Summary
LlamaRisk supports the ARFC to onboard newly deployed PT-eUSDe-14AUG2025 to the Aave v3 Core instance. The August maturity pool has been deployed very recently (May 14th, 2025) with 88 days remaining until the maturity. Therefore, integration efforts are expected to be justified by the prevalent user interest, leaving 70-80 days of market availability after deployment.
Analysis indicates that the underlying eUSDe token’s yield stems from accruing Ethereal points, with a future token launch potentially impacting their value. The PT-eUSDe yield is fixed based on a purchase discount. Demand is driven by yield and speculative interest in future incentives.
Implied PT yield has been moderately fluctuating in the older May maturity PT pool, mirroring broader market conditions and changing interest in the speculative points program. The Ethereal Season Zero points program is nearing its conclusion, however, Season One has been announced to commence during the maturity of this new PT-eUSDe market.
ChaosLabs will provide specific parameter recommendations and details regarding the pricing oracle in a separate update. Nonetheless, the exact risk parameters should be re-evaluated just before the AIP phase, at the time when the PT pool bootstrapping period will have ended and implied/LP yield volatility will have subsided.
Assessment of PT base asset: Link
Considered PT asset maturities: PT-eUSDe-14AUG2025
Asset State
Underlying Yield Source
The yield mechanism for eUSDe involves holding the token to accrue Ethereal points, which provide an additional layer of rewards, potentially convertible to tokens or other benefits in future launches. It should be noted that the value and longevity of Ethereal points depend on Ethereal’s success and tokenomics, with a token launch expected in the coming months.
For eUSDe PT tokens, the yield is implied through buying at a discount and redeeming at par value at maturity, as is typical in Pendle Finance’s principal token structure. The PT token represents the right to redeem the underlying eUSDe at maturity, capturing the fixed yield based on the discount at purchase.
Underlying utility
Investor demand for eUSDe and its PT instrument stems primarily from yield considerations and speculative positioning around future incentives. In February and March, the older May maturity Pendle pool offered headline APY close to 14%; since then, returns have been trending at a 3-5% level for Pendle liquidity providers and 7-10% for PT holders. For this new August maturity pool, the yields are still more volatile, fluctuating between 6 and 10% for LPs and 9-10% for PT holders.
At these yield levels, participants remain attracted by the possibility of amplifying their Ethena rewards multiplier, which can translate into additional Ethereal points and potential future airdrops or related benefits. Finally, eUSDe benefits indirectly from the broader market footprint of its underlying asset, USDe, whose established liquidity base helps draw capital into both the spot token and PT derivatives.
Underlying Stability
The underlying eUSDe is a receipt token for USDe deposited in Ethereal’s spot and perpetual trading platform. At the time of writing, Ethereal DEX has not been launched yet, and USDe deposits serve purely for bootstrapping the initial supply in the platform. The USDe deposits can be redeemed at a 1:1 ratio at any time without a cooldown period. Moreover, the deposits in the vault are idle and are not used as a risk coverage layer for the protocol. All of this makes the eUSDe token inherit equivalent stability risks as the USDe token. Therefore, PT asset’s implied yield is based purely on the nature of the speculative rewards program.
In turn, the secondary market peg of USDe has remained stable after the last stress instance during the Bybit exploit incident. The secondary market discount of USDe has not exceeded 20 bps since then.
Source: LlamaRisk, May 17th, 2025
Total Supply
Since the beginning of April, as the older May maturity pool has matured, the overall SY-eUSDe supply has subdued at ~1.1B. The deployment of the new August maturity pool did not bring additional SY token supply, instead simply allowed the users migrate to the new pool. Over the 3 days since pool’s deployment, it has attracted $41.33M of liquidity, mostly in SY-eUSDe tokens. Again, this liquidity has mostly migrated from the May maturity pool. Overall, the total PT-eUSDe-14AUG2025 supply is currently at 17M, expected to increase more aggressively as the older May pool approaches maturity in 11 days.
Source: LlamaRisk, May 17th, 2025
Holders
Due to the recency of the August PT pool deployment, PT-eUSDe-14AUG2025 token distribution is concentrated within the Pendle liquidity pool itself. Other holders are individuals, however, their identities cannot be attributed to a particular entity/project/team. PT token supply has not been bootstrapped on other lending platforms yet.
Source: Etherscan, May 17th, 2025
Liquidity
As mentioned above, the PT-eUSDe-14AUG2025 pool maintains an estimated liquidity of $41.37M. Around 78.6% of that amount is currently held in SY-eUSDe, while the remaining 21.4% is in PT-eUSDe tokens.
Source: Pendle, May 17th, 2025
The market’s order book composition indicates skewed order composition, with a bid-ask spread at 1.2% of implied yield. The PT demand is much lower than the ask amount. Nonetheless, the market is expected to become more balanced as more users migrate towards this PT pool.
Source: Pendle, May 17th, 2025
The PT-eUSDe-14AUG2025 pool has the following parameters:
| Parameter | Value |
|---|---|
| Liquidity Yield Range | 5% - 28% |
| Fee Tier | 0.127% |
| Input Tokens | $USDe, $eUSDe |
| Output Tokens | $USDe, $eUSDe |
| Reward Tokens | $PENDLE |
Market State
Price and Yield
At the time of writing, there remain 88 days until the pool’s maturity. The implied PT yield is at 9.53% APY with the PT price of 0.9782 eUSDe. The implied PT yield is currently consistent with the May maturity pool, indicating stable future yield expectations.
Source: LlamaRisk, May 17th, 2025
Maturities
As mentioned, two main PT-eUSDe pools with different maturities are available, which suggests that the Ethereal eUSDe points program is expected to remain of high demand. No other PT pools on different chains are available.
Source: Pendle, May 17th, 2025
Integrated Venues
PT Ethereal PT-eUSDe-14AUG2025 is not present on other lending platforms yet. This means that there is a high potential for Aave to capture the majority of inflows as this asset is deployed on Core market. We have also seen large demand for the May maturity PT token on Aave, which further confirms the utility of this token on Aave’s platform.
Recommendations
Aave Market Parameters
Presented jointly with @ChaosLabs. Other parameters will be handled via Risk Oracle. The final parameters could still change at the AIP stage due to the PT pool still being at the price discovery and bootstrapping phase.
Price Feed
For pricing PT tokens on Aave, a specific dynamic linear discount rate oracle has been developed by BGD Labs and PT-eUSDe tokens would be priced using it. In addition, due to full direct redemption availability, eUSDe would be priced on par with USDe, therefore using USDe’s standard pricing mechanism on Aave’s markets.
Disclaimer
This review was independently prepared by LlamaRisk, a community-led decentralized organization funded in part by the Aave DAO. LlamaRisk serves as Ethena’s Risk Committee member and an independent attestor of Ethena’s PoR. LlamaRisk did not receive 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.