Ethena - sUSDe
Ethena offers USDe, a synthetic dollar pegged to $1 using a delta-neutral strategy with perpetual futures.
Ethena’s USDe is backed primarily by ETH (and derivatives like stETH), optionally BTC and liquid stables like USDC/USDT, all hedged with short futures positions to maintain the peg.
How USDe is pegged:
- You deposit some asset as collateral (example: ETH).
- Ethena shorts perpetual futures (example: ETH), canceling out price risk. If BTC is part of the collateral pool, Ethena would hedge it using BTC perpetuals (not ETH). Every time Ethena opens, closes, or adjusts perp shorts, it pays trading fees to the exchange (Binance, Bybit, Deribit, etc.).
- If price of ETH goes up: ETH in the collateral pool goes up, and ETH in the futures position goes down.
- If price of ETH goes down: ETH in the collateral pool goes down, and ETH in the futures position goes up.
- Ethena automatically rebalances the position to maintain the delta-neutral position.
This means that the USDe tries to stay as close as possible to $1.
.Basic Information
Fundamentals
TVL
APR
Statistics
| Weekly | Monthly | Quarterly | Yearly | |
|---|---|---|---|---|
| Period Start | N/A | N/A | N/A | N/A |
| Period End (inclusive) | N/A | N/A | N/A | N/A |
| APR | N/A | N/A | N/A | N/A |
| CAGR (APY) | N/A | N/A | N/A | N/A |
| TVL High | N/A | N/A | N/A | N/A |
| TVL Low | N/A | N/A | N/A | N/A |
Liquidity
Not calculated yet
Liquidity analysis will be available soon
Strategy
- Convert your stablecoins into sUSDe
- Buy sUSDe tokens on the market
- Each sUSDe token is backed by N underlying USDe stablecoins
- sUSDe works for you
- Underlying assets generate yield
- Interest is automatically compounded to maximize your returns
- Gain profits
- You can sell your sUSDe at any time (price should be increased over time)
Yield Source
Perpetual futures (perps) have no expiry, and exchanges use funding rates to keep prices tethered to spot. For example: in long-biased markets, longs pay shorts. Ethena helps depositors to automatically catch the funding rate differential between longs and shorts and pass it to them. This is where the yield comes from holding sUSDe.
Your sUSDe balance stays constant, but the exchange rate between sUSDe and USDe increases over time as yield accrues.
How Funding Rate yield is captured:
- If longs pay shorts, the funding rate is positive and the yield (minus trading fees)is passed to the depositors of sUSDe.
- If shorts pay longs, the funding rate is negative and Ethena has to pay the difference from the Reserve Fund. However, statistically, the funding rate is positive most of the time.
- In case of a negative funding rate, Ethena can close perpetual short positions and convert underlying ETH into stablecoins.
- For extra safety, Ethena has a Reserve Fund that can cover the losses.
Basically, USDe pegging and sUSDe yield capturing are two different mechanisms.
Strategy Limits
Probabilistic Constraints
- Funding Rate Dependency: Yield is directly tied to perpetual futures funding rates
Underlying Assets/Allocations
N/A
Underlying assets and allocations will be available soon.
Risk Analysis
Potential Risks
Based on the official Ethena documentation, the following risks are associated with USDe as a synthetic dollar:
- Funding Risk - Negative funding rates can reduce or eliminate yield and may require reserve fund intervention
- Liquidation Risk - Delta-neutral positions may face liquidation under extreme market conditions
- Custodial Risk - Dependence on third-party custodians for backing asset security
- Exchange Failure Risk - Centralized exchange failures could impact hedging positions and liquidity
- Backing Assets Risk - Volatility in underlying crypto assets (ETH, BTC) affects collateral value
- Stablecoin-Related Risk - Exposure to risks from stablecoins used in the backing portfolio
- Margin Collateral Risk - Margin requirements and collateral management in derivatives markets
Risk Analysis (3rd Parties)
Summary
See the comprehensive study by Chaos Labs: "Stress Testing Ethena: A Quantitative Look at Protocol Stability".
On the backing side, Ethena’s hedging and collateral management mechanisms are generally robust, especially under common market conditions.
See the S&P Global report: Stablecoin Stability Assessment: USDe .
The protocol's reserves may not be sufficient to cover severe market volatility for an extended period of negative funding rates.
See CryptoQuant report: "Ethena - USDe’s Tail Risks Analysis and Key Metrics to Monitor".
Under these conditions we conclude that:
- • The current reserve fund ($32.7 million) would be enough to cover funding payments in this scenario as long as USDe market cap is not larger than $4 billion (current market cap is $2.4 Billion).
- • Funding payments become larger as USDe market capitalization increases (as short positions also become larger).
- • To safely manage the extraordinary event of large negative funding rates at larger market capitalizations of $5, $7.5 or $10 billion, the reserve fund would need to increase to about $40, $60 and $80 million, respectively.
Currently, Ethena's reserve fund is $62M+, which according to CryptoQuant quote above is not enough.