Strata - Bringing Risk‑Tranching to DeFi Yields
Structured DeFi Yields now supporting Ethena’s USDe and Neutrl’s NUSD
Most DeFi yield products force every depositor to shoulder the same risk regardless of their appetite. When events like the October 10 liquidation cascade hit, the lack of explicit risk segmentation leaves conservative capital sidelined and yield seekers overexposed. Strata introduces structured‑finance concepts of senior and junior tranches into crypto.
These split yield strategies into 2 composable tokens: a senior tranche that targets capital preservation with a guaranteed minimum yield and a junior tranche that provides leveraged upside while acting as a liquid insurance pool.
Strata launched its first products on Ethena’s USDe in October 2025 and has since expanded to Neutrl’s NUSD. Strata has over $160M in TVL to-date.
In this edition, we’ll look into how Strata works under the hood, why risk‑based yield tranching matters in today’s market, and what multi‑market expansion and the eventual STRATA TGE mean for allocators.
What is Strata
Strata consists of two ERC-4626 senior and junior tranch vaults in each strategy. Deposits flow through a CDO contract that handles asset management, accounting and yield distribution.
The senior tranche (srUSDe / srNUSD) holds over‑collateralized synthetic dollars (currently sUSDe or sNUSD) and is designed for capital preservation. It earns a portion of the underlying yield but has a floor rate tied to a benchmark (e.g. supply‑weighted lending rates on Aave). Upside participation is uncapped, but if the underlying APY falls below the benchmark or the junior tranche is exhausted, the senior simply earns the base APY.
The junior tranche (jrUSDe / jrNUSD) absorbs volatility and default risk from the underlying strategy in exchange for a risk premium paid by the senior tranche. It receives residual yield after the senior is paid and can outperform in high‑yield regimes but underperforms when yields dip below the benchmark, and it can even incur principal loss during defaults.
Each vault share token can be used crosschain, traded on secondary markets or used in Pendle’s yield‑trading to hedge or speculate on yield curves.
The distribution between tranches is governed by a Dynamic Yield Split (DYS) mechanism. DYS references the underlying APY, the benchmark rate, and the TVL ratio between senior and junior tranches, plus adjustable risk‑premium parameters.
As more capital flows into the senior tranche, the risk premium paid to the junior increases, ensuring that junior holders are compensated for providing first‑loss coverage. Strata collects performance fees on yield and redemption fees when tranches are redeemed, which fund the treasury and reward tranche holders.
Why Risk‑Tranching Matters
Traditional yield products like Ethena’s sUSDe or Neutrl’s sNUSD bundle risk and return into a single token, leaving no way to express different risk exposures. Strata enables investors to self‑select their risk profile and crucially, allows markets to price risk explicitly. This is similar to securitization in traditional finance but executed onchain with transparent pricing.
Since launching, Strata’s srUSDe has found adoption across DeFi protocols with stablecoin projects like InfiniFi, Yuzu and Reservoir holding srUSDe in reserves, while Morpho, Euler, and Pendle integrate Strata tranches for lending and yield trading.
Strata’s next phase is to expand its risk‑tranching layer beyond a single asset. They are expanding into diverse yield strategies like curated lending vaults, managed multi‑strategy vaults, DEX LPs, delta neutral strategies, tokenized private credit and RWAs.
Multi‑Market Expansion & The Road to STRATA TGE
Apart from expanding across assets, Strata also announced plans to extend to non‑EVM chains, positioning itself as a crosschain structured yield hub.
The protocol’s integration with Pendle deepens capital efficiency. Pendle tranches yield by time, allowing users to lock in fixed rates or speculate on forward yields. Combining both protocols creates strategies across yield volatility risk appetite and time-based risk.
For example, new srUSDe/jrUSDe Pendle markets with April 2026 maturity give users longer horizons to fix yields or farm points ahead of the STRATA token generation event (TGE). Pendle markets for srUSDe have also passed an Aave governance vote to officially be listed on Aave, unlocking collateralized borrowing against fixed‑rate positions.
Strata announced season 1 of its points program to reward users who hold or trade srUSDe/jrUSDe and participate in integrations.
Points from Seasons 0 and 1 are expected to play a role in the STRATA token distribution scheduled for after April 2026. The token will align users, integrators and risk managers, enabling them to govern parameter changes (like risk premiums) and earn protocol fees.
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