Updates

Given the expiry of PT-USDG on 24 September 2026, we removed its USDC market from the Select vault.

The PT-USDat-14JAN2027 market was added to the USDT Select vault following increased borrowing demand and its similar risk profile to the USDC market previously onboarded to the USDC Select vault.

Given the expiry of PT-USDG on 24 September 2026, we removed its USDC market from the Pendle Ecosystem USDC vault.

Wintermute Confidential WBTC launched on Ethereum with confidential WBTC deposits processed in batches through Zama exclusively. The vault supplies WBTC to Morpho markets backed by LBTC, wstETH, Armitage Prime USDC/USDT vault shares, and v-wmtWBTC collateral.

LBTC is Lombard's BTC-backed token which allocates to a managed covered call option strategy for yield production. armUSDCp and armUSDTp are shares of our Prime USDC and USDT vaults, which hold only blue-chip markets. v-wmtWBTC represents our own borrowing through Wildcat, where we have an established WBTC credit line.

LBTC strategy reserves can be accessed here: https://www.lombard.finance/transparency/lbtc.

Wintermute USDT Prime launched on Ethereum, allocating USDT to Morpho markets backed by cbBTC, wstETH, WBTC, and XAUt collateral.

Wintermute USDT Select launched on Ethereum, supplying USDT to Morpho markets backed by cbBTC, wstETH, WBTC, XAUt, v-wmtUSDT, and PT-reUSD-10DEC2026 collateral.

The vault's construction mirrors USDC Select with core allocation to blue-chip collateral, extended by a small set of higher-yield markets, with our Wildcat credit lines providing the borrowing pipeline through v-wmtUSDT. Market selection is tilted toward the collateral where we see the strongest USDT-denominated borrow demand, such as XAUt, Tether's tokenized gold.

The PT-USDat-14JAN2027 collateral market was added to the USDC Select vault, following the removal of the August 2026 maturity. Saturn's USDat performed consistently over the duration of the August maturity and its risk profile is unchanged, hence the 14JAN2027 PT was onboarded with the parameters mirroring that of 27AUG2026 expiry.

The PT-USDat-27AUG2026 market was removed from the USDC Select vault on its maturity date.

sUSDe is the staked form of USDe, Ethena's synthetic dollar. USDe maintains its peg through delta-neutral hedging of crypto collateral alongside liquid stablecoin reserves, and sUSDe accrues the protocol's yield from staking rewards and derivatives funding rates. Ethena publishes supporting reserve attestations on its transparency dashboard.

Pendle's PT-sUSDE locks in that yield until maturity, so its market was onboarded as a constituent of the Pendle Ecosystem USDC vault.

Following changes were executed, relevant to the Select vault:

1. Onboarding PT-USDG-24SEP2026 markets

USDG is a fully collateralized stablecoin pegged to the U.S. dollar, issued by Paxos, backed by cash and short-term U.S. treasuries, regulated in Singapore under MAS and in the EU under MiCA. Reserve yield is not held solely by the issuer, but could be distributed via multiple distribution partners, such as Kraken and Robinhood. Pendle’s PT-USDG provides a consistent yield with a low risk, therefore we onboard it as one of the Select vault’s constituents.

Transparency report is available here: Paxos | Global Dollar (USDG) Transparency Reports

Onchain details:

The Pendle Ecosystem USDC vault launched as an official Pendle ecosystem vault. Assets are selected and approved by the Pendle team.

The vault allocates liquidity exclusively to selected principal-token collateral markets within the Pendle ecosystem, enabling deeper USDC borrowing liquidity for PT-looping strategies.

Following changes were submitted to the timelock of Select vault:

1. Onboarding PT-reUSD-10DEC2026 market

Given the expiry of previous reUSD PTs and the fact that the risk level and yield profile of PT-reUSD remain consistent with previous maturity, we proceed with onboarding of PTs with new maturity:

Timelock increases for Prime and Select vaults:

With the goal of enhancing security and following Morpho’s team recommendations, we submitted actions for timelock increase for following functions:

• Add adapter
• Increase absolute cap
• Increase relative cap

The timelocks were changed from 3 days → 7 days on the Prime vault, and the same change is queued for the Select vault as well. The updated timelock gives depositors of our vaults more time to react to any potentially risk-increasing actions.

The PT-reUSD-25JUN2026 market was removed from the Select vault following the instrument's 25 June 2026 maturity.

Following changes were submitted to the timelock of Select vault:

1. Onboarding reUSD/PT-reUSD-25JUN2026 markets

Re Protocol is an onchain capital market for reinsurance, which facilitates capital allocation to different reinsurance counterparties, with the portfolio being focused on backing non-catastrophic, low-volatility, short-duration program business.

Re Protocol issues two tokens: reUSD and reUSDe, where in terms of seniority they are ordered as reUSD (senior tranche), reUSDe (junior tranche) and reinsurance company equity (first to absorb the loss).

On the yield side, both reUSD and reUSDe earn yield from two distinct sources: off-chain (reinsurance-deployed capital) and on-chain capital (concentrated in sUSDe at the moment of writing). The exact metrics of the capital allocation are accessible here: Metrics | Re.

We consider reUSD to match the Select vault’s level risk profile and yield targets, hence following cap proposals were submitted:

reUSD:

PT-reUSD-25JUN2026:

2. Onboarding PT-USDat-27AUG2026 market

Saturn is tokenizing digital credit exposure and wraps it into a dual token system: USDat and sUSDat. The main yield source at the moment of writing is Strategy’s STRC.

The dual token system is structured in a following way:

USDat is a fully collateralized stablecoin, backed by M0’s tokenized U.S. treasuries. USDat doesn’t earn yield and is not directly exposed to STRC.

At the same time, funds deployed to sUSDat are mostly used for STRC purchases for the purpose of yield generation for sUSDat holders. Due to the STRC structure, opposed to USDat, sUSDat doesn’t have a hard peg at 1$, hence can be volatile, depending on the STRC’s price action.

The current backing portfolio of Saturn can be viewed here: Saturn | 11%+ yield backed by Bitcoin.

We consider PT-USDat to match the desired risk and yield levels of the Select vault and onboarding its market with the following parameters:

PT-USDat-27AUG2026

The stUSDS market was removed from the vault in the same allocation update.

Our Prime vault consists of existing blue-chip high-TVL markets on Morpho, providing yield with conservative risk exposure. It targets conservative profiles prioritizing capital preservation, exclusively blue-chip collateral with deep liquidity and well-understood risk parameters.

Our Select vault consists of existing blue-chip high-TVL markets on Morpho, expanded by a few select higher-yield opportunities. It provides higher yield compared to Prime while maintaining balanced risk exposure. Our borrowing activity on Wildcat, where we have established credit lines in USDC, USDT, WETH, cbBTC, and WBTC, provides a natural pipeline for scaling this tier.