Portfolio Margin Parameters

Account Details

Parameter	Contract Variable	All universes	Description
MAX_ACCOUNT_SIZE	`Pmrm2.max_subaccount_size`	100	The maximum number of assets (options, cash, base, perpetuals) a single portfolio margined subaccount can hold. Constrained by compute.
LIQUIDATION_PENALTY	`Pmrm2.liquidation_penalty_bps`	500 bps	Penalty applied when the subaccount is liquidated.
STATIC_RATE	`Pmrm2.static_rate`	0.05	The static interest rate the manager uses where no rate feed applies.

Portfolio Margin Scenarios

These are the scenarios used when computing portfolio margin. All regular scenarios have dampening 1. Entries are of the form (Spot Shock (%), Volatility Shock).

Scenario	BTC	ETH	SOL/XRP	HYPE/ZEC/LIT/PUMP	XAUT	ADA/CC/VVV
1	(+14%, Up)	(+16%, Up)	(+24%, Up)	(+27%, Up)	(+10%, Up)	(+33%, Up)
2	(+10.5%, Up)	(+12%, Up)	(+18%, Up)	(+20.25%, Up)	(+7.5%, Up)	(+24.75%, Up)
3	(+10.5%, Static)	(+12%, Static)	(+18%, Static)	(+20.25%, Static)	(+7.5%, Static)	(+24.75%, Static)
4	(+10.5%, Down)	(+12%, Down)	(+18%, Down)	(+20.25%, Down)	(+7.5%, Down)	(+24.75%, Down)
5	(+7%, Up)	(+8%, Up)	(+12%, Up)	(+13.5%, Up)	(+5%, Up)	(+16.5%, Up)
6	(+7%, Static)	(+8%, Static)	(+12%, Static)	(+13.5%, Static)	(+5%, Static)	(+16.5%, Static)
7	(+7%, Down)	(+8%, Down)	(+12%, Down)	(+13.5%, Down)	(+5%, Down)	(+16.5%, Down)
8	(+3.5%, Up)	(+4%, Up)	(+6%, Up)	(+6.75%, Up)	(+2.5%, Up)	(+8.25%, Up)
9	(+3.5%, Static)	(+4%, Static)	(+6%, Static)	(+6.75%, Static)	(+2.5%, Static)	(+8.25%, Static)
10	(+3.5%, Down)	(+4%, Down)	(+6%, Down)	(+6.75%, Down)	(+2.5%, Down)	(+8.25%, Down)
11	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)	(+0%, Up)
12	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)	(+0%, Static)
13	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)	(+0%, Down)
14	(-3.5%, Up)	(-4%, Up)	(-6%, Up)	(-6.75%, Up)	(-2.5%, Up)	(-8.25%, Up)
15	(-3.5%, Static)	(-4%, Static)	(-6%, Static)	(-6.75%, Static)	(-2.5%, Static)	(-8.25%, Static)
16	(-3.5%, Down)	(-4%, Down)	(-6%, Down)	(-6.75%, Down)	(-2.5%, Down)	(-8.25%, Down)
17	(-7%, Up)	(-8%, Up)	(-12%, Up)	(-13.5%, Up)	(-5%, Up)	(-16.5%, Up)
18	(-7%, Static)	(-8%, Static)	(-12%, Static)	(-13.5%, Static)	(-5%, Static)	(-16.5%, Static)
19	(-7%, Down)	(-8%, Down)	(-12%, Down)	(-13.5%, Down)	(-5%, Down)	(-16.5%, Down)
20	(-10.5%, Up)	(-12%, Up)	(-18%, Up)	(-20.25%, Up)	(-7.5%, Up)	(-24.75%, Up)
21	(-10.5%, Static)	(-12%, Static)	(-18%, Static)	(-20.25%, Static)	(-7.5%, Static)	(-24.75%, Static)
22	(-10.5%, Down)	(-12%, Down)	(-18%, Down)	(-20.25%, Down)	(-7.5%, Down)	(-24.75%, Down)
23	(-14%, Up)	(-16%, Up)	(-24%, Up)	(-27%, Up)	(-10%, Up)	(-33%, Up)

[New!] Skew Rails

V2’s PM2 evaluated two skew scenarios (one linear, one abs). V3 evaluates four — each skew shape in both directions — and aggregates them per expiry rather than per portfolio.

