Summary
LlamaRisk recommends the following PT parameter changes based on the latest run of the PT parameter methodology. This round covers the two PT reserves maturing October 22, 2026 on the Aave V3 Ethereum Core and Plasma instances. The E-Mode updates step LTV and LT up as the residual price risk compresses, with the LB held at its current level across all four categories. No discount rate changes are proposed this round, as the reductions executed in the previous round keep both Aave oracles tracking closely below the prevailing Pendle AMM level.
Aave V3 Ethereum Core:
- Update PT-srUSDe-22OCT2026 Stablecoins E-Mode (47): increase LTV from 88.52% to 88.62%, increase LT from 90.52% to 90.62%.
- Update PT-srUSDe-22OCT2026 USDe E-Mode (48): increase LTV from 91.16% to 91.26%, increase LT from 93.16% to 93.26%.
Aave V3 Plasma:
- Update PT-sUSDe-22OCT2026 Stablecoins E-Mode (25): increase LTV from 87.81% to 87.91%, increase LT from 89.81% to 89.91%.
- Update PT-sUSDe-22OCT2026 USDe E-Mode (26): increase LTV from 90.45% to 90.55%, increase LT from 92.45% to 92.55%.
PT E-Mode Parameter Updates (Ethereum Core)
PT-srUSDe-22OCT2026 (Ethereum Core)
PT-srUSDe-22OCT2026 matures on October 22, 2026, with a current discount rate of 3.77% against a maximum of 10.22%. With approximately 93 days to maturity, the PT trades at a current discount of 0.96% to par, and the Pendle AMM has consistently priced the PT above the Aave oracle over the review window.
Source: LlamaRisk, July 21, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (47) allows borrowing of USDC, USDT, and other stablecoins against PT-srUSDe collateral. The current parameters are LTV 88.52%, LT 90.52%, LB 5.18%. The methodology yields LTV 88.62% and LT 90.62% this round, with the LB unchanged at 5.18%. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, and the LB remains above the underlying sUSDe Stablecoins floor.
USDe E-Mode (48) allows borrowing of USDe against PT-srUSDe collateral. The current parameters are LTV 91.16%, LT 93.16%, LB 2.18%. The methodology yields LTV 91.26% and LT 93.26% this round, with the LB unchanged at 2.18%. As with the Stablecoins category, the LTV and LT are stepped up +0.1pp.
PT E-Mode Parameter Updates (Plasma)
PT-sUSDe-22OCT2026 (Plasma)
PT-sUSDe-22OCT2026 matures on October 22, 2026, with a current discount rate of 3.97% against a maximum of 12.27%. With approximately 93 days to maturity, the PT trades at a current discount of 1.01% to par, and the Pendle AMM has priced the PT above the Aave oracle across the review window.
Source: LlamaRisk, July 21, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (25) has current parameters LTV 87.81%, LT 89.81%, LB 4.53%. The methodology yields LTV 87.91% and LT 89.91% this round, with the LB unchanged at 4.53%. The LTV and LT are stepped up +0.1pp as the residual price risk compresses toward maturity.
USDe E-Mode (26) has current parameters LTV 90.45%, LT 92.45%, LB 1.53%. The methodology yields LTV 90.55% and LT 92.55% this round, with the LB unchanged at 1.53%. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, mirroring the Stablecoins category.
PT Discount Rates
No discount rate changes are proposed this round. The reductions executed in the previous round (PT-srUSDe-22OCT2026 from 5.31% to 3.77% on Ethereum Core, PT-sUSDe-22OCT2026 from 4.37% to 3.97% on Plasma) repriced both Aave oracles upward toward the market, and the oracles have since tracked closely below the Pendle AMM. The deployed rates remain consistent with the prevailing market-implied yields of approximately 3.8% on PT-srUSDe and 4.0% on PT-sUSDe.
Specification
PT E-Mode Parameter Changes
| Instance | Asset | E-Mode | Current LTV | New LTV | Current LT | New LT | LB (unchanged) |
|---|---|---|---|---|---|---|---|
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | Stablecoins (47) | 88.52% | 88.62% | 90.52% | 90.62% | 5.18% |
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | USDe (48) | 91.16% | 91.26% | 93.16% | 93.26% | 2.18% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | Stablecoins (25) | 87.81% | 87.91% | 89.81% | 89.91% | 4.53% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | USDe (26) | 90.45% | 90.55% | 92.45% | 92.55% | 1.53% |
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.