Mining the DeFi “splitting magic”, the revenue tokenization agreement is or the next blue ocean track.
Written by: Zhou Shuyan Mora
introduction
Similar to the coupon stripping in the bond market, that is, the separation of the yield and the underlying asset; if this concept is introduced into DeFi, it will be possible to use tokens to separate the two. The principal and interest separation agreement (or the revenue tokenization agreement) is dedicated to solving the liquidity of users’ positions, and innovating the current low capital efficiency positions, enabling users to trade their future earnings during the time period selected by these agreements. Users will no longer face any liquidation risks while maintaining asset liquidity. The same gameplay can also be used for income farms or liquidity pools, where the return can reach thousands of percentage points. The revenue tokenization protocol will enable users to guarantee their revenue and not be affected by price changes during the period of their choice.
Similarly, when people choose a fixed interest rate, users can purchase principal tokens and obtain asset returns or principal leverage exposure without liquidation risk.
The projects listed below all store various types of tokens (such as PoS assets, income farms, LP tokens, etc.) on their platforms, and generate principal tokens and income tokens through pledges to exchange the principal with The income is separated, providing users with more capital flexibility and interesting gameplay. For the convenience of explanation, we call the principal token PT and the income token YT.
Note: The usage cases in this article are provided by Element, Sense, Pendle and other related teams
Principal Token (PT): Represents the principal position locked by the user. PT is the asset ownership certificate deposited by the user and has a lock-up period. When you want to withdraw your assets from the platform, you need to burn these PTs.
Yield Token (YT): Represents a right that can request the basic rate of return of assets stored in the platform. Unlike PT, they are uniquely related to a given period. Example: For monthly futures, there may be YT in April, YT in May, and so on.
One-year loan interest rate change data source: DeFi Pulse
The three major elements of traditional structured financial products are: linked targets, basic financial assets and financial derivatives. So we can use these three elements to better understand these revenue tokenization agreements, among which:
Linked subject: LP token return rate
Basic financial assets: OT tokens
Financial derivatives: YT token
From the perspective of income, fixed-income assets are purchased at a certain percentage. Over time, fixed-income assets continue to grow at a fixed interest rate, and eventually reach the initial principal level on the maturity date.
Two types of revenue tokens
Drag YT tokens: The profit of Drag YT tokens will continue to accumulate and cannot be redeemed until the expiry date. YT holders are fully repaid on the maturity date or later, which are similar to principal tokens with floating redemption values.
Projects using Drag YT design mechanism:
Element
APWine
Tempus
Collect YT tokens: Collect YT tokens can redeem the accumulated interest before the expiry date, that is, the interest will be distributed during the income accumulation period. They are similar to coupon bonds, with a continuous flow of coupons.
Projects using Collect YT design mechanism:
Pendle
Swivel
Sense
Special fixed income
The practice of splitting the income and principal of LP tokens through an agreement, and selling the income tokens. Compared with buying traditional fixed-income products, the same thing is that the principal is locked and can only be retrieved after maturity; the difference is that compared with traditional fixed-income products, the proceeds can only be redeemed after maturity. , The revenue tokenization protocol allows users to get revenue in advance, which greatly increases the user’s capital efficiency. In order to realize this advantage that traditional fixed income products do not have, a market with sufficient liquidity support is needed to transfer the risk of this volatile rate of return.
But if it is just as an ordinary fixed-rate product, it is no different from the fixed-rate loan agreement we are familiar with (for example, 88mph, Yield). This is not the main game that it admires, but it is the easiest way to participate for users who don’t want to spend their energy (although this is not as good as going to mainstream fixed-rate agreements to save money and earn interest).
APY plus size, another Lego brick
Let us summarize the classic process of DeFi gameplay. Assuming that the user Mora has some ETH in his hand, he can do this:
Stake ETH to MakerDAO → Lend DAI [Earn an APY]
DAI mortgage to Compound → get cDAI【Earn an APY+COMP】
Mortgage cDAI to Curve → get crvDAI [Earn higher APY+Curve; you can also deposit DAI directly into Curve, and Curve will help you put DAI into Compound]
Part of crvDAI is mortgaged to Element → get PT tokens and YT tokens [Split the tokens]
A part of crvDAI is paired with the aforementioned PT tokens and YT tokens to provide liquidity for Element → Obtain LP tokens [Earn an APY]
Pledge LP tokens in Element (currently Pendle provides this function, Element has not yet provided it, here is a hypothesis) [Earn an APY + a token incentive (Element currently does not have a native token, there is a token model for analogy here) s project)】
I believe you have seen the infinite charm of the DeFi Lego module from the above display. Revenue tokenization projects can be divided into a level with fixed income projects. They further reduce the risk (trading PT principal tokens) and increase leverage (trading YT tokens) in the original DeFi ecosystem.
Strategy at a glance
Basic strategy
PT principal token
- Transaction: Redemption of principal early
The PT tokens generated by the pledge can be redeemed in advance, but the redemption amount will be less than the original pledge (as a penalty for early redemption fees).
PT sellers: If you need money urgently, this method can release your funds in advance. And because PT is separated from YT, you still retain the income position of this interest rate product.
