Identifier: C3T2L3 · Revision: 2026-10-26 · Classification: domestic

Decision and objectives

Interpret scan ranges and spread credits without treating them as a complete margin formula. The decision record must connect the exposure, cash dates and implementable contract, rather than stop at a favorable price forecast.

By the end, you can interpret scan ranges and spread credits without treating them as a complete margin formula; calculate a supplied scenario-loss illustration; stress a disappearing portfolio offset.

Prerequisite: C3T2L2; completed Classes 1 and 2 and the Stock Market School foundation or Forex School foundation. All cases below are hypothetical; their prices, costs, rates, dates, contractual assumptions and collateral amounts are teaching inputs, not current offers.

Mechanics

BISTECH margining assesses portfolio scenarios rather than charging an invariant deposit on every contract. A price scan range describes an input move; volatility inputs, intra-commodity spread charges, inter-commodity credits and other components also matter. Takasbank publishes parameters. The linked current parameter table could not be retrieved in this draft, so no live rates or account requirