About this Chart

The fixed leg of a Boros swap: the annualised rate the market priced that day, taken from each fill as cost divided by size and volume-weighted across the day's fills. Shown as an APR.

Sign. Positive means the fixed-rate payer — the Boros long, who pays fixed and receives floating funding — pays that rate. Negative means they receive it, which happens when the market prices funding below zero.

Front contract. Each day this takes the nearest unexpired maturity per exchange and asset, the way a rates desk quotes a front month, so the series stays comparable as contracts roll. This matters because implied rate varies materially by tenor: averaging across maturities would average a curve rather than track a rate.

Weighting and folding. All four groups are open-interest-weighted, so a small market cannot move the number as much as a large one. The differently margined twins of a contract price closely enough to be weighted as one, and ticker variants of one physical asset are folded so crude oil, gold and silver each read as a single asset.

A market that did not trade carries its last print forward, so a flat segment means nobody transacted at a different rate.