PT buyer: Because you helped the PT seller release the funds in advance, you, as a buyer, enjoy the benefits of buying PT at a discount (equivalent to buying a zero-coupon bond). After the expiration, the principal pledged by PT can be exchanged 1:1.
- Casting: Sell YT and guarantee PT
Buy ETH at a discount (discounted long position): The so-called “discounted price” discount is actually a time cost, that is, users can sell YT and hold the corresponding OT until maturity to establish a leveraged position on the underlying asset (no liquidation risk) :
Sell YT + hold PT until maturity = buy at a discount
for example:
Suppose there are 1,000 US dollars of funds in the Compound ETH pool, and the APY is 40%. Assuming there is no discount rate, the transaction price of a 1-year YT is 0.40 USD.
The user deposits cETH on the platform and casts them into YT-cETH and PT-cETH.
The user immediately sells YT and holds the PT until it expires. After the expiration, the target can be redeemed within 1 year.
Assuming that the price of ETH remains unchanged, one year later, users can redeem $1,000 of ETH with only $600 of funds. This is equivalent to 66% of leverage without liquidation risk ($1,000 deposited-$400 sold).
Pendle provides case illustrations
- Stake in the AMM pool
Users can put PT on AMM and increase their fixed interest rate income through transaction fees.
- As a trading tool
From the perspective of a swing trader (1, 2 weeks or one month positions), PT is a better trading tool: it can generate a higher rate of return without increasing trading risks. example:
- Spot trading: Assume the following parameters:
Annual fixed rate of return: 10%
Assets to be traded: 1 month, PT-BTC
BTC current price: 50,000 USD
BTC transaction price target: 55,000 USD
Transaction period: 1 month
USD transaction volume: 200,000 USD
The user can choose a trading position between 2 and 4 weeks. If the value of BTC at the end of the month increases by 10% and reaches the price target of 55,000 USD, the user will redeem his PT 4.033 BTC at a price of 55,000 USD per BTC.
So when the transaction is completed, the total user assets are $221,815. If the user chooses a BTC position instead of a PT-BTC position, the total assets will be 220,000 USD. By using PTs as its main trading tool, users can obtain additional profits in the form of fixed income on the basis of traditional trading profits.
YT revenue token
- Transaction: risk swap
- Conservative ordinary players: If users want to participate in farming with high APY, but are afraid of large fluctuations in APY. Then the user can pledge lp tokens to generate PT and YT, retain PT and sell YT in time to lock in income in advance. When users sell YT, they are essentially capturing the current income and converting the future yield of a floating interest rate into the present value of a fixed interest rate that the market believes has an appropriate discount.
Example: After depositing your DAI in Compound, you can lock your cDAI in the platform for a week, and trade the income they will generate this week in advance.
- Risky experienced players: Experienced users can evaluate YT’s market price to determine when and whether to buy or sell.
For example: here we take a YT (ETH)=10% APY
During the one-year period, users consider the average APY to be 10%. This means that users believe that 1 YT (ETH) can be exchanged for 0.1 ETH at the end of the period. If the discount of YT on 0.1 ETH exceeds 10%, the user will buy YT as a buy signal; if the discount is less than 10%, the user will sell YT as a sell signal.
Therefore, for experienced players who observe the discount transaction value of the main token and the premium transaction value of the income token, they can arbitrage between the fixed interest rate and the variable interest rate by minting and trading YT tokens.
Therefore, we can regard the discount/premium of YT price as an indicator of market sentiment:
- Casting: Sell PT and guarantee YT
Compared with ordinary lending agreements, the advantage of revenue tokenization: the ability to maintain basic asset growth exposure while generating revenue is currently one of the main forces driving loan agreements. Many DeFi users loan to maintain ETH exposure, and at the same time, they also want to use stable token pairs or high APY provided by other tokens to make their investment portfolios more profitable. The following is a more detailed example:
Traditional operation
If users believe that ETH will grow substantially in the coming year. However, the user also found that he can get 30% APY by staking stablecoins (such as DAI). The user does not want to exchange the ETH he owns for DAI to obtain income, because he believes that the future growth of ETH will exceed the APY he obtains by collateralizing DAI. So the user will do the following:
- Loan or mortgage method
The user took over-collateralization and borrowed DAI.
Then he pledged his borrowed DAI to a position with a 30% return rate.
If the price of ETH increases, users can borrow more DAI and gain more revenue exposure.
If the price of ETH falls, the user will have to add additional collateral to avoid being liquidated and losing his 150 ETH.
The user kept his ETH and also received DAI revenue.
But this process has certain risks:
If the price of Ethereum drops sharply, users may be liquidated and lose their ETH;
In addition, due to the need for over-collateralization, users can only obtain 200,000 DAI of income exposure, and at the same time mortgage the value of 300,000 DAI;
The last point is that the user lacks capital efficiency because he cannot use or pledge his 150 ETH to obtain any additional income.
Operation of revenue tokenization
If the market conditions are correct, users can still maintain exposure to ETH or its preferred underlying asset, but there is no liquidation risk or excessive mortgage is required. Users can also gain capital efficiency and freely use most of their preferred assets.
Users do not need to borrow to maintain risk exposure, they only need to cast PT and YT for the assets, and then exchange the PT back to the priority basic asset. However, users still have to maintain a certain balance in their priority basic assets.