Rail	Contract Variable	Shape	Direction
LINEAR_CW	`margin_scenarios[].vol_shock = Linear`	Linear twist of the smile	Clockwise (+1)
LINEAR_CCW	`margin_scenarios[].vol_shock = Linear`	Linear twist of the smile	Counter-clockwise (-1)
ABS_UP	`margin_scenarios[].vol_shock = Abs`	Symmetric wing lift	Up (+1)
ABS_DOWN	`margin_scenarios[].vol_shock = Abs`	Symmetric wing lift	Down (-1)

All four are evaluated at zero spot shock. The skew loss is decoupled across expiries: for each expiry the worst rail is taken independently, and only the negative per-expiry results are summed:

Formula

Skew Loss = dampening * sum_over_expiries( min(0, min_over_rails( expiry PnL at that rail )) )

Tail Scenarios

These are the tail scenarios, which apply large spot shocks with non-trivial dampening. All are evaluated with volatility shocked up. Pairs are of the form (spot shock (%), dampening factor).

Scenario	BTC	ETH	SOL	HYPE	XRP	ZEC/LIT/PUMP	XAUT	ADA/CC/VVV
1	(-66%, 0.122624)	(-66%, 0.14)	(-66%, 0.272711)	(-66%, 0.3273)	(-66%, 0.290933)	(-66%, 0.327273)	(-66%, 0.091667)	(-66%, 0.4)
2	(-33%, 0.245)	(-33%, 0.28)	(-33%, 0.545422)	(-33%, 0.6545)	(-33%, 0.581778)	N/A (captured in vanilla scenario)	(-33%, 0.181667)	N/A (captured in vanilla scenario)
3	(+50%, 0.161741)	(+50%, 0.1848)	(+50%, 0.36)	(+50%, 0.432)	(+50%, 0.384)	(+50%, 0.432)	(+50%, 0.12)	(+50%, 0.528)
4	(+100%, 0.080871)	(+100%, 0.0924)	(+100%, 0.18)	(+100%, 0.216)	(+100%, 0.192)	(+100%, 0.216)	(+100%, 0.06)	(+100%, 0.264)
5	(+200%, 0.020218)	(+200%, 0.0231)	(+200%, 0.045022)	(+200%, 0.05065)	(+200%, 0.045022)	(+200%, 0.054)	(+200%, 0.015)	(+200%, 0.132)
6	(+300%, 0.008976)	(+300%, 0.010267)	(+300%, 0.02)	(+300%, 0.024)	(+300%, 0.021333)	(+300%, 0.024)	(+300%, 0.006667)	(+300%, 0.088)
7	(+400%, 0.005044)	(+400%, 0.005775)	(+400%, 0.011244)	(+400%, 0.0135)	(+400%, 0.012)	(+400%, 0.0135)	(+400%, 0.00375)	(+400%, 0.066)
8	(+500%, 0.003228)	(+500%, 0.003696)	(+500%, 0.0072)	(+500%, 0.00864)	(+500%, 0.00768)	(+500%, 0.00864)	(+500%, 0.0024)	(+500%, 0.0528)

Volatility Shocks

These parameters govern the shocked IVs used when computing portfolio margin.

