Summary
LlamaRisk recommends the following PT E-Mode parameter changes based on the latest re-evaluation of the PT parameter methodology as the active Pendle PT reserves on the Aave V3 Ethereum and Plasma instances continue to converge toward maturity.
Aave V3 Ethereum:
- Update PT-srUSDe-25JUN2026 Stablecoins E-Mode (44): reduce LB from 4.3% to 4.1%.
- Update PT-srUSDe-25JUN2026 USDe E-Mode (45): increase LTV from 91.5% to 91.6%, increase LT from 93.5% to 93.6%, reduce LB from 1.8% to 1.3%.
Aave V3 Plasma:
- Update PT-USDe-18JUN2026 Stablecoins E-Mode (21): reduce LB from 2.3% to 2.2%.
- Update PT-USDe-18JUN2026 USDe E-Mode (22): increase LTV from 93.7% to 93.8%, increase LT from 95.7% to 95.8%, reduce LB from 1.3% to 1.2%.
- Update PT-sUSDE-18JUN2026 USDe E-Mode (24): reduce LB from 2.2% to 1.7%.
PT E-Mode Parameter Updates (Ethereum Core)
Parameter updates for active PT E-Mode categories on Ethereum Core are computed using the PT parameter methodology, which carries over the same properties as were previously applied by the risk oracle, done manually to ensure full continuity. The methodology prices the maximum single-block discount rate move under observed market conditions and maps the resulting price-impact bound to LTV, LT, and LB values. Inputs include the current discount rate, the maximum discount rate, the Pendle AMM scalar root, and the market-implied yield. Per-step changes in LTV and LT are bounded by the Risk Steward allowed-change envelope, so where the methodology yields a larger move, the implementation reflects the capped value.
PT-srUSDe-25JUN2026 (Ethereum Core)
PT-srUSDe-25JUN2026 matures on June 25, 2026, with a current discount rate of 4.61% against a maximum of 16.66%. With approximately 15 days to maturity, the residual time value has continued to compress relative to the prior review window.
Source: LlamaRisk, June 10, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (44) has the following current parameters: LTV 90.0%, LT 92.0%, LB 4.3%. The methodology yields LB 4.1% this round, with LTV and LT held unchanged. The methodology floor continues to hold the PT-srUSDe Stablecoins LB above the underlying sUSDe Stablecoins LB (4.0%), so the liquidation bonus steps to 4.1%.
USDe E-Mode (45) has the following current parameters: LTV 91.5%, LT 93.5%, LB 1.8%. The methodology yields LTV 91.6%, LT 93.6%, and LB 1.3% this round. The LTV and LT increases of +0.1pp each are bounded by the allowed-change envelope, and the LB reduction from 1.8% to 1.3% tightens the liquidation bonus in line with the decreasing price volatility as the discount rate decays toward maturity.
PT E-Mode Parameter Updates (Plasma)
Parameter updates for active PT E-Mode categories on Plasma are computed using the same methodology as Ethereum Core. The two active maturities (PT-USDe-18JUN2026 and PT-sUSDE-18JUN2026) share the June 18, 2026 maturity date and each underpins a Stablecoin and a USDe E-Mode pair on the Plasma instance.
PT-USDe-18JUN2026 (Plasma)
PT-USDe-18JUN2026 matures on June 18, 2026, with a current discount rate of 2.95% against a maximum of 13.57%. With approximately 8 days to maturity, the price has converged close to par, with a model-implied discount of approximately 0.06%.
Source: LlamaRisk, June 10, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (21) has the following current parameters: LTV 91.1%, LT 93.1%, LB 2.3%. The methodology yields LB 2.2% this round, with LTV and LT held unchanged. The LB reduction reflects the continued compression of the residual price risk as the maturity window closes.
USDe E-Mode (22) has the following current parameters: LTV 93.7%, LT 95.7%, LB 1.3%. The methodology yields LTV 93.8%, LT 95.8%, and LB 1.2%. The LTV and LT increases of +0.1pp each are gradual and bounded by the allowed-change envelope, alongside a reduction in LB from 1.3% to 1.2%.
PT-sUSDE-18JUN2026 (Plasma)
PT-sUSDE-18JUN2026 matures on June 18, 2026, with a current discount rate of 3.96% against a maximum of 14.46%. With approximately 8 days to maturity, the price has converged close to par, with a model-implied discount of approximately 0.08%.
Source: LlamaRisk, June 10, 2026
This PT is referenced by one E-Mode requiring an update this round:
USDe E-Mode (24) has the following current parameters: LTV 92.1%, LT 94.1%, LB 2.2%. The methodology yields LB 1.7% this round, with LTV and LT held unchanged. The LB reduction reflects the continued compression of the residual price risk as the maturity window closes.
Specification
PT E-Mode Parameter Changes
| Instance | Asset | E-Mode | Current LTV | Recommended LTV | Current LT | Recommended LT | Current LB | Recommended LB |
|---|---|---|---|---|---|---|---|---|
| Aave V3 Ethereum | PT-srUSDe-25JUN2026 | Stablecoins (44) | 90.0% | - | 92.0% | - | 4.3% | 4.1% |
| Aave V3 Ethereum | PT-srUSDe-25JUN2026 | USDe (45) | 91.5% | 91.6% | 93.5% | 93.6% | 1.8% | 1.3% |
| Aave V3 Plasma | PT-USDe-18JUN2026 | Stablecoins (21) | 91.1% | - | 93.1% | - | 2.3% | 2.2% |
| Aave V3 Plasma | PT-USDe-18JUN2026 | USDe (22) | 93.7% | 93.8% | 95.7% | 95.8% | 1.3% | 1.2% |
| Aave V3 Plasma | PT-sUSDE-18JUN2026 | USDe (24) | 92.1% | - | 94.1% | - | 2.2% | 1.7% |
Next Steps
We will move forward and implement these updates via the Risk Steward process.
Disclosure
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. LlamaRisk is not directly affiliated with the protocol(s) reviewed in this assessment and did not receive any 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.