Summary
LlamaRisk supports the proposal to onboard PT-USDE-31JULY2025 to the Aave V3 Core instance. At the time of this proposal, there remain 77 days until the maturity of this PT asset. Therefore, integration efforts are expected to be justified by the user interest, leaving 60-70 days of market availability after deployment. The PT yield opportunity is also expected to remain as long as positive market sentiment continues.
The underlying USDe PT market yield stems from Ethena’s points program, which rewards holding USDe. The implied PT yield had generally trended around 6-8% in the past months; however has increased to 9.9% over the past week due to renewed positive broader market conditions. Historically, the availability of USDe PT markets has always been limited to a unique maturity, which is also the case now.
The specific parameter recommendations will be presented in agreement with @ChaosLabs.
Assessment of PT base asset: Link
Considered PT asset maturities: PT-USDE-31JULY2025
Asset State
Underlying Yield Source
The USDe’s speculative yield originates from Ethena’s continued points program season 4, which rewards holding USDe and utilizing USDe in different venues. However, the main driver of the utility for USDe is yield-bearing sUSDe, which 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. This yield trend also directly affects the PT-USDe’s implied yield expectations.
For PT-USDe 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 USDe at maturity, capturing the fixed yield based on the discounted purchase.
Underlying utility
The utility of USDe as a PT asset is based on speculative interest in potential future Ethena rewards. USDe is positioned as a synthetic stablecoin, attracting users seeking delta-neutral exposure with additional yield opportunity when staked into sUSDe. However, a single and less liquid USDe PT market is available on Pendle, indicating lower utility than its PT-sUSDe and PT-eUSDe counterparts.
Underlying stability
The stability of USDe depends on solvency and collateralization. Nonetheless, it can also be affected by broader market stress. To provide full collateralization and coverage against market, centralization, and collateral risks, the reserve fund with ~$60M of highly liquid assets has been accumulated. Historically, the secondary market peg of USDe has remained stable, with an expectation of temporary stress events, the most recent being the Bybit exploit incident. The secondary market discount of USDe has not exceeded 20 bps since then.
Source: LlamaRisk, May 14th, 2025
Total Supply
The pool was deployed on February 26th, 2025, and has matured to become more prominent in size. The SY-USDe supply has reached 53M, and the available pool’s liquidity stands at 11M. The difference between these values roughly represents the supply of PT-USDe, with PT-USDe being part of the available liquidity amount. This equates to a total PT-USDe supply of 44.6M tokens.
Source: LlamaRisk, May 14th, 2025
Holders
The PT-USDE-31JULY2025 token holder distribution is diverse and decentralized, with the largest holder being Morpho protocol with 30.65% of the total asset supply. Pendle’s liquidity pool is the second largest holder, with 5.67% of PT’s supply. The 10 largest holders collectively hold ~59.1% of the asset’s supply.
Source:
Etherscan, May 14th, 2025
Liquidity
As mentioned above, the PT-USDe pool maintains an estimated liquidity of $11M. 77.5% is held in SY USDe, while the remaining 22.5% is in PT USDe tokens. Liquidity is lower than eUSDe and sUSDe Pendle markets, indicating less user interest in PT USDe.
Source:
Pendle, May 14th, 2025
The market’s order book composition also suggests lower trading activity, with a bid-ask spread at 0.28 of implied yield. Overall, a smaller bid side liquidity is apparent, amounting to 3.1M PT tokens in total. This may also explain recent aggressive implied yield changes.
Source:
Pendle, May 14th, 2025
The PT-USDE-31JULY2025 pool has the following parameters:
| Parameter |
Value |
| Liquidity Yield Range |
5% - 27% |
| Fee Tier |
0.1262% |
| Input Tokens |
USDe |
| Output Tokens |
USDe |
| Reward Tokens |
PENDLE |
Market State
Price and Yield
At the time of writing, there are 77 days until the pool’s maturity. The implied PT yield is at 9.69% APY, with the PT price of 0.981 USDe. The implied PT and LP yields have dropped during the month after the pool’s inception. Recently, there has been an uptick in yields, which can be attributed to renewed positive market conditions.
Source: LlamaRisk, May 14th, 2025
Maturities
The PT-USDE-31JULY2025 is the sole USDe maturity pool available on the Ethereum market. An additional but negligibly sized pool ($1M liquidity) is available on Bera chain Pendle deployment. The historical availability of PT USDe markets indicates that user interest has been and is expected to remain stable.
Source:
Pendle, May 14th, 2025
Integrated Venues
PT PT-USDE-31JULY2025 is also present on Morpho. On this lending platform, 13.6M tokens are currently supplied to 2 different vaults as collateral, non-borrowable. In addition, looping strategies are made available on Contango.
Source:
Pendle, May 14th, 2025
Recommendations
Aave Market Parameters
We support the market parameters and a dedicated E-Mode setup provided by ChaosLabs, including capital-efficient USDe E-Mode and a separate classical PT-stablecoins E-Mode.
Price Feed
We propose using the usual USDe-denominated asset pricing on Aave, where underlying USDe would be priced as USDT/USD. The PT token price would also be controlled under a PT linear discount rate Oracle implementation. We judge that the discount rate parameter can be lower than the one used for PT sUSDe oracle, with maxDiscountRate being similar to the liquidity yield range. @ChaosLabs recommended the final Oracle parameters; we support them.
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 Ethena’s PoR attestor. 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.
