Risk Monitoring (600)

The below table displays the Risk Monitoring or real-time inputs into the X-Margin Credit Evaluation. These metrics are selected from the calculations supported by the X-Margin infrastructure.

X-Margin captures information across the leading CeFI spot, derivatives, and custody venues. Additionally, X-Margin captures DeFi risk across Ethereum, Avalanche, BSC, Polygon, Fantom and 7 other EVM compatible networks. The coverage is constantly expanding, as directed by X-Margin user requests.

Risk Metric	Calculation
Assets	Value of portfolio Assets in USD terms across all venues. Includes bilateral loan collateral and Assets borrowed on DeFi and CeFi venues.
Venue Equity	Value of Equity in USD terms across exchanges. Includes adjustments for Unrealized P&L (UPL), and assets borrowed on Venues.
Liabilities	Sum of all Liabilities across bilateral loans, DeFi, and CeFi activity.
SPAN Max Loss	SPAN (Standard Portfolio Analysis of Risk) is a risk methodology made popular by CME Group. X-Margin shocks positions for a single asset up and down in price and volatility, selects the maximum loss across shock scenarios. The price and vol are shocked 10%. Calculations for each discrete asset (e.g. BTC, ETH) are then summed (i.e., no netting across asset classes).
ABS Delta	Absolute approximated USD Delta. X-Margin converts all assets and derivatives positions (excluding Fiat and stablecoins) assuming a 1:1 correlation. Different asset class positions net out, and X-Margin captures the absolute value of the aggregate.
Gross Leverage	All asset classes and instruments are converted to a USD amount and summed. There are no offsets across asset classes or venues.
Uncoll. Borrow	Loan USD Value subtract Collateral USD value, representing any unsecured credit extended to the trading firm.

The Risk Monitoring Credit Evaluation evaluates ratios of the above metrics. The ratios adequately indicate the real-time creditworthiness of a trading firm, and allow for a uniform comparison methodology.

X-Margin uses bounded logarithmic curves to define the change in a score in relation to a change in the underlying ratio. Practically, the curves anchor the top credit score to metrics that are reasonable according to real market activity. Also, curves allow a more severe decline of the score as certain metrics move closer to what would be deemed as high risk.

The below example curve is for a ratio that has a lower bound 1 and upper bound 5. The slope is set at 0.5, resulting in a larger score impact in a move from 1.0 to 2.0 than from 4.0 to 5.0.