Glossary

Key terms used throughout the Jetty documentation.

General

Basis Points (BPS). 1/100th of a percent. 100 bps = 1%. Used throughout Jetty for fees, margins, and rate changes.

DV01 (Dollar Value of 01). How much a position's value changes for a 1 basis point move in rates. DV01 accounts for both size and time to maturity, so it normalizes risk across different tenors. A large short-dated position and a small long-dated position can have the same DV01.

Notional. The face value of a swap position. A $1M notional position has $1M of rate exposure.

Open Interest (OI). The total absolute notional across all positions in a market, regardless of direction. Measures total market activity.

Basis Trade. A strategy that profits from the difference (basis) between two related prices, typically spot and perpetual futures. The trader earns the funding rate as carry while maintaining a delta-neutral position.

Carry. The yield earned from holding a position over time. In the context of basis trades, carry refers to the funding rate income collected while maintaining a delta-neutral position.

Delta-Neutral. A position structured so that it has no directional exposure to an asset's price. Often used in basis trades where you're long spot and short perps (or vice versa), isolating just the funding rate.

Slippage. The difference between the expected execution rate and the actual rate you get, caused by your trade consuming liquidity. Larger trades experience more slippage.

SPL Token. The standard token format on Solana, similar to ERC-20 on Ethereum. LP shares on Jetty are SPL tokens.

Swap Terms

Fixed Rate. The rate you lock in when opening a swap. This doesn't change for the life of the position.

Floating Rate. The variable rate reported by the oracle. This is what the "floating leg" of the swap settles against.

Funding. The cash flows between position holders based on rate changes. If the floating rate exceeds your fixed rate (and you're pay-fixed), you receive funding. Settlement is lazy: funding accrues continuously but is only calculated when your position is touched.

Mark-to-Market (MTM). The unrealized value of your position based on current market rates. If rates have moved in your favor, MTM is positive. It converges to zero as the position approaches maturity.

Mark Rate. The reference rate used for valuation and health checks. Derived from a time-weighted average of recent trade prices, designed to resist manipulation.

Settlement. The process of turning rate changes into realized PnL. Happens automatically when your position is interacted with.

Tenor. How long a swap lasts. A 30-day tenor means the swap covers 30 days of rate exposure.

VWAP (Volume-Weighted Average Price). Your actual execution rate across the full size of your trade.

Position Direction

Pay Fixed / Receive Floating. You pay the fixed rate and receive whatever the floating rate turns out to be. Profits when rates rise.

Receive Fixed / Pay Floating. You receive the fixed rate and pay the floating rate. Profits when rates fall.

Risk-Increasing. A trade that adds to overall exposure. Subject to full fees, margin checks, and risk limits.

Risk-Reducing. A trade that decreases exposure. Lower fees, no margin checks. You can always reduce or close a position, even in stressed markets.

Margin and Health

Initial Margin (IM). The collateral required to open or increase a position. Set higher than maintenance margin to provide a buffer.

Maintenance Margin (MM). The minimum collateral to keep a position open. If your equity falls below this, you become eligible for liquidation.

Equity. Your total account value: posted collateral plus realized PnL plus unrealized mark-to-market plus pending funding.

Health. Equity minus total maintenance margin. Positive health means you're solvent. Negative health means you can be liquidated.

LP Terms

NAV (Net Asset Value). The pool's total equity backing all LP shares. Used to price shares on deposit and withdrawal.

LP Shares. Tokens representing your proportional claim on the pool's equity. Received when you deposit, burned when you withdraw.

Streaming Fee. A small annualized fee charged on all open positions based on their notional size. Accrues continuously over time and compensates LPs for the ongoing capital commitment of backing outstanding positions. A portion goes to the protocol treasury.

Utilization. How much of the pool's capital is currently backing open positions. High utilization means less capital available for withdrawals and higher withdrawal fees.

Protocol

Curve Engine. The pricing system that maintains a term structure across multiple maturities and produces rates for any tenor by interpolation.

Impact Kernel. The concentrated liquidity system that determines price impact for trades. Organized in three layers (core, mezzanine, tail) that provide progressively less depth at wider price ranges.

Oracle. An external data source providing the floating rate used for funding settlement. Updated by a keeper with built-in sanity checks.

Keeper. An off-chain service that pushes oracle rate updates on-chain at regular intervals. The protocol does not generate rate data itself; it relies on keepers to provide fresh data from external sources.

Novation. The transfer of a position from one party to another. In Jetty, liquidation uses direct novation: the liquidator inherits the liquidated portion of a position at its existing entry rate, without interacting with the AMM.

Yield Curve. The continuous term structure of rates across all tenors in a market. Reflects the market's collective expectation of where rates will be at each horizon.