PT token analysis
Summary
LlamaRisk supports listing PT-srUSDe-15JAN2026 on the Aave V3 Core instance. At the time of this analysis, the asset matures in approximately 42 days. The market for srUSDe is driven by a unique points-based yield mechanism, generating significant user demand for fixed-rate products based on Ethena’s sUSDe underlying asset.
Asset State
Underlying Yield Source
The underlying yield for srUSDe is generated by staking pooled USDe into Ethena’s sUSDe strategy. The yield allocated to srUSDe has a floor set by the benchmark rate, defined as the Aave v3 lending rate on USDC and USDT, with uncapped upside exposure to the realized sUSDe APY. In extreme scenarios, the srUSDe will effectively earn the same APY as sUSDe.
For PT-srUSDe, the fixed yield is implied by purchasing the principal token at a discount to its notional srUSDe face value and redeeming it 1:1 for srUSDe at maturity, so the discount accretes to par over time in line with the standard Pendle PT structure, while the floating srUSDe yield is stripped out to the corresponding yield token.
In addition to this underlying yield, srUSDe holders currently earn 30x Strata Points and 30x Ethena Points under the Strata rewards program.
Underlying stability
srUSDe derives its value from the on-chain accounting of a single pooled USDe/sUSDe position. Stability, therefore, depends on USDe/sUSDe maintaining solvency and liquidity, sUSDe redemptions and cooldowns functioning efficiently so that TVL can be unwound in stress, and on resilient secondary market liquidity for USDe around its $1 target.
Source: LlamaRisk, December 3, 2025
Market Analysis
Total Supply
The PT-srUSDe-15JAN2026 maturity pool has recorded substantial growth since launch. As of December 3, 2025, the total available liquidity (TVL) stands at approximately $45 million, while the aggregate supply of the underlying SY-srUSDe has expanded to more than $ 175 million.
Source: LlamaRisk, December 3, 2025
The total available liquidity in the PT-srUSDe pool is about $45.46M, of which roughly $38.08M (83.8%) sits in SY-srUSDe and $7.38M (16.2%) in PT-srUSDe. The pool is currently incentivized with an estimated 282 PENDLE tokens in daily rewards.
Source: Pendle, December 3, 2025
Market Depth
The market’s order book shows substantial two-sided depth around the current yield. Around the 8% implied yield level, there is sizeable cumulative bid interest in the low millions of PT, with additional buy size resting at gradually higher yields. On the sell side, meaningful offer size is visible down to the mid-6% yield area.
Overall, the depth profile suggests that reasonably large orders can be executed with minimal yield slippage and that pricing is supported by an active two-way interest rate rather than a thin, one-sided flow.
Source: Pendle, December 3, 2025
Price and Yield
PT-srUSDe-15JAN2026 pricing has normalised as the market matured: implied PT yield started in the mid-teens with a wide premium over LP returns, briefly spiked again in early November, and has since compressed. As of early December, implied PT yield is tracking around 8% APY, while the maximum LP yield in the same pool is materially lower, leaving fixed-yield PT buyers with a persistent positive spread.
Source: LlamaRisk, December 3, 2025
Maturities
On Pendle, srUSDe exposure is concentrated in a single term market: the PT/YT srUSDe contract maturing on January 15th, 2026. As of 3 December 2025, the full SY-srUSDe supply on Pendle (approximatelt $177.61 million) is linked to this maturity, making the 15JAN2026 market the sole venue for fixed-yield pricing, YT leverage, and rollover activity in srUSDe.
Source: Pendle, December 3, 2025
Integrated Venues
PT-srUSDe-15JAN2026 is already integrated across several lending venues. On Morpho, it is used as primary collateral in multiple USDC lending vaults. On Euler Yield, PT-srUSDe-15JAN2026 is enabled as collateral within dedicated vaults, allowing users to borrow against their fixed-yield position.
Recommendations
Aave Market Parameters
Will be presented jointly with @ChaosLabs. Other parameters will be handled via Risk Oracle.
Price Feed Recommendation
For pricing PT tokens on Aave, a specific dynamic linear discount rate oracle has been developed by BGD Labs. It is recommended that PT srUSDe tokens be priced using it. In addition, due to full direct redemption availability, srUSDe would be priced on par with sUSDe; therefore, it would use sUSDe’s standard pricing mechanism on Aave’s markets.
Disclaimer
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. LlamaRisk is not directly affiliated with the protocol(s) reviewed in this assessment and 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.