Summary
LlamaRisk supports onboarding PT-srUSDe-22OCT2026 to the Aave V3 Core instance on Ethereum. At the time of this analysis, the asset has approximately 131 days remaining until maturity on October 22, 2026. The new maturity provides a rollover destination for users currently holding PT-srUSDe-25JUN2026 collateral on Aave V3 Core as that maturity approaches expiry.
The Pendle pool was deployed on June 5, 2026. It holds approximately $0.36M in liquidity and is expected to see additional inflows as liquidity rotates from the preceding maturity. The PT-srUSDe-25JUN2026 pool currently holds about $8.46M in Pendle AMM liquidity and backs approximately $46.8M of collateral on Aave V3 Core. As that maturity nears expiry, it is expected to be the primary source of both liquidity depth and user demand for the October pool. This onboarding recommendation is conditional on the successful migration of liquidity from the June maturity into the PT-srUSDe-22OCT2026 pool.
Assessment of PT base asset: Link
Assessment of Pendle PTs: Link
Considered PT asset maturities: PT-srUSDe-22OCT2026
Asset State
Asset Growth
USDe’s circulating supply is ~$4.49B, down from a peak of ~$14.8B in October 2025. srUSDe, the Strata senior tranche, has ~59.6M tokens outstanding.
Source: LlamaRisk, June 13, 2026
Underlying Stability
The chart below shows the Chainlink USDe/USD and sUSDe/USD price feeds. USDe held a tight band around its $1.00 peg over the period and read ~$0.9996 at the snapshot. sUSDe, the staked USDe that srUSDe redeems into, accrued steadily with its yield, rising to ~$1.23.
srUSDe is the senior tranche token of a Strata vault collateralized by sUSDe, into which it redeems. It accrues value through an on-chain exchange rate against USDe, and as the senior tranche, it absorbs losses only after the junior tranche is exhausted.
Source: LlamaRisk, June 13, 2026
Underlying Yield Source
srUSDe earns its yield from sUSDe, which collateralizes the vault. The detailed yield mechanism is set out in the base asset assessment linked above. Pendle splits this position into PT-srUSDe, a fixed-rate claim that redeems at maturity for the quantity of srUSDe worth one USDe rather than for one srUSDe, and a yield token that keeps the floating yield. At the snapshot, the underlying yields 3.40% APY.
Market Analysis
Total Supply
The PT-srUSDe-22OCT2026 Pendle pool was deployed on June 5, 2026, and holds ~$0.36M in total liquidity (178,743 SY-srUSDe and 183,471 PT). 184,848 PT-srUSDe-22OCT2026 have been minted in aggregate via SY splits, of which ~99% sits inside the Pendle AMM.
The preceding maturity, PT-srUSDe-25JUN2026, holds ~$8.46M in Pendle AMM liquidity and backs ~$46.8M of PT collateral on Aave V3 Core, with expiry on June 25, 2026. As that maturity nears expiry, its AMM liquidity is expected to migrate to the October pool. This listing is conditional on that migration.
Source: LlamaRisk, June 13, 2026
Pool Composition
PT-srUSDe-22OCT2026 Pool:
- Total Liquidity: ~$0.36M
- SY-srUSDe: 178,743
- PT-srUSDe-22OCT2026: 183,471
PT and SY reserves are close to balanced by token count, as PT trading volume has met the seed SY liquidity requirement.
Source: LlamaRisk, June 13, 2026
Price and Yield
The PT implied yield stands at 5.47%, the underlying srUSDe APY at 3.40%, and the PT discount-to-par at 1.89%. The 207 bps spread between the underlying srUSDe yield and the PT-implied APY is the premium for locking in a fixed rate for the remaining 131 days.
Source: LlamaRisk, June 13, 2026
PT Yield in Context
PT-srUSDe-22OCT2026 pays a fixed 5.47%. The three stablecoins borrowable against this collateral carry variable borrow rates on Aave V3 Core of 3.98% for USDC, 3.55% for USDT, and 2.97% for USDe, all of which are below the PT fixed rate. A leveraged PT-srUSDe position funded with any of them, therefore, carries positive carry at the snapshot rates.
Price and Implied APY Projection
The chart projects PT-srUSDe-22OCT2026 price and implied APY from the snapshot through maturity, with the AMM’s structural maximum at the proportion bound shown as dashed lines.
Source: LlamaRisk, June 13, 2026
Maturities
PT-srUSDe-22OCT2026 is the next maturity in the srUSDe Pendle market calendar. PT-srUSDe-25JUN2026 is the active rollover origin, with expiry on June 25, 2026, with the October maturity giving holders a market to migrate into. Subsequent maturities will serve the same purpose once the October market expires.
Recommendations
Specification
| Parameter |
Value |
| Asset |
PT-srUSDe-22OCT2026 |
| Borrowable |
No |
| Collateral Enabled |
No |
| Supply Cap |
25,000,000 |
| Borrow Cap |
- |
| Debt Ceiling |
- |
| LTV |
- |
| LT |
- |
| Liquidation Bonus |
- |
| Liquidation Protocol Fee |
10.00% |
| E-Mode Category |
PT-srUSDe Stablecoins, PT-srUSDe USDe |
Linear Discount Rate Oracle
| Parameter |
Value |
| initialDiscountRatePerYear |
5.31% |
| maxDiscountRatePerYear |
10.22% |
PT-srUSDe Stablecoins E-Mode
| Parameter |
Value |
| Isolated |
True |
| LTV |
88.42% |
| LT |
90.42% |
| Liquidation Bonus |
5.68% |
| Asset |
PT-srUSDe-22OCT2026 |
sUSDe |
USDC |
USDT |
USDe |
| Collateral |
Yes |
Yes |
No |
No |
No |
| Borrowable |
No |
No |
Yes |
Yes |
Yes |
PT-srUSDe USDe E-Mode
| Parameter |
Value |
| Isolated |
True |
| LTV |
91.06% |
| LT |
93.06% |
| Liquidation Bonus |
2.68% |
| Asset |
PT-srUSDe-22OCT2026 |
sUSDe |
USDe |
| Collateral |
Yes |
Yes |
No |
| Borrowable |
No |
No |
Yes |
Price Feed Recommendation
LlamaRisk recommends pricing PT-srUSDe-22OCT2026 with the same dynamic linear discount rate oracle already used for the other srUSDe maturities. This keeps it consistent with the deployed PT-srUSDe-25JUN2026 reserve.
The oracle treats the PT as a zero-coupon claim that converges to par at maturity, priced from a capped USDT/USD Chainlink feed. The maxDiscountRatePerYear parameter caps the discount, so the quoted price can never fall below the lowest price the AMM can quote. The initialDiscountRatePerYear and maxDiscountRatePerYear values are listed in the Linear Discount Rate Oracle table above.
The discount numbers come from LlamaRisk’s dynamic PT risk-parameter methodology.
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.
