Risk Stewards: PT parameter changes on Aave V3 / 2026.05.28

Summary LlamaRisk recommends the following PT E-Mode parameter changes based on the latest re-evaluation of the PT parameter methodology as discount rates have continued to compress toward maturity on the active Pendle PT and also due to the maturing of a PT on Aave V3 Ethereum and Plasma instances. Aave V3 Ethereum: Reduce supply cap for PT-USDG-28MAY2026 from 180,000,000 to 1. Update PT-USDG-28MAY2026 Stablecoins E-Mode (46): increase LTV from 93.7% to 93.8%, increase LT from 95.7% to 95.8%. Update PT-srUSDe-25JUN2026 USDe E-Mode (45): increase LT from 93.4% to 93.5%, reduce LB from 2.3% to 1.8%. Aave V3 Plasma: Update PT-USDe-18JUN2026 Stablecoins E-Mode (21): reduce LB from 2.6% to 2.3%. Update PT-USDe-18JUN2026 USDe E-Mode (22): increase LTV from 93.6% to 93.7%, increase LT from 95.6% to 95.7%, reduce LB from 1.6% to 1.3%. Update PT-sUSDE-18JUN2026 USDe E-Mode (24): reduce LB from 2.6% to 2.2%. Cap Reductions (Ethereum Core) PT-USDG-28MAY2026 reached its scheduled maturity on 2026-05-28. The reserve holds 2,779,351 PT against the prior 180,000,000 supply cap (1.5% utilization). After maturity, the PT becomes redeemable at par against the underlying. The proposed supply cap of 1 closes new collateral deposits while existing holders retain the ability to withdraw. 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 discount rate move under observed market conditions and maps the resulting price-impact bound to LTV, LT, and LB values. Inputs include the current discount rate, maximum discount rate, Pendle AMM scalar root, and market-implied yield. Per-step changes in LTV and LT are bounded by the Risk Steward allowed change limit. PT-USDG-28MAY2026 (Ethereum Core) PT-USDG-28MAY2026 matures today, May 28, 2026. The token is trading effectively at par against a deployed discount rate of 5.12% and a maximum of 18.82%, with the residual price risk now collapsed to zero as the time-to-maturity window closes out. Source: LlamaRisk, May 28, 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 93.7%, LT 95.7%, LB 1.5%. With the PT at par on its final day, we propose marginally raising LTV to 93.8% and LT to 95.8% to reflect the fully resolved price risk, while holding LB unchanged at 1.5% as the prior step already brought the liquidation bonus to a level consistent with the underlying USDG profile. 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%. With approximately 28 days to maturity, the residual time value has continued to compress relative to the prior review window. Source: LlamaRisk, May 28, 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 continues to hold 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 93.4%, LB 2.3%. The methodology yields LT 93.5% and LB 1.8% this round, with LTV held at 91.5%. The LB reduction from 2.3% to 1.8% tightens the liquidation bonus in line with the decreased price volatility as the discount rate decays toward maturity. The LT raise is bounded to +0.1pp by the allowed change limits. Subsequent rounds will continue to step LT up as the discount rate decays. 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 approximately 21 days to maturity, the price has converged close to par (current discount of 0.17%). Source: LlamaRisk, May 28, 2026 Two E-Mode categories reference this PT: Stablecoins E-Mode (21) has current parameters LTV 91.1%, LT 93.1%, LB 2.6%. The methodology yields LB 2.3% this round, with LTV and LT held unchanged. The LB-only step reflects the continued compression of the residual price risk; the next rounds will continue to step LTV and LT as time to maturity decays further. USDe E-Mode (22) has current parameters LTV 93.6%, LT 95.6%, LB 1.6%. The methodology yields LTV 93.7%, LT 95.7%, LB 1.3%. The primary change is the LB reduction from 1.6% to 1.3%; 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 approximately 21 days to maturity, the price has converged close to par (current discount of 0.22%). Source: LlamaRisk, May 28, 2026 This PT is referenced by one E-Mode requiring an update this round: USDe E-Mode (24) has current parameters LTV 92.1%, LT 94.1%, LB 2.6%. The methodology yields LB 2.2% this round, with LTV and LT held unchanged. The LB reduction reflects the continued compression of the residual price risk as the maturity window closes; LTV and LT will be stepped in subsequent rounds. 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) 93.7% 93.8% 95.7% 95.8% 1.5% 1.5% Aave V3 Ethereum PT-srUSDe-25JUN2026 USDe (45) 91.5% 91.5% 93.4% 93.5% 2.3% 1.8% Aave V3 Plasma PT-USDe-18JUN2026 Stablecoins (21) 91.1% 91.1% 93.1% 93.1% 2.6% 2.3% Aave V3 Plasma PT-USDe-18JUN2026 USDe (22) 93.6% 93.7% 95.6% 95.7% 1.6% 1.3% Aave V3 Plasma PT-sUSDE-18JUN2026 USDe (24) 92.1% 92.1% 94.1% 94.1% 2.6% 2.2% PT Caps Changes Instance Asset Current Supply Cap Recommended Supply Cap Current Borrow Cap Recommended Borrow Cap Aave V3 Core PT-USDG-28MAY2026 180,000,000 1 — — 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