YT profit & loss by assumed yield rate
YT's payoff depends entirely on the underlying's realized yield over the holding period. This sweeps a range of assumed annualized yield rates — including the exact breakeven rate implied by YT's price — so you can see where YT flips from a loss to a profit.
| Assumed yield (annualized) | Yield collected ($) | YT P&L ($) | YT P&L (%) |
|---|
How it works
Pendle takes a single yield-bearing deposit and mints two tokens against it. The Principal Token (PT) is a claim on 1 unit of the underlying asset at maturity and nothing more — it earns no yield of its own, which is exactly why it trades below the underlying's current price. That gap between PT's price and the underlying's price is a discount, and buying PT today to redeem 1:1 later behaves just like buying a zero-coupon bond: you know the exact fixed return you'll earn if you hold to maturity, expressed as an annualized rate. The Yield Token (YT) is the other half of the split — it has no claim on the principal at all, only on whatever yield the underlying generates between now and maturity. Because YT is priced far below the underlying (it only costs the discount amount, not the full underlying price), a given dollar of yield income translates into a much larger percentage return on YT than the same yield would earn if you just held the underlying directly — that's YT's built-in leverage, and it cuts both ways: YT also decays to zero at maturity, since there's no yield left to claim once the term ends, and if realized yield comes in low, YT can lose most or all of its purchase price. The relationship holding the whole system together is that PT price plus YT price stays approximately equal to the underlying's price — that's the no-arbitrage condition Pendle's AMM is designed to maintain, since if PT+YT traded meaningfully away from the underlying, arbitrageurs could mint or redeem the pair against the underlying asset to capture the gap.
Reading the numbers
At the default sUSDe-style example — underlying priced at $1.00, PT trading at $0.955, 90 days to maturity — PT is discounted by $0.045, which is also YT's price (PT + YT ≈ underlying). Buying PT and holding to maturity locks in a fixed APY of about 19.1%: the $0.045 discount is 4.71% of PT's $0.955 cost, annualized over a 90-day term (×365/90 ≈ 4.06). YT, priced at that same $0.045, gives roughly 22.2x leveraged exposure to the underlying's yield ($1.00 ÷ $0.045), and its breakeven yield rate — the annualized yield the underlying needs to produce just to cover YT's purchase price — works out to about 18.25%. Enter an assumed yield of 15% (a plausible real-world rate for a stablecoin yield source, but below this pool's 18.25% breakeven) and the math is unforgiving: over 90 days at 15% annualized, the underlying would generate about $0.037 of yield per dollar, which is less than the $0.045 paid for YT — a loss of about $0.008, or roughly -17.8% on the YT position, despite the underlying yield being solidly positive. That gap between "yield is positive" and "YT is profitable" is the entire point of the breakeven calculation: YT only pays off once realized yield clears the rate the market already priced into YT at purchase.