Summary
LlamaRisk supports listing PT-USDe-27NOV2025 on the Aave V3 Core instance. At the time of this analysis, the asset matures in approx 90 days. The market environment, characterized by high demand for Ethena’s USDe deposited on Pendle due to its significant points multiplier, has generated user demand for products that allow fixed-rate exposure. Onboarding this Principal Token (PT) will enable users to acquire USDe at a discount for future delivery, effectively locking in a fixed rate in exchange for foregoing the points until maturity. This aligns with Aave’s goal of providing diverse and useful financial primitives.
Given the demonstrated demand for Ethena-related assets and the healthy liquidity profile of this new pool, adding this asset presents a minor incremental risk to the Aave Core market while offering a significant first-mover advantage.
Assessment of PT base asset: Link
Considered PT asset maturity: PT-USDe-27NOV2025
Asset State
Asset Growth
The Ethena ecosystem has demonstrated aggressive growth recently, partially fueled by the large Aave adoption. The total supply of USDe has surged to over 12 billion. A significant portion of this is staked for sUSDe, with the total supply of the yield-bearing sUSDe reaching nearly 4.7 billion, reflecting a staking ratio of approximately 46%.
Source:
LlamaRisk Ethena Risk Portal, August 25, 2025
Underlying stability
The stability of the underlying USDe peg and the overall health of the Ethena protocol are critical risk parameters. The market price of USDe remains tightly pegged to $1.00. From a protocol health perspective, Ethena maintains a solvency ratio of 100.56% and is supported by a Reserve Fund capitalized at over $61 million. The historical price chart shows tight peg stability, with only one brief de-peg, a positive indicator for the base asset.
Source: LlamaRisk, August 25, 2025
Underlying Yield Source
The primary incentive for holding USDe is the Ethena Points program. The USDe token does not have a native yield; instead, it provides users a significant 60x points multiplier for the USDe deposited on Pendle.
Source:
Ethena, August 25, 2025
These points are highly sought after by users speculating on future Ethena-related rewards (by purchasing YT tokens). The Pendle market for PT-USDe allows users to trade the principal of USDe separate from its points-generating potential. The “implied yield” observed in the market is effectively the price users are willing to pay for future points, creating an opportunity for others to buy USDe at a discount (by purchasing PT tokens) if they are willing to forgo the points until maturity.
Underlying Utility
The primary driver for USDe demand is the 60x points multiplier generated by depositing USDe on Pendle. While some users stake USDe for sUSDe to earn direct yield, a large market segment holds USDe specifically for its points benefits. The existence of multiple PT maturities on Pendle for Ethena assets indicates sustained user interest in speculating on and hedging the value of these incentives.
Market Analysis
Total Supply
The PT-USDe-27NOV2025 maturity pool has demonstrated sustained growth since its launch on August 13. Analysis of the pool’s liquidity shows a rapid ramp-up, stabilizing at a healthy level. We also expect liquidity to improve once more users transition from the September expiry SY-USDe market.
Source: LlamaRisk, August 25, 2025
As of August 25, 2025, the pool’s total available liquidity (TVL) is approximately $5.57M. The total supply of the underlying SY-USDe has reached over $17.5M.
A more detailed breakdown of the pool’s composition is:
- Total Liquidity: $5.57M
- SY USDe: $4.35M (78.07%)
- PT USDe: $1.22M (21.93%)
Source:
Pendle, August 25, 2025
These liquidity levels indicate strong market demand for this specific maturity and support the pool’s stability.
Market Depth
The market’s order book reflects healthy and deep liquidity, especially on the sell side. The bid-ask spread on the implied yield is approximately 0.72% (9.28% sell vs 10.00% buy), which this slightly higher than what we see on more adopted PTs. We expect the spread to tighten as the market gets more usage.
Source:
Pendle, August 25, 2025
The market depth is particularly robust for buyers of PTs, with significant liquidity, including a single order of over 7M PT at the 9.00% implied yield level.
Price and Yield
The implied yield for PT-USDe reflects the market’s discount rate on USDe based on the opportunity cost of earning points. This rate has remained stable and attractive since the pool’s inception.
Source: LlamaRisk, August 25, 2025
As of this review (93 days to maturity), the implied yield for the PT is ~9.5% APY. This stability suggests a consistent market expectation for the value of Ethena’s points program, making the PT an attractive asset for users seeking predictable returns on a USDe principal.
The pool has the following parameters on Pendle:
- Liquidity Yield Range: 5% - 27%
- Input Tokens: USDe
- Output Tokens: USDe
- AMM Fee: 0.13%
- Orderbook Fee: 0.17%
Maturities
The existence of multiple USDe-based maturities on Pendle with a total TVL of over $4B signals strong and persistent user interest in the product. This double maturity availability ensures a more natural rollover of the PT pools, which is also relevant for Aave’s exposure. Before the November pool expires, a new maturity pool will be created, letting users migrate continuously.
Source:
Pendle, August 25, 2025
Integrated Venues
PT-USDe-27NOV2025 is not yet integrated into other lending venues due to the recency of the pool. This represents a significant first-mover advantage for Aave to capture the primary lending demand for this asset.
Recommendations
We have aligned the risk parameter recommendations for the PT-USDe-27NOV2025 listing with @ChaosLabs.
Price Feed Recommendation
We recommend using the PT linear discount rate Oracle implementation. The price of the underlying USDe will be derived from the USDT/USD feed, which is consistent with the pricing of other USDe-denominated assets within the Aave ecosystem. The oracle will apply the time-based discount to the USDe price to value the PT. Furthermore, we recommend implementing a CAPO on the oracle to mitigate the risk of upward price manipulation of the underlying USDe price.
The initial discount rate should be slightly higher than the observed market rate to create a small safety margin and slightly underprice the PT token. In addition, the maximal discount should reflect the pool’s LP range with a margin of conservativeness.
Disclaimer
This review was independently prepared by LlamaRisk, a community-led decentralized organization funded partly 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 should not be construed as legal, financial, tax, or professional advice.