The user has 150 ETH, and he exchanges 150 ETH for 300,000 DAI.
The user generates PT and YT by staking DAI, namely 300,000PT-DAI and 300,000 YT-DAI.
The user sold his 300,000 PT in exchange for ETH and obtained 148.5 ETH.
As a result, the user now owns 148.5 ETH and maintains an exposure of 300,000 DAI earnings.
The user can now use his 148.5 ETH in any way he wants-these ETHs are not locked; the user has no liquidation risk, and now he can pledge his 148.5 ETH on any platform to obtain income to make up for the decline. He obtained an additional 100,000 DAI income exposure that he could not get by following the traditional route.
Stake in the AMM pool
Users can put YT on AMM and increase their fixed interest rate income through transaction fees.
We will find that both OT tokens and YT tokens can be pledged in the AMM pool to provide liquidity, so there will be a user’s own choice. Take Element as an example: whether to choose to directly put it in the Yearn machine gun pool to earn income or It is uncertain which of lp is more profitable in Element. Below I use a picture to show:
Advanced strategy
YT compounding
YT Compounding: The process of repeatedly selling principal to re-deposit and further gain exposure to income (multiple compound interest stacking).
example:
For simplicity, the calculation in this example does not consider gas fee, slippage or transaction fees
After 10 rounds of YT compounding, the user’s return rate is 6.5 times his initial balance.
In the last round, we can see that, assuming 20% APY, this kind of operation can eventually produce:
Income 13.02 ETH + principal 3.87 ETH = total 16.9 ETH
If he invests 10 ETH in the traditional way, he will have 12 ETH at the end of the year. (Pure value-added 4.9ETH)
Therefore, the problem with this use case of element is that it does not consider whether the increase in revenue obtained from multiple operations can cover the gas fee and transaction fee to be spent, as well as the loss and slippage of selling PT, but it can be solved in the following way.
Use flash loans to increase leverage
YT compounding can be realized more effectively through Flash Loans. In the above table, the remaining available capital of 3.87 ETH in the 10th cycle of compound interest. This means that the difference is the total capital expenditure, which is 6.13 ETH. Therefore, Element Finance indicated that these 10 compound operations can be realized with a flash loan of 6.13 ETH. Spend 6.13 ETH to get a gain of 65.1 ETH, effectively providing 10.6 times leverage without liquidation risk.
Fixed Rate Yield Ladders
The fixed-rate income ladder product can provide users with continuous liquidity because it continues to compound different proportions of user assets into various/different terms. At the end of the term, unless the user chooses to withdraw, the asset will automatically roll to the next fixed interest rate position set subsequently. If users need funds, this will provide users with more frequent liquidity instances. [That is, automatic compound interest reinvestment]
Principal Protection Products
This is a more risk-averse structured product, which can guarantee at least the rate of return on the deposit principal, because the deposit will be held until maturity. This design is to protect investors from adverse market cycles, and the compound interest period is short enough to allow users to exit the strategy and take a different position when the market improves.
The user buys at a discounted price and the lock-up period is 3 months PT, and the remaining balance (discount difference) enters the leveraged variable income position. Every 3 months, as the PT expires, this discount difference will be carried forward to an additional leveraged variable income position.
This mechanism provides users with continuous liquidity, while the two components of the product (PT and YT) remain interchangeable to allow users to withdraw at any time.
Structured products consist of a combination of fixed-income products and options. Structured products have fixed-income components to reduce risks and strengthen returns through options to become products with a good balance of risks and returns.
User role
Interest rate traders
Yield traders are a group of people who have their own keen judgments about market fluctuations. They predict whether the expected target interest rate will rise or fall. They buy YT tokens to represent long future yields, and to buy OT tokens represent shorts (that is, they believe that the current fixed yields maintained by OT are higher than the floating yields in the market for a period of time in the future. At this time It is profitable to buy OT tokens and then wait until the future rate of return drops to sell).
Fixed income person
Some users pursue a fixed rate of return within a certain period, so they buy OT tokens and hold them to maturity to lock in the fixed interest rate of their underlying assets.
Liquidity provider
Liquidity providers will pledge their underlying assets (such as various supported LP tokens) in the agreement to earn transaction fees, so they will generate new PT or YT tokens and add liquidity to the two pools separately Sex injects new energy into this market, and users redeem their assets after maturity (of course, they can also be redeemed in advance).
Fixed rate lender
If borrowers hold certain floating rate loans on platforms such as Maker, Compound, Aave, but are afraid of huge market fluctuations, and want to convert some or all of their loans to fixed loan interest rates, they can choose to buy and hold There are YT tokens to hedge against fluctuations in interest rates for fixed-term borrowings.
For example: Mora borrowed 10,000 DAI on Compound, and the interest rate was 5%. Mora feels that the borrowing interest rate will rise in the future, and he will be able to purchase 10,000 DAI corresponding YT tokens in the tokenization agreement. If the borrowing interest rate rises to 10%, Mora can sell YT tokens in his hand to earn income, offsetting the risk of rising borrowing interest caused by rising interest rates.
Arbitrageur
When the total value of YT and OT in the market deviates from the corresponding underlying asset, arbitrageurs can make the difference by casting, burning and trading OT and YT tokens to make the difference and maintain the market price within the normal range.
