Glossary

YU (Yield Units): Each YU represents yield from 1 unit of collateral in the underlying asset. For example, in a BTCUSDT(Hyperliquid) market on Boros with BTC as collateral, each YU in this market represents the funding rate of 1 BTC in Hyperliquid.

Collateral: The capital backing your position. Collateral is required to open any position on Boros. Collateral is open for liquidation when your Net Balance falls below the Maintenance Margin.

Implied APR: The “price” of the YU in yield percentage terms, essentially the market consensus on what the average future yield of YU will be. Upon entering a position, the implied yield at that point in time becomes the fixed rate payable / receivable (long / short position).

Mark APR (Mark Implied APR): A simple time-weighted average (TWAP) of the last traded implied APR on the order book. Mark APR is used for unrealized PnL and liquidation calculations. This is similar to "mark price" in a perpetual exchange and is used to avoid unwanted consequences from short term price manipulations.

Underlying APR: The current APR of the underlying asset (i.e. the current funding rate of the underlying exchange).

My Fixed APR: The fixed APR of the currently open position. This is established by the weighted average of the implied APRs during entry.

Rate Sensitivity: How much your position gains or loses for every 1% change in APR, equivalent to 100x DV01 in TradFi interest rate swap conventions. Positions with more time to maturity carry higher Rate Sensitivity since each 1% shift represents more yield over a longer period.

Rate Sensitivity = Notional Size (YU) * DaysToMaturity/365 * 1%

Daily Volatility: The 7-day moving average of the market's Implied APR range, representing how much the rate has been swinging day-to-day (i.e. volatility) based on recent trading history.

Long YU: A long position on the underlying rate. Long rate positions pay a fixed APR to receive the underlying APR. The fixed APR is determined by the average implied yields of opening the position.

Short YU: A short position on the underlying rate. Short rate positions pay the underlying APR to receive a fixed APR. The fixed APR is determined by the average implied yields of opening the position.

Maturity: The end of the pool. At maturity, the position has been fully settled and reflected in your collateral.

Liquidation Implied APR: If the market Implied APR reaches this level, your position will be open for liquidation. This happens as implied APR movements directly affect your net balance.

Total Position Value: The value of the currently open position. Total position value decays linearly over time (assuming implied APY does not change) as yields are settled and realized into your collateral.

Notional Size: The equivalent underlying asset size that your YU position is earning yield from.

For example: if a user opens a 200-YU-ETHUSDT(Binance) position, the Notional size is 200 ETH.

Net Balance: Your portfolio’s total value in the position. Net Balance comprises of your collateral and unrealized PnL. Collateral value is affected at every yield settlement. Unrealized PnL is affected by the current implied APR of the market.

Maintenance Margin: The amount of capital required to keep your position afloat. Your position is open for liquidation when the Net Balance falls below the Maintenance Margin. Maintenance margin is set at 66% of Initial Margin.

Initial Margin: The margin consumed when opening a position, calculated based on notional size, time to maturity, and implied APR.

InitialMargin=NotionalSize*YearsToMaturity*max(ImpliedAPR, MarginFloor)*IMRatio

Margin Floor: The minimal margin necessary to initiate a position when a pool nears maturity or when its Implied APR approaches 0%. This threshold prevents the required margin from falling below a certain level, safeguarding against bad debt risks due to high volatility.

IM Ratio: Leverage ratio for the market, the lower the number, the lower the initial margin requirement is for that market.