Fees

The protocol charges fees to compensate liquidity providers for risk and capital provision, split between LPs (75%) and the protocol treasury (25%). There are two fee streams: a per-trade Swap Fee and a continuous Open Interest Fee on open positions.

Swap Fee

Every trade pays a dynamic fee on execution. The fee is composed of multiple additive components that reflect real-time market conditions, then scaled by an asymmetric multiplier based on trade direction.

Fee Components

Component	What It Measures	When It's High
Base fee	Fixed minimum floor	Always (configurable per market)
Utilization	How much of the market's liquidity is in use	High OI relative to allocated depth
Deviation	How far the trade moves the rate from the mark TWAP	Large trades with significant market impact
Oracle staleness	How recently the oracle was updated	Stale oracle data (higher adverse selection risk)
Inventory	Pool's directional imbalance after the trade	Trade increases pool's net DV01 exposure
Volatility	Recent rate volatility (EWMA variance)	High recent rate movements

Each component follows a two-slope kinked linear curve: a gentle slope below a configurable kink point, transitioning to a steeper slope above the kink. This gives fine-grained control over fee sensitivity. Fees ramp slowly under normal conditions and accelerate rapidly as conditions deteriorate.

Asymmetric Multiplier

After summing all components, the total is scaled by a direction-dependent multiplier. Risk-increasing trades (taker) pay a higher multiplier (e.g., 1.5x), while risk-reducing trades (maker) pay a lower one (e.g., 1.0x). This asymmetry incentivizes risk reduction and makes it progressively more expensive to add exposure to the pool.

Fee Cap and Application

The final fee is capped at a configurable maximum (e.g., 200 bps) to ensure execution remains viable even in stressed conditions.

The fee is computed on the trade's carry-sized notional, which is the notional adjusted for duration and rate level. Longer-tenor trades at higher rates generate proportionally larger fees, reflecting their greater economic exposure. The fee is deducted from the position's realized PnL (not directly from collateral) and split between the market's LP fee accumulator and protocol fee accumulator.

Open Interest Fee

Swap Fees compensate LPs at the moment of a trade, but open positions continue to consume risk capacity and reserve LP capital long after the trade settles. The Open Interest Fee prices that ongoing capital reservation. Think of it as rent for balance-sheet usage. It accrues continuously on all open positions based on absolute notional and is settled whenever the position is touched (trade, withdrawal, liquidation, or expiry).

How It Works

$$\text{OI Fee}=|\text{notional}|\times \text{fee rate (bps)}\times \frac{\text{elapsed seconds}}{\text{seconds per year}}$$

The fee is applied against the position's PnL at each settlement, so traders see it as a slight drag on their realized returns, similar to how funding rate spreads work on other platforms. Like Swap Fees, the Open Interest Fee is split between protocol and LPs according to the configured share.

Pool LP Fees

Deposit Fee

A flat fee (in basis points) may be charged on LP deposits. The fee is deducted from the deposit amount before shares are calculated, ensuring new depositors don't dilute existing LPs.

Withdrawal Fee

Withdrawals are subject to a dynamic fee that scales with pool utilization. Below a kink threshold the fee is minimal. Above the kink, it ramps steeply toward the maximum, discouraging large withdrawals when the pool is heavily utilized. This protects remaining LPs by making it expensive to withdraw capital when the pool needs it most.