[Direct-to-AIP] Ethena February PTs Caps and E-Modes Adjustments

[ChaosLabs]

Summary

This AIP proposes a set of risk-parameter updates to support continued growth of Ethena principal token markets on the Ethereum Core instance, while formally offboarding recently matured November-expiry markets and reducing friction for looping strategies via E-Mode adjustments. The core changes include doubling the supply caps for PT-sUSDe-5FEB2026 and PT-USDe-5FEB2026 from 120M to 240M, disabling new usage of the November 2025 principal tokens as collateral by reducing their supply caps, and adding sUSDe as a collateral asset in the PTsUSDe5FEB/Stablecoins and PTsUSDe5FEB/USDe E-Modes.

PT-sUSDe-5FEB2026 (Ethereum Core)

PT-sUSDe-5FEB2026 has reached its supply cap on the Ethereum Core instance following an inflow of $60 million since November 30th.

Supply Distribution

The supply of PT-sUSDe-5FEB is highly concentrated, with the top user representing over 40% of the total, while the top two users account for approximately 77.5% of the market. As can be observed in the plot below, the suppliers are using PT-sUSDe-5FEB in order to collateralize USDe and USDT debt positions. Typical for such markets, suppliers are recursively looping the yield-bearing assets against stablecoins to leverage the spread between the underlying appreciation rate of the principal token and the borrowing costs of the stablecoins. Considering the strategies employed, the health factors in the 1.03-1.20 range present minimal risk due to the high correlation of the debt and collateral assets.

As mentioned previously, the suppliers are borrowing USDe and USDT, facilitated by respective E-Modes, which provide a high level of capital efficiency, thereby allowing additional scaling of the net yields. Considering the substantial correlation of the assets, the risk of liquidations in the market is currently minimal.

As mentioned previously, the suppliers are borrowing USDe and USDT, facilitated by respective E-Modes, which provide a high level of capital efficiency, thereby allowing additional scaling of the net yields. Considering the substantial correlations of the assets, the risk of liquidations in the market is currently minimal.

Market and Liquidity

The implied APY of the principal token has seen a substantial increase over the past two days, reaching 5.97%, which has had an adverse effect on the price of the principal token. While the impact is measurable, it is discounted by duration and is minimal. Additionally, the 50-basis-point increase in the implied rate results in higher net APYs for loopers, pushing demand to supply the principal token on Aave.

The liquidity profile of the assets with regard to the Pendle AMM has not shifted since our last review, as it can currently facilitate a swap of 20 million PT-sUSDe tokens for USDe at 1% slippage, allowing for additional expansion of the supply cap.

Recommendation

Considering the conservative user behavior, substantial on-chain liquidity, and high correlation of the borrowed and supplied assets, we recommend increasing the supply cap of the asset.

PT-USDe-5FEB2026 (Ethereum Core)

Similar to its staked counterpart, PT-USDe-5FEB2026 has also reached its supply cap on the Ethereum Core instance, resulting from an additional 60 million tokens being supplied over the last three days.

Supply Distribution

The supply of PT-USDe-5FEB2026 is heavily concentrated, with the largest supplier controlling approximately 88% of the market. As illustrated in the chart below, participants are utilizing PT-USDe-5FEB2026 as collateral to borrow USDe and USDC. As is common in these markets, users are engaging in recursive looping strategies with yield-bearing assets against stablecoins to capitalize on the difference between the underlying yield of the principal token and the borrowing costs of the stablecoin. Given the strategy being employed, the health factors, ranging from 1.14 to 1.55, are highly conservative and pose minimal risk due to the strong correlation between debt and collateral assets.

Market and Liquidity

The implied yield of PT-USDe-5FEB2026 has declined by 50 basis points over the past seven days. At the time of writing, the implied yield of the asset is 4.68%, given the borrowing cost of USDe at 3.70%. This presents limited upside, as the spread between the underlying yield of the principal token and the borrowing costs of USDe has compressed materially.

