Onchain Credit Term Sheet · As of 2026-05-13
sUSDeStaked USDe
Ethena Labs · Synthetic dollar (delta-neutral basis) · Ethereum
Final Rating
Weakest-link aggregation
TradFi equivalent
Synthetic dollar collateralized by a delta-neutral basis trade. Economically a perpetual cash-and-carry strategy with synthetic USD liabilities. Closest TradFi analog: an unregistered prime money-market fund running short-dated futures basis.
Asset Layer
BB- Issuer RiskA
- Credit RiskBB
- Operational RiskA
Platform Layer
A- Issuer RiskA
- Operational RiskA
Market Layer
BB- OracleA
- LiquidityBB
- Credit EnhancementBB
Executive Summary
What it is, in TradFi terms.
- 01sUSDe is the staked, yield-bearing wrapper of USDe. Holders earn the proceeds of a delta-neutral basis trade between staked-ETH/BTC longs and short perpetual futures.
- 02Yield is a carry, not a credit spread: 73% of trailing 30d APY comes from negative-cost short-perp funding; 22% from staked-ETH yield; 5% from points/rebates.
- 03Primary risk surfaces are (a) sustained negative funding (carry inversion), (b) custodian/venue counterparty failure (Binance/OKX/Bybit OES + Copper/Ceffu/Fireblocks), and (c) USDe peg dislocation under stress redemptions.
- 04Reserve fund (Tier-1-analog): $73.4M against $5.64B notional supply ≈ 1.30% coverage. Below institutional MMF standards but above DeFi peers.
- 05Suitable as collateral within HY-rated mandates with conservative LLTV (≤75%) and active monitoring of funding-rate distribution.
Rating rationale. Issuer transparency and reserve mechanics are above HY median, but credit risk is anchored to perp-funding regime persistence and a small set of custodian/venue counterparties: a single-pillar weakest-link drag holds the asset out of Prime.
Issuer Profile
The entity behind the asset, in language a credit committee can underwrite.
- Legal entity
- Ethena (BVI) Ltd.
- Jurisdiction
- British Virgin Islands
- Regulatory wrapper
- Unregulated; non-US persons only per ToS
- Governance
- ENA token governance + 4-of-7 multisig with 48h timelock
- Key personnel
- Founded by Guy Young (ex-Cerberus); risk committee includes external advisors with derivatives-desk backgrounds.
- Transparency cadence
- Weekly proof-of-reserves attestation by Chaos Labs and Harris & Trotter; daily custodian balance disclosure.
- Track record
- Mainnet launch 2024-02-19 (~2.4 years)
Yield Decomposition
Where the carry comes from, benchmarked against TradFi cash equivalents.
Carry retention (Ethena live)
As-of 6 May 26
| Component | Current | 30d avg |
|---|---|---|
| Protocol carry (gross) | 4.07% | 3.93% |
| Distributed to sUSDe | 3.50% | 3.47% |
| Retained (reserve) | 0.56% | 0.46% |
Retention 11.65% of trailing 30d carry diverts to the reserve fund (Tier-1-analog). Higher retention = stronger first-loss buffer; lower retention = more yield to holders.
Yield vs TradFi cash benchmarks (30d annualized)
Spread over MMF Prime
-65 bpsAPY history (24 months, monthly mean)
Source: DeFiLlama
Perp funding rate distribution (24m, ETH-USDT)
Negative-funding regime → carry inversion risk
The carry trade is profitable when funding is positive (longs pay shorts). ~10% of historical observations sit at or below 0%, and under those regimes the basis component of yield turns to a cost.
Credit Risk
Default probability, recovery mechanics, and capital adequacy.
Reserve fund coverage
Tier-1-capital analog
Reserve fund of $73.40Mfunctions as a first-loss equity tranche, absorbing P&L drawdowns from negative funding or basis dislocation before USDe holders take a haircut.
Default channels (in order of severity)
- iSustained negative funding. Carry inverts; reserve fund pays the basis cost. Recovery via yield throttle and re-attribution to staking leg.
- iiCustodian / OES counterparty failure. Collateral frozen during workout. Recovery rate ≈ Ch.11 prime-broker precedent (FTX-class: ~140% over 24mo).
