Position Risks (IRS)

XCCY supports multiple margin frameworks designed for different trading styles and risk tolerances. Margin mode determines eligible collateral, discount factors, liquidation rules, and maximum leverage. Users choose the mode per account.

Isolated Margin Mode

Isolated mode is designed for pure rate exposure with maximum leverage and strictly constrained risk.

Core Rules:

  • Only the underlying asset of the pool may be posted as collateral.

    • Example: aETH pool → only aETH collateral; vUSDC pool → only vUSDC collateral.

    • Example: aETH pool → only ETH collateral; vUSDC pool → only USDC collateral

  • Each position is risk-managed independently.

  • No cross-pool or cross-asset netting

  • Liquidations occur per-pool, not per-account

Discount Factors:

  • Coin-settled pools: 100%

  • USDC-settled pools: 99%, accounting for settlement and compounding differences

Leverage & Risk Profile:

  • Supports ultra-high leverage (500x–1000x effective)

  • Maximum capital efficiency for professional traders

  • Hard liquidation boundaries, no contagion across positions

Portfolio Margin Mode

Portfolio margin allows cross-collateralisation across all eligible assets and pools.

Core Rules:

  • Users may trade any pool on the platform

  • Collateral is a merged margin portfolio

  • Discount factors remain asset-specific

  • Risk offsets and netting are managed by the Risk Engine

Valuation:

  • Cash stables are priced at 1 USD, with depeg guards for extreme deviations

  • Yield-bearing stables are valued using vault conversion to underlying assets

  • LSTs are valued based on exchange rate to base asset & baset asset to USD price

  • Lending protocol tokens (Aave, Fluid, Morpho) are valued using balance, index, and underlying price

  • Real-world assets are valued based on NAV per share in USD

  • Pendle PTs use the oracle TWAP or discounted NAV; YTs are valued as realizable cash only

Portfolio margin allows positions to share collateral across pools, improving capital efficiency and liquidation stability.

X-Mode (Clustered Portfolio Margin)

X-Mode is an enhanced portfolio margin mode for highly correlated assets.

How It Works:

  • Assets are grouped into correlation clusters

  • Assets within a cluster receive higher effective collateral and lower margin requirements

Benefits:

  • Maximum collateral utilisation

  • Lower liquidation probability

  • Higher leverage with controlled systemic risk

X-Mode is designed for institutional portfolios and advanced yield strategies with structurally correlated assets.

PreviousVanilla Swap (IRS)NextFee Structure (IRS)

Last updated