Glossary
A comprehensive list of terms used throughout XCCY documentation.
Core Concepts
Fixed Yield (FY)
A guaranteed yield rate locked via XCCY for a specific term. Once locked, it doesn't change regardless of market conditions. Represents predictable, certain income.
Variable Yield (VY)
The fluctuating yield rate from DeFi protocols like Aave or Compound. Changes based on supply/demand and market conditions. Represents unpredictable, potentially higher or lower income.
Interest Rate Swap (IRS)
A financial derivative where two parties exchange yield types — typically one party swaps Fixed Yield for Variable Yield, while the other does the opposite.
FY Position
A position where you receive Fixed Yield and give up Variable Yield. Profitable when VY < FY at settlement.
VY Position
A position where you receive Variable Yield and give up Fixed Yield. Profitable when VY > FY at settlement.
Position & Trading
Notional
The principal amount your position is based on. If you have a 100,000 USDC notional position, your PnL is calculated based on that amount, even though you only deposit margin.
Margin
Collateral deposited to open and maintain a position. Acts as security against potential losses. Typically 5-20% of notional.
Leverage
The ratio of notional to margin. 20x leverage means $1 of margin controls $20 of notional exposure.
Health Factor
Ratio of collateral value to margin requirement. HF > 1.0 means position is safe. HF < 1.0 means position is liquidatable.
Discount Factor
A haircut applied to volatile collateral. USDC might have 100% discount factor (full value), while ETH might have 90% (10% haircut).
Settlement & Maturity
Term
The duration of an IRS contract, from start date to maturity. Common terms: 30 days, 90 days, 6 months, 1 year.
Maturity
The end date of a pool when all positions are settled. At maturity, PnL is realized and margin is returned (plus or minus PnL).
Settlement
The process of closing positions at maturity. The protocol calculates final VY, computes each position's PnL, and distributes funds.
Settlement Cashflow
The final PnL of a position at settlement:
Variable Factor
The accumulated Variable Yield over a term, as reported by the oracle. Used in settlement calculations.
Fixed Factor
The Fixed Yield portion for settlement:
VAMM & Trading
VAMM (Virtual AMM)
Virtual Automated Market Maker — XCCY's price discovery mechanism. Unlike regular AMMs, it doesn't hold assets; it only discovers prices.
Tick
A discrete point on the FY scale. FY rate is derived from tick: FY = 1.0001^tick. Similar to Uniswap v3's price ticks.
Tick Spacing
The minimum tick increment for a pool. Determines how granular FY rates can be. Common values: 1, 10, 60.
Concentrated Liquidity
LPs provide liquidity only at specific FY ranges, not across all possible rates. More capital efficient than full-range liquidity.
Liquidity
The amount of trading capacity provided by LPs at a specific tick range. More liquidity = less slippage for traders.
Slippage
The difference between expected and executed FY rate when trading. Larger trades have more slippage.
Protocol Components
VAMMManager
The singleton contract managing all XCCY trading pools. Handles swaps, LP operations, and price discovery.
CollateralEngine
The protocol's central bank. Holds all user funds, manages positions, calculates margin, handles settlements and liquidations.
OracleHub
The price oracle aggregator. Provides USD prices for assets used as collateral.
AprOracle
The yield rate oracle. Tracks Variable Yield for different yield-bearing tokens (aUSDC, stETH, etc.).
Pool
An XCCY market for a specific asset pair and term. Defined by PoolKey: underlying asset, compound token, term dates, fee, tick spacing.
Pool ID
A unique identifier for a pool, computed as keccak256(abi.encode(PoolKey)).
Account System
Account ID
A composite identifier for user accounts:
owner: Wallet addressid: Sub-account number (0, 1, 2...)isolatedMarginToken: Token for isolated margin mode
Sub-Account
Separate accounts under one wallet for risk isolation. Each sub-account has its own margin and positions.
Cross-Margin
Margin is shared across all positions in an account. Default mode (isolatedMarginToken = 0x0).
Isolated Margin
Each position has separate margin. Only the specified token counts as collateral.
Risk & Liquidation
Liquidation
Forced closure of an undercollateralized position. Occurs when Health Factor < 1.0.
Liquidator
An external party who closes liquidatable positions. Receives the remaining margin as incentive.
Worst Case Variable Factor
Conservative VY estimate used for margin calculations. Ensures positions are over-collateralized.
Impermanent Loss (IL)
For LPs: loss relative to holding when FY moves within their range. Position composition changes as price moves.
Mathematical Terms
WAD
Fixed-point number with 18 decimals. Standard for most calculations. 1 WAD = 1e18.
RAY
Fixed-point number with 27 decimals. Used by Aave for rates. 1 RAY = 1e27.
Q96
Fixed-point format used for sqrt prices. Has 96 bits after the decimal point.
Sqrt Price X96
Square root of the price in Q96 format. Used for efficient tick calculations.
Tokens
Underlying Asset
The base asset for a pool (e.g., USDC, ETH). Settlement is denominated in this asset.
Compound Token
The yield-bearing version of the underlying (e.g., aUSDC from Aave, stETH from Lido). Source of Variable Yield.
Fixed Token Balance
Internal accounting for the FY leg of a position. Positive = receiving FY.
Variable Token Balance
Internal accounting for the VY leg of a position. Positive = receiving VY.
Events & Actions
Swap
Trading operation to open/close positions. Negative amount = Lock FY, Positive amount = Trade VY.
Mint
Adding liquidity to a pool at a specific tick range.
Burn
Removing liquidity from a pool.
Settle
Closing a position at maturity and realizing PnL.
Common Abbreviations
FY
Fixed Yield
VY
Variable Yield
IRS
Interest Rate Swap
LP
Liquidity Provider
APY
Annual Percentage Yield
APR
Annual Percentage Rate
TVL
Total Value Locked
PnL
Profit and Loss
HF
Health Factor
IL
Impermanent Loss
Last updated