- iiiSmart contract exploit. Mint/redeem or staking module compromise. Mitigated by 6 audits + immutable critical paths; no historical incident.
- ivGovernance / key personnel. 4-of-7 multisig with 48h timelock; treasury actions auditable onchain. Single-signer compromise insufficient to drain.
Recovery / loss-given-default scenarios
| Scenario | Probability | LGD | Recovery |
|---|---|---|---|
| Funding inversion (30d) | 8% | 1.8% | 98.2% |
| Single OES custodian failure | 0.4% | 9.0% | 91.0% |
| Smart contract exploit | 0.1% | 15–40% | 60–85% |
| Multi-rail simultaneous failure | <0.05% | 25% | 75% |
Counterparty Waterfall
Where the collateral actually sits, and which venues hold the perp leg.
Custodian exposure (collateral location)
Tri-party-repo analog: collateral with custodian, traded on CEX.
Off-exchange settlement; bankruptcy-remote trust structure.
Settles into Binance perps; SOC 2 Type II.
MPC custody; insured up to $30M.
stETH/wBETH/cbETH held in protocol-owned address.
CEX venue exposure (perp leg)
Where the short-perp basis is actually carried.
| Venue | Instrument | Share |
|---|---|---|
| Binance | ETHUSDT/BTCUSDT perp | 42.8% |
| Bybit | ETHUSDT/BTCUSDT perp | 24.1% |
| OKX | ETH-USDT-SWAP / BTC-USDT-SWAP | 18.4% |
| Deribit | ETH-PERP / BTC-PERP | 9.4% |
| Hyperliquid | ETH/BTC perps (onchain) | 5.3% |
Concentration note. Top venue (Binance) carries 43%of perp notional. Single-venue suspension (à la 2017 BitMEX flash crash) would force re-hedge at unfavorable basis; OES structure protects collateral recovery but not P&L during workout.
Stress-Test Panel
Named historical analogs, quantified NAV impact, mitigants.
March 2020-style funding shock
Modeled NAV impact
-1.8%
Scenario summary
Multi-week negative funding regime. Carry inverts; basis-trade P&L turns negative.
Historical analog
ETH perp funding averaged −0.06%/8h for 14 consecutive days (Mar 12–26, 2020).
Impact reasoning
Modeled NAV impact: −1.8% over 30d if 2020 funding distribution recurred today.
Mitigants
Reserve fund absorbs first $73M of basis loss (≈1.3% of supply). Mint window can throttle to slow new issuance.
Market & Liquidity
Onchain depth, exit slippage, and historical peg behavior.
Curve sUSDe/USDC
$142.40M
$84.00M @ 1% slip
Uniswap v3 sUSDe/USDT
$71.20M
$52.00M @ 1% slip
Pendle PT-sUSDe
$318.00M
$64.00M @ 1% slip
Balancer sUSDe/sDAI
$28.90M
$19.00M @ 1% slip
Exit slippage curve (aggregated DEX routing)
$50M exits at 18bps; $500M at 184bps. Direct issuer redemption bypasses AMMs.
USDe peg deviation (90d, basis points from $1.00)
Trough −29bps; cleared in <48h via direct redemption arbitrage.
Platform Layer
Where sUSDe is accepted as collateral, and the inherited platform risk.
| Protocol | Market | LLTV | Warn | Oracle | Cap | Risk |
|---|---|---|---|---|---|---|
| Aave v3 | sUSDe (E-mode) | 78% | 75% | Chainlink | $250M | A |
| Morpho Blue | sUSDe / DAI | 86% | 82% | Redstone | $120M | A |
| Pendle | PT-sUSDe Sep26 | 80% | 74% | TWAP+Chainlink | — | BB |
| Spark | sUSDe vault | 74% | 70% | Chainlink | $200M | A |
| Fluid | sUSDe smart vault | 83% | 78% | Composite | $80M | BB |
Inheritance note. Platform-layer risk stacks on the asset rating: a BB asset on an A-rated platform is no better than BB; a BB asset on a BB-rated platform is worse. LLTV equivalents to TradFi initial-margin haircuts: 1 − LLTV.