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Portfolio Margin Offsets for stETH and Cross-Collateral Haircuts

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Summary

The document describes planned changes to portfolio margin treatment and collateral haircuts. In cross portfolio margin accounts, stETH is placed in ETH’s risk bucket and may offset ETH derivative exposure, with a reduced haircut to account for possible divergence between stETH and ETH. The prior setup separated stETH risk, limiting offsets and adding a distinct decoupling charge. An example with stETH and ETH holdings against short ETH perpetuals shows a substantial reduction in initial margin under the revised method.

The article also lists haircut reductions for several collateral assets and increases for PAXG in cross portfolio margin and USDT in cross simple margin. BNB loses cross-collateral offset eligibility, while BTC, ETH, and USDC are unchanged. These adjustments are exchange-specific risk parameters, not a general margin model or evidence of lower market risk. The stETH offset changes apply to cross portfolio margin accounts; segregated accounts cannot use collateral in the same way. Initial margin remains to protect against a stETH depeg, even when positions are hedged.

Key ideas

  • Grouping stETH with ETH allows stETH holdings to offset ETH derivative risk in cross portfolio margin accounts.
  • The lower stETH haircut reduces collateral deductions while retaining protection against stETH–ETH divergence.
  • The provided example shows lower initial margin for a portfolio holding stETH and ETH against short ETH perpetuals.
  • Haircut changes vary by asset and account type, and BNB loses offset collateral eligibility.
  • Margin treatment is specific to the exchange’s framework and does not eliminate depeg or liquidity risk.

Tags

CryptoRisk managementPosition sizingPerpetual futures

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.