Strategy fact sheet 02 · Prepared for Veris · 19 August 2026
JLP / USDC — Delta-Neutral Carry
The house position on Jupiter Perps. Both yield components rise when traders lose — exactly when a levered book is hardest to hold.
Investment objective
JLP is the counterparty to every position on Jupiter Perps. Its NAV carries three things: the
price move on its SOL/ETH/BTC/stable basket, a 75% share of platform fees, and the pool's P&L
against traders. The strategy levers JLP on Kamino and shorts the basket on Hyperliquid to remove
the first, keeping the other two. Both of them rise in a downturn. Traders are typically
net long, so a sell-off transfers their losses to the pool; volatility spikes trading and borrow
volume, so fee revenue climbs at the same moment. The venue's own record shows the effect —
Multiply net APY at 2.4x to 6.2x multipliers cleared 100%+ in both drawdown windows of the
last six months. That is the venue's own figure — unhedged, yield-only and at higher multipliers — not this position's return. What it evidences is the direction: the yield component climbs when traders lose. Delta-hedged, it arrives without the price move that produced it, and this strategy's measured carry is +9.32% over the trailing year.
Key features
- Both yield legs are counter-cyclical. Trader P&L transfers to the pool when the
market falls, and fee revenue rises with the volatility that causes it. This is the rare levered
position that pays most in the conditions that break other levered positions.
- The return is measured, not assumed. Pool delta is read from custody state and
cross-checked by regression. Out of sample the hedged series returned +20.58% annualised
over two years and +9.32% over the trailing year, while JLP itself fell 29%.
- Capacity is set by one number. Available USDC in the Kamino reserve is
$1,408,134. That, not the $45M borrow cap, is what the position sizes against.
- On hold by design. Four conditions gate funding and none is met today.
Risk indicator
1 · safest5 · riskiest
The overall score from the accompanying memo, on its 1-to-5 scale. Delta-neutral by construction, so the rating reflects an execution and
dependency surface rather than market direction: two levered legs on two chains that liquidate in
opposite directions, a continuously maintained hedge, and a carry paid by counterparties rather
than contracted.
Strategy information
Size$1,000,000
Return driverTrader losses and fees
Loop venueKamino Multiply
Hedge venueHyperliquid
Loop equity / hedge margin$677,507 / $322,493
JLP notional$1,185,637
USDC borrowed$508,130 · 36% of reserve
Short notional$806,233
Volatile share hedged0.680 measured
Entry / max / liq LTV42.9% / 84.0% / 85.0%
Venue max leverage6.2x · cohort 2.88x
Hedge basketSOL · ETH · BTC
Key risks
- The carry is earned, not contracted. There is no floor. Measured at +43.6%, +21.3% and
+8.5% annualised across 2024, 2025 and 2026 — positive throughout, but decaying and not
statistically distinguishable from zero on this sample.
- 13.3% of collateral NAV is a loan book at par. The JLP USDC custody lends $103.5M. If
it impairs, NAV falls with no market move and the hedge produces no offset.
- The hedge venue can settle positions administratively. Hyperliquid validators voted in
roughly two minutes in March 2026 to delist a market and settle all positions at a chosen price.
For a hedge leg that is a direct basis loss with no recourse.
- Entry draws on a reserve near full utilisation. $508,130 against $1,408,134 available.
The reserve has sat above 99% utilisation on 61 of the last 182 days.
Strategy characteristics · $1,000,000 at 1.75x loop / 2.5x hedge
8.53%
Net APY on committed capital at current venue rates
+9.32%
Delta-hedged carry, trailing 365 days, out of sample
+20.58%
Delta-hedged carry, two years annualised
100%+
Venue net APY in drawdown windows at 2.4x–6.2x, unhedged
$1.41M
Available USDC in the Kamino reserve, the binding constraint
−49.6% / +37.0%
JLP fall and basket rally before each leg liquidates
Return decomposition · annualised on committed capital
| Component | × capital | Contribution |
|---|
| Delta-hedged JLP carry @ 9.32% | 1.186 | +11.05% |
| USDC borrow cost @ 6.41% | 0.508 | −3.26% |
| Funding received on shorts @ 2.05% | 0.806 | +1.65% |
| Entry, exit and rebalancing | assumed | −0.91% |
| Net on committed capital | 1.000 | 8.53% |
Kamino loop 67.8%
Hyperliquid 32.2%
Loop equity $677,507
Hedge margin $322,493
When this trade opens · venue record, six months
| Regime | Multiply net APY | Driver |
|---|
| Drawdown | 60–100%+ | Traders lose; volume and volatility spike together |
| Baseline | 20–40% | Normal two-way flow — where the market sits today |
| Compressed | 10–20% | Low volatility, traders profitable |
Kamino's published Multiply net APY at 2.4x to 6.2x
multipliers, unhedged and yield-only. Both windows above 100% coincide with sharp market
declines. The hedged carry measured here returned +9.32% over the trailing year — a different
series, over a year that held a 29% NAV fall but no sustained trader-loss regime. The upside is
episodic, and it is the reason to carry the position.
How the hedge works
01 · READ
Custody state, live
The pool's holdings and every position opened against them sit in six public Solana
accounts, read each cycle: owned, locked,
globalShortSizes.
02 · DERIVE
Exposure, not weights
Per-asset delta = (owned − locked) + globalShortSizes /
globalShortAveragePrices. Recomputing pool AUM this way reconciles to
−0.02% against the on-chain figure.
03 · NEUTRALISE
Short on Hyperliquid
A matching short is placed and maintained through the exchange API. The volatile
share has ranged 0.293 to 0.681 — a static ratio would have been badly wrong.
Capacity · borrow against available reserve
| Size | Borrow needed | % of available | Assessment |
|---|
| $500k | $254,065 | 18% | Pilot. Proves the operational cycle. |
| $1M | $508,130 | 36% | Proposed. Staged entry; moves the rate ~130bp. |
| $3M | $1,524,390 | 108% | Not fundable at 1.75x. |
| $10M | $5,081,301 | 361% | 120% of the entire Multiply cohort. |
Conditions to fund
| Condition | State on 19 August 2026 |
|---|
| Traders net losing, volatility elevated | Baseline regime — fails |
| Reserve utilisation below 90% | 92.5% — fails |
| USDC borrow under 5% | 6.41% — fails |
| Operational cycle proven live | $500k pilot not yet run |
All four must hold together. The work is done and the
position is idle, which is why it is carried in the book rather than dropped: when the regime
turns it is the most profitable structure here, and it can be opened on short notice.
Prepared by Simone Taravelli for Veris. Confidential. Not investment advice. Strategy on hold at
$1,000,000; the four conditions that gate funding are set out above and none is met on 19 August 2026. Venue figures read on 19 August
2026 from Solana mainnet, the Kamino API and the Hyperliquid API. The delta-hedged carry is computed from
905 days of JLP NAV and exchange closes, betas re-estimated out of sample on a trailing 180-day window;
it is gross of financing and execution costs, with entry, exit and rebalancing assumed at 60bp on
notional plus 25bp a year. Regime figures are Kamino’s published Multiply net APY at 2.4x to 6.2x,
unhedged and yield-only, and are not comparable to the hedged series. The carry is paid by traders
rather than contracted: it has no floor and is not statistically distinguishable from zero on this
sample. Past measurement is not a forecast. Full risk register in the accompanying memo.