Reported Predictive Signal: Term Spread Vs Btc Forward-Return Skew (Tail-Driven)
Sources: 1 • Confidence: Medium • Updated: 2026-02-09 16:41
Key takeaways
- The term spread is described as most useful during extreme conditions, where large BTC run-ups and high funding coincide with backwardation that has been consistently bearish historically.
- The sUSDe term structure on Pendle has become the deepest and most liquid on-chain term structure, settling multi-billions of liquidity and volume.
- Boros leverage is reported to be capped around 3x on the biggest markets, while management guidance targets much higher leverage caps (roughly 20–50x).
- The spring/summer listing of USDE-type PTs as collateral on Aave is reported to have materially increased demand for PTs on Pendle markets.
- Steep backwardation is reported to occur in 100% of observations when underlying yield is above its 90th percentile, and contango is overrepresented in the lowest underlying-yield quartiles.
Sections
Reported Predictive Signal: Term Spread Vs Btc Forward-Return Skew (Tail-Driven)
- The term spread is described as most useful during extreme conditions, where large BTC run-ups and high funding coincide with backwardation that has been consistently bearish historically.
- On Dec 15, 2024, a snapshot showed a steep backwardation with the front maturity near 30% fixed yield and the back maturity near 21%.
- On Apr 8, 2025, a snapshot showed contango with the front maturity around 7.5% and the back around 8.3% (about +60 bps).
- Very low/cheap rates have historically coincided with contango, which is described as aligning with a more bullish market outlook.
- It is hypothesized that sUSDe backwardation is bearish and sUSDe contango is bullish because the curve embeds expectations about future yields and risk conditions.
- In the reported results, the middle of the term-spread distribution had little signal for Bitcoin returns, while the contango (positive) tail showed the highest forward realized return skew.
On-Chain Term Structure Formation Via Dated Pt Markets
- The sUSDe term structure on Pendle has become the deepest and most liquid on-chain term structure, settling multi-billions of liquidity and volume.
- Crypto markets historically lacked effective dated-expiration markets to price interest rates for set durations, and Pendle V2 enabled this more effectively than prior designs.
- Pendle V2 improved rate pricing efficiency via time-variant liquidity that rebalances toward the most relevant pricing region as maturity approaches.
- Historically, roughly 30% to 70% of the sUSDe supply has ended up on Pendle.
- In the described framing, the Pendle PT leg on sUSDe functions like a zero-coupon bond that can lock fixed yields and has shown demand and collateral utility on money markets.
- Listing the same yield-bearing instrument across multiple Pendle maturities reveals the market-implied expected path of the underlying yield between those maturity dates.
Benchmark Durability And Potential Migration To Boros; Incentives As A Confounder
- Boros leverage is reported to be capped around 3x on the biggest markets, while management guidance targets much higher leverage caps (roughly 20–50x).
- The market is described as having been heavily driven by Athena SATs emissions, and once emissions end the market is expected to lose that incentive support.
- Athena price is reported to correlate strongly with funding rates and the three-month basis, rising in high funding-rate regimes and falling in low funding-rate regimes.
- Boros is reported to be around $250M in open interest and just under $2B in monthly volume at the time described.
- The current sUSD-related term structure is described as likely not being the long-run benchmark, in part because Athena incentives (emissions) will eventually expire and alternative venues may dominate price discovery.
- Before Boros, hedging BTC perp funding was commonly done via sUSDe YT but it bundled unwanted exposures and costs, whereas Boros is described as allowing traders to hedge the specific perp funding rate directly.
Money-Market Composability As A Demand Shock: Aave Collateral Listings And Looping
- The spring/summer listing of USDE-type PTs as collateral on Aave is reported to have materially increased demand for PTs on Pendle markets.
- Aave is described as having multi-billions of stablecoins ready to lend, enabling large Pendle PT looping at scale without materially increasing borrow costs.
- In the described framing, the Pendle PT leg on sUSDe functions like a zero-coupon bond that can lock fixed yields and has shown demand and collateral utility on money markets.
- At the referenced snapshot, Pendle PTs are reported to have had about $0.89 of active loans per $1 of PT deposited on Aave.
- Roughly 80–90% of the total serviceable PT supply is reported to have been utilized as collateral on money markets at the time described.
- During the described period, borrowing against PTs is reported to have cost about 10–12% on Euler/Morpho versus about 6–7% on Aave while the collateral offered roughly 15% fixed yield.
What Drives Curve Shape: Yield Regimes, Hedging Pressure, And Option-Like Pt/Yt Exposures
- Steep backwardation is reported to occur in 100% of observations when underlying yield is above its 90th percentile, and contango is overrepresented in the lowest underlying-yield quartiles.
- The sUSDe term structure is described as analogous to a mix of a VIX curve and a SOFR forward curve because implied rates are influenced by long-biased hedging demand and by an underlying interest-rate component.
- Large premiums in Pendle implied rates are described as often reflecting speculation and hedging demand tied to long-biased activity such as perps leverage or Aave leverage.
- A strong inverse relationship between term spread and underlying APY is reported (R-squared about 0.6), with backwardation occurring when underlying yields are in their highest regime and contango when yields are in their lowest regime.
- In Pendle-style markets, PT is described as being short the right tail of the underlying yield distribution while YT is described as having convex payoffs that are long yield volatility.
Watchlist
- A stated analytical limitation is that Pendle maturities are non-continuous and outliers occur around market initialization/maturity, motivating smoothing and a future duration-adjusted term-spread metric.
- The current ~70 bps backwardation is described as above the historical median but not a compelling regime signal because it sits in a curve region with low informational content.
Unknowns
- What is the sample size, time window, and exact data construction used for the reported regressions and decile results linking term spread to BTC forward outcomes?
- How does the reported signal perform out-of-sample or after major market-structure changes (e.g., Aave collateral listings, incentive changes)?
- How large is the incremental predictive contribution of slope once controlling for APY, and are coefficients stable across subperiods?
- What duration-normalized or smoothed term-spread metric would replace the current approach, and how would conclusions change under that improved metric?
- What are the precise Athena SATs emission schedules and tapering/expiry dates, and how sensitive is Pendle sUSDe liquidity to those incentives?