Pendlev2: Pendle AMM pricing and swap fees

Standardized Yield (SY) wraps the market's yield-bearing asset. PT represents its principal claim, measured in the accounting asset shown in brackets in the market name. Implied APY expresses the annualized yield priced into that claim. With the principal redemption value and remaining term unchanged, a higher implied APY corresponds to a lower PT price, while a lower implied APY corresponds to a higher PT price.

The AMM's configured yield range determines where liquidity is concentrated. As maturity approaches, a given annualized yield range corresponds to a narrower range of PT prices. Pendle adjusts its curve over time to reflect this relationship through dynamic curve tightening. Trading demand can still move PT prices before maturity.

Concentration also creates a directional limit. If implied yield moves beyond the pool's configured upper range, liquidity may be too thin for further YT purchases or PT sales. A position being transferable before maturity does not establish that the AMM can execute every proposed sale at a usable price.

PT trades directly against SY. In an unexpired market, matched PT and YT can also be minted from SY or combined to redeem SY. That relationship lets flash swaps connect YT trading to the same PT/SY reserves.

YT purchases

The contract combines the supplied SY with additional SY temporarily drawn from the pool, then mints matched PT and YT. It sends YT to the buyer and sells the newly minted PT into the pool to repay the temporary SY draw.

YT sales

The contract borrows matching PT from the pool and combines it with the supplied YT to redeem SY. It sends the seller's output and uses a portion of the redeemed SY to buy the PT needed to repay the pool.

Both paths settle the temporary pool funding as part of the swap. Auto-routing can convert a supported input token into the required asset or convert the output into another supported token; those conversions belong to the route alongside the Pendle trade.

Pendle's maturity-scaled swap fee is tied to the remaining yield receivables of PT. YT swap fees are calculated from the PT exchanged through the same AMM, so the relevant fee calculation follows the PT leg even when YT is the asset being bought or sold.

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The Fees documentation expresses the time adjustment as Trading Fee = (Fee Tier / 365) * Days to Maturity . The fee tier is specific to the market and appears in its Specs. Dividing the days remaining by 365 expresses the term as a fraction of a year; multiplying by the tier produces a time-scaled rate in the same units as that tier.

With the fee tier unchanged, less time to maturity reduces this fee component. Comparing different markets also requires their respective tiers. The formula alone does not give a fee amount in SY or another token: the actual PT exchanged, execution pricing and any routed conversions determine the quoted input and output amounts.

Price impact changes the exchange rate achieved by the trade. For a YT purchase, the effective implied APY incorporates price impact and fees, so it can differ from the market's headline implied APY. A lower swap fee can therefore coexist with a less favorable execution rate if liquidity is thin for the intended amount.

The Fees schedule specifies a separate 5% fee on yield accrued by YT, including points where applicable. Partner protocols deduct the points fee when allocating points to wallets. This yield deduction reduces YT receipts separately from the cost of exchanging PT or YT through the pool.

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• Compare the market's fee tier together with its time to maturity.
• Check available depth in the intended direction, especially for YT purchases or PT sales near the upper yield boundary.
• For a YT purchase, use the quoted effective implied APY after price impact and fees for the intended amount.
• Account separately for the YT yield fee when assessing the yield and points that the position receives.