Overview
In alignment with our Principal Token Risk Oracle framework—outlined in detail here—we present our risk parameter recommendations for the proposed maturity and underlying asset listing: PT-eUSDE-14AUG2025. Leveraging the dynamic linear discount rate oracle implementation, we also provide our recommended values for initialDiscountRatePerYear and maxDiscountRatePerYear, derived from the extended methodology detailed here.
Risk Oracle Parameter Evolution
Stablecoin E-mode
Through our rigorous quantification of the algorithm, we find that the integration risk decays as the PT approaches maturity. This dynamic justifies the use of progressively more liberal risk parameters over time. Taking into account the underlying proposed configuration of an eUSDe stablecoins E-mode within Aave, we outline the projected evolution of the LT, LTV and LB, with the initial parameterization approximately as follows:
LTV: 87.1%
LT: 90.1%
LB: 4.1%
Note that this parameterization explicitly refers to E-mode such that the PT can only borrow correlated assets (USDC, USDT and USDS), while effectively disallowing uncorrelated debt assets to be borrowed. The LTV and LT will remain constant throughout given the relatively short time until maturity, as is capped by the underlying, with the LB continuing to decay over time until maturity.
The yield trading component of the PT stems from Ethereal’s Season Zero Points with a 1.6x multiplier, as well as 50x Ethena points, up from 1x and 30x, respectively, in the prior expiry. Since the underlying asset for PT-eUSDe is USDe, the oracle configuration relies on the PT linear discount rate oracle implementation, combined with the USDT/USD pricing of USDe. Accordingly, the underlying configuration will be defined with a minimum liquidation bonus of 2% and a maximum liquidation threshold of 93% for the underlying, following our recommended parameterization for eUSDe stablecoins in E-mode here.
Safeguards from Donation Attack
As the underlying input asset (SY) for the PT is eUSDe, the effective valuation for the SY is implicitly defined as:
eUSDe(SY) × PT Price × (1 / eUSDe/USDe Exchange Rate)
This expression is intentionally redundant to emphasize the anchoring of value to USDe as the reference unit of account. Under this construction, all inflation-derived value accrual is routed to YT holders, analogous to yield being realized via exchange rate appreciation.
In expectation, the eUSDe/USDe exchange rate should remain stable; however, under adversarial conditions such as a donation attack, the system design ensures that the protocol remains insulated from PT mispricing. YT holders fully capture the “appreciation” induced by the inflation shock.
Such a scenario would mechanically drive a repricing event: the implied yield spikes as YT value inflates, resulting in a collapse of PT prices toward their lower bound (i.e., floor price), likely accompanied by significant outflows from PTs, increased capital inflows to YTs and rapid redemption of the underlying SY assets.
Despite these dynamics, the risk parameterization—as defined via protocol-level invariants and circuit-breaker thresholds—remains mathematically robust. It continues to safeguard against bad debt accrual and enables the system to freeze new activity in a deterministic and risk-contained manner, thereby preserving solvency and protocol integrity.
USDe E-mode
To further enhance capital efficiency, we propose the introduction of a dedicated USDe E-mode for PT-eUSDE-14AUG2025. Given that both the PT token’s underlying asset (USDe) and the debt asset share the same collateral base, the risk parameterization should not be constrained by typical underlying asset considerations. Instead, the parameterization should be driven by the Pendle AMM’s liquidity dynamics, aligning more closely with the PT’s inherent pricing structure. We outline the projected evolution of the LT, LTV and LB, with the initial parameterization approximately as follows:
LTV: 89%
LT: 91%
LB: 3.1%
This approach is justified by the correlation between the PT’s underlying and the debt asset, as both are effectively anchored to the same stable asset, USDe. As a result, this E-mode would allow for more efficient capital utilization.
This configuration aligns with our broader Principal Token Risk Oracle framework, which emphasizes parameter flexibility for pairs where the PT’s underlying asset is also the debt asset, ultimately supporting deeper liquidity and optimized capital efficiency.
Initial Discount Rate Per Year and Maximum Discount Rate Per Year
Based on historical observed data and the pricing configuration of the market, our initial recommendations for the discountRatePerYear and maxDiscountRatePerYear are as follows:
Initial discountRatePerYear: 9.037%
maxDiscountRatePerYear: 29.781%
If pricing dynamics change until its listing, such that discountRatePerYear will require a refresh, we will institute such a change accordingly upon listing.
On-chain Liquidity and Initial Cap
Given the nature of the relevant stablecoin debt assets, effective risk management necessitates leveraging on-chain liquidity for both the underlying asset and the Pendle AMM itself. In this context, PT-eUSDe-14AUG2025 has exhibited substantial on-chain liquidity relative to its floating PT TVL, with SY liquidity in the AMM scaling rapidly to $35M since inception just one week ago.
The plot below represents the amount of liquidity available under 3% slippage as the market approaches expiry, given the current liquidity distribution in the AMM. As the market matures and moves closer to expiry, the slippage associated with swapping PT becomes less extreme.
The PT token, with a current total supply of 21 million, benefits from deep on-chain liquidity in the Pendle AMM. At the current time to maturity, this liquidity supports trades of up to $30 million with less than 3% slippage.
Underlying Oracle
As the underlying PT-eUSDe is anchored to USDe, we recommend leveraging the Capped USDT/USD feed as the underlying ASSET_TO_USD_AGGREGATOR within the PT-USDe PendlePriceCapAdapter.
Specification
| Parameter | Value |
|---|---|
| Asset | PT-eUSDe-14AUG2025 |
| Isolation Mode | No |
| Borrowable | No |
| Collateral Enabled | Yes |
| Supply Cap | 100,000,000 |
| Borrow Cap | - |
| Debt Ceiling | - |
| LTV | 0.05% |
| LT | 0.1% |
| Liquidation Penalty | 7.50% |
| Liquidation Protocol Fee | 10.00% |
| E-Mode Categories | PT-eUSDe-14AUG2025 Stablecoins, PT-eUSDe-14AUG2025 USDe |
PT-eUSDe Stablecoins E-mode
| Asset | PT-eUSDe | USDC | USDT | USDS |
|---|---|---|---|---|
| Collateral | Yes | No | No | No |
| Borrowable | No | Yes | Yes | Yes |
| LTV | Subject to Risk Oracle | - | - | - |
| LT | Subject to Risk Oracle | - | - | - |
| Liquidation Bonus | Subject to Risk Oracle | - | - | - |
PT-eUSDe USDe E-mode
| Asset | PT-eUSDe | USDe |
|---|---|---|
| Collateral | Yes | No |
| Borrowable | No | Yes |
| LTV | Subject to Risk Oracle | - |
| LT | Subject to Risk Oracle | - |
| Liquidation Bonus | Subject to Risk Oracle | - |
Initial E-mode Risk Oracle
| Parameter | Value | Value |
|---|---|---|
| E-Mode | Stablecoin | USDe |
| LTV | 87.1% | 89% |
| LT | 90.1% | 91% |
| LB | 4.1% | 3.1% |
Linear Discount Rate Oracle
| Parameter | Value |
|---|---|
| discountRatePerYear (Initial) | 9.037% |
| maxDiscountRatePerYear | 29.781% |
Disclaimer
Chaos Labs has not been compensated by any third party for publishing this recommendation.
Copyright
Copyright and related rights waived via CC0