Overview
Following up on our previous review of the underlying economics of Strata and BDG’s technical assessment, we hereby propose risk parameters for PT-srUSDe-1APR2026, including recommended initialDiscountRatePerYear and maxDiscountRatePerYear values based on the dynamic linear discount rate oracle methodology described here. The recommended parameters are built on top of our Principal Token Risk Oracle framework, outlined in detail here.
Risk Oracle Parameter Evolution
Through rigorous quantification of the algorithm, we find that the integration risk of PT-srUSDe decays as the token approaches maturity. This dynamic justifies using increasingly efficient risk parameters over time. Given that Strata’s tranche products are fully allocated to sUSDe in the worst-case scenario, and as outlined in the previous review, the yield profile of srUSDe converges to that of sUSDe, we recommend aligning the final parameters of PT-srUSDe with those of sUSDe. We project the evolution of the LT, LTV, and LB, with the initial parameterization approximately as follows:
Stablecoin E-Mode
LTV: 89.5%, LT: 91.5%, LB: 4.5%
USDe E-Mode
LTV: 91.2%, LT: 93.2%, LB: 2.6%
Discount Rates
Based on the observed data and pricing dynamics of the market, our initial recommendations for the discount rate parameters are as follows: initialDiscountRatePerYear : 6.72%, maxDiscountRatePerYear : 24.01%
Supply Cap
Given the dynamics underlying the expansion of the liquidity profile in Pendle’s PT/SY AMM Pool, along with the relatively recent listing of the asset on Pendle, we view the liquidity depth as sufficient for meaningful supply caps. The plot below represents the amount of liquidity available under 3% price impact as the market approaches expiry, given the current liquidity distribution in the AMM. With the maturity of the market, the price impact associated with swapping PT becomes less extreme. With higher market maturity, the costs associated with executing sell orders of the asset compress; this trend is especially pronounced for the assets with lower scalarRoot values, which imply greater expected implied yield fluctuations, and such tokens tend to exhibit greater liquidity concentration variance. As shown in the chart below, the AMM can currently facilitate swaps exceeding 10 million tokens at a relatively conservative 3% slippage.
Additionally, both the PT and SY liquidity profiles have expanded steadily, reaching 12 and 2 million tokens, respectively.
Specification
| Parameter | Value |
|---|---|
| Asset | PT-srUSDe-1APR2026 |
| Isolation Mode | No |
| Borrowable | No |
| Collateral Enabled | No |
| Supply Cap | 50,000,000 |
| Borrow Cap | - |
| Debt Ceiling | - |
| LTV | - |
| LT | - |
| Liquidation Bonus | - |
| Liquidation Protocol Fee | 10.00% |
| E-Mode Category | PT-srUSDe Stablecoins, PT-srUSDe USDe |
Initial E-Mode Risk Oracle
| Parameter | Value | Value |
|---|---|---|
| E-Mode | Stablecoins | USDe |
| LTV | 89.5% | 91.2% |
| LT | 91.5% | 93.2% |
| LB | 4.5% | 2.6% |
Linear Discount Rate Oracle
| Parameter | Value |
|---|---|
| initialDiscountRatePerYear | 6.72% |
| maxDiscountRatePerYear | 24.01% |
PT-srUSDe Stablecoins E-mode
| Asset | PT-srUSDe-1APR2026 | sUSDe | USDT | USDe | USDC |
|---|---|---|---|---|---|
| Collateral | Yes | Yes | No | No | No |
| Borrowable | No | No | Yes | Yes | Yes |
| LTV | Subject to Risk Oracle | Subject to Risk Oracle | - | - | - |
| LT | Subject to Risk Oracle | Subject to Risk Oracle | - | - | - |
| Liquidation Bonus | Subject to Risk Oracle | Subject to Risk Oracle | - | - | - |
PT-srUSDe USDe E-mode
| Asset | PT-srUSDe-1APR2026 | sUSDe | USDe |
|---|---|---|---|
| Collateral | Yes | Yes | No |
| Borrowable | No | No | Yes |
| LTV | Subject to Risk Oracle | Subject to Risk Oracle | - |
| LT | Subject to Risk Oracle | Subject to Risk Oracle | - |
| Liquidation Bonus | Subject to Risk Oracle | Subject to Risk Oracle | - |
Disclaimer
Chaos Labs has not been compensated by any third party for publishing this recommendation.
Copyright
Copyright and related rights waived via CC0