Derivatives Layer

The Derivatives Layer is the core rate engine of XCCY. It provides on-chain interest rate instruments that allow users and the protocol to price, hedge, and transfer interest rate risk

At its foundation are vanilla interest rate swaps, which power fixed yield products, hedging, and liquidity provision across the protocol.

What This Layer Includes

• Vanilla Interest Rate Swaps Fixed-for-floating rate agreements across multiple assets and tenors, forming the base building block for all fixed-income products on XCCY.

• Caps & Floors (Coming Soon) Rate protection instruments that let users cap upside or downside exposure, similar to interest rate insurance in traditional finance.

• Swaptions (Coming Soon) Options on interest rate swaps, enabling advanced strategies such as rate convexity, volatility trading, and conditional fixed-rate locks.

Risk & Collateral Infrastructure

The Derivatives Layer is tightly integrated with:

• Collateral Engine (CE) — asset valuation, haircuts, and margin usage

• Risk Engine (RE) — DV01-based exposure tracking, portfolio netting, and liquidation logic

Upcoming Collateral & Risk Engine V2 upgrades will further improve:

• Cross-product risk netting

• Capital efficiency for complex strategies

• Support for option-like rate products

The Big Picture

This layer is not built for speculation alone. It is the rate infrastructure that enables fixed deposits, fixed loans, treasury management, and advanced yield strategies — all without relying on off-chain intermediaries.