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 listings: PT-USDe-5FEB2026 and PT-sUSDe-5FEB2026. 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.
In addition, our recent research paper, “Stress Testing Ethena: A Quantitative Look at Protocol Stability,” examines how rapidly growing deposits of Ethena’s USDe, sUSDe and especially Pendle Principal Tokens are reshaping Aave’s collateral pool and funding dynamics. It maps out both on‑chain liquidity hazards (e.g., thin PT markets, leveraged looping, rehypothecation) and backing‑side tail risks (exchange or custodian failure, collateral de‑peg, prolonged negative funding) via scenario modeling and Monte‑Carlo simulations, while proving that Aave’s current risk‑oracle floors, eMode parameterization and liquidation controls would absorb most plausible shocks. Moreover, the imminent integration of a native strategy to offload Ethena-collateralized debt, leveraging Aave’s status as a whitelisted redeemer, will considerably increase the ability to offload positions in the event of an adverse scenario, especially those with duration risk, such as PTs, as described in depth here.
Finally, our paper, “Aave’s Growing Exposure to Ethena: Risk Implications Throughout the Growth and Contraction Cycles of USDe ,” shows that contraction and stabilization dynamics within the Aave-Ethena ecosystem are closely linked. When sUSDe yields decline, leveraged positions unwind, freeing up significant stablecoin liquidity in Aave through repayments. Simultaneously, PT/USDe borrowers shift their debt into other stablecoins, generating upward price pressure on USDe precisely when redemption demand rises. Crucially, stablecoin repayments from leverage unwinders typically outweigh PT debt migration into stablecoins, creating a natural liquidity buffer. Our analysis indicates this dynamic effectively stabilizes Aave markets, comfortably absorbing potential stress even during Ethena’s withdrawal of backing assets. Overall, the current market structure supports increased exposure, provided backing deployment into Aave remains prudently managed. This asset listing reflects and incorporates the insights from the aforementioned papers.
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 justifies the use of progressively less conservative risk parameters over time. Taking into account the underlying 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:
PT-USDe-5FEB2026
LTV: 88.5%
LT: 90.5%
LB: 4.1%
PT-sUSDe-5FEB2026
LTV: 87.6%
LT: 89.6%
LB: 5.1%
The collateral parameters will continue to become more permissive, evolving in accordance with the plot above. This set of parameters explicitly refers to E-mode, and we recommend setting non-E Mode parameters such that the asset is effectively prohibited from borrowing uncorrelated assets.
The underlying configuration will follow our previous listings of related PT assets, applying a minimum liquidation bonus of 2% and a maximum liquidation threshold of 93%.
USDe E-mode
To further enhance capital efficiency, we propose the introduction of a dedicated USDe E-mode for PT-USDe-5FEB2026 and PT-sUSDe-5FEB2026. Given that both the PT token’s underlying asset (USDe) and the debt asset share the same collateral base, the risk parameterization should not be constrained by typical underlying asset considerations. Instead, the parameterization should be driven by the Pendle AMM’s liquidity dynamics, aligning more closely with the PT’s inherent pricing structure. We outline the projected evolution of the LT, LTV and LB, with the initial parameterization approximately as follows:
PT-USDe-5FEB2026
LTV: 89.3%
LT: 91.3%
LB: 3.1%
PT-sUSDe-5FEB2026
LTV: 88.5%
LT: 90.5%
LB: 4.1%
This approach is justified by the correlation between the PT’s underlying and the debt asset, as both are effectively anchored to the same stable asset, USDe. As a result, this E-mode would allow for more efficient capital utilization.
This configuration aligns with our broader Principal Token Risk Oracle framework, which emphasizes parameter flexibility for pairs where the PT’s underlying asset is also the debt asset, ultimately supporting deeper liquidity and optimized capital efficiency.
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:
PT-USDe-5FEB2026
Initial discountRatePerYear: 5.5266%
maxDiscountRatePerYear: 27.1629%
PT-sUSDe-5FEB2026
Initial discountRatePerYear: 6.1953%
maxDiscountRatePerYear: 27.1629%
If pricing dynamics change until its listing, such that discountRatePerYear will require a refresh, we will institute such a change accordingly upon listing.