For example: a value of $1 can be minted to generate a YT and an OT. If the price of a PT + the price of a YT on the market is> $1, the price of YT is overestimated. If the arbitrageur finds this opportunity, he can immediately “mint + sell” YT tokens to make a profit. The risk is the time difference and gas fee when the arbitrageur performs a series of operations.
Comparison between agreements
First sight: Alchemix
Speaking of the revenue tokenization protocol, we must introduce the Alchemix project. This is a DeFi lending product built on YFI. Unlike ordinary lending, Alchemix claims to “let time help you pay off your debt”, that is, use interest to repay the loan. Once DAI is deposited in the contract, the contract will regularly use the money earned to repay your debts until all the user’s debts are paid off. Because the stable currency collateral is used, there is no liquidation risk.
For example: the user pledges 1,000 yuan of DAI and lends 500 yuan of alUSD. 500 alUSD is about 1,000 DAI in three years of interest, so you can get back 1,000 DAI after three years; you can also withdraw the deposit in advance.
Alchemix protocol flow chart
So what does this sound like? This is the method of “sell YT tokens to protect PT tokens” in the income tokenization agreement, lock the income in advance and then hold the principal to redeem it at maturity.
In terms of settlement, unlike other DeFi protocols, the model of “borrowing A tokens must return A tokens” is that Alchemix debt can be repaid at any time using DAI or alUSD, and any combination between them (as long as the user accumulates The amount exceeds the debt owed).
For example: Mora pledged 1000DAI in Alchemix (that is, there is a debt of 1000DAI), and he found that the price of alUSD is only 0.9DAI. Then Mora can buy 1000alUSD at a discounted price and use this to repay his debt. Alchemix has always equated the price of alUSD with DAI. This can help Mora save money, and his buying of alUSD can help the price of alUSD return to the anchor price. The reverse is also valid. If the price of alUSD is higher than the anchor price, Mora will sell alUSD to buy DAI, reducing his debt.
Formed form: APWine and Swivel
APWine
APWine has built a decentralized exchange based on the 0x protocol, and users can trade FYT in this market. The market provides limit order and market order functions, which are similar to ordinary exchanges. Users can also put these FYTs in AMM-based DEX to provide liquidity, and use AMM to further reduce transaction friction. Either way, as long as these income rights can be traded separately, the pricing of the income rights itself can be promoted.
status quo
In APWine, the principal token is called PT, and the income token is called FYT; currently there is only the Beta version as shown below (in this version, PT and FYT cannot be staked at present, and FYT can only be traded through order book), According to the team, the official version of V1 will be launched soon. If there are any new developments and innovations, I will follow up and update the content in real time.
APWine Beta version of TVL and three products currently available
Swivel
Introduction
Swivel implements the orderbook model to provide all market participants with customizable + significantly enhanced capital efficiency. Swivel and Pendle have similar interest token mechanisms, but Swivel pays more attention to promoting professional transactions. Orders on Swivel are matched on a centralized limit order book, and it only requires 100% similar collateral (rather than the common collateral rate in DeFi that requires >100%). In Swivel, the revenue token is nToken, and the principal token is zcToken.
status quo
Recently deployed on the Rinkeby test network, two products “DAI-355 Days” and “USDC-19 Days” have been opened, which can be traded with DAI and USDC respectively:
Whether it is from the UI design (Fixed Yield and Floating Yield) or the official case description, it can be seen that Swivel has highlighted the effect of its product risk classification, and the order book model is indeed in the revenue tokenization protocol. Unique and more suitable for professional traders.
detailed analysis
The revenue tokens issued by Swivel are called nTokens, which are optimized in two ways:
nTokens includes interest generation and tracking functions in its transfer function (to reduce the overhead in Element’s YT design).
Swivel automatically mints tokens when the order is completed (reducing inventory requirements and transaction overhead).
In other words, like Pendle’s YT, Swivel’s nToken transaction is much more expensive than Element’s YT, considering the cost associated with calculating the marginal interest generated between each user’s transfer.
LP
Like most other derivative AMMs, Element and Pendle’s AMMs do not take into account the broader factors involved in standard derivative pricing. This means that the LP of any agreement will continue to give the recipient (that can analyze the pricing from the outside) an advantage. In addition, like most AMMs, its capital efficiency is very poor, because very little capital is allocated at market prices.
HEGIC LP PnL%
Although we are optimistic about the continued development of these factors, the loss experienced by LP may be huge (as seen by Hegic LP in the figure above). This may mean LPs with higher risk and lower capital efficiency, which leads to the need to permanently subsidize LPs with agreement tokens to maintain a competitive spread.
For this reason, Swivel believes that their order book model is currently a necessary part of the interest rate derivatives market.
How to play: risk classification
Conservative fixed-income player: Alice has 1,000 USD in USDC, and she wants to lend out at a fixed interest rate of 5% for 1 year.
Risk appetite player: Bob has 50 USD USDC, and he wants to go long on Compound USDC interest rate (currently 8%).
Both Alice and Bob deposit funds (Alice’s $1,000 and Bob’s $50) into Swivel, and then pool them into Swivel’s smart contract until the end of the term. During the validity period of the contract, the funds will be deposited into Compound.