Parameter	Contract Variable	BTC/ETH	SOL/HYPE/XRP	ZEC/LIT/PUMP	XAUT	ADA/CC/VVV	Range	Description
VOL_RANGE (up)	`vol_shock_params.vol_range_up`	0.40	0.50	0.55	0.30	0.60	[0.01, 2.0]	Multiplicative scaling of the implied volatility when considering an increase in volatility.
VOL_RANGE (down)	`vol_shock_params.vol_range_down`	0.25	0.30	0.30	0.15	0.30	[0.01, 1.0]	Multiplicative scaling of the implied volatility when considering a decrease in volatility.
VEGA_POWER (under 30 DTE)	`vol_shock_params.short_term_power`	0.3	0.3	0.3	0.3	0.3	[0.0, 0.5]	A power scaling of the multiplicative volatility shock, for short dated expiries.
VEGA_POWER (over 30 DTE)	`vol_shock_params.long_term_power`	0.13	0.13	0.13	0.13	0.13	[0.0, 0.5]	As above, for long dated expiries.
DTE_FLOOR	`vol_shock_params.dte_floor_sec`	1 day	1 day	1 day	1 day	1 day	[0.01, 100] days	A floor on the time-to-expiry used when computing the volatility shock. Avoids divergence from dividing by near-zero values.
MIN_VOL_EVAL_SHOCKED	`vol_shock_params.min_vol_up_shock`	0.50	0.60	0.60	0.20	0.60	[0, 20]	Floor on the evaluated (shocked) volatility in the vol-up scenarios.

Contingency Margin

These parameters govern the contingency margin accounting for possibilities not encoded in the spot and IV shocks.

Parameter	Contract Variable	BTC/ETH	SOL/XAUT	HYPE	XRP	ZEC/CC/LIT/PUMP	ADA/VVV	Range	Description
PEG_FACTOR	`other_cont.peg_loss_factor`	4.0	4.0	4.0	4.0	4.0	4.0	[0.0, 20.0]	Increases IM_FACTOR when USDC depegs beyond a threshold value.
INITIAL_PERP_FACTOR	`other_cont.im_perp_percent`	0.015	0.0175	0.0175	0.02	0.027	0.024	[0.0, 1.0]	Perp contingency for initial margin: a small percentage of the spot price per perpetual contract.
MAINTENANCE_PERP_FACTOR	`other_cont.mm_perp_percent`	0.0075	0.01	0.01	0.01	0.015	0.015	[0.0, 1.0]	As above, for maintenance margin.
IM_OPTION_FACTOR	`other_cont.im_option_percent`	0.0025	0.004	0.005	0.0075	0.0102	0.0072	[0.0, 1.0]	A percentage of the spot price added per net short contract per strike to the asset contingency. For SOL, an extra 0.4% of spot per naked short option.
MM_OPTION_FACTOR	`other_cont.mm_option_percent`	0.0015	0.0025	0.003	0.0045	0.006	0.0042	[0.0, 1.0]	As above, for maintenance margin.
IM_FUTURES_FACTOR	`other_cont.im_future_percent`	0	0	0	0	0	0	[0.0, 1.0]	Dated futures are not listed at V3 launch, so the futures contingency is zero in every market.
MM_FUTURES_FACTOR	`other_cont.mm_future_percent`	0	0	0	0	0	0	[0.0, 1.0]	As above, for maintenance margin.

Discounting

These parameters govern how long and short sub-portfolios are discounted.

Parameter	Contract Variable	All markets	Range	Description
shortRateMultScale	`margin_params.short_rate_mult_scale`	0.0	[0.0, 10.0]	Multiplicative scaling of the risk free rate used when discounting a short sub-portfolio.
shortRateAddScale	`margin_params.short_rate_add_scale`	0.10	[0.0, 10.0]	Additive scaling of the risk free rate used when discounting a short sub-portfolio.
longRateMultScale	`margin_params.long_rate_mult_scale`	0.0	[0.0, 10.0]	Multiplicative scaling of the risk free rate used when discounting a long sub-portfolio.
longRateAddScale	`margin_params.long_rate_add_scale`	0.10	[0.0, 10.0]	Additive scaling of the risk free rate used when discounting a long sub-portfolio.
STATIC_SCALE_POS	`margin_params.long_base_static_discount`	0.98	[0.0, 1.1]	A flat scaling of the sub-portfolio’s shocked mark value (applies only if positive).
STATIC_SCALE_NEG	`margin_params.short_base_static_discount`	1.02	[0.9, 10.0]	A flat scaling of the sub-portfolio’s shocked mark value (applies only if negative).