The liquidity profile of the asset has grown by 10% since our last assessment. Pendle’s AMM currently has a TVL of approximately $2.7 million, compared to $2.5 million three days ago. The estimated slippage on a 2.5 million PT-USDe swap for USDe stands at 1%, presenting a constraint on future expansion of the asset’s supply cap. While the current liquidity profile is somewhat constraining, the teams associated with liquidity provision in the market are committed to expanding the depth of Pendle’s AMM, thereby alleviating risks associated with shallow liquidity.

Recommendation

Considering the expanding demand to loop the asset, low risk of liquidations, and expected expansion in the liquidity profile of the asset, we recommend increasing the supply cap of PT-USDe-5FEB2026.

November Expiry Ethena PTs (Ethereum Core)

Given that the November expiry USDe and sUSDe principal tokens have recently matured, and the total supply currently stands at $63.75 million (representing 1.5% of the aggregate supply at the top), we recommend offboarding the assets by setting the supply caps to one. This measure will prevent any new collateral from being added and facilitate the orderly wind-down of remaining positions, simplifying risk management for these expired markets, without triggering liquidations for existing users.

PTsUSDe5FEB/Stablecoins & PTsUSDe5FEB/USDe E-Modes

We recommend adding sUSDe as an eligible collateral asset in both the PTsUSDe5FEB/Stablecoins and PTsUSDe5FEB/USDe E-Modes to reduce potential friction for sUSDe-based principal token loopers when substituting collateral. As PT-sUSDe-5FEB2025 can only be redeemed for sUSDe, enabling sUSDe within these E-Modes will allow users to migrate collateral from the principal token to sUSDe while preserving E-Mode benefits, rather than fully unwinding their positions.

To date, this substitution path has seen limited use: in September, approximately 24.27 million sUSDe of collateral, out of more than 2 billion principal tokens with September maturity, was swapped via transactions that burned PT-sUSDe and minted aEthsUSDe. While not widely adopted historically, we view this as a useful tool for advanced position management and would recommend supporting it as the markets scale. This adjustment is therefore expected to increase the stickiness of PT-sUSDe-based demand for stablecoin borrowing, reduce unnecessary deleveraging and operational overhead around redemption events, and lower potential liquidity stress when positions are adjusted at substantial market sizes.

Specification

Instance	Asset	Current Supply Cap	Recommended Supply Cap	Current Borrow Cap	Recommended Borrow Cap
Ethereum Core	PT-sUSDe-5FEB2026	120,000,000	240,000,000	-	-
Ethereum Core	PT-USDe-5FEB2026	120,000,000	240,000,000	-	-
Ethereum Core	PT-sUSDe-27NOV2026	2,000,000,000	1	-	-
Ethereum Core	PT-USDe-27NOV2026	2,400,000,000	1	-	-

PT-sUSDe Stablecoins E-mode

Asset	PT-sUSDe-5FEB2026	PT-sUSDe-27NOV2025	sUSDe	USDe	USDC	USDT	USDe	USDtb
Collateral	Yes	Yes	Yes	Yes	No	No	No	No
Borrowable	No	No	No	No	Yes	Yes	Yes	Yes
LTV	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-	-	-	-
LT	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-	-	-	-
Liquidation Bonus	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-	-	-	-

PT-sUSDe USDe E-mode

Asset	PT-sUSDe-5FEB2026	PT-sUSDe-27NOV2025	sUSDe	USDe
Collateral	Yes	Yes	Yes	No
Borrowable	No	No	No	Yes
LTV	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-
LT	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-
Liquidation Bonus	Subject to Risk Oracle	Subject to Risk Oracle	Subject to Risk Oracle	-

Disclosure

Chaos Labs has not been compensated by any third party for publishing this AGRS recommendation.

Copyright

Copyright and related rights waived via CC0.

