Summary
LlamaRisk recommends the following PT parameter changes based on the latest run of the PT parameter methodology. This round covers the two newly onboarded PT reserves maturing October 22, 2026 on the Aave V3 Ethereum Core and Plasma instances, and three discount rate (discountRatePerYear) reductions across the Ethereum Core V3, Plasma V3, and Ethereum V4 PT price adapters. The E-Mode updates step LTV and LT up and reduce LB as the residual price risk compresses, while the discount rate reductions reprice each Aave oracle upward toward the prevailing Pendle AMM level, recovering collateral efficiency that has opened up as market-implied yields compressed.
Aave V3 Ethereum Core:
- Update PT-srUSDe-22OCT2026 Stablecoins E-Mode (47): increase LTV from 88.42% to 88.52%, increase LT from 90.42% to 90.52%, reduce LB from 5.68% to 5.18%.
- Update PT-srUSDe-22OCT2026 USDe E-Mode (48): increase LTV from 91.06% to 91.16%, increase LT from 93.06% to 93.16%, reduce LB from 2.68% to 2.18%.
- Reduce PT-srUSDe-22OCT2026 discount rate from 5.31% to 3.77%.
Aave V3 Plasma:
- Update PT-sUSDe-22OCT2026 Stablecoins E-Mode (25): increase LTV from 87.71% to 87.81%, increase LT from 89.71% to 89.81%, reduce LB from 4.87% to 4.53%.
- Update PT-sUSDe-22OCT2026 USDe E-Mode (26): increase LTV from 90.35% to 90.45%, increase LT from 92.35% to 92.45%, reduce LB from 1.87% to 1.53%.
- Reduce PT-sUSDe-22OCT2026 discount rate from 4.37% to 3.97%.
Aave V4 Ethereum:
- Reduce PT-USDG-24SEP2026 discount rate from 5.33% to 4.17%.
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 5.31% against a maximum of 10.22%. With approximately 106 days to maturity, the PT trades at a current discount of 1.54% to par, and the Pendle AMM has consistently priced the PT above the Aave oracle over the review window.
Source: LlamaRisk, July 7, 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 88.42%, LT 90.42%, LB 5.68%. The methodology yields LTV 88.52%, LT 90.52%, and LB 5.18% this round. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, while the LB reduction from 5.68% to 5.18% 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 91.06%, LT 93.06%, LB 2.68%. The methodology yields LTV 91.16%, LT 93.16%, and LB 2.18% this round. As with the Stablecoins category, the LTV and LT are stepped up +0.1pp, and the LB is reduced by 0.50pp 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 4.37% against a maximum of 12.27%. With approximately 106 days to maturity, the PT trades at a current discount of 1.27% to par, and the Pendle AMM has priced the PT above the Aave oracle across the review window.
Source: LlamaRisk, July 7, 2026
Two E-Mode categories reference this PT:
Stablecoins E-Mode (25) has current parameters LTV 87.71%, LT 89.71%, LB 4.87%. The methodology yields LTV 87.81%, LT 89.81%, and LB 4.53% this round. The LTV and LT are stepped up +0.1pp, and the LB is reduced by 0.34pp as the residual price risk compresses toward maturity.
USDe E-Mode (26) has current parameters LTV 90.35%, LT 92.35%, LB 1.87%. The methodology yields LTV 90.45%, LT 92.45%, and LB 1.53% this round. The LTV and LT increases of +0.1pp each are gradual projected increases in efficiency, and the LB reduction of 0.34pp mirrors the tightening in the Stablecoins category as the discount rate decays.
PT Discount Rate Updates
Discount rate updates are applied to the discountRatePerYear parameter on each PT price-cap adapter. The linear discount rate model derives the PT oracle price from a fixed annual discount rate that decays to par at maturity, the deployed rate is steered to track the Pendle AMM market-implied yield. When the AMM consistently prices the PT above the oracle, the oracle is leaving collateral efficiency on the table, and the discount rate is decreased to bring the oracle price back toward the market (upward repricing). This round, all three PT reserves under review exhibit that condition, so the deployed rates are reduced to the methodology targets.
PT-srUSDe-22OCT2026 (Ethereum Core)
The deployed discount rate of 5.31% has run ahead of the compressed market-implied yield, holding the Aave oracle below the Pendle AMM (see chart above). We reduce the discount rate to a target of 3.77%, repricing the oracle upward toward the market. The move stays on the conservative side of the AMM and preserves the price-cap safety property, since the oracle continues to track at or below the market-implied PT price.
PT-sUSDe-22OCT2026 (Plasma)
The deployed discount rate of 4.37% similarly sits above the market-implied yield, leaving the oracle below the AMM. We reduce the discount rate to a target of 3.97%, a smaller step consistent with the narrower oracle-to-AMM gap on this reserve, against a 12.27% maximum. The oracle remains below the AMM after the update.
PT-USDG-24SEP2026 (Ethereum, Aave V4)
PT-USDG-24SEP2026 is listed on Aave V4 Ethereum via the USDG Pendle spoke and matures on September 24, 2026. The feed is a PendlePriceCapAdapter exposing the same linear discount model, with a current discount rate of 5.33% against a maximum of 10.38% and approximately 78 days to maturity, at a current discount of 1.14% to par.
Source: LlamaRisk, July 7, 2026
The Pendle AMM has priced PT-USDG above the Aave oracle since the reserve was listed, with the gap widening modestly through early July. We reduce the discount rate to a target of 4.17%, re-aligning the oracle closer to the market-implied yield. The step is smaller than on the srUSDe reserves, reflecting the tighter oracle-to-AMM spread on PT-USDG, and the oracle continues to track below the AMM after the update.
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) | 88.42% | 88.52% | 90.42% | 90.52% | 5.68% | 5.18% |
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | USDe (48) | 91.06% | 91.16% | 93.06% | 93.16% | 2.68% | 2.18% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | Stablecoins (25) | 87.71% | 87.81% | 89.71% | 89.81% | 4.87% | 4.53% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | USDe (26) | 90.35% | 90.45% | 92.35% | 92.45% | 1.87% | 1.53% |
Discount Rate Changes
| Instance | Asset | Current Discount Rate | New Discount Rate (d_target) |
|---|---|---|---|
| Aave V3 Ethereum | PT-srUSDe-22OCT2026 | 5.31% | 3.77% |
| Aave V3 Plasma | PT-sUSDe-22OCT2026 | 4.37% | 3.97% |
| Aave V4 Ethereum | PT-USDG-24SEP2026 | 5.33% | 4.17% |
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.