Forward Contingency

These parameters govern the forward contingency, which accounts for forward basis movements against the trader.

Parameter	Contract Variable	BTC/ETH/XAUT	SOL/HYPE	XRP/ZEC/ADA/CC/LIT/PUMP/VVV	Range	Description
ADD_FACTOR	`basis_cont.basis_cont_add_factor`	0.5	0.25	0.35	[0, 5.0]	Additive scaling factor when computing the basis contingency.
MULT_FACTOR	`basis_cont.basis_cont_mult_factor`	2.0	2.0	2.0	[0, 5.0]	Multiplicative scaling factor when computing the basis contingency.

The two spot scenarios used for the basis contingency are the smallest magnitude spot-up scenario and the smallest magnitude spot-down scenario, both with IV static:

Market	UP_SCENARIO_MOVE (`basis_cont.scenario_spot_up`)	DOWN_SCENARIO_MOVE (`basis_cont.scenario_spot_down`)
BTC	1.035	0.965
ETH	1.04	0.96
SOL / XRP	1.06	0.94
HYPE / ZEC / LIT / PUMP	1.0675	0.9325
XAUT	1.025	0.975
ADA / CC / VVV	1.0825	0.9175

Initial Margin and Oracle Contingency

These govern how initial margin is defined, and the circumstances where it increases due to stablecoin depegs or low data confidence.

Parameter	Contract Variable	All markets	Range	Description
IM_FACTOR	`margin_params.im_factor`	1.0	[0.5, 10.0]	Scales the maxLoss and contingencies when computing initial margin.
MM_FACTOR	`margin_params.mm_factor`	0.80	[0.5, 10.0]	As above, for maintenance margin.
USDC_THRESHOLD	`other_cont.peg_loss_threshold`	0.99	[0.0, 1.05]	Value of USDC beneath which the depeg contingency comes into effect.
CONFIDENCE_THRESHOLD	`other_cont.conf_threshold`	0.55	[0.0, 1.0]	Value of the confidence beneath which the data is considered low confidence, attracting additional initial margin.
CONFIDENCE_SCALE	`other_cont.conf_margin`	0.4	[0, 2.0]	Percentage of the spot price added when considering the oracle contingency.

Skew Shock Parameters

Parameter	Contract Variable	All markets	Range	Description
linearBaseCap	`skew_params.linear_base_cap`	0.25	≤ 10	Maximum multiple of the volatility for the linear scenario.
absBaseCap	`skew_params.abs_base_cap`	0.25	≤ 10	As above, for the abs scenario.
linearCBase	`skew_params.linear_c_base`	-0.1	≥ -10	How much to lower the maximum multiple for longer dated expiries.
absCBase	`skew_params.abs_c_base`	-0.1	≥ -10	As above, for the abs scenario.
minKStar	`skew_params.min_k_star`	0.01	≥ 0	Minimum width before flattening the vol increase for the skew scenarios.
widthScale	`skew_params.width_scale`	4.0	≤ 10	How many standard deviations (on ATM vol) after which the IV increase is capped.
volParameterStatic	`skew_params.vol_param_static`	0.60	[0, 10]	Estimate of IV used to approximate Kstar.
volParameterScale	`skew_params.vol_param_scale`	0.0	[-20, 20]	Corrects vol for longer timescales.
SKEW_WEIGHTING_LINEAR	—	1.0	[0, 10]	Weight applied to the linear rails when aggregating the skew loss.
SKEW_WEIGHTING_ABS	—	1.0	[0, 10]	Weight applied to the abs rails when aggregating the skew loss.