If the 12-month contract interest rate remains at an average level of 8%, Alice will eventually get back $1050; Bob will get back $84: Investing $50 and getting a return of 68% is equivalent to Bob’s leverage on interest rate exposure.
The three main design features of Swivel are:
Does not rely on price oracles
User assets will not be liquidated
Swivel takes advantage of the liquidity of Compound and Aave.
The Birth of Two Heroes: Element and Pendle
Element
status quo
Element Finance launched the mainnet on July 1, 2021. As of September 3, 2021, Element now supports 7 pools including WBTC v2, 3Crypto v2, etc. After the user pledges the underlying assets, Element will put the user in the Year machine gun for the user. Living in the pool. Different from users directly earning interest in Year, Element will give users a fixed annual income.
Element.Finance APP page
lp operation process
- Obtain PT and YT-two ways:
Put Curve lp tokens into Element to mint PT and YT: (As you can see here, 10 lp tokens can only generate 10 YT and less than 10 PT)
Use Curve lp tokens to buy PT or YT directly. (It can be seen here that 10 lp tokens can buy more than 10 PTs, which is equivalent to purchasing an agreed fixed-rate product)
- Provide liquidity-paired with lp tokens, PT and YT can be pooled separately:
Pendle
Pendle implements time devaluation AMM for revenue tokens, allowing liquidity providers to avoid theta decay. Pendle’s unique AMM can potentially be extended to many other future derivative primitives. In Pendle, the principal token is called OT, and the income token is called YT.
Pendle generates YT by including the interest tracking function in the token transfer function. Therefore, in Pendle, no additional deposits are required to be minted.
In addition, as shown above, the cost of trading YT is about 2.75 times higher than standard ERC-20 tokens, which means it requires more calculations.
Pendle AMM
In order to take into account the time decay factor, Pendle has designed an AMM that can satisfy all assets with time decay characteristics. After the initial liquidity pool is created, the AMM curve is similar to Uniswap’s constant product curve. However, when subsequent exchanges occur and time passes, the AMM curve will move at the equilibrium point and adjust itself to solve the problem of time decay of assets.
Pendle AMM curve changes with time
The curve movement will artificially reduce the price of time decay tokens. The behavior of the curve shift is controlled by a pricing model that decays over time, and this model is inspired by the bond or option pricing model, and the rate of value decrease during the contract period tends to accelerate.
Pendle’s AMM effectively breaks the hard-coded link between the value of the liquidity pool and the value of its basic token. The value that changes over time is kept in the liquidity pool, otherwise the value will be robbed by arbitrageurs on the constant product curve AMM. Assuming that the balance point of AMM has not changed, then LP will not suffer any time-related losses.
Time-related impermanence loss (Pendle vs Uniswap)
About Pendle Token and (Pe,P)
Compared with Element which does not have a token distribution model, Pendle has its own project’s native token. Here we will not discuss the innovation of its IDO method (interested readers can read the followinglink ). Here I want to introduce the Pendle plan as The method used when the value of its own native token is injected into energy.
A key asset that Pendle launched on August 18 is the PENDLE / ETH Sushiswap pool, referred to as Pe for short.
Situation of OT and YT pools on September 12, 2021
Users can provide liquidity for OT-Pe and YT-Pe, and trade with PENDLE as the basic asset. This will generate trading pairs: OT-Pe / PENDLE and YT-Pe / PENDLE (ie (Pe,P)). Therefore, (Pe,P) can achieve three things:
Continue to incentivize deeper $PENDLE liquidity.
Provide effective liquidity for the Pendle Agreement.
Reward those who are most tied up with the benefits of this game.
Revenue and pricing of OT tokens (take sushiswap-cDAI as an example):
YT token revenue and pricing (take sushiswap-cDAI as an example):
There are three types of incentives:
Provide liquidity to the YT / baseToken pool (you need to pledge LP tokens to be eligible for rewards)
Provide liquidity to the PENDLE / ETH pool on Sushiswap
PENDLE token pledge (auto-compounding)
The cost of using Pendle:
Precautions:
Vesting schedule:
The rewards generated from the LPing YT / base Token pool have a vesting schedule of 5 epochs, which are released linearly (20% is released at the end of each epoch); the rewards never expire and will not be lost.
The incentives obtained through Pendle / ETH and Pendle unilateral pledge on Sushiswap can be obtained at any time.
One epoch is 7 days.
Why does the YT of the pendle decay with time?
The difference between Pendle and Element is that the pendle’s income token YT can be exchanged before expiry, and the element can only be exchanged on the expiry date. Then the author will borrow the explanation ideas provided by the Sense team, as shown in the following figure:
Disassemble YT again: PY is the confirmed income that has been obtained (for example, for a 5-year period, I hold YT to the third year, and the income has been confirmed in the three years); FY is the undetermined floating interest for the remaining two years , So it is FY in YT that decays with time.
Pendle regularly distributes dividends to users during the accumulation period, so the value of YT will definitely decrease.
cDAI is an interest-bearing token, so how to calculate the value of OT-cDAI?
cDAI is the certification token of Compond. Over time, the interest of cDAI is generated by increasing the value of the redeemable DAI of cDAI at maturity. In Pendle, 1 OT-cDAI only represents 0.021475 DAI, and its accumulated interest is included in YT-cDAI.
