[Direct to AIP] Onboard sUSDe September expiry PT tokens on Aave V3 Core Instance

[Direct to AIP] Onboard sUSDe September expiry PT tokens on Aave V3 Core Instance

Author: ACI

Date: 2025-06-10

Summary

This ARFC proposes to onboard sUSDe September expiry PT tokens on Aave V3 Core Instance.

This proposal will be a Direct to AIP.

Motivation

The previous sUSDe PT token that was onboarded brought significant inflows to Aave, in preparation for the expiry and rollover we propose to onboard the next expiry of this PT token.

We propose onboarding the 25th September 2025 expiry PT token:

  • PT-sUSDE-25SEP2025

Specification

PT-sUSDE-25SEP2025: Pendle: PT-sUSDE-25SEP2025 Token (0x9f56094c450763769ba0ea9fe2876070c0fd5f77) | Address 0x9f56094c450763769ba0ea9fe2876070c0fd5f77 | Etherscan

Risk Parameters

Risk parameters will be provided by Risk Service Providers in the ARFC and will be updated accordingly.

Useful Links

[TEMP CHECK] Onboard Pendle PT tokens to Aave V3 Core Instance

Disclaimer

ACI is not directly affiliated with Pendle and did not receive compensation for the creation of this proposal. Some ACI employees may hold Pendle tokens.

Next Steps

  1. Publish proposal to gather community and Service Providers feedback.
  2. Publish an AIP vote for final confirmation and enforcement of the proposal.

Copyright

Copyright and related rights waived under CCO

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Summary

LlamaRisk supports listing PT-sUSDe-25SEP2025 on the Aave V3 Core instance. At the time of this analysis, the asset has a long time to maturity of 103 days. Ultimately, this integration is warranted by demonstrated user demand for USDe and sUSDe-based yield products. Based on the analysis presented below and supporting PT tokens exposure research, we deem that the addition of this PT asset would result in minor incremental risk for Aave’s Core market.

Given the longer time to maturity during onboarding, cautious management of the asset’s supply caps and discount parameters is required. The maximum discount parameter should be aligned with the liquidity yield range to account for unexpected longer-term market fluctuations. Recommended parameters will be presented jointly with @ChaosLabs.

Assessment of PT base asset: Link
Considered PT asset maturities: PT-sUSDe-25SEP2025

Asset State

Underlying Yield Source

The yield mechanism for sUSDe is derived from Ethena’s delta-neutral strategy. In this model, USDe is backed by a portfolio of stablecoins (USDT, USDC, etc.) and paired with short perpetual futures positions. This structure enables sUSDe to capture revenue from market funding rates and the yield from its underlying stablecoin collateral, which is then distributed to sUSDe holders. The yield’s sustainability is contingent on consistently positive funding rates and the robust performance of Ethena’s risk management framework. Although designed to be market-neutral, the yield can fluctuate with funding rate dynamics and the performance of the collateral assets.

Underlying utility

The primary driver for sUSDe demand is the delta-neutral yield generated by the Ethena strategy. While some secondary speculative interest is related to potential future Ethena incentives, it is not the core source of demand. sUSDe functions as a synthetic stablecoin with an embedded yield mechanism, appealing to users who want delta-neutral market exposure combined with an additional source of yield. Multiple sUSDe PT maturities on Pendle indicate sustained user interest and utility.

The sUSDe peg’s stability is subject to prevailing market conditions. A 7-day cooldown period for unstaking sUSDe means that during periods of high market stress, secondary markets may experience discounts, potentially impacting a user’s ability to realize the expected yield at maturity. Historically, significant de-pegs in the sUSDe secondary market have been short-lived, with arbitrage opportunities quickly restoring the peg.


Source: LlamaRisk, June 13, 2025

In recent months, the sUSDe secondary market price has shown a resilient peg to the sUSDe/USDe internal exchange rate, typically trading at a minor discount of 10-40 bps, though larger deviations have occurred during market volatility. More aggressive temporary de-pegs have nonetheless been observed within a longer timeframe, prompting the need for a larger asset liquidation bonus parameter.

