Portfolio Margin

Portfolio Margin allows users to trade multiple pools using shared collateral, improving capital efficiency while maintaining safety.

Core Concept

• Collateral from all eligible assets is pooled together

• Discount factors are applied to each provided asset

• Exposures across positions and pools are netted by the Risk Engine

• Margin is based on DV01-weighted exposure, not just notional size

This allows users to take multiple positions without locking excessive collateral for each individually.

Collateral Valuation

The Risk Engine dynamically values assets in the portfolio:

• Cash stables: 1 USD with depeg guards

• Yield-bearing stables: converted to underlying assets × price

• LSTs: shares × base asset exchange rate × base asset to USD price

• Lending protocol tokens: balance × index × underlying price

• RWAs: NAV per share

• Pendle tokens: PT via oracle TWAP or discounted NAV; YT via realizable cash only

Collateral is continuously updated to reflect market changes and risk factors.

Open Orders & Margin

• Open orders block collateral based on worst-case exposure, one side at a time

• Netting across the portfolio allows less collateral to be blocked than in isolated mode

• Users can safely manage multiple trades and positions without over-collateralizing

Leverage & Efficiency

• Portfolio Margin enables higher effective leverage than isolated mode for the same collateral

• Exposure to correlated or offsetting positions can reduce collateral requirements

• Ideal for users managing diverse fixed-rate or swap positions across assets

Key Takeaways

• Collateral is shared across positions

• Risk is managed portfolio-wide using DV01

• Open orders block only necessary collateral for the worst-case side

• Supports capital-efficient multi-position strategies