[MEV Capital] Pendle WBTC Vault Updates

Vaults MEV Capital
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Pendle WBTC vault was launched in November 2024. This thread below provides an overview of its characteristics and features.

About MEV Capital

MEV Capital is a risk management firm specializing in optimizing investment strategies in DeFi under a market-neutral mandate. MEV Capital is currently active on Morpho through several vaults including ETH-based, BTC-based and USD-based markets on both Ethereum & Base chains.

Highlights

The Pendle WBTC vault was whitelisted on November 5th on Morpho Vaults. It allows exposure to the BTC LSTs PT markets from Pendle. Discover their specifications.

Vault Info

  • Address : 0x2f1aBb81ed86Be95bcf8178bA62C8e72D6834775

  • Symbol : pWBTC

Market Specifications

  • PT LBTC/WBTC

    • Collateral Asset : PT-LBTC-27MAR2025
    • Borrow Asset : WBTC
    • Supply Cap : 100 WBTC
    • LLTV : 86%
    • Oracle : Pendle Oracle : TWAP 15 min + LBTC/WBTC exchange rate
    • IRM : Adaptive Curve

  • PT solvBTC.BBN/WBTC

    • Collateral Asset : PT-corn-SolvBTC.BBN-26DEC2024
    • Borrow Asset : WBTC
    • Supply Cap : 25 WBTC
    • LLTV : 86%
    • Oracle : Pendle Oracle : TWAP 15 min + solvBTC.BBN/WBTC exchange rate
    • IRM : Adaptive Curve

Liquidity assessments

Unlike traditional collateral in Morpho markets, PT collateral consists of two components:

  • PT Token: obtainable on the Pendle AMM, subject to liquidity on Pendle.

  • Underlying Asset: exchangeable on any DEX.

In a liquidation event, the collateral will be liquidated following follows two routes :

#1: The PT token is sold for its underlying asset via the Pendle AMM, subject to liquidity on Pendle.

#2: The underlying is sold for the borrowed asset through an aggregator (Cowswap, Odos) in order to pay back the lenders,

Risk parameters for these two markets are set according to the Pendle liquidity pools, the secondary market liquidity of the underlying, and other technical considerations.

Below is a model of the price impact from PT to WBTC (PT to underlying asset + underlying asset to borrowed asset).

PT-LBTC-27MAR2025 :

1000×600 33.8 KB

PT solvBTC.BBN-26DEC2024 :

1000×600 36.2 KB

Note: The complete liquidation of all collateral at the same time would be an exceptional scenario. In most cases, liquidations only affect a small portion of the supply.

In the current configuration of the two PT markets, the price feed references the exchange rates of the underlying asset vs the borrowable asset (SolvBTC.BBN:WBTC / LBTC:WBTC).

This means that in the event of a price movement of the underlying asset, only the PT : Underlying Asset ratio can make a position eligible for liquidation.

Our technical infrastructure monitors liquidity in real time to adjust supply caps in the event of a significant decrease.

Vault Fee

The performance fee for the vault is fixed at 10%.

Next steps

As with the MEV Capital curated vaults, the Pendle WBTC vault plans to be integrated into the Aragon guardian module. This integration enhances the vault’s security via a decentralized governance.

Regular updates will be provided to reflect the latest composition of the vault.

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