestor of Ethena’s PoR. LlamaRisk did not receive any compensation from the protocol(s) or their affiliated entities for this work.
The information provided should not be construed as legal, financial, tax, or professional advice.