Summary
LlamaRisk supports listing PT-srUSDe-22OCT2026 on the Aave V4 Plus Hub via two new dedicated spokes, Strata Correlated and Strata Stablecoins. At the time of this analysis, the asset has 64 days remaining until maturity.
The October maturity Pendle pool was deployed on June 6, 2026 and holds $4.50M in liquidity. The asset is live on the Aave V3 Ethereum Core market, where 49.32M PT ($48.98M) is supplied against a 75,000,000 supply cap, which is 97.2% of all PT-srUSDe-22OCT2026 outstanding. The caps for the new Spokes have been sized taking into consideration that most of the supply is already deposited on Aave V3.
Assessment of PT base asset: Link
Assessment of Pendle PTs: Link
Considered PT asset maturities: PT-srUSDe-22OCT2026
Asset State
Asset Growth
srUSDe has 54.51M tokens outstanding as of August 18, 2026, backed by 56.13M USDe of vault assets, which places the senior claim at 1.0297 USDe per token. SY-srUSDe, the wrapper through which srUSDe enters the Pendle system, stands at 53.45M and tracks the tranche supply closely. Strata TVL across all products is $72.25M, of which $63.15M is USDe-denominated.
Supply has not been stable over the life of the October pool. srUSDe contracted from 62.10M on June 6 to 28.18M on July 15, a 54.6% drawdown, then recovered to 54.51M. SY-srUSDe moved with it, reaching 26.96M at the same trough.
Source: LlamaRisk, August 18, 2026
The base asset behind the tranche, Ethena’s USDe, has a circulating supply of $3.97B, consolidated from its October 2025 peak of $14.8B through a stepped decline across the first half of 2026.
Underlying Stability
srUSDe is the senior tranche of Strata’s two-tranche split of pooled USDe, allocated by a Dynamic Yield Split. Senior holders receive a yield floor and are paid ahead of the junior tranche, jrUSDe, which absorbs the first loss on the underlying strategy. Redemption pays out in USDe or sUSDe at the srUSDe/USDe exchange rate less a 10 bps fee, with the sUSDe leg settling instantly and the USDe leg subject to Ethena’s unstaking cooldown, currently set to 1 day.
USDe trades at $0.9998 and has held within plus 0.03% to minus 0.22% of par since the October 2025 depeg episode, when it briefly traded near $0.97. sUSDe trades at $1.2439 against a redemption value that accrues with distributed yield. Measured in USDe terms, its discount to that value ranges from plus 0.04% to minus 0.22%, well inside the liquidation bonuses proposed below.
Source: LlamaRisk, August 18, 2026
Underlying Yield Source
srUSDe earns a yield floor linked to the Aave V3 USDC/USDT lending benchmark on pooled USDe staked into Ethena’s sUSDe strategy, with additional upside when sUSDe APY exceeds that level. For PT-srUSDe-22OCT2026, that yield is captured as a discount to par on the principal token, which redeems at maturity for the quantity of srUSDe worth 1 USDe, while the floating component is stripped out to YT-srUSDe-22OCT2026.
Pendle reports the underlying srUSDe APY at 3.42%, reflecting the benchmark-linked floor prevailing over the current period.
Market Analysis
Total Supply
The PT-srUSDe-22OCT2026 pool was deployed on June 6, 2026 and holds $4.50M in total liquidity, composed of 3,183,935 SY-srUSDe and 1,226,346 PT-srUSDe-22OCT2026. SY-srUSDe outstanding stands at 53.45M.
50.75M PT-srUSDe-22OCT2026 have been minted in aggregate, of which 2.4% sits inside the Pendle AMM and 97.6% is held off-pool. 49.32M of that float, 97.2% of all PT minted, is supplied as collateral on the Aave V3 Ethereum Core market, which is consistent with holders carrying the position to maturity rather than trading it.
Source: LlamaRisk, August 18, 2026
Pool Composition
PT-srUSDe-22OCT2026 Pool:
- Total Liquidity: $4.50M
- SY-srUSDe: 3,183,935
- PT-srUSDe-22OCT2026: 1,226,346
The pool is SY-heavy at 72.2% SY and 27.8% PT.
Source: LlamaRisk, August 18, 2026
Price and Yield
The PT implied yield stands at 3.91%, the underlying srUSDe APY at 3.42%, and the PT discount-to-par at 0.68%. The 49 bps spread is the market premium for locking in a fixed rate over the remaining 64 days.