Supply Cap
With PT-sUSDe-5FEB2026 and PT-USDe-5FEB2026, liquidity depends on both the underlying USDe markets and Pendle’s PT/SY AMM pool, and current depth is moderate. 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. This trend is especially pronounced for assets with lower scalarRoot values, i.e. a greater expected implied yield fluctuation, and they tend to have more variance in liquidity concentration. Supported by on-chain liquidity in the Pendle AMM, the market currently facilitates swaps of up to $3.4 million and $1.4 million with less than 3% slippage in sUSDe and USDe PTs, respectively.
The SY Liquidity in PT-sUSDe-5FEB2026 and PT-USDe-5FEB2026’s AMM has reached just $4M and 1.5M within the first week of launch, indicating a moderate level of LP support, and has remained at that level since.
Migration of Existing PTs
To support a seamless migration from other PT-USDe and sUSDe assets maturing before the end of November to PT-sUSDe-5FEB2026 and PT-USDe-5FEB2026, we recommend including PT-USDe-27NOV2025 and PT-sUSDe-27NOV2025 in the newly created respective E-Modes.
Underlying Oracle
As the underlying PT-USDe is anchored to USDe, we recommend leveraging the Capped USDT/USD feed as the underlying ASSET_TO_USD_AGGREGATOR within the PT-USDe PendlePriceCapAdapter.
Specification
| Parameter |
Value |
Value |
| Asset |
PT-USDe-5FEB2026 |
PT-sUSDe-5FEB2026 |
| Isolation Mode |
No |
No |
| Borrowable |
No |
No |
| Collateral Enabled |
Yes |
Yes |
| Supply Cap |
30,000,000 |
30,000,000 |
| Borrow Cap |
- |
- |
| Debt Ceiling |
- |
- |
| LTV |
0.05% |
0.05% |
| LT |
0.1% |
0.1% |
| Liquidation Penalty |
7.50% |
7.50% |
| Liquidation Protocol Fee |
10.00% |
10.00% |
| E-Mode Category |
PT-USDe Stablecoins, PT-USDe USDe |
PT-sUSDe Stablecoins, PT-sUSDe USDe |
PT-USDe-5FEB2026
Initial E-mode Risk Oracle
| Parameter |
Value |
Value |
| E-Mode |
Stablecoins |
USDe |
| LTV |
88.5% |
89.3% |
| LT |
90.5% |
91.3% |
| LB |
4.1% |
3.1% |
Linear Discount Rate Oracle
| Parameter |
Value |
| discountRatePerYear |
5.5266% |
| maxDiscountRatePerYear |
27.1629% |
PT-USDe Stablecoins E-mode
| Asset |
PT-USDe-5FEB2026 |
PT-USDe-27NOV2025 |
USDC |
USDT |
USDe |
USDtb |
| Collateral |
Yes |
Yes |
No |
No |
No |
No |
| Borrowable |
No |
No |
Yes |
Yes |
Yes |
Yes |
| LTV |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
| LT |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
| Liquidation Bonus |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
PT-USDe USDe E-mode
| Asset |
PT-USDe-5FEB2026 |
PT-USDe-27NOV2025 |
USDe |
| Collateral |
Yes |
Yes |
No |
| Borrowable |
No |
No |
Yes |
| LTV |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
| LT |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
| Liquidation Bonus |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
PT-sUSDe-5FEB2026
Initial E-mode Risk Oracle
| Parameter |
Value |
Value |
| E-Mode |
Stablecoins |
USDe |
| LTV |
87.6% |
88.5% |
| LT |
89.6% |
90.5% |
| LB |
5.1% |
4.1% |
Linear Discount Rate Oracle
| Parameter |
Value |
| discountRatePerYear (Initial) |
6.1953% |
| maxDiscountRatePerYear |
27.1629% |
PT-sUSDe Stablecoins E-mode
| Asset |
PT-sUSDe-5FEB2026 |
PT-sUSDe-27NOV2025 |
USDC |
USDT |
USDe |
USDtb |
| Collateral |
Yes |
Yes |
No |
No |
No |
No |
| Borrowable |
No |
No |
Yes |
Yes |
Yes |
Yes |
| LTV |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
| LT |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
| Liquidation Bonus |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
- |
- |
|
PT-sUSDe USDe E-mode
| Asset |
PT-sUSDe-5FEB2026 |
PT-sUSDe-27NOV2025 |
USDe |
| Collateral |
Yes |
Yes |
No |
| Borrowable |
No |
No |
Yes |
| LTV |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
| LT |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
| Liquidation Bonus |
Subject to Risk Oracle |
Subject to Risk Oracle |
- |
Disclaimer
Chaos Labs has not been compensated by any third party for publishing this recommendation.
Copyright
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