Cross-Currency Margin Overview
Under cross-currency margin, if a user's available balance or available equity in a particular currency is insufficient but the overall USDT value is sufficient, they can sell spot (with or without leverage) or trade contracts using that currency as the settlement currency. If the equity in a particular currency falls below 0 due to overselling or losses in contracts using that currency as the settlement currency, a liability in that currency will automatically accrue, and interest will be charged.
Under cross-currency margin, risk within a cross-margin account is measured by the value of USDT. As long as the user's total effective margin (in USDT) is sufficient relative to the maintenance margin (in USDT) for all positions, the position can be maintained. If it is insufficient, forced liquidation will be triggered.
Unified accounts offer cross-currency margin, and the platform offers two margin modes: cross-margin and combination, each tailored to the user's trading needs.
Cross-Currency Cross-Margin
Features of Cross-Currency Cross-Margin
- You can trade four types of services simultaneously: spot (with or without leverage), delivery, perpetual, and options (coming soon) simply by transferring your assets into your trading account.
- Under cross-currency cross margin, orders and positions will occupy margin on a per-trade basis, but profits and losses are shared across multiple currencies and contracts. Unrealized profits can be used for opening positions, which improves your capital utilization rate.
- This mode is more suitable for spot and contract traders, as well as traders with one-sided positions and higher leverage.
Calculation of Cross-Currency Cross Margin
- Occupied Margin (Initial Margin) = Order Occupied Margin + Position Occupied Margin
- Maintenance Margin = Derivative Maintenance Margin + Liability Maintenance Margin
Occupied Margin
Order Occupied Margin
Spot Leverage Order Occupied Margin:
- Order Occupied Margin = Position Size * Order Price / Leverage; Initial margin for the position
Contract Order Occupied Margin:
- Short Order Occupied Margin = max(Cumulative Short Order Margin - 2 * Long Position Margin, 0)
- Long Order Occupied Margin = max(Cumulative Long Order Margin - 2 * Short Position Margin, 0)
- Order Occupied Margin = max(Short Order Occupied Margin, Long Order Occupied Margin)
Position Occupied Margin
Spot Leverage Position Occupied Margin:
- Liability Margin = Liability Amount * Index Price / Leverage
Contract Position Occupied Margin:
- Position Margin = abs(Position Size) * Mark Price / Leverage
Maintenance Margin
For spot leverage trading, the maintenance margin for liabilities is calculated using a tiered gradient table.
Maintenance Margin = USDT Value of Positions and Orders * Maintenance Margin Rate of the Corresponding Tier for the Total Value - Maintenance Margin Quick Deduction Amount
Maintenance Margin Quick Deduction Amount = (n-1) Tier Risk Limit × {Difference Between Maintenance Margin Rates of Tier n and Tier (n-1)} + (n-1) Tier Maintenance Margin Deduction Amount
Example of a Liability Gradient Tier Table for BTC:
| Tier (BTC/USDT) | Position Limit (Liability Amount in USDT) | Maximum Leverage Multiplier | Maintenance Margin Rate (%) | Quick Deduction Amount |
| 1 | 10,000 | 10 | 2.00% | 0 |
| 2 | 20,000 | 8 | 2.50% | 50 |
| 3 | 50,000 | 5 | 5.00% | 550 |
| 4 | 100,000 | 4 | 8.00% | 2050 |
| 5 | 200,000 | 3 | 15.00% | 9050 |
| 6 | 400,000 | 2 | 20.00% | 19050 |
| 7 | 1,000,000 | 1 | 30.00% | 59050 |
Perpetual and Delivery Contract Trading
For perpetual and delivery contract trading, the margin is calculated using a tiered gradient table.
