Portfolio Margin Improvements for stETH and Cross-Collateral Haircuts

Deribit is introducing a set of updates to Portfolio Margin and cross-collateral haircuts aimed at improving capital efficiency for traders, while maintaining a conservative risk framework.

These changes primarily benefit users holding stETH, as well as traders using other assets with reduced cross-collateral haircuts.

The changes detailed in this post are planned to come into effect on the 13th of January 2026 after the scheduled maintenance.

stETH Portfolio Margin Improvements

What’s Changing

We are updating how stETH is treated within the Portfolio Margin framework:

• stETH is now grouped within ETH’s bucket in the Extended Risk Matrix
• Cross-collateral haircut for stETH reduced from 15% to 7.5%
• stETH holdings can now offset ETH derivative positions, subject to the haircut

Previously, stETH was isolated in its own bucket, preventing effective offsetting against ETH positions and resulting in conservative margin requirements even for hedged portfolios.

Why This Matters

Under the previous methodology:

• ETH positions could not be offset by stETH holdings
• Users were charged both:
  • Worst-case ETH risk
  • A separate stETH decoupling shock
• The haircut impact was already reflected in Effective Equity Margin

This resulted in material capital inefficiencies for otherwise hedged portfolios.

New Margin Behavior (stETH)

With the updated methodology:

• stETH can now hedge ETH risk directly
• The separate stETH decoupling bucket is removed
• Margin requirements reflect:
  • ETH price risk
  • A 7.5% haircut as protection against potential stETH depeg

Even in fully hedged scenarios, Initial Margin will be charged and remains as a guard against stETH–ETH divergence.

Note that these changes will only have an effect on cross portfolio margin (X:PM) accounts, and not on segregated portfolio margin (S:PM) accounts, because in S:PM accounts only the settlement currency for an instrument can be used a collateral.

Example Impact

The following example shows the impact for a user holding 1 stETH, and 1 ETH, while being short 2 ETH worth of perpetuals:

• Initial Margin drops from 23.50% to 3.76%
• Worst Case Scenario charge reduces from ~$700 to ~$1, acknowledging the hedge
• Decoupling Shock charge reduces from ~$690 to $0
• Overall IM reduction of approximately 84%

Cross-Collateral Haircut Updates

In addition to the stETH changes, we are adjusting haircuts across several assets to better reflect observed risk and liquidity conditions.

Haircut Reductions

These reductions lower the margin charged when these assets are used as collateral, improving overall capital efficiency.

Haircut Increases

These changes align haircuts more closely with observed stress behavior.

Eligibility Update

• BNB is no longer eligible as:
  • Cross-collateral
  • Offset collateral

No Changes

• BTC, ETH, USDC: unchanged
• XRP: remains offset-only

Summary

The discussed updates:

• Significantly reduce margin requirements for stETH-based strategies
• Improve capital efficiency for traders using SOL, USDe, and other affected assets
• Maintain conservative protection against depeg and correlation risks
• Do not increase margin requirements for any user as a result of the stETH changes

As always, Deribit continues to evolve its risk framework to reflect market structure, liquidity, and real trading behavior.

For more information about the different types of margin accounts available at Deribit, see the margin section of the knowledge base.