Summary
LlamaRisk supports listing PT-srUSDe-25JUN2026 on the Aave V3 Core instance. At the time of this analysis, the asset has approximately 91 days remaining until maturity.
The June maturity Pendle pool was deployed on March 17, 2026, with ~$1.67M in liquidity. The pool provides a natural rollover destination for the existing April 2026 maturity (PT-srUSDe-2APR2026), which currently has ~$185.3M in collateral supplied on the Aave V3 Core instance and only 7 days remaining until expiry. As the April maturity approaches, a portion of this collateral may migrate to the June pool. The April maturity pool maintains ~$19.5M in Pendle liquidity, providing a reference for the level of depth the June pool may reach as rollovers commence.
Assessment of PT base asset: Link
Assessment of Pendle PTs: Link
Considered PT asset maturities: PT-srUSDe-25JUN2026
Asset State
Asset Growth
The Strata protocol, which provides the srUSDe/jrUSDe tranching system on Ethena’s sUSDe, currently holds ~$275.5M in TVL. After reaching a peak of ~$326.4M in October 2025, the protocol experienced outflows during the broader market correction but has since recovered, with TVL trending upward since January 2026.
Source: LlamaRisk (DeFiLlama), March 26, 2026
The srUSDe vault currently holds 224.1M USDe in total assets, with 220.5M srUSDe tokens outstanding. The vault’s exchange rate stands at 1.016389, reflecting steady yield accrual. Over the past 101 days, the exchange rate has grown 0.81%, implying an annualized rate of approximately 2.9%.
Underlying Stability
srUSDe derives its value from the on-chain accounting of a single pooled USDe/sUSDe position managed by the Strata CDO. Its stability, therefore, depends on three factors: (1) USDe/sUSDe maintaining solvency and liquidity, (2) sUSDe redemptions and cooldowns functioning efficiently so that TVL can be unwound under stress, and (3) resilient secondary market liquidity for USDe around its $1 target. A sustained USDe depeg or sUSDe redemption failure would impair the value of the srUSDe vault and, by extension, all PT tokens backed by it.
The market price of USDe remains pegged at $0.9995, with no material deviations observed via the Chainlink USDe/USD price feed since the brief depeg event in October 2025. The sUSDe secondary market price is $1.2245, consistent with accumulated yield.
The chart below shows both USDe and sUSDe secondary market prices from Chainlink oracle data, along with the USDe price discount.
Source: LlamaRisk (Chainlink Price Feeds), March 26, 2026
The srUSDe/USDe exchange rate has been rising since December 2025, consistent with the senior tranche’s yield accrual mechanism. No discontinuities or anomalies are observed. The vault’s total assets have grown from ~84M to ~224M USDe over this period. The 7-day rolling APY has remained stable in the 2.5-3.5% range.
Source: LlamaRisk, March 26, 2026
Underlying Yield Source
The underlying yield for srUSDe is generated by staking pooled USDe into Ethena’s sUSDe strategy. Strata’s CDO splits this yield into two tranches:
- Senior tranche (srUSDe): Receives a floor yield tied to the Aave stablecoin benchmark rate (supply-weighted average of USDC and USDT lending rates on Aave V3 Core), with uncapped upside exposure when sUSDe APY exceeds the benchmark. In extreme scenarios where sUSDe yield falls below the benchmark, the junior tranche absorbs the shortfall first.
- Junior tranche (jrUSDe): Absorbs yield volatility below the benchmark and captures leveraged upside above it.
For PT-srUSDe, the fixed yield is implied by purchasing the principal token at a discount to its notional 1 USDe face value and redeeming it 1:1 for the srUSDe value of 1 USDe at maturity. The discount accretes to par over time in line with the standard Pendle PT structure, while the floating srUSDe yield is stripped out to the corresponding yield token (YT).
In addition to the underlying yield, srUSDe holders currently earn Strata Points and Ethena Points under the Strata rewards program, providing an additional incentive layer that supports demand for the underlying asset.
Pendle reports the underlying srUSDe yield at 2.73%, which is consistent with the annualized exchange rate growth of ~2.9% observed on-chain over the past 101 days.
Market Analysis
Total Supply
The PT-srUSDe-25JUN2026 Pendle pool was deployed on March 17, 2026 with ~$1.67M in total liquidity. For reference, the April 2026 maturity pool (PT-srUSDe-2APR2026) holds ~$19.5M in Pendle liquidity.
There is approximately $185.3M in PT-srUSDe April 2026 collateral currently supplied on the Aave V3 Core instance. A portion of this collateral may roll over to the June maturity as the April expiry approaches (7 days remaining).
Pool Composition
As of March 26, 2026, the composition of the June pool is as follows:
PT-srUSDe-25JUN2026 Pool:
- Total Liquidity: $1,672,224
- SY srUSDe: 1,420,786.66 (86.0%)
- PT srUSDe: 231,498.39 (14.0%)
Source: Pendle, March 26, 2026
Price and Yield
The implied yield for PT-srUSDe-25JUN2026 reflects the market’s discount rate on the underlying srUSDe.
The PT implied yield has stabilized around 3.97%, while the underlying srUSDe yield sits at ~2.73%. This spread of ~124 bps represents the market premium for locking in a fixed rate over the 91-day period to maturity. The April maturity pool currently trades at a similar implied APY of 4.33%, suggesting consistent pricing across maturities.
Source: LlamaRisk, March 26, 2026
As of this review (91 days to maturity), the implied yields are:
- PT-srUSDe-25JUN2026: ~3.97% Fixed APY
- PT-srUSDe-2APR2026 (reference): ~4.33% Fixed APY
- Underlying srUSDe yield: ~2.73%
Pool Parameters
The pool has the following parameters on Pendle:
PT-srUSDe-25JUN2026
- Maturity: 25 June 2026 (91 days remaining)
- Input Tokens: srUSDe
- Swap Fee Rate: 0.093%
- Pendle Reward APY: 11.66%
- Aggregated LP APY: 14.70%
PT-srUSDe-2APR2026 (for comparison)
- Swap Fee Rate: 0.091%
- Pendle Reward APY: 2.23%
- Aggregated LP APY: 5.23%
The June pool currently has a higher Pendle reward APY, reflecting concentrated incentives on relatively smaller liquidity. As liquidity migrates from the maturing April pool, the reward APY may dilute.
Maturities
The availability of the June maturity allows Aave users to continue rolling over their exposure as the April 2026 PT pool approaches maturity. Both the April and June maturities are visible on the Pendle markets page.
Source: Pendle, March 26, 2026
Integrated Venues
PT-srUSDe-25JUN2026 has not yet been integrated into other lending venues due to the pool’s recency. Aave would be the first venue to offer lending against this collateral asset. The April maturity is currently listed on Aave V3 Core with ~$185.3M in supplied collateral.
Recommendations
Market Parameters Recommendation
Risk parameter recommendations for the PT-srUSDe-25JUN2026 listing presented jointly with @ChaosLabs.
Price Feed Recommendation
For pricing PT-srUSDe-25JUN2026 on Aave, the dynamic linear discount rate oracle developed by BGD Labs is recommended, consistent with the approach used for the April maturity.
The oracle prices the PT as a zero-coupon bond against the capped USDT/USD Chainlink feed, applying a linear discount that decays to par at maturity.
Disclaimer
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. 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.
