Vault details
Vault type: Leveraged PTs
Network: Mainnet
Borrow token: USDC
PT: July 2025 sUSDe PT
Vault strategy overview
This vault borrows the borrow token (USDC) from Notional, converts the borrow token into the PT underlying token (USDe), and buys the PT. The PT is convertible back into the underlying token subject to liquidity and can always be redeemed for the underlying token at maturity.
Notes
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After the PT matures, the assets convert to sUSDe.
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Liquidations can only occur if they do not cause account insolvency. If a liquidation transaction would leave bad debt on Notional, it will revert.
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Notional can unstake sUSDe for USDe, but it can’t redeem USDe from Ethena directly. The vault needs to rely on USDe Dex liquidity to convert assets back to USDC.
Vault parameters
| Parameter | Proposed Value | Implied Leverage |
|---|---|---|
| LiquidationRate | 1.03 | |
| MinCollateralRatioBPS | 0.15 | 7.66 |
| MaxDevelerageCollateralRatioBPS | 0.5 | 3.00 |
| MaxRequiredAccountCollateralRatioBPS | 1 | 2.00 |
| Maximum vault capacity | 5,000,000 USDC | |
| Minimum borrow size | 60,000 USDC | |
| feeRate5BPS | 0 | |
| ReserveFeeShare | 80% |
USDe redemption and liquidity
sUSDe is redeemable for USDe after a cooldown period set by Ethena. Currently, this cooldown period is one week.
KYC’ed users can redeem USDe directly for the backing collateral assets held by Ethena. This should keep the value of USDe at parity with USDC provided that Ethena does not disable redemptions.
Furthermore, USDe is highly liquid on Dexes against a variety of different leading stablecoins. Ethena has demonstrated a commitment to maintain that liquidity through incentive programs.
Risks
The strategy’s structure (no liquidations if they cause insolvency) and risk parameterization is designed to ensure that no insolvency can occur as long as
- The sUSDe/USDe exchange rate does not take a haircut.
- USDe is redeemable at the maturity of the PT at par.
However, there are many ways that this strategy can go wrong which would violate that core assumption either by causing gated USDe redemptions, a haircut on USDe redemption value, or a haircut on sUSDe redemption value.
We can reasonably expect that some of them can be mitigated with conservative risk parameters. This vault’s risk parameters imply that we can withstand a minimum of a 12% decline in the sUSDe price before insolvency. This is is in line with the risk review outlined in NIP-105 re the May 2025 sUSDe PT.