Portfolio Margin Mode allows you to trade spot, margin, perpetual futures, expiry futures, and options within a single account using a risk-based model to determine margin requirements. This approach consolidates positions across all instruments, reducing overall portfolio margin requirements while enabling efficient capital usage and margin coverage.
Eligibility Requirements for Portfolio Margin Mode
To qualify, you must:
- Maintain a minimum net equity of 10,000 USD.
- Acknowledge understanding of Portfolio Margin Mode concepts.
How Risk Balancing Works in Portfolio Margin Mode
1. Risk Unit Merging
Perpetual futures, expiry futures, and options with the same underlying asset are merged into a single risk unit:
| Mode | ETH Risk Unit |
|---|---|
| Derivatives | ETHUSDT/USDC/USD perpetual & expiry futures, ETHUSD options, ETH spot orders. |
| Auto-Inclusion | Spot assets are automatically included in selected risk units for margin calculations. Hedged positions reduce required margins. |
Portfolio Margin Calculation
Maintenance Margin Requirement (MMR)
MMR is determined per risk unit. Instruments are grouped by underlying asset to assess maximum potential loss under specific market conditions. USD values of each MMR are summed to derive the Portfolio MMR.
Initial Margin Requirement (IMR)
Derived from MMR:
IMR = 1.3 × Derivatives MMR + Borrowing IMR
Key Components:
- Spot Utilization: Determined by the delta of derivatives in the same risk unit. Spot is added only if it hedges derivative exposure.
- Derivatives MMR: Considers 6 risk types (MR1–6) and a minimum charge (MR7) via stress-testing.
- Borrowing MMR: Calculated based on potential loans per asset tier.
FAQ Section
Q1: How does Portfolio Margin Mode improve capital efficiency?
A1: By merging risk units, it offsets opposing positions (e.g., long spot vs. short futures), reducing total margin requirements.
Q2: What happens during liquidation?
A2: At 100% margin level, dynamic hedging (DDH) adjusts positions to mitigate risk. Positions are liquidated in tiers until the account is safe.
Q3: How are stablecoin depegging risks managed?
A3: MR9 quantifies risks from cross-margin exposure to depegged stablecoins (e.g., USDT/USDC) and applies tiered charges.
Stress Testing and Simulation Tools
👉 Position Builder and APIs let you test margin impacts on existing or simulated portfolios.
Liquidation Process
- Dynamic Hedging (DDH1/DDH2): Adjusts derivatives positions to reduce dominant risks (e.g., stablecoin depegging or spot shocks).
- Basis Hedging: Liquidates expiry futures with mismatched dates.
- General Position Reduction: Prioritizes high-risk positions to restore margin levels.
Appendix: Margin Calculations
Risk Parameters
| Risk Type | Description | Applicability |
|---|---|---|
| MR1: Spot Shock | Simulates asset price swings (±8–25%) and implied volatility changes. | All derivatives & spot. |
| MR4: Basis Risk | Measures futures-spot price divergence. | Futures & spot. |
| MR9: Stablecoin | Tiered charges for depegging exposure (e.g., 0.5–40% based on USDT/USD price). | Cross-margin portfolios. |
👉 Example: A 10M USD hedge with USDT/USD at 0.985 incurs a 0.75% MR9 charge for Tier 1.
For real-time adjustments, refer to our discount rate table.