By creating lending and borrowing positions in different tokens, across different tenors, you are exposed to three types of market risks:
Interest Rates Risk: You lock-in a fixed rate borrowing position for a particular tenor. Over time, the market may price the par rate of your position's maturity at a different level. Your position, on a mark-to-market basis, could therefore be making or losing money, depending on whether you are borrowing at a cheaper or more expensive rate than the prevailing market rate. In other words, your positions are sensitive to interest rates movements, a sensitivity which increases with time to maturity.
FX Risk: You enter a fixed rate borrowing position in a certain market (e.g. ETH-1M), which is backed by your Assets as collateral. While you have an ETH-denominated borrowing position, your collateral may not necessarily (need to) be ETH-denominated. Therefore, your MM is subject to FX risk. At Infinity, all tokens are valued (unit of account) back to USD, therefore any FX risk is measured against USD.
Correlation Risk: Depending on the product, you may also be exposed to Rates-Rates or Rates-FX Correlation risk. In the case the product itself is not sensitive to these risks, the liquidation logic would capture the correlation between tokens for optimal execution. Therefore, if not directly via the product, you would still be subject to Correlation risk via Liquidation.
The following pages dive deeper into each of these risks.