Due diligence memo 03 · Prepared for Veris · 19 August 2026
PT-sUSDe-22OCT2026 / USDe — Levered PT Spread
Recursive fixed-rate carry on Ethena's staked dollar. Return driver: PT yield less USDe borrow cost.
Summary
A principal token yielding 3.87% fixed to maturity, funded with USDe at a floating 2.80% and levered eight times — eight turns of a 107bp spread, 11.36% gross and 9.15% after entry cost. The collateral oracle is protocol-owned, a linear discount to par rather than Pendle spot, so the mark accretes faster than the debt accrues and the health factor improves with every day held. This is also the only market screened that clears on capacity: utilisation sits at 58.73% against an 85% optimal, leaving $82.31M of borrow headroom. The binding constraints are the floating funding leg and Ethena concentration.
Risk dimension scores · 1 safest to 5 riskiest · overall = worst dimension
Smart contract
3
Aave, Pendle, Ethena in production
Liquidity
4
Pendle depth binds before Aave
Counterparty
3
Ethena on both legs
Market
3
Variable debt, fixed carry
Oracle
3
Protocol-owned discount adapter
Upgradeability
3
Discount rate is admin-tunable
Leverage
4
8.00x holds a 5.56% buffer
Collateral
3
Dated claim on USDe
Operational
3
Sequenced entry; recursive unwind
Monitoring
3
Live parameters partly unanchored
Return profile · $2,000,000 at 8.00x
| Component | Rate | Basis |
|---|
| PT collateral APY, fixed | 3.87% | Fixed to the 22 Oct 2026 maturity |
| USDe borrow, floating | 2.80% | 58.73% utilisation against an 85% optimal |
| Gross levered spread at 8.00x | 11.36% | 8 × collateral less 7 × borrow |
| Entry cost, amortised over the tenor | −2.21% | 27.6bp per turn of leverage on equity |
| Net APY, held to maturity | 9.15% | 1.55% over the 64-day holding period |
Structure
InstrumentPT-sUSDe-22OCT2026 (Pendle)
Lending venue / debtAave V3 Plasma / USDe
Leverage8.00x (E-Mode ceiling 10.70x)
Equity / position$2,000,000 / $16,000,000
USDe borrowed$14,000,000
Position LTV / threshold87.50% / 92.65%
Maturity22 October 2026 (64 days)
Principal risks
| Risk | Dimension |
Score | Conf. | Assessment |
|---|
| Pendle depth sets the ceiling, not Aave headroom | Liquidity | 4 | M | The remaining Aave PT supply cap would fund about $5.56M of equity at the 90.65% E-Mode maximum, well inside the $82.31M of USDe borrow headroom; public PT depth caps practical sizing near $2.3M to $2.8M, against a $16M position built in clips. |
| Eight turns of recursion leave a 5.56% buffer | Leverage | 4 | M | At 87.50% LTV against a 92.65% threshold the health factor opens at 1.059. Maximum leverage would add 2.2 points of return for 3.4 points of buffer. |
| Variable debt funds a fixed collateral carry | Market | 3 | M | The PT leg is fixed at 3.87%; the USDe leg floats at 2.80%. Leverage magnifies the funding leg — the trade closes at a 4.09% borrow rate. |
| Ethena impairment transmits through both collateral and liability | Counterparty · Market | 3 | M | Tight asset-liability pairing helps with basis but does not remove exposure to the underlying stack. |
| The PT oracle is protocol-owned but not immutable | Oracle · Upgradeability | 3 | M | PendlePriceCapAdapter uses a linear discount to par rather than Pendle spot. Admins can tune discountRatePerYear, and Aave's consumer does not reject stale-but-positive data. |
| Entry is sequenced; the unwind is recursive | Operational | 3 | M | Staking USDe into sUSDe is instant, so entry is slow through sequencing rather than cooldown: $16M of cumulative PT is worked in clips against a $12.4M demonstrated fill. The unwind runs the same recursion in reverse — the PT is collateral, so the debt must be repaid before the PT can be released, and the USDe to repay it comes from the PT itself. |
Prepared by Simone Taravelli for Veris. Confidential. Not investment advice. Scores run 1 to 5, where 1 is the safest and 5 the riskiest; 4 indicates significant unmitigated exposure warranting active monitoring; the overall rating is the worst dimension score. Buffer is stated as the fall in collateral value the position absorbs before liquidation, 1 − LTV / threshold. Entry cost is modelled at 27.6bp per turn of leverage on equity, the all-in loop cost, which is wider than the 5.9bp observed on a single live clip. Oracle parameters and adapter types read on-chain; market data captured 18–19 August 2026 from the Aave V3 Plasma interface and a live Pendle quote. The PT leg is fixed to maturity; the USDe borrow leg is not, and a sustained rise in funding compresses the spread before it compresses principal.