[Nandy.eth]

Note for reviewers:

• Cap increases will be manage by Risk steward
• E-mode asset modifications will be manage by AIP and ACI will take care of the implementation via Skyward

[LlamaRisk]

Summary

LlamaRisk supports this AIP, viewing the parameter adjustments as a logical step to accommodate the growth of Ethena PTs on Aave. We are in favor of the supply cap expansions and the offboarding of matured assets. Additionally, while we support the inclusion of sUSDe in E-Modes to facilitate position management, we recommend further extending this flexibility by also including USDe as a collateral asset.

Supply Caps Increase

We are in favor of further expanding the supply caps for both PT-USDe-5FEB2026 and PT-sUSDe-5FEB2026. Given the current market usage and conservative borrower behavior observed, this increase represents an incremental scaling without introducing new risk vectors to the protocol.

sUSDe and USDe as Collateral

In our effort to facilitate users closing their leverage positions with ease, we are fully supportive of including sUSDe in the E-Mode. This adjustment significantly reduces friction for users looking to transition their collateral to the next maturity date.

To further this effort, we also recommend adding USDe as a collateral asset within these E-Modes. Allowing USDe as collateral provides users with additional flexibility—particularly when unstaking sUSDe positions—without introducing significant new risk factors. This ensures a smoother exit or transition strategy for users managing their Pendle PTs.

Delisting Matured PTs

We support reducing the supply caps to effectively offboard the recently matured November PTs. This is a prudent housekeeping measure to signal the wind-down of these markets. However, we would note that the technical risk of new deposits is already minimal; once a PT matures, the underlying Pendle design prevents the minting of new tokens, making new significant inflows into these Aave pools highly improbable.

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.

[willray]

Why hasn’t this change been implemented after a week? Who is in charge of this matter, and where can we find information about its progress?

[ChaosLabs]

Motivation

The motivation behind the addition of sUSDe in the PT-sUSDe E-Modes strains from the fact that users would otherwise need to fully unwind highly leveraged positions in order to shift from the November sUSDe PTs to the February maturity tokens. Since Pendle allows one-to-one redemption of the PTs at maturity, users receive sUSDe without incurring in any swapping cost, which, while yield-bearing, can be utilized as collateral, and can act as a substitution for the PT-sUSDe when users are exiting the previous maturity PTs while awaiting the next maturity PTs (either to be listed or to have sufficient capacity). This way, the presence of sUSDe in the E-Modes serves a high-utility purpose for a subset of users.

The inclusion of USDe in the E-Modes does not provide such utility as it is not yield-bearing. Hence, if users redeem PT-USDe for USDe and then collateralize the debt with USDe, they would be taking a leveraged annualized loss equal to the borrowing costs of the notional debt. We’d also like to note that the utility of such collateral in the PT-related E-Modes does not depend on the type of PT (sUSDe or USDe), as no incremental utility is provided by USDe in either case. In case of unwinding staked USDe positions, the inclusion of USDe under the same parameters effectively presents the same utility. Nevertheless, the inclusion of USDe in the PT-USDe E-Mode can reduce the costs of transition in one specific edge case. Given that a user has a substantial leveraged position and is paying borrowing costs on the notional, if the next PT is expected to be listed within a reasonably short period of time, it might be beneficial to incur the funding costs of the net position instead of converting the USDe collateral to the debt assets.

While the inclusion of USDe in the proposed E-Modes presents limited utility, such an adjustment does not introduce additional risk; therefore, we support the proposed adjustment.

Disclosure

Chaos Labs has not been compensated by any third party for publishing this AGRS recommendation.

[willray]

Please remember to add sUSDe to the collateral in PT’s E-MODE next time. The reason is simple. Every time a new PT is listed, you set a very conservative CAP, which prevents many people from converting their expired PT to new PT. We can only use sUSDe as a temporary measure. Therefore, sUSDe should be set as collateral for every new PT E-MODE. I don’t know why PT-FEB didn’t do this this time, and this AIP still hasn’t been implemented to this day.

[Nandy.eth]

Proposal have been pushed to AIP : Aave Governance - Proposal 426, Vote open tomorrow.