Summary
LlamaRisk supports the proposal to onboard PT-sUSDe-31-Jul-2025 to the Aave V3 Core instance. At the time of this proposal, there remains considerable maturity of approximately 98 days. Therefore, integration efforts are expected to be justified by the user interest.
The underlying sUSDe token’s yield stems mainly from the USDe’s collateral and perpetual hedging positions accruing funding rate revenues. This yield mainly drives demand, with only minor utility stemming from speculative interest in future Ethena incentives. The implied PT yield has recently fluctuated around 4-7%, influenced by broader market conditions and the yields of stable backing assets (USDtb, sUSDS). The availability of other sUSDe PT maturities indicates ongoing interest in speculating on future sUSDe yields Ethena, suggesting longer-term utility compared to assets with single maturities.
Chaos Labs has provided specific parameter recommendations and details regarding the pricing oracle in an update above. We support these parameters, noting that pricing risk due to the temporary sUSDe secondary market de-pegs necessitates an adequate discount rate. The proposed 7.51% initial discount is sufficient to mitigate underpricing risks.
Assessment of PT base asset: Link
Considered PT asset maturities: PT-sUSDe-31-Jul-2025
Asset State
Underlying Yield Source
The yield mechanism for sUSDe is based on Ethena’s delta-neutral strategy, where USDe is backed by a mix of stablecoins (USDT, USDC, sUSDS, and USDtb) and is paired with short perpetual futures positions. This structure allows sUSDe to accrue funding rate revenues from the perpetual market and underlying yield-bearing stablecoins, which are passed on to sUSDe holders. The sustainability of this yield depends on the persistence of positive funding rates and the continued effectiveness of Ethena’s risk management. While the strategy is designed to be market-neutral, yields can fluctuate based on funding rate dynamics and the performance of the underlying collateral.
For PT-sUSDe tokens, the yield is implied through purchasing at a discount and redeeming at par value at maturity, as is standard in Pendle’s principal token structure. The PT token represents the right to redeem the underlying sUSDe at maturity, capturing the fixed yield based on the purchase discount.
Underlying utility
Investor demand for sUSDe is primarily driven by the delta-neutral yield generated by Ethena’s strategy. There is some minor speculative interest in potential future Ethena incentives, but this is not the main driver of demand. sUSDe is positioned as a synthetic stablecoin with an underlying yield mechanism, attracting users seeking delta-neutral exposure with additional yield. Multiple sUSDe PT maturities on Pendle further support user interest and utility.
Underlying stability
The stability of the sUSDe peg depends on the market conditions. Since sUSDe unstaking undergoes a cooldown of 7 days, harsher market conditions can result in secondary market discounts, possibly preventing users from capturing their estimated yield at maturity. On the other hand, larger sUSDe secondary market de-pegs have historically been temporary. Therefore, arbitrage pressure for sUSDe becomes apparent in such cases.
Source: LlamaRisk, April 24th, 2025
To date, sUSDe has maintained a relatively moderate peg to USD (10-40 bps discount), with some episodes of larger discounts during periods of market stress.
Total Supply
The pool was deployed on March 24th, 2025, and has matured to become more prominent in liquidity, even though there remain over 3 months until the pool’s maturity. The SY sUSDe supply has reached 119M, and the available pool’s liquidity stands at 50.5M. The difference between these values roughly represents the supply of PT sUSDe, with PT sUSDe being part of the available liquidity amount. This equates to a total PT sUSDe supply of 96M tokens.
Source: LlamaRisk, April 24th, 2025
Holders
The PT-sUSDe-31-Jul-2025 token holder distribution is diverse, with the largest holder being Morpho protocol with 35.5% of the total asset supply. The second largest holder is the Pendle’s liquidity pool, with 9.17% of PT’s supply. The 10 largest holders collectively hold ~74.5% of the asset’s supply.
Source: Etherscan, April 24th, 2025
Liquidity
As mentioned above, the sUSDe pool maintains an estimated liquidity of $50.5M. 83% is held in SY sUSDe, while the remaining 17% is in PT sUSDe tokens.
Source: Pendle, April 24th, 2025
The market’s order book composition indicates normal trading activity, with a bid-ask spread at 0.2% of implied yield. Nonetheless, a smaller bid side liquidity is apparent, amounting to 1.3M PT tokens in total.
Source: Pendle, April 24th, 2025
The PT-eUSDe-31-Jul-2025 pool has the following parameters:
| Parameter |
Value |
| Liquidity Yield Range |
7% - 20% |
| Fee Tier |
0.16% |
| Input Tokens |
USDe, sUSDe |
| Output Tokens |
sUSDe |
| Reward Tokens |
PENDLE |
Market State
Price and Yield
At the time of writing, there remain 98 days until the pool’s maturity. The implied PT yield is at 8.8% APY with the PT price of 0.977 USDe. The implied PT and LP yields have been stable since the pool’s inception, representing stable user interest and positive yield expectations.
Source: LlamaRisk, April 24th, 2025
Maturities
In addition to the PT-sUSDe-31-Jul-2025, a shorter maturity pool is available. Also, more pools are available on other Pendle deployments in different chains with less liquidity. Wider pool availability signals an apparent user interest that is expected to remain stable.
Source: Pendle, April 24th, 2025
Integrated Venues
PT sUSDe-31-Jul-2025 is also present on Morpho. On this lending platform, 34M tokens are currently supplied to 2 different vaults as collateral, non-borrowable.
Source: Pendle, April 24th, 2025
Recommendations
Aave Market Parameters
Chaos Labs has provided the recommended parameters. Our analysis supports recommending these parameters.
Price Feed
Chaos Labs proposes using the exchange rate of sUSDe/USDe and the PT linear discount rate Oracle implementation. USDe would be priced as USDT/USD, as with all other USDe-denominated assets. In addition, we propose to implement CAPO to mitigate the upward exchange rate manipulation risk.
We agree with the Chaos Labs proposed discountRate of 7.51% and maxDiscountRate of 21.22%.
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. LlamaRisk 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.
