Lily leaves turn yellow as they die-off. Just cut them back as near to the 'crown' of the lily as possible to stop the stems rotting in the pond. (Same with dead/dying flowers)
This can be difficult if the pond is deep. I keep a pair of lawn edging shears especially for this purpose.
New leaves will constantly grow to replace the older ones.
I'm having to cut back a lot of non-dying leaves as they've 'gone mad' this year and are filling the ponds.
Difficult to feed the fish as more pellets land on the leaves than in the water.
Sue

Sue would you happen to know which lilies have gone 'paddy', here chromatella for one, helvola for another but helvola are tiny so no problem there.