Margin

The margin fractions define the leverage permitted by Nord. Each market has different base fractions based on factors such as the risk and volatility of the underlying asset.

Margin fractions

Margin fraction $\text{MF}$

Calculated per user as:

$$\text{MF}_{user} = \frac{\text{AV}}{\sum_{markets} \text{PN}}$$

Open margin fraction $\text{OMF}$

$$\text{OMF}_{user} = \frac{\text{AV}}{\sum_{markets} \text{PON}}$$

OMF is the ratio between the account's available collateral value and its possible exposure after open orders fill. The numerator includes unsettled funding and positive unrealized PnL, so unrealized gains can margin new orders.

Withdrawals and transfers do not use OMF. They use the stricter $\min\{\text{AV}, \text{TV}\}$ so that unrealized gains cannot leave the account. See Withdrawals and transfers.

Initial margin fraction $\text{IMF}$

Defines the initial margin to open a position or borrow assets. After opening a position or borrowing an asset, the account must have $\text{OMF}_{user} > \text{IMF}_{user}$. Each market or asset has a base IMF:

$$\begin{align*} \text{IMF}_\text{base} &= \frac{1}{\text{max leverage}} & (\text{perp}) \\ \text{IMF}_\text{base} &= \frac{1.1}{\text{weight}_\text{base token}} - 1 & (\text{spot}) \end{align*}$$

where

• $\text{max leverage}$ is the maximum leverage multiplier for a specific market. Markets are configured by their IMF, so a market's maximum leverage is $1 / \text{IMF}_\text{base}$.
• $\text{weight}$ is the weight of the spot market's base token.

The account's IMF is the average of the base IMFs, weighted by position open notional:

$$\text{IMF}_{user} = \frac{\sum \text{PON} \cdot \text{IMF}_\text{base}}{\sum \text{PON}}$$

For tokens, $\text{IMF}_\text{base}$ applies only if the token is borrowable.

Because OMF and IMF have the same denominator, the condition $\text{OMF} > \text{IMF}$ can be simplified to:

$$\text{AV} > \sum \text{PON} \cdot \text{IMF}_\text{base}$$

Cancel margin fraction $CMF$

The $OMF$ below which open orders that extend the user's current position are canceled. Defined similarly to IMF.

$$\begin{align*} \text{CMF}_\text{base} &= \frac{5}{8} \text{IMF}_\text{base} & (\text{perp}) \\ \text{CMF}_\text{base} &= \text{IMF}_\text{base} & (\text{spot}) \end{align*}$$ $$\text{CMF}_{user} = \frac{\sum \text{PON} \cdot \text{CMF}_\text{base}}{\sum \text{PON}}$$

Maintenance margin fraction $MMF$

The MF threshold below which the user's positions and borrows become eligible for liquidation.

$$\begin{align*} \text{MMF}_\text{base} &= \frac{1}{2} \text{IMF}_\text{base} & (\text{perp}) \\ \text{MMF}_\text{base} &= \frac{1.03}{\text{weight}} - 1 & (\text{spot}) \end{align*}$$ $$\text{MMF}_{user} = \frac{\sum \text{PON} \cdot \text{MMF}_\text{base}}{\sum \text{PON}}$$

Swipe to see the full diagram

Perpetual base fractions, bars to scale. The 10x column is illustrative. User fractions are PON-weighted averages of the base fractions; spot markets use the spot formulas above.

Withdrawals and transfers

A withdrawal or transfer out of an account requires $\text{OMF} \ge \text{IMF}$ beforehand. Afterwards, the account must not be bankrupt, its USDC balance must not be negative, and, if it still has positions or open orders:

• $\min\{\text{AV}, \text{TV}\} > \sum \text{PON} \cdot \text{CMF}_\text{base}$, and
• $\text{AV} \ge \max\left\{\sum \text{PON} \cdot \text{IMF}_\text{base}, \frac{1}{10}\sum \text{PN}\right\}$, which caps leverage after a withdrawal at 10x.

Because $\text{TV}$ excludes unrealized PnL, unrealized gains cannot be withdrawn or transferred until they are realized. These limits are likely to be relaxed in the future.

Price bands

Nord rejects perpetual order requests with a limit price outside a configured band around the index price. With band $B$, the lowest permitted price is $p_\text{low index} \cdot (1 - B)$ and the highest permitted price is $p_\text{high index} \cdot (1 + B)$. Currently, $B = 0.2$.