Source: LlamaRisk, August 18, 2026
PT Yield in Context
Against the PT fixed yield of 3.91%, Aave V3 Ethereum mainnet variable borrow rates stand at 3.08% for USDe and 3.85% for USDT, giving positive carry of 83 bps and 6 bps, while USDC at 4.07% and USDS at 5.68% give negative carry of 15 bps and 177 bps. Leveraged PT positions are currently profitable against USDe and USDT borrow, and are not profitable against USDC or USDS.
Price and Implied APY Projection
The chart projects the PT price trajectory and implied APY from the snapshot through maturity, with the AMM’s structural bounds shown as dashed lines. The initial discount rate of 3.77% tracks below the current implied yield of 3.91%.
Source: LlamaRisk, August 18, 2026
Maturities
PT-srUSDe-22OCT2026 is the only active srUSDe maturity on Pendle. Subsequent maturities listed by Pendle would provide rollover destinations as the October pool approaches its own expiry.
Recommendations
Parameter Recommendation
The listing adds two spokes to the Plus Hub, Strata Correlated and Strata Stablecoins, each admitting PT-srUSDe-22OCT2026 and sUSDe as collateral against the borrowable set below. Two spokes are used because Collateral Factor is set per reserve and target Health Factor per spoke, so one spoke cannot carry both configurations. Subsequent srUSDe maturities would be added to these same spokes.
Spoke-level liquidation configuration
| Spoke |
Target Health Factor |
HF for Max Bonus |
Liquidation Bonus Factor |
| Strata Correlated |
1.0277 |
0.99 |
1 |
| Strata Stablecoins |
1.0332 |
0.99 |
1 |
The sUSDe Collateral Factor and Max Liquidation Bonus in the tables below carry the values live on the Ethena Correlated and Ethena Ecosystem spokes and are pending a dedicated review of the sUSDe parameters.
Collateral reserves: Strata Correlated spoke
| Parameter |
PT-srUSDe-22OCT2026 |
sUSDe |
| Suppliable |
yes |
yes |
| Collateral |
yes |
yes |
| Borrowable |
no |
no |
| Collateral Factor |
94% |
92.00% |
| Max Liquidation Bonus |
2% |
3.00% |
| Liquidation Fee |
10% |
10% |
| Collateral Risk score |
0% |
0% |
| Add Cap |
10,000,000 |
5,000,000 |
Borrowable reserves: Strata Correlated spoke
| Parameter |
USDe |
| Suppliable |
no |
| Collateral |
no |
| Borrowable |
yes |
| Draw Cap |
2,500,000 |
Collateral reserves: Strata Stablecoins spoke
| Parameter |
PT-srUSDe-22OCT2026 |
sUSDe |
| Suppliable |
yes |
yes |
| Collateral |
yes |
yes |
| Borrowable |
no |
no |
| Collateral Factor |
91% |
92.00% |
| Max Liquidation Bonus |
5% |
3.00% |
| Liquidation Fee |
10% |
10% |
| Collateral Risk score |
0% |
0% |
| Add Cap |
10,000,000 |
5,000,000 |
Borrowable reserves: Strata Stablecoins spoke
| Parameter |
USDC |
USDT |
USDe |
| Suppliable |
no |
no |
no |
| Collateral |
no |
no |
no |
| Borrowable |
yes |
yes |
yes |
| Draw Cap, Plus |
2,500,000 |
2,500,000 |
2,500,000 |
| Draw Cap, Core |
375,000 |
375,000 |
- |
USDC and USDT are drawn from both the Plus and Core Hubs, and USDe from the Plus Hub.
Price Feed Recommendation
For pricing PT-srUSDe-22OCT2026 on the Aave V4 Plus Hub, the dynamic linear discount rate oracle is recommended, consistent with the approach used for the srUSDe maturities already listed on Aave.
The oracle prices the PT as a zero-coupon bond against a capped Chainlink USDT/USD reference with an upper bound of $1.04, applying a linear discount that decays to par at maturity and is bounded above by a maximum discount rate parameter. The oracle deployed for this asset on the Aave V3 Ethereum Core market, 0xbd1bc41479d0b58167584980fe57fda913d4fb73, can be reused for the Aave V4 deployment.
Disclaimer
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. LlamaRisk serves as a member of Ethena’s Risk Committee and an independent attestor of Ethena’s PoR solution. LlamaRisk did not receive compensation from the protocol(s) or their affiliated entities for this work. The information should not be construed as legal, financial, tax, or professional advice.