Emerging forces: Sense, Tempus, Prism
Sense
The Sense team is the team that the author believes is very deep in the research on revenue tokenization (I am also very grateful to the Sense team for their help with the content of this article). Before launching Sense Finance, led by Kenton (a former MakerDAO engineer), the team wrote a lot of research articles on revenue tokenization, which has a high gold content and is suitable for beginners. Here I put a link to its research article translated by Lianwen, and interested readers can click to read it
At present, the product is still under development, and only the white paper released by it is available for research, and the content is very comprehensive. In Sense Finance, the principal token is called “Zeros” and the revenue token is called “Claims”, which uses the same collect revenue token mechanism as Pendle. Here the author will not repeat the parts that have been introduced in the previous article. The following are only the areas that the author thinks are innovative or key:
Sense AMM
The Sense V1 version of AMM will adopt Uniswap V3. Two passive LP strategies will be deployed for each series of a specific Target, one for the Zero / Target pool and the other for the Claim / Target pool. Both LP strategies will enforce price ranges that are conservative and practical for the relevant Target.
New user roles: Series Actors
The task of Series Actors is to maintain the term structure of the underlying asset in Sense, which includes three roles: Series Sponsor (sponsor), Series Settler (liquidator) and Series Roller (trader)
Series Sponsor (Sponsor)
Sponsor can choose any underlying assets it holds to build a pool and then set a certain grace period (grace period), and pledge a certain amount of stablecoins in it. These stablecoins will become part of the settlement reward (this part of stablecoins also It can be called MEV). Sponsors also have the privilege of being the liquidators of the first batch of series, so before Sense opens the pool to the public, sponsors can liquidate their underlying assets within a short grace period.
Series Settler (Liquidator)
If the underlying asset is not liquidated on or near the expiry date, Settler will liquidate the underlying asset and receive a reward. They are motivated by the liquidation reward, which is composed of the stablecoin pledged by the initiator and the accumulated issuance cost of the pool. After the grace period of Series Sponsor expires, the clearing function will be available to all users.
It should be noted that the existence of the stable currency pledge mechanism is to encourage the liquidation of series whose issuance costs are lower than expected, and it cannot act as an incentive for series liquidators by itself.
Series Roller (Trader)
