Modern Frontier · v2
Pendle
Yield tokenization: split yield-bearing assets into PT (principal) + YT (yield).
TradFi →Bond stripping (STRIPS) + rate swaps
Prerequisites
01 · Concept — what problem does it solve?
Every DeFi yield is floating. Pendle imports the oldest fixed-income trick — coupon stripping — on-chain: take a yield-bearing asset, split it into a (PT, redeems 1:1 at maturity) and a (YT, receives all yield until maturity). Buy PT at a discount → locked fixed rate. Buy YT → leveraged long on the yield itself. A , term structure, and rates market for DeFi.
02 · Mechanics
- SY wrapper: any yield source (stETH, aUSDC, GLP…) is standardized into SY, then split:
SY → PT + YT. - PT: trades below par, converges to par at maturity — discount = implied fixed yield.
- YT: streams the underlying yield to its holder; decays toward zero at maturity.
- : custom curve with time-decaying curvature concentrates liquidity around the fair PT price as maturity approaches; quotes are effectively interest-rate quotes.
03 · Formulas
// conservation
PT + YT = SY (1 unit of underlying)
// zero-coupon pricing
P_PT ≈ 1 / (1 + r)ᵗ
implied_APY = (1 / P_PT)^(1/t) − 1
// YT as the residual
P_YT = 1 − P_PT
r=5%: PT starts at 0.9524 · r=10%: PT starts at 0.9091 · r=20%: PT starts at 0.8333 — all converge to 1.00 at maturity (pull-to-par).
04 · Edge cases & risks
- YT → 0 at maturity — YT is a pure decaying claim; holding past the point where accrued yield covers the purchase price is a guaranteed loss.
- Fragmented liquidity — every (asset, maturity) pair is its own market; long-dated maturities trade thin.
- Underlying risk passes through — a stETH or aUSDC freeze hits PT/YT holders; the fixed rate is fixed only in underlying terms.
- Full ZCB/swap mapping in Pendle PT Tokens as Zero-Coupon Bonds.
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