Maintenance Margin = USDT Value of Positions and Orders * Maintenance Margin Rate of the Corresponding Tier for the Total Value - Maintenance Margin Quick Deduction Amount
Maintenance Margin Quick Deduction Amount = (n-1) Tier Risk Limit × {Difference Between Maintenance Margin Rates of Tier n and Tier (n-1)} + (n-1) Tier Maintenance Margin Deduction Amount
Example of a Contract Gradient Tier Table for BTC:
| Tier (BTC/USDT) | Position Limit (Liability Amount in USDT) | Maximum Leverage Multiplier | Maintenance Margin Rate (%) | Quick Deduction Amount |
| 1 | 100,000 | 75 | 0.60% | 0 |
| 2 | 200,000 | 50 | 1.00% | 400 |
| 3 | 500,000 | 25 | 2.00% | 2400 |
| 4 | 1,000,000 | 20 | 2.50% | 4900 |
| 5 | 3,000,000 | 10 | 5.00% | 29900 |
| 6 | 5,000,000 | 5 | 10.00% | 179900 |
| 7 | 8,000,000 | 4 | 12.50% | 304900 |
| 8 | 10,000,000 | 3 | 15.00% | 504900 |
| 9 | 15,000,000 | 2 | 25.00% | 1504900 |
| 10 | 30,000,000 | 1 | 50.00% | 5254900 |
Portfolio Margin
Features of Portfolio Margin
- You only need to transfer assets into the trading account to simultaneously trade spot (with or without leverage), delivery contracts, perpetual contracts, and options (coming soon), these four types of businesses.
- Portfolio margin uses stress testing (based on the mark price and implied volatility of the underlying assets), concentration risk, and cross-period risk to calculate the overall risk of the derivatives portfolio. Under stress testing, if the derivatives portfolio includes hedged positions, the required margin can be partially offset.
- The calculation method for the margin of borrowed funds and negative spot liabilities is the same as in cross-currency margin.
- Unlike cross margin, which calculates margin based on individual positions, portfolio margin calculates margin based on the risk of the entire portfolio. If the portfolio includes long-short hedging relationships, it can significantly save margin compared to cross-currency margin.
Portfolio Margin Calculation
Initial Margin = max(Worst-Case Portfolio Scenario + Cross-Period Risk Margin + Concentration Risk Margin + Decoupling Margin, Liquidation Cost) + Liability Initial Margin
Maintenance Margin = 0.8 * max(Worst-Case Portfolio Scenario + Cross-Period Risk Margin + Concentration Risk Margin + Decoupling Margin, Liquidation Cost) + Liability Maintenance Margin
In the portfolio margin mode of a unified trading account, spot, perpetual, and delivery contracts of the same underlying asset will be grouped together for margin calculation.
Risk Matrix Output
Calculation Item | Calculation Rule |
Price Volatility and Volatility Change Test | Main Table Calculates the new price for each position under the stress test scenarios and the profit/loss value of the position under this change. Price Change Scenarios Defines a "Price Range" for each underlying asset and divides the price fluctuation levels accordingly: -4, -3, -2, -1, 0, +1, +2, +3, +4. The price fluctuation corresponding to a certain level = level number × (price range / 4). For example: If the price range for BTC-USDT is set to 16%, then the price fluctuation of the inverse BTC option at level "-3" is: -3 × 16% / 4 = -12. Extended Table Price movement percentages are fixed values, currently -66%, -33%, +50%, +100%, +200%, +300%. The calculation results are first adjusted, then dampened for each base currency. |
Extended Matrix Dampening | The profit/loss value (PNL) in the extended matrix undergoes damping to reduce its exaggerated PNL test results. The damping process is as follows: Adjusted PNL Damping value (AmountToBeDampend) = min( Final PNL = min(Adjusted PNL + Damping value, 0) |
Spot Hedging Rule | Spot assets serve as a hedge against losses from derivatives, reducing the amount of capital tied up in derivatives. In the risk matrix, positive spot assets are used to calculate the profit and loss scenario for price increases; liabilities are used to calculate the profit and loss scenario for price decreases; the most accurate amount of profit and loss from spot hedging against derivatives is calculated in real time. When your account only contains spot assets, no margin is required. |
Risk Matrix Output | For each currency pair, calculate the worst-case scenario and then sum them to obtain the risk matrix output. Risk Matrix Output Margin = $$\sum_{\mathclap{currency}} The loss amount in the worst-case scenario of the risk matrix $$ |
Worst-Case Portfolio Scenario
Place the positions of different underlying assets in the same risk matrix and perform stress testing on the main matrix and extended matrix using the same method as described above. Identify the worst-case scenario at this point to obtain the worst-case portfolio scenario.
Worst-Case Portfolio Scenario = The loss value in the worst-case scenario of the risk matrix that includes all currency positions.
Decoupling Shock
Decoupling Shock = Risk Matrix Output - Worst-Case Portfolio Scenario
*All parameters for all currency pairs can be found on the Portfolio Margin Calculation Details page.
Risk Margin
Risk Margin Item | Calculation Rule |
Delta Concentration Risk Margin (Delta Shock) | Delta Shock is calculated separately for each currency pair, targeting large Delta positions, and is denominated in USDT. The platform calculates the net Delta of spot assets and the net Delta of perpetual and delivery positions separately. Only when the net Delta helps offset the net Delta of futures is it included in the calculation. The Delta value used for the shock calculation (Delta Shock) refers to the net Delta of perpetual and delivery positions that is not offset by the net Delta of spot assets. Next, these Deltas are converted to USDT-denominated Deltas by multiplying by the corresponding index price. Then, for the portion exceeding the Delta Total Liquidity Shock Threshold, a Delta Shock Coefficient is applied. Finally, a cap is imposed on the Delta Shock: the Maximum Delta Shock, to ensure that the occupied Delta does not exceed an upper limit. |
Cross-Period Risk Margin (Roll Shock) | The Cross-Period Risk Margin measures the basis risk of positions with different expiry dates. It is calculated separately for each currency and denominated in USDT. First, the Minimum Roll Shock is calculated based on the net nominal USDT Delta for each expiry date. Then, the Annualised Roll Shock is calculated based on the remaining time to expiry and the annualized basis risk rate. The Cross-Period Risk Margin takes the maximum of these two values. Then, the values for all base currencies are summed to obtain the Final Roll Shock. Note: The Delta of perpetual contracts is considered as having its own expiry date, with a time to expiry of 0. |
Note that the parameters used in the calculation may vary depending on the currency configuration. For example, for BTC, the minimum delta impact factor at maturity is 1%, and the annualized basis risk is 8%.
Liquidation Cost
Liquidation Cost includes contract trading fees.
For delivery and perpetual contracts, calculate the USDT value of each contract, and based on the portfolio margin gradient tier table, compute the weighted initial margin required for the position, which serves as the liquidation cost for the contract.
Total cost of reducing derivative positions = $$\sum_{\substack{\text{each currency}}} (\text{liquidation cost weighted by perpetual and delivery gradient tiers})$$
Liability margin
- The calculation of current liability margin is consistent with cross-currency.
Order margin
| Business Line | Pending Order Margin |
|---|---|
| Spot | No pending order margin is calculated |
| Contracts (Delivery + Perpetual) | * Contract Buy Order - Order Margin = Order price * Order quantity * Coefficient% * Contract Sell Order - Order Margin = Order price * Order quantity * Coefficient% |
| Options | * Option Buy Order - Order Margin = min [max (Mark price - Minimum sell price, Order price - Minimum sell price, Minimum price increment), Order price] * Order quantity * Option Sell Order - Order Margin = max (Maximum buy price - Mark price, Maximum buy price - Order price, Minimum price increment) * Order quantity |
Margin Toggle
- Next to the Account Security component, there's a toggle button.
- After clicking, a pop-up window will be displayed to switch
Switching conditions:
You have no open positions or orders (limit/market/stop-loss/planned orders) for derivatives.
The account you wish to switch to is not in any account group.
Margin Details
- On the Margin Risk Level page, click "Details" to access the margin calculation details page. This page is divided into the Current Margin Value column, the Margin Calculation Details column, the Risk Matrix column, and the Trading Parameters column. You can view the margin calculation process and the current values of various parameters.
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