Abstract

After the 2008 global financial crisis, the United States and the European Union have tended to revise the basic principles of regulation that have been adopted since a century and the traditions of the market, especially the futures markets. The aim of this study is to examine the central counterparty service (CCP), which was implemented in 2013 as a significant reflection of this trend in Turkey and implemented by Takasbank, in comparison with the Brazilian example: Takasbank - SPAN-like BISTECH Margin Method and BM & FBOVESPA Close Out Risk Evaluation (CORE) margin requirements obtained by methodologies. SPAN steps were applied to a hypothetical portfolio consisting of US Dollar and XU030 index based asset and option contracts traded in VIOP within the scope of working method and margin data of the portfolio were obtained. The results of the SPAN calculation show the collateral amount required to be deposited by the VIOP investors in the framework of the market procedures. Intermediary institutions and banks offer the same results to Takasbank as their web or mobile based applications, and the SPAN algorithm is often complex for the investor. In this respect, the study is aimed to show where the calculation starts and with which data and parameters are used, and aims to research at the basic concepts embedded in the market procedures, together with the other phenomena that show the contribution of CCP service to systemic risk.

Key words: Central Counterparty, Margin Requirement, Risk Management, CORE Methodology. JEL CODES: G20, G32, G33.

Article Language: EnglishTurkish