Total Supply

This specific maturity pool was launched on June 6th, 2025, and with over 3 months remaining until maturity, it has already attracted significant liquidity. The SY-sUSDe (Standardized Yield token) supply has grown to $1.6B, most of which stems from the July PT maturity pool. The available liquidity in the PT-sUSDe-25SEP2025 pool is now at 12M. With the total PT sUSDe supply of 15M tokens, the current supply-to-liquidity ratio remains large, although it is expected to decrease sharply as Aave integrates this asset into the Core market.


Source: LlamaRisk, June 13, 2025

Holders

An analysis of the PT-sUSDe-25-Sep-2025 holder base reveals a diversified distribution. The largest single holder is 0x5555551f.., controlling 16.9% of the total supply. The second-largest holder is the Pendle liquidity pool, which accounts for 13.4% of the PT supply.


Source: Etherscan, June 13, 2025

Market State

As noted, the sUSDe pool has an estimated liquidity of 12M. Of this total, 84.08% (10.34M) is held as SY sUSDe, with the remaining 15.92% (1.96M) held as PT sUSDe tokens.


Source: Pendle, June 13, 2025

The market’s order book reflects healthy trading activity. The bid-ask spread on the implied yield is approximately 0.5%. Liquidity on the bid side appears somewhat thinner, with a total of 3.4M PT tokens available.


Source: Pendle, June 13, 2025

The PT-sUSDe-25-Sep-2025 pool has the following parameters:

Parameter Value
Liquidity Yield Range 5% - 29%
Fee Tier 0.1015%
Input Tokens USDe, sUSDe
Output Tokens sUSDe
Reward Tokens PENDLE

Price and Yield

At the time of this review, 103 days remain until the pool’s maturity. The implied yield for the PT is 7.8% APY, with the PT priced at 0.978 sUSDe. Both the implied PT and LP yields have shown stability since the pool’s launch, indicating consistent user interest and stable yield expectations.


Source: LlamaRisk, June 13, 2025

Maturities

In addition to the PT-sUSDe-25-Sep-2025 pool, other maturities are available on Pendle, including pools with shorter durations. The availability of a range of maturities across different chains and with varying liquidity levels signals strong and persistent user interest in the product, which is expected to remain stable and currently represents $2B of attracted TVL.


Source: Pendle, June 13, 2025

Integrated Venues

PT sUSDe-25-Sep-2025 is not yet integrated into other lending venues due to the recency of the pool and, therefore, represents a significant first-mover advantage to Aave.

Recommendations

We will present the risk parameter recommendations for the PT-sUSDe-25SEP2025 listing together with @ChaosLabs, which will follow up shortly.

Price Feed Recommendation

We recommend using the exchange rate of sUSDe/USDe with the PT linear discount rate Oracle implementation. The price of USDe will be derived from the USDT/USD feed, which is consistent with the pricing of other USDe-denominated assets within the Aave ecosystem.

Furthermore, we recommend implementing a CAPO on the oracle to mitigate the risk of upward price manipulation of the underlying exchange rate.

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 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 provided should not be construed as legal, financial, tax, or professional advice.

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Overview

In alignment with our Principal Token Risk Oracle framework, outlined in detail here, we present our risk parameter recommendations for the proposed maturity and underlying asset listing: PT-sUSDE-25SEP2025. Leveraging the dynamic linear discount rate oracle implementation, we also provide our recommended values for initialDiscountRatePerYear and maxDiscountRatePerYear, derived from the extended methodology detailed here.

Risk Oracle Parameter Evolution

Stablecoin E-mode

Through our rigorous quantification of the algorithm, we find that the integration risk decays as the PT approaches maturity. This dynamic justifies the use of progressively more conservative risk parameters over time. Taking into account the underlying proposed configuration of USDe E-mode within Aave, we outline the projected evolution of the LT, LTV and LB, with the initial parameterization approximately as follows:

LTV: 85.7%

LT: 87.7%

LB: 5.6%

Note that the parameter evolution will continue to increase until the asset is listed, thus evolving in accordance with the plot above. Moreover, this parameterization explicitly refers to E-mode such that the PT can only borrow correlated assets, while effectively disallowing uncorrelated debt assets to be borrowed. The LTV and LT will remain constant throughout given the relatively short time until maturity, as is capped by the underlying, with the LB continuing to decay over time until maturity.

