Portfolio Margin

Portfolio margin is a collateral model that calculates the requirement for an entire account at once, by stress-testing the whole book against a grid of hypothetical price and volatility moves and charging the worst outcome, instead of adding up an independent requirement for every position. Positions that offset each other therefore cost far less to hold: a long spot position hedged with a short perpetual, or a spread between two correlated contracts, may need a fraction of what the same two legs would demand under an isolated or cross model. That efficiency is the entire point, and it is also the risk. The saving exists only because the model assumes the two legs keep moving against each other, and the moments that break a portfolio-margined account are exactly the moments that assumption fails — a correlated hedge that decouples, a token that gaps while its supposed proxy does not. Because the requirement is computed across everything, a single position can also raise the margin on unrelated ones, and a liquidation is an account-level event rather than a position-level one. Venues typically gate the mode behind an equity minimum and a knowledge check, and reserve the right to move an account back to a simpler model at short notice. Read the venue's published risk grid before switching: the assumptions inside it are the ones you are borrowing against.