Series Roller is a role that transfers liquidity from an expired series to the next unexpired series. Roller is actually an external participant of Sense (as opposed to Series Sponsor and Series Settler), they will interact with the Zero / Claim liquidity pool (such as Uniswap v3).
而且这个过程不是自动进行的——Series Roller 需要自己愿意代表LP 来花费gas fee 转移他们的流动性。
标的资产的期限结构（A Target’s term structure）
Sense 中Target 的期限结构由给定Target 的所有active series 组成，其形式由Sense Governance 可配置的参数来定义。在存在无限流动性的理想世界中，标的资产的期限结构并不需要受到任何限制，用户可以自由地与收益率曲线上的任何市场交互。但是在项目发展的早期，Sense Finance 并没有那么理想的流动性条件，因此在没有这种情况下为了缓解流动性分割（liquidity segmentation），Sense V1 版本将会设置如下的限制：
gClaims
gCalims 是笔者认为一个很棒的设计，它是Sense 团队为收益代币推出的一个AMM 接口。在Pendle 中我们已经提到过这个问题，因为YT 代币衰减的机制设定，导致YT 代币无法在普通的AMM 上交易（比如Uniswap 、Balancer 或Curve ）。为了解决这个问题，Sense 引入了Grounded Claims ( gClaims )。与包装代币一样，gClaims 包装了Collect Claims 并抽象出单个合约背后的过去收益的累积，以便通过单个gClaim 的价值来模拟Drag 的设计。借助gClaims，LP 便可以为普通AMM （例如Uniswap V3）提供流动性，是不是听起来很酷？
Prism
Terra 生态中近期也推出了由Terraform Labs 官方孵化的一款收益代币化项目：Prism Protocol。在代币拆分设计上延续了上面列举项目的基本路线， 在这个项目里收益代币与本金代币也是采用了「YT」与「PT」这种普适的叫法。
其产品设计的构成如下：
CT：收益性资产提交到Prism 金库时所产生的担保代币
PT：使用CT 铸造PT 和YT 时生成的主体代币
YT：使用CT 铸造PT 和YT 时产生的收益代币
CT=PT + YT
在Prism Protocol 中，他们为提供底层资产拆分的人起了一个有趣的称呼：担保提供商，他们的任务就是在Prism 金库中收到CT 后将其转换为PT 和YT。
因为是基于Terra 生态，所以在PRISM v1.0 版本中团队将首先使用LUNA 作为底层资产，将其拆分成本金代币-pLUNA 和收益代币-yLUNA，LUNA 持有者可选择3 个月、6 个月、9 个月或永久的未来收益期限（目前还未推出）。在不久之后，PRISM 也会进一步扩大其抵押品品种，这就会包括主流的PoS 资产、Terra 生态的原生资产等。
按照团队的路线计划，PRISM 最终将可拆分所有收益性的数字资产，如PoS 资产、收益农场、LP 代币、DeFi 治理代币和NFT，此外还计划涵盖收益性的传统金融资产，如房地产、大宗商品、贵金属或其他投资资产类别，如股票、债券、投资基金和衍生品等。此外， PRISM 团队声称还将致力于为pTokens 和yTokens 提供「杠杆」 服务——即可以进行借贷和做空。如果真的可以实现这一功能，那收益率衍生品市场将会真正地「活起来」，毕竟很少的DeFi 玩家能拒绝杠杆的诱惑力。
从上述介绍能看出来团队的发展方向清晰而富有野心，并且又有Terra 官方一手扶持，资源与影响度自然也不会低。笔者建议可以重点关注一下项目接下来的发展动向，埋伏下一匹「Terra」 黑马。
Tempus
Tempus Finance 是一个专注于为封装型年化代币（wrapped token）拆分本金与收益代币的协议。他们的AMM 是基于Balancer v2 构建的自定义AMM，其本金代币称为Principals，收益代币称为Yields，二者结合对应的底层资产凭证称为Yield Bearing Token。到目前为止，Tempus 已经为Lido、Compound 和Aave 实现了本息分离的功能。
Tempus 协议的4 种费用：
存储费用
提前赎回费
赎回费
到期后额外收益费
前三种费用（入金、提前赎回、赎回）可以更改并且默认设置为0。目前Tempus 协议不会向用户收取这三项费用中的任何一项，然而在未来这可能会改变。
Tempus Pool
目前支持储存两类资产：
如果储存的是诸如cDAI、stETH 之类的收益承载代币，Tempus 会将其拆分为Tempus Yields 和Tempus Principals；如果储存的是诸如DAI、ETH 之类的底层资产，Tempus 会将其兑换成收益承载代币然后再进行拆分。
发展前景一探
为一切蓄力：奠基人
如果说收益代币化项目是要解放LP 代币的流动性，这个目的听起来就比较别扭：LP 代币只要质押在原协议上即可，如果资金有其他用途，unstake + remove LP 随时可以撤回流动性，没有必要再去这些收益代币化项目中铸造OT 与YT 代币来释放流动性（而且操作步骤较多，在以太坊上的手续费会很高）。目前所有这些收益代币化项目因为均处在项目早期，只能用最常规的高APR 的OT 与YT 流动性池来吸引早期用户将自己持有的LP 代币质押在协议中——毕竟在费脑筋弄明白这些项目的复杂玩法之前，高收益率才是不会骗人的终极吸引力。
而这些因为高收益率在协议中提供流动性的用户我将其称之为「早期奠基人」 ：他们无需弄明白协议的价值，只需要用自己的「金钱力」来帮助项目进一步发展。而且鉴于以太坊近期的NFT 狂热泡沫浪潮，链上gas fee 飙升，质押LP 代币在协议中的「奠基人」们更不会随意撤出：因为从撤回流动性到换回本金的步骤属实繁多，如果只靠短时间内的挖矿，可能gas fee 都会将收益全部吃掉。
在以太坊网络未达到拥挤峰值时的gas fee （2021 年9 月初）
协议原生代币的必要性
虽然说流动性是一个项目的「生命源泉」，但是原生代币的流动性在这类收益代币化项目中并不会对项目本身有多大影响，或者说并不是决定性因素：Pendle 在推出自己的（Pe,P）原生代币流动性池后币价直接翻倍；而Element 根本没有自己的协议代币，TVL 照样是所有收益代币化项目中的第一名。因为这类项目的发展目前是紧密依托于LP 代币所对应的原头部协议，他们只是在其基础上做了衍生服务。
