Strategy fact sheet 03 · Prepared for Veris · 19 August 2026
PT-sUSDe-22OCT2026 / USDe — Levered PT Spread
Paid by the spread between a fixed PT yield and floating USDe funding, levered eight times.
Investment objective
A recursive fixed-rate carry. Buy the principal token on staked USDe at a discount to par, post it into Aave V3’s E-Mode bucket where collateral and debt are both USDe-linked, borrow USDe against it, stake that back into sUSDe and buy more PT. Repeat to 8.00x. The return is the spread between the PT’s fixed 3.87% yield and the floating 2.80% USDe borrow rate — $16.0M of PT earning 3.87% against $14.0M of debt costing 2.80% is 11.36% gross on $2.0M of equity, and 9.15% after entry cost. The asset leg is locked to 22 October; the funding leg floats, and that is the position’s largest single exposure. Aave prices the collateral through a protocol-owned linear discount adapter rather than Pendle spot, so the mark moves with time to maturity instead of market noise.
Key features
- Only one leg floats. The PT locks 3.87% to 22 October; the USDe borrow leg is variable. Leverage multiplies the spread between them.
- Genuine capacity. Utilisation sits at 58.73% against an 85% optimal, leaving $82.31M of borrow headroom.
- The oracle mark accretes faster than the debt. The adapter discounts at 3.97% a year while USDe borrows at 2.80%, so the health factor improves every day the position is held.
- Execution is evidenced at size. A live quote for $12.4M of PT moves implied yield from 4.11% to 4.00% and locks the fixed 3.87%, on a 1.9bp fee and 4bp of price impact. The $16.0M position is built in clips above that single fill.
- Redemption is at par, not through the market. At maturity the PT redeems for 1 USDe of value per token, so there is no AMM sale and no price impact on the way out.
Risk indicator
1 · safest5 · riskiest
The overall score from the accompanying memo, on its 1-to-5 scale. The oracle construction removes spot-driven
liquidation and the position de-risks with time. The rating reflects eight turns of leverage on a 107bp spread, one
concentrated Ethena exposure on both legs, and an entry path that routes through Ethereum.
Strategy information
Proposed size$2,000,000
Capacity ceiling$2.8M
Return driverPT yield less USDe borrow
CollateralPT-sUSDe-22OCT2026
Debt assetUSDe
ChainPlasma
Leverage8.00x
Position$16,000,000
Debt drawn$14,000,000
E-Mode max LTV / LT90.65% / 92.65%
Position LTV87.50%
Health factor1.059
Key risks
- Pendle depth sets the ceiling, not Aave. Aave's remaining PT supply cap would fund about
$5.56M of equity at the 90.65% E-Mode maximum. What can actually be bought on Pendle is tighter, and
caps practical sizing at $2.3M to $2.8M.
- Variable debt against fixed carry. The spread is real but narrow. It closes at a 4.09%
USDe borrow rate at the proposed 8.00x, and at 3.95% at maximum leverage.
- Ethena concentration. Collateral and debt sit in the same stack, so an impairment
arrives through both legs at once. It also reaches Strategy 01 through the sUSDe sleeve in ONyc's reserve.
- Entry is the slow leg. $16.0M of cumulative PT is worked in clips against a $12.4M demonstrated fill, each turn staking, buying and re-depositing before the next. The unwind is comparatively quick: the matured PT is redeemed into USDe, which repays the Aave debt directly, so closing the position takes a few interactions rather than a timed process.
- Governance-set discount rate. The adapter is admin-tunable; a change moves borrowing
power and health factor.
