[NIP-111] List a July 2025 sUSDe PT vault (Mainnet)

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

1. After the PT matures, the assets convert to sUSDe.

2. Liquidations can only occur if they do not cause account insolvency. If a liquidation transaction would leave bad debt on Notional, it will revert.

3. 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

1. The sUSDe/USDe exchange rate does not take a haircut.
2. 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.