Maintenance Margin (CVA) Calculations

Provided by Rasa Capital

CVA and Max Leverage:

Note: contract parameters — maintenance margin and maxLeverage — are set by Solvers based on their own risk assessment.

The Rasa Solver has the following (basic) settings.

1) logic is as follows

• CVA is the overall maintenance margin ( in case of liquidation, part goes to liquidators as incentives, part to the non-liquidated party who they needs to unwind their positions )

• CVA is a fixed proportion of initial notional:

cn = CVA/Notional=CVA/(deposit*leverage)

$CVA = cn * notional (with cn fixed per market)

cn depends on the volatility and risk of the coin.

• When measured as a fraction of collateral, CVA increases with leverage:

cd = CVA/deposit = cn * leverage

• In order to avoid excessive trader risk, leverage is capped so that maintenance margin (CVA) does not exceed 60% of deposit.

• The initial CVA in dollar terms remains unchanged as long as the position in unchanged

2) parameters are as follows

• cn=CVA/notional starts from just above to 1% (1.08% for BTC and ETH), is 1.3-1.5% for blue chips (most alt and layer 2 coins), 4%-5% for exotic coins (three very risky coins require even more margin)

• maxLeverage (where cd=CVA/deposit = 60%) is 60x for ETH and BTC, 40-50x for alts and layer 2 (ARB, OP), and down to 20-25 for exotic coins (3 coins have lower leverage)

Overall, each Market has a different parameters depending on its volatility and risk, with max leverage falling as risk increases, see full list in Max Leverage.

CVA and maxLeverage Formulas:

maxLeverage is (expect for 3 coins) is in the 20-60 range

Example:

Consider a scenario where User A desires to engage in a trade with a leverage of buying a 10,000 USDT 60x BTC Long (the maximum leverage for BTC is set at 60x).

1. User A navigates to the SYMMIO frontend.

2. Upon arrival, User A expresses an intent:

Tade Size: 10,000 USDT 
Leverage: 60x, 
Notional value: 600,000 USDT. 
Price: $34,676.1 per BTC, 
Size: 17.31 BTC.

1. The frontend then responds with the Solvers required Maintenance Margin of:

CVA: 6499.84 USDT

The CVA (Credit Value Adjustment) for this trade is calculated as:

$$CVA=10,000×0.60 = 6000USDT$$

Should the unrealized profit and loss (uPnL) on his BTC position reach -$4000, User A will automatically be moved into the Liquidation Process by Liquidators. This example illustrates the interplay of leverage, CVA, and the liquidation threshold within the Rasa - Demo Solver environment through a SYMMIO frontend.

Integration with API endpoints

Solver endpoints provide real-time parameters for collateral requirements via a REST API. See Rasa's endpoints here.

Endpoint Structure

GET /get_locked_params/{symbol}?leverage={leverage}

Example:

https://base-hedger82.rasa.capital/get_locked_params/BTCUSDT?leverage=60

The endpoint returns the following response:

{
  "cva": "40",       // CVA (% of deposit)
  "lf": "20",        // Liquidation Fee (% of deposit)
  "leverage": "60.0", // Allowed leverage
  "partyAmm": "40",  // Party A’s initial margin (% of deposit)
  "partyBmm": "0"    // Party B’s initial margin (0 for single-sided)
}

---

2. Deriving cn (CVA/Notional Ratio)

cn represents the total Maintenance Margin (CVA + LF) as a percentage of the notional value. The cn is ultimately defined by the solver. This should reflect the risk of the asset.

Formula

$$cn = \frac{\text{cva} + \text{lf}}{100 \times \text{leverage}}$$

Example Calculation

Using the API response for BTCUSDT:

{
  "cva": "40",       // CVA (% of deposit)
  "lf": "20",        // Liquidation Fee (% of deposit)
  "leverage": "60.0", // Allowed leverage
  "partyAmm": "40",  // Party A’s initial margin (% of deposit)
  "partyBmm": "0"    // Party B’s initial margin (0 for single-sided)
}

• cva = 40%, lf = 20%, leverage = 60x

• Deposit = 100 USDT (for illustration).

$$cn = \frac{40 + 20}{100 \times 60} = \frac{60}{6,000} = 0.01$$

---

3. Calculating Maintenance Margin

The Maintenance Margin can derived from cn and the notional value.

Formula

$$\text{Maintenance Margin} = cn \times \text{Notional}$$

Example

• Notional = Deposit × Leverage = 100USDT × 60 = 6,000 USDT

• cn = 1% (from above).

$$\text{Maintenance Margin} = 0.01 \times 6,000 = 60 \text{USDT}$$

---

4. Calculating Max Leverage

The maximum allowed leverage (maxLeverage) is determined by the CVA/Deposit cap (cd ≤ 60%) and cn.

With higher cn the maxLeverage must decrease proportionally

Formula

$$\text{maxLeverage} = \frac{0.6}{cn}$$

Example

For BTCUSDT with cn = 1%:

$$\text{maxLeverage} = \frac{0.6}{0.01} = 60x$$

Example Scenarios:

Asset Type	cn	Max Leverage
BTC/ETH	1%	( 0.6 / 0.01 = 60x )
Blue-Chip Alts	1.5%	( 0.6 / 0.015 = 40x )
Exotic Coins	4%	( 0.6 / 0.04 = 15x )

The contract-symbols endpoint should return this maxLeverage as a parameter in the endpoint.

Example for Rasa BTCUSDT:

{
      "price_precision": 1,
      "quantity_precision": 3,
      "name": "BTCUSDT",
      "symbol": "BTC",
      "asset": "USDT",
      "symbol_id": 1,
      "is_valid": true,
      "min_acceptable_quote_value": 120,
      "min_acceptable_portion_lf": "0.003000000000000000",
      "trading_fee": "0.000600000000000000",
      "max_leverage": 60,
      "max_notional_value": 2100000,
      "rfq_allowed": true,
      "hedger_fee_open": "0.0006",
      "hedger_fee_close": "0.0006",
      "max_funding_rate": "200",
      "min_notional_value": "100",
      "max_quantity": "1000",
      "lot_size": "0"
    },