Strategy characteristics · $2,000,000 at 8.00x, borrow 2.80%
9.15%
Net APY after entry cost, held to maturity
1.55%
Net return over the 64-day holding period
3.87%
Fixed PT yield, locked at $12.4M of size
5.56%
Liquidation buffer: collateral fall the position absorbs
107 bp
Gross spread at entry: 3.87% fixed less 2.80% floating
27.6 bp
All-in loop entry cost per turn of leverage, on equity
Return decomposition · annualised on equity
| Component | Rate | On equity |
|---|
| PT carry on a $16.0M position | 3.87% fixed | +30.96% |
| USDe borrow on $14.0M of debt | 2.80% variable | −19.60% |
| Gross levered spread | — | 11.36% |
| Entry cost, amortised over 64 days | 27.6bp | −2.21% |
| Net APY, held to maturity | — | 9.15% |
Equity $2,000,000 · 12.5%
Debt $14,000,000 · 87.5%
Leverage against buffer and capacity
| Leverage | LTV | Health | Buffer | PT bought | Net APY |
|---|
| 3.00x | 66.7% | 1.390 | 28.04% | $6.0M | 5.14% |
| 5.00x | 80.0% | 1.158 | 13.65% | $10.0M | 6.73% |
| 8.00x | 87.5% | 1.059 | 5.56% | $16.0M | 9.15% |
| 10.00x | 90.0% | 1.029 | 2.86% | $20.0M | 10.78% |
| 10.70x | 90.65% | 1.022 | 2.16% | $21.4M | 11.36% |
Buffer is the fall in collateral value the position absorbs
before liquidation, 1 − LTV / threshold. Maximum leverage is the 90.65% E-Mode LTV ceiling, and it buys 2.2 points of return for 3.4 points of
buffer. 8.00x keeps cumulative PT purchases inside demonstrated depth.
How the loop is built
01 · STAKE
USDe into sUSDe
Entering on the sUSDe side of the Pendle market gives better execution than buying
PT from USDe directly. The staking call settles through Ethena's mainnet contract.
02 · BUY PT
Fix the carry
Purchase PT-sUSDe-22OCT2026 on Pendle. A $12.4M clip moves implied yield 11bp and
locks 3.87% fixed to 22 October.
03 · LOOP
Borrow, restake, repeat
Post PT to Aave V3, opt into the PT-sUSDe / USDe E-Mode bucket and borrow USDe. Stake it back into sUSDe, buy more PT, and repeat to 8.00x. Redeem at maturity to close.
Sensitivity to the USDe borrow rate
| Leverage | Net APY at USDe borrow rate | Spread
closes at |
|---|
| 2.36% | 2.80% | 4.00% |
|---|
| 5.00x | 8.56% | 6.73% | 1.89% | 4.47% |
| 8.00x | 12.43% | 9.15% | 0.65% | 4.09% |
| 10.70x | 16.00% | 11.36% | −0.46% | 3.95% |
Modelled at the observed 2.80%. Leverage amplifies
borrow-rate risk rather than diversifying it: the spread closes at 3.95% at maximum leverage and at
4.09% at the proposed 8.00x.
Oracle construction
| Property | What it means for the position |
|---|
| Verified PendlePriceCapAdapter | A linear discount to par, not Pendle spot, so AMM dislocation does not drive liquidation. Aave reads latestAnswer() without a freshness check — monitor the feed independently. |
| discountRatePerYear 3.97% | Against 4.11% implied in the market, so the oracle marks the PT 2.4bp above market. A flat par oracle would have been 71bp. |
| Mark accretes to par | 3.97% a year against debt at 2.80%. LTV falls over the hold; the position de-risks with time. |
Prepared by Simone Taravelli for Veris. Confidential. Not investment advice. Market data captured
18–19 August 2026 from the Aave V3 Plasma interface and a live Pendle quote; oracle parameters read
on-chain. Modelled at a 2.80% USDe borrow rate and an all-in loop entry cost of 27.6bp per turn of leverage, held to maturity. A single live clip quoted 5.9bp; the modelled figure is wider because the loop buys in multiple clips. The
3.87% PT yield is fixed at entry and quoted at $12.4M of size; larger cumulative purchases compress it further. Only the USDe borrow leg floats.
Sizing is bounded by public Pendle depth, not by Aave headroom. Full risk register and open items in the
accompanying due diligence memo.