As such, the underlying configuration will be derived in accordance with a minimum liquidation bonus of 4% and a maximum liquidation threshold of 92% for the underlying, per our recommended parameterization for a sUSDe stablecoin E-mode here.

USDe E-mode

To further enhance capital efficiency, we propose the introduction of a USDe E-Mode for PT-sUSDE-25SEP2025. While the PT token’s underlying asset is sUSDe, the debt asset is USDe, and both are intrinsically linked through the Ethena protocol’s redemption and staking mechanisms. This close relationship mitigates pricing divergence risk, allowing for a more permissive risk framework than would typically be applied to uncorrelated asset pairs. As such, the parameterization should be informed primarily by Pendle AMM liquidity dynamics, rather than generic stablecoin risk considerations. We outline the projected evolution of the LT, LTV, and LB, with the initial parameterization approximately as follows:

LTV: 87.1%

LT: 89.1%

LB: 3.7%

Initial Discount Rate Per Year and Maximum Discount Rate Per Year

Based on historical observed data and the pricing configuration of the market, our initial recommendations for the discountRatePerYear and maxDiscountRatePerYear are as follows:

Initial discountRatePerYear: 7.69%

maxDiscountRatePerYear: 31.11%

As the underlying input asset (SY) for the PT is eUSDe, the effective valuation for the PT is implicitly defined as:

sUSDe(SY) Ă— PT Price Ă— (1 / sUSDe/USDe Exchange Rate)

This expression is intentionally redundant to emphasize the anchoring of value to USDe as the reference unit of account. Under this construction, all inflation-derived value accrual is routed to YT holders, analogous to yield being realized via exchange rate appreciation.

Due to the fundamental anchoring of the PT to USDe, in order to determine the final pricing, we recommend combining the Linear Discount Rate Oracle implementation with the underlying USDT/USD pricing of USDe. At the same time, the characteristics at maturity are such that the asset will converge to 1 USDe worth of sUSDe.

Supply Cap

With the relevant debt assets necessitating leveraging on-chain liquidity for both the underlying asset and Pendle AMM liquidity, PT-sUSDE-25SEP2025 employs robust on-chain liquidity. The plot below represents the amount of liquidity available under 3% slippage as the market approaches expiry, given the current liquidity distribution in the AMM. As the market matures and moves closer to expiry, the slippage associated with swapping PT becomes less extreme. Supported by on-chain liquidity in the Pendle AMM, the market currently facilitates swaps of up to $10M with less than 3% slippage.

PT sUSDE 25SEP2025 has also shown strong SY liquidity in the AMM, with it reaching $10M within three weeks.

Specification

Parameter Value
Asset PT-sUSDE-25SEP2025
Isolation Mode No
Borrowable No
Collateral Enabled Yes
Supply Cap 50,000,000
Borrow Cap -
Debt Ceiling -
LTV 0.05%
LT 0.1%
Liquidation Penalty 7.50%
Liquidation Protocol Fee 10.00%
E-Mode Category PT-sUSDe Stablecoins

PT-sUSDE Stablecoins E-mode

Asset PT-sUSDe USDC USDT USDS USDe
Collateral Yes No No No No
Borrowable No Yes Yes Yes Yes
LTV Subject to Risk Oracle - - - -
LT Subject to Risk Oracle - - - -
Liquidation Bonus Subject to Risk Oracle - - - -

PT-sUSDE USDe E-mode

Asset PT-sUSDE USDe
Collateral Yes No
Borrowable No Yes
LTV Subject to Risk Oracle -
LT Subject to Risk Oracle -
Liquidation Bonus Subject to Risk Oracle -

Initial E-mode Risk Oracle

Parameter Value Value
E-Mode Stablecoins USDe
LTV 85.7% 87.1%
LT 87.7% 89.1%
LB 5.6% 3.7%

Linear Discount Rate Oracle

Parameter Value
discountRatePerYear (Initial) 7.69%
maxDiscountRatePerYear 31.11%

Disclaimer

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

Copyright

Copyright and related rights waived via CC0