Risk Management

Risk Overview

Under the "Risk Overview" page of "My Portfolio",

My Risk Positions

In this section, you can see your rates and FX risks for all the tokens in USD and local currency. You can also choose the aggregate set up to view the data, which can better highlights specific risks:

• Parallel Move risk: In the PV01 tab, the Contract or Monthly view will be more suitable to show such risk. You can view in USD in order to compare your risks across markets with different tokens.

• Slope risk: The Semi-Annual view in the PV01 tab will highlight the exposure before and after the 6M pivot point

• Curvature risk: You may want to view your PV01 risk with the Quarterly view, to highlight your sensitivity across the 3M and 9M pivot points

• FX risk: In the PV tab, viewing the numbers in USD, and dividing them by 100 will give the you an idea of the $delta per tenor bucket.

More details on the points above are available in the Risk docs, here.

Margin & Liquidation Metrics

Details on the your margin details are available in this section.

The Maintenance Margin is computed using different stress scenarios on the NAV, resulting on a Stressed NAV. Initial Margin is computed as 1.5 times Maintenance Margin (as of now, this factor may change though). These data (StrNAV, IM and MM) are available in the summary subsection on the top left corner.

The Table on the right side shows more granularity on the Maintenance Margin figure. As MM is obtained by stressing the yield curve parameters (parallel move, slope and curvature) and the FX, this table shows the impact breakdown after these stresses have been applied, per wallet token.

Finally, the two tables below highlight the biggest contributors to the Maintenance Margin, by ranking the impacts and displaying the highest (most negative) ones on the left hand side table, while the one on the right ranks the impacts divided by the notional size of the positions.

For additional details on the above, please refer to this page.