所以我们也会发现，即使没有适当的原生代币流动性，产品市场契合度强。产品质量足够高的项目也能成功；而本身味如嚼蜡、毫无意义可言的项目，即使其拥有很强的代币流动性，它必然也只能走向失败。不只是收益代币化项目，所有的DeFi 项目方如果决定发行自己的原生代币，都应该致力于最大限度地发挥原生代币激励其产品的核心行为的作用，而不是被原生代币所「束缚」。
价值挖掘：更多的场景发挥
项目方的帮助：以Element 的Treasury Management 为例
先行者Element 近期发布了他们的一个新产品：Treasury Management。这个产品是用来帮助其他协议管理自己的DAO Treasury 的。一般来讲，一个项目的Treasury 是其重要的「后备力量」，会在项目发展中发挥许多功能：例如补偿协议贡献者、支付运营费用、在动荡的市场行情中保持协议的正常发展等等。
而Element 则嗅到了这其中的巨大潜力：因为对于绝大多数协议和DAO Treasury 来说，用DeFi 进行资产管理仍然不是其长项，而这是一个巨大的增长机会。所以Element 正努力开发这个新兴用例，帮助其他协议来简化财务管理。
Element 的Treasury 资管策略表链接
Element 的做法也向大多数还是一头雾水的用户们展示了收益代币化的神奇魅力：他们能够让固定的资金（或其中的一部分）获得固定利率收益，同时在需要这部分资金时保持随时退出的能力。
已经与Element 合作的DeFi 协议举例：OPOLIS 与ChainSafe Systems
传统大资金
对于普通投资者来说，固定利率与收益代币化所能带来的「财富效应」并不明显，尤其是在以太坊扩容方案还没有完全解决与普及的当下，日渐高昂的手续费成本也会让小资金的普通投资者退避三舍。但是收益代币化协议以及固定收益协议的存在对DeFi 生态的发展壮大至关重要，因为这将会是传统大资金进入DeFi 的必由之路。
大资金的资金管理通常会选择较为保守稳健的资本管理方案，因为与此资本相关的许多责任以及出于预算分配的目的，需要对其进行一定程度的可预测性计算。因此，传统大资金往往会专注于固定利率而不是可变利率作为其解决方案。所以随着传统资本的入场，收益代币化项目们提供的结构化、可靠和可预测的资本增长方案，在DeFi 的动荡市场中也能同时保持资本效率的优势将会得以凸显。其他的收益代币化项目如果也想吸引大资金入驻，亦可以直接抄Element 的作业：通过采取被动的长期策略，将利率风险降至最低并逐步扩大其资金规模。
即使当前许多投资者风险偏好相对较高、习惯于DeFi 的大起大落，更加偏向选择浮动利率协议。但是当这一细分赛道的基础设施已经足够完备，加之以太坊网络Layer2 方案的成熟，传统大资金必然会选择这一足够安全稳健的通道来进入DeFi。小资金投资者即使无法从直接的代币投资中获利，也能从丰富的生态玩法中收益；并且大资金的入场也意味着DeFi 市场的体量也会大幅增长，身处在DeFi 之中的每名玩家也都能享受到市场扩张带来的回报。
基于收益率的衍生品
PRISM 团队的思路与笔者如出一辙：YT 代币可以变得更有趣而且更刺激。在此笔者认为可以有两种不同类别的产品设计，即「收益率永续合约」 和「收益率杠杆代币」 。笔者一直相信一句话「a good trader，trade everything」 ，一切基于对未来某个时间段内未知的预测均可以进行交易，这也是金融最大的魅力所在。当交易量足够大时，对未来收益率的交易结果能一定程度上反映市场对未来收益率的普遍看法，对未来收益率的交易本身也提供给了用户另一个对冲风险，加大杠杆的场所。
收益率永续合约
像PRISM 所说的那样，只要开放一个没有到期日的YT 代币交易市场便可以轻松做到这一点。其中唯一需要解决的问题就是收益率永续合约的价格指数获取。因为我们知道，永续合约没有交割日的设定就意味着永续合约的价格没有一个强制的约束，需要依靠外部数据来维持其合约价格游走在一个正确的价格波动范围内。
参考一些交易所对于比特币永续合约的设计，这个事情可以变得很简单：
当收益率合约价格大于且明显偏离现货价格，多头需要付费给空方。
当收益率合约价格小于且明显偏离现货价格，空方需要付费给多方。
偏离的程度越大，付费的费率越高。
这只需要项目方在一段时间设定固定时间点来对价格进行检测与调整即可。借由这个机制，永续合约价格就可以锚定现货价格，最大可能地去限制对合约价格的恶意操纵。而对当前标的收益率数值的实时精准把控就是需要项目方重点设计的一个环节。
收益率杠杆代币
杠杆代币作为一种拥有杠杆功能的ERC20 代币，用户在交易杠杆代币的时候不需要支付任何保证金，仅通过简单的买币卖币，即可达到交易杠杆的目的。买卖YT 代币本身就是一个看涨/ 看空未来收益的过程，但如果有越来越多的用户相信自己对市场有着足够的敏锐力并且偏好更高的风险，依据不同标的收益率推出「5×」、「10×」 等杠杆代币也是情理之中的事情。
目前上述两种产品均是笔者个人想法，如果有有兴趣的小伙伴愿意与我一同讨论设计或者有其他更加有趣的玩法，欢迎向我的邮箱发送邮件，期待你的奇思妙想！
篇尾语
DeFi 从来不缺机会，你可能永远不知道下一个浪在哪里，但是你至少要在海里呆着。
—— 致所有玩家们
_在此特别鸣谢Enzo 哥（笔者Mentor）、Dan （Pendle 团队）、GL （Pendle 团队）、Kenton （Sense 团队）与其他项目方团队和小伙伴们对本文的支持与帮助！
欢迎读者朋友们发邮件到Mora 的邮箱纠错指正。
参考文献：
《Introducing (Pe,P) and Latest Liquidity Mining Program》
https://medium.com/pendle/introducing-pe-p-and-latest-liquidity-mining-program-e9df8066f9c《Pendle Calculator》
https://docs.google.com/spreadsheets/d/1Uz-Ir9xbXD14KCAkuWCmNATXfczV50lvs11Ny9_yPRQ/edit#gid=0《Tempus Protocol Docs》
https://docs.tempus.finance/《Pendle Finance documentation》
https://docs.pendle.finance/《Sense Finance litepaper》
https://docs.sense.finance/litepaper/《ETH2, MEV & Tokenized Cash-Flows》
https://swivel.substack.com/p/eth2-mevvev-and-tokenized-cash-flows《Element Finance Docs》
https://docs.element.fi/《Prism Finance litepaper》
https://prismfinance.app/PRISM-litepaper.pdf
