RISK MANAGEMENT AND MARGINING
In the system, there is a risk management structure created with two layers which are pre-trade and post-trade risk management. Pre-trade risk management is ruled by PTRM, which is the application of pre-trade risk management. PTRM is a developed risk management application which is integrated with trading and clearing stations to control possible risks arising from the orders submitted to the system and transactions realized, and also to monitor the risks mentioned.Risk of the transactions realized and orders submitted from TW, FixAPI and OUCH protocols can be controlled by PTRM application. Risk controls can be done at different stages; before the system accepts the order (pre-order), after system accepts the order (post-order) and at the transactions time.
Post-trade Risk management in the Market is carried out by Takasbank, clearing house for VIOP, and CCP as well. Trades executed in the Market are subject to portfolio based margining method. Parameters constituting the basis for portfolio based margining calculation shall be determined and announced by Takasbank. Takasbank Central Counter Party Legislation shall be applied regarding risk management and margining method. Takasbank uses BISTECH Margin Method as a portfolio based margining.
Portfolio based margining is calculated taking into consideration the maximum risk through the scenarios generated based on different price and volatility levels with BISTECH Margin Method “Price Scan Range” (PSR) identified in BISTECH Margin Method parameters shows the maximum price change for the underlying security. You can check the margin requirement to take only one position when you don’t have any other position in your portfolio by using PSR. In this case, BISTECH Margin Method will require margin valued 1 PSR for the position you have.
For example, when you don’t have any position in your portfolio in order to take 10 short or 10 long positions for BIST30 Index futures contracts BISTECH Margin Method requires 1,120*10=TRY11,200 as margin according to the table below:
*Table of BISTECH Margin Method Parameters is given as an example above. Current margin requirements are available in “BISTECH Margin Method Risk Parameters Table” on
** Exchange members may require extra margin other than margin requirements determined by Borsa Istanbul and Takasbank as a part of the risk management services.
*** Since BISTECH Margin Method measures correlation across different products through its parameters, margin requirement of your portfolio will differ.