Risk Cancellation

Risk cancelling collateral has its spot exposure shocked together with the universe’s derivatives, rather than simply being haircut. A token is risk cancelling only in the universe that hosts its currency’s derivatives; everywhere else it is plain collateral at a wider haircut.

Universe	Risk cancelling collateral
Prime	(w)BTC, cbBTC, LBTC (into BTC); (w)ETH, wstETH, weETH (into ETH)
Hype	HYPE, kHYPE (into HYPE)
Alt	(w)SOL, jitoSOL (into SOL); fXRP (into XRP); cbADA (into ADA)
RWA	None — XAUT is plain collateral in V3

Collateral Haircuts

PM expresses collateral credit as a deduction: a long balance is credited value x (1 - MM_LONG) towards maintenance margin and value x (1 - IM_LONG) towards initial margin. Both numbers below are totals, not increments. Cells are IM haircut / MM haircut. A dash means the universe does not accept that token, which is a 100% haircut.

Asset	Prime	Hype	Alt	RWA
BTC	0.14 / 0.126 (RC)	0.3025 / 0.25	0.3025 / 0.25	0.3025 / 0.25
cbBTC	0.14 / 0.126 (RC)	0.3025 / 0.25	0.3025 / 0.25	0.3025 / 0.25
LBTC	0.225 / 0.186 (RC)	0.405 / 0.3	0.405 / 0.3	0.405 / 0.3
ETH	0.07 / 0.06 (RC)	0.25 / 0.2	0.25 / 0.2	0.25 / 0.2
wstETH	0.1 / 0.086 (RC)	0.28 / 0.2	0.28 / 0.2	0.28 / 0.2
weETH	0.235 / 0.156 (RC)	0.454 / 0.3	0.454 / 0.3	0.454 / 0.3
HYPE	—	0.23 / 0.1 (RC)	—	—
kHYPE	—	0.23 / 0.1 (RC)	—	—
SOL	—	—	0.16 / 0.11 (RC)	—
jitoSOL	—	—	0.21 / 0.11 (RC)	—
fXRP	—	—	0.2 / 0.18 (RC)	—
cbADA	—	—	0.13 / 0.1 (RC)	—
XAUT	—	—	—	0.07 / 0.05
fxUSDC	0.009975 / 0.005	0.009975 / 0.005	0.009975 / 0.005	0.009975 / 0.005
USDT	0.04058 / 0.02	0.04058 / 0.02	0.04058 / 0.02	0.04058 / 0.02
USDe	0.20015 / 0.15	0.20015 / 0.15	0.20015 / 0.15	0.20015 / 0.15
sUSDe	0.3 / 0.2	0.3 / 0.2	0.3 / 0.2	0.3 / 0.2
DRV	0.901 / 0.85	0.901 / 0.85	0.901 / 0.85	0.901 / 0.85

(RC) marks a risk cancelling row. Every non-marked row is plain collateral.

Product Details

Managers

Oracles and Liquidations

Parameters

Portfolio Margin Parameters

Account Details

Portfolio Margin Scenarios

[New!] Skew Rails

Tail Scenarios

Volatility Shocks

Contingency Margin

Discounting

Forward Contingency

Initial Margin and Oracle Contingency

Skew Shock Parameters

Risk Cancellation

Collateral Haircuts

​Account Details

​Portfolio Margin Scenarios

​[New!] Skew Rails

​Tail Scenarios

​Volatility Shocks

​Contingency Margin

​Discounting

​Forward Contingency

​Initial Margin and Oracle Contingency

​Skew Shock Parameters

​Risk Cancellation

​Collateral Haircuts

Account Details

Portfolio Margin Scenarios

[New!] Skew Rails

Tail Scenarios

Volatility Shocks

Contingency Margin

Discounting

Forward Contingency

Initial Margin and Oracle Contingency

Skew Shock Parameters

Risk Cancellation

Collateral Haircuts