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 and reduce LB as the residual price risk compresses toward maturity. No discount rate changes are proposed this round, as the deployed rates continue to track closely in line with the prevailing Pendle AMM level.
Aave V3 Ethereum Core:
- Update PT-srUSDe-22OCT2026 Stablecoins E-Mode (47): increase LTV from 88.62% to 88.72%, increase LT from 90.62% to 90.72%, reduce LB from 5.18% to 4.70%.
- Update PT-srUSDe-22OCT2026 USDe E-Mode (48): increase LTV from 91.26% to 91.36%, increase LT from 93.26% to 93.36%, reduce LB from 2.18% to 1.70%.
Aave V3 Plasma:
- Update PT-sUSDe-22OCT2026 Stablecoins E-Mode (25): increase LTV from 87.91% to 88.01%, increase LT from 89.91% to 90.01%, reduce LB from 4.53% to 4.40%.
- Update PT-sUSDe-22OCT2026 USDe E-Mode (26): increase LTV from 90.55% to 90.65%, increase LT from 92.55% to 92.65%, reduce LB from 1.53% to 1.40%.
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 69 days to maturity, the PT trades at a current discount of 0.71% to par, and the Pendle AMM has consistently priced the PT above the Aave oracle over the review window.
Source: LlamaRisk, August 14, 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 88.62%, LT 90.62%, LB 5.18%. The methodology yields LTV 88.72%, LT 90.72%, and LB 4.70% this round. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, while the LB reduction from 5.18% to 4.70% tightens the liquidation bonus in line with the decreasing price volatility as the discount rate decays toward maturity. The residual 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 91.26%, LT 93.26%, LB 2.18%. The methodology yields LTV 91.36%, LT 93.36%, and LB 1.70% this round. As with the Stablecoins category, the LTV and LT are stepped up +0.1pp, and the LB is reduced by 0.48pp to reflect the compressed residual price risk.
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 69 days to maturity, the PT trades at a current discount of 0.74% to par, and the Pendle AMM has priced the PT above the Aave oracle across the review window.
Source: LlamaRisk, August 14, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (25) has current parameters LTV 87.91%, LT 89.91%, LB 4.53%. The methodology yields LTV 88.01%, LT 90.01%, and LB 4.40% this round as the residual price risk compresses toward maturity.
USDe E-Mode (26) has current parameters LTV 90.55%, LT 92.55%, LB 1.53%. The methodology yields LTV 90.65%, LT 92.65%, and LB 1.40% this round. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, and the LB reduction of 0.13pp mirrors the tightening in the Stablecoins category as the discount rate decays.
PT Discount Rates
No discount rate changes are proposed this round. The deployed rates (3.77% on PT-srUSDe-22OCT2026 Ethereum Core, 3.97% on PT-sUSDe-22OCT2026 Plasma) remain consistent with the prevailing market-implied yields of approximately 3.8% on PT-srUSDe and 4.0% on PT-sUSDe, and both Aave oracles have tracked closely below the Pendle AMM since the reductions executed in the July 7 round. The price-cap safety property is preserved without further adjustment.
Specification
PT E-Mode Parameter Changes
| Instance | Asset | E-Mode | Current LTV | New LTV | Current LT | New LT | Current LB | New LB |
|---|---|---|---|---|---|---|---|---|
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | Stablecoins (47) | 88.62% | 88.72% | 90.62% | 90.72% | 5.18% | 4.70% |
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | USDe (48) | 91.26% | 91.36% | 93.26% | 93.36% | 2.18% | 1.70% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | Stablecoins (25) | 87.91% | 88.01% | 89.91% | 90.01% | 4.53% | 4.40% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | USDe (26) | 90.55% | 90.65% | 92.55% | 92.65% | 1.53% | 1.40% |
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.