Summary
LlamaRisk supports listing PT-sUSDE-13AUG2026 on the Aave V3 Core instance and adding it to both Aave V4 Plus Hub spokes that host the sUSDe-correlated PT family (Ethena Correlated and Ethena Ecosystem). At the time of this analysis, the asset has 71 days remaining until maturity.
Assessment of PT base asset: Link
Assessment of Pendle PTs: Link
Considered PT asset maturities: PT-sUSDE-13AUG2026
Asset State
Asset Growth
Ethena’s USDe supply stands at ~$4.51B as of June 3, 2026, having expanded over the past month while remaining below its early-2026 peak of ~$6.4B. A substantial portion remains staked as sUSDe, with the yield-bearing variant’s total supply at 1.44B tokens (equivalent to ~$1.78B in USDe at the prevailing $1.2321 sUSDe/USD price), reflecting an implied staking ratio of ~39%. USDe remains the largest non-fiat-backed synthetic dollar by circulating supply.
Source: LlamaRisk, June 3, 2026
Underlying Stability
The market price of USDe remains tightly pegged at $0.9987, with no material deviations observed since the October 2025 depeg event when USDe traded briefly as low as $0.97. Ethena’s solvency ratio and Reserve Fund have not been re-stressed materially since.
The sUSDe secondary market price stands at $1.2321, consistent with accumulated yield since inception. No structural anomalies appear in the 240-day price series.
Source: LlamaRisk, June 3, 2026
Underlying Yield Source
sUSDe yield comes from Ethena’s delta-neutral strategy: perpetual funding spreads on BTC/ETH paired with staking yield on the liquid staking derivative collateral component and also lending on money markets. For PT-sUSDE, the fixed yield is captured as a discount-to-par on the principal token, redeeming 1:1 to sUSDe at maturity; the floating yield component is stripped out to YT-sUSDE-13AUG2026.
Pendle reports the underlying sUSDe APY at 3.77%. Funding-rate compression since mid-2025 has pulled the sUSDe distribution rate close to the Aave stablecoin benchmark.
Market Analysis
Total Supply
The PT-sUSDE-13AUG2026 Pendle pool was deployed on April 18, 2026 and holds ~$9.50M in total liquidity (6.33M SY-sUSDE and 1.72M PT-sUSDE). 24.4M PT-sUSDE-13AUG2026 have been minted in aggregate via SY splits, of which only 1.72M (~7%) sits inside the Pendle AMM. SY-sUSDE outstanding across all sUSDe-PT maturities stands at ~28M following the expiry of the 7MAY2026 maturity, with the August maturity accounting for the majority of the post-expiry SY base.
Source: LlamaRisk, June 3, 2026
Pool Composition
As of June 3, 2026, the composition of the PT-sUSDE-13AUG2026 pool is as follows:
PT-sUSDE-13AUG2026 Pool:
- Total Liquidity: ~$9.50M
- SY-sUSDE: 6,333,944
- PT-sUSDE: 1,716,247
The SY-heavy composition is consistent with Pendle’s launch dynamics for new maturities, in which seed liquidity is provided predominantly in SY form.
Source: LlamaRisk, June 3, 2026
Price and Yield
The PT implied yield stands at 4.22%, the underlying sUSDe APY at 3.77%, and the PT discount-to-par at 0.80%. The 46 bps spread between the underlying sUSDe yield and the PT implied APY is the market premium for locking in a fixed rate over the remaining 71 days, consistent with the lower volatility of the current sUSDe yield environment.
Source: LlamaRisk, June 3, 2026
The LP base APY currently stands at 4.19%, with a maximum boosted APY of 4.68% for vePENDLE holders.
Source: LlamaRisk, June 3, 2026
Price and Implied APY Projection
The chart projects PT-sUSDE-13AUG2026 price and implied APY from snapshot through maturity, with the AMM’s structural maximum at the 96% proportion bound shown as dashed lines. The initial discount rate of 4.28% tracks the current implied yield of 4.22%.
Source: LlamaRisk, June 3, 2026
Recommendations
V3 Core: Parameter Recommendation
PT-sUSDe Stablecoins E-Mode
| Parameter | Value |
|---|---|
| LTV | 90.00% |
| Liquidation Threshold | 92.00% |
| Liquidation Bonus | 4.4% |
| Borrowable assets | USDC, USDT, USDe, USDS |
PT-sUSDe USDe E-Mode
| Parameter | Value |
|---|---|
| LTV | 92.00% |
| Liquidation Threshold | 94.00% |
| Liquidation Bonus | 1.5% |
| Borrowable assets | USDe |
Reserve-level parameters
| Parameter | Value |
|---|---|
| Asset | PT-sUSDE-13AUG2026 |
| Isolation Mode | No |
| Borrowable | No |
| Collateral Enabled | No |
| Supply Cap | 25,000,000 |
| Borrow Cap | - |
| Debt Ceiling | - |
| LTV | - |
| LT | - |
| Liquidation Bonus | - |
| Liquidation Protocol Fee | 10.00% |
| E-Mode Category | PT-sUSDe Stablecoins, PT-sUSDe USDe |
V4 Plus Hub: Parameter Recommendation
The proposed parameters for PT-sUSDE-13AUG2026 on each of the two Plus Hub spokes are below.
Spoke-level liquidation configuration
| Spoke | Target Health Factor | HF for Max Bonus | Liquidation Bonus Factor |
|---|---|---|---|
| Ethena Correlated | 1.0277 | 0.99 | 1 |
| Ethena Ecosystem | 1.0332 | 0.99 | 1 |
Reserve-level parameters: Ethena Correlated spoke
| Parameter | PT-sUSDE-13AUG2026 |
|---|---|
| Suppliable | yes |
| Collateral | yes |
| Borrowable | no |
| Collateral Factor | 94% |
| Max Liquidation Bonus | 1.5% |
| Liquidation Fee | 10% |
| Collateral Risk score | 0% |
| Add Cap | 2,500,000 |
Reserve-level parameters: Ethena Ecosystem spoke
| Parameter | PT-sUSDE-13AUG2026 |
|---|---|
| Asset role | Collateral only |
| Suppliable | yes |
| Collateral | yes |
| Borrowable | no |
| Collateral Factor | 92% |
| Max Liquidation Bonus | 4.4% |
| Liquidation Fee | 10% |
| Collateral Risk score | 0% |
| Add Cap | 2,500,000 |
Price Feed Recommendation
For pricing PT-sUSDE-13AUG2026 on both Aave V3 Core and Aave V4 Plus Hub, the dynamic linear discount rate oracle is recommended, consistent with the approach used for PT-sUSDE-7MAY2026 and prior Ethena PT maturities.
The oracle prices the PT as a zero-coupon bond, applying a linear discount whose rate is bounded above by a maximum discount rate parameter.
Oracle Parameters
| Parameter | PT-sUSDE-13AUG2026 |
|---|---|
| initialDiscountRatePerYear | 4.28% |
| maxDiscountRatePerYear | 12.24% |
Disclaimer
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. LlamaRisk serves as a member of Ethena’s Risk Committee and an independent attestor of Ethena’s PoR solution. LlamaRisk did not receive compensation from the protocol(s) or their affiliated entities for this work. The information should not be construed as legal, financial, tax, or professional advice.