Risk Stewards: PT parameter changes on Aave V3 / 2026.05.14

Summary LlamaRisk recommends the following PT E-Mode parameter changes based on the latest report of the PT parameter methodology on the active Pendle PT reserves on Aave V3 Ethereum and Plasma instances. Aave V3 Ethereum: Update PT-USDG-28MAY2026 Stablecoins E-Mode (46): increase LTV from 93.6% to 93.7%, increase LT from 95.6% to 95.7%, reduce LB from 2.0% to 1.5%. Update PT-srUSDe-25JUN2026 USDe E-Mode (45): increase LT from 93.3% to 93.4%, reduce LB from 2.8% to 2.3%. Aave V3 Plasma: Update PT-USDe-18JUN2026 Stablecoins E-Mode (21): increase LTV from 91.0% to 91.1%, increase LT from 93.0% to 93.1%, reduce LB from 3.1% to 2.6%. Update PT-USDe-18JUN2026 USDe E-Mode (22): increase LTV from 93.5% to 93.6%, increase LT from 95.5% to 95.6%, reduce LB from 2.1% to 1.6%. Update PT-sUSDE-18JUN2026 Stablecoins E-Mode (23): increase LTV from 90.0% to 90.1%, increase LT from 92.0% to 92.1%. Update PT-sUSDE-18JUN2026 USDe E-Mode (24): increase LTV from 92.0% to 92.1%, increase LT from 94.0% to 94.1%, reduce LB from 3.1% to 2.6%. PT E-Mode Parameter Updates (Ethereum Core) Parameter updates for active PT E-Mode categories on Ethereum Core are computed using the PT parameter methodology, which carries over the same properties as were previously applied by the risk oracle, done manually to ensure full continuity. The methodology prices the maximum single-block discount rate move under observed market conditions and maps the resulting price-impact bound to LTV, LT, and LB values. Per-step changes in LTV and LT are bounded by the Risk Steward allowed change limits, so where the methodology yields a larger move the implementation reflects the capped value. PT-USDG-28MAY2026 (Ethereum Core) PT-USDG-28MAY2026 matures on May 28, 2026. The token is currently trading at a 5.12% annualized discount rate against a maximum of 18.82%. With approximately 13 days to maturity, the remaining discount window is narrow and the price has converged close to par. Source: LlamaRisk, May 14, 2026 This PT is referenced by a single E-Mode: Stablecoins E-Mode (46) allows borrowing of USDC, USDT, and other stablecoins against PT-USDG collateral. The current parameters are LTV 93.6%, LT 95.6%, LB 2.0%. The compressed time to maturity supports a tighter liquidation bonus and a marginal raise on the collateral parameters as the PT continues to converge to par. We propose LTV 93.7%, LT 95.7%, LB 1.5%, reflecting the near-zero residual price risk at this proximity to maturity. PT-srUSDe-25JUN2026 (Ethereum Core) PT-srUSDe-25JUN2026 matures on June 25, 2026, with a current discount rate of 4.61% against a maximum of 16.66%. Source: LlamaRisk, May 14, 2026 Two E-Mode categories reference this PT: Stablecoins E-Mode (44) has current parameters LTV 90.0%, LT 92.0%, LB 4.3%. The methodology floor for this category is set at 4.0pp to keep the PT-srUSDe Stablecoins LB above the underlying sUSDe Stablecoins LB (4.0%). The methodology yields no change to the deployed LB this round, so LTV, LT and LB all remain unchanged. USDe E-Mode (45) has current parameters LTV 91.5%, LT 93.3%, LB 2.8%. The methodology yields LT 93.4% and LB 2.3% this round, with LTV held at 91.5%. The LB reduction from 2.8% to 2.3% tightens the liquidation bonus in line with the decreased price volatility as the discount rate decays toward maturity. PT E-Mode Parameter Updates (Plasma) Parameter updates for active PT E-Mode categories on Plasma are computed using the same methodology as Ethereum Core. The two active maturities (PT-USDe-18JUN2026 and PT-sUSDE-18JUN2026) share the June 18, 2026 maturity date and each underpin a Stablecoins and a USDe E-Mode pair on the Plasma instance. PT-USDe-18JUN2026 (Plasma) PT-USDe-18JUN2026 matures on June 18, 2026, with a current discount rate of 2.95% against a maximum of 13.57%. With 34 days to maturity, the price has converged close to par (current discount of 0.28%). Source: LlamaRisk, May 14, 2026 Two E-Mode categories reference this PT: Stablecoins E-Mode (21) has current parameters LTV 91.0%, LT 93.0%, LB 3.1%. The methodology yields LTV 91.1%, LT 93.1%, LB 2.6%. The LTV and LT raises of +0.1pp each reflect the narrowing discount and removal of the prior cap to the underlying USDe LT; the next steps will further tighten LTV and LT as time to maturity decays. USDe E-Mode (22) has current parameters LTV 93.5%, LT 95.5%, LB 2.1%. The methodology yields LTV 93.6%, LT 95.6%, LB 1.6%. The primary change is the LB reduction; the LTV and LT increases of +0.1pp each are gradual, with further steps queued for subsequent rounds. PT-sUSDE-18JUN2026 (Plasma) PT-sUSDE-18JUN2026 matures on June 18, 2026, with a current discount rate of 3.96% against a maximum of 14.46%. With 34 days to maturity, the price has converged to 0.38% within par. Source: LlamaRisk, May 14, 2026 Two E-Mode categories reference this PT: Stablecoins E-Mode (23) has current parameters LTV 90.0%, LT 92.0%, LB 4.1%. The methodology yields LTV 90.1%, LT 92.1%, LB 4.1%. USDe E-Mode (24) has current parameters LTV 92.0%, LT 94.0%, LB 3.1%. The methodology yields LTV 92.1%, LT 94.1%, LB 2.6%. The primary change is the LB reduction; LTV and LT raises of +0.1pp each follow the same gradual cadence as the PT-USDe-18JUN2026 pair, with further compression queued for the next round. 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-USDG-28MAY2026 Stablecoins (46) 93.6% 93.7% 95.6% 95.7% 2.0% 1.5% Aave V3 Ethereum PT-srUSDe-25JUN2026 USDe (45) 91.5% 91.5% 93.3% 93.4% 2.8% 2.3% Aave V3 Plasma PT-USDe-18JUN2026 Stablecoins (21) 91.0% 91.1% 93.0% 93.1% 3.1% 2.6% Aave V3 Plasma PT-USDe-18JUN2026 USDe (22) 93.5% 93.6% 95.5% 95.6% 2.1% 1.6% Aave V3 Plasma PT-sUSDE-18JUN2026 Stablecoins (23) 90.0% 90.1% 92.0% 92.1% 4.1% 4.1% Aave V3 Plasma PT-sUSDE-18JUN2026 USDe (24) 92.0% 92.1% 94.0% 94.1% 3.1% 2.6% 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. 1 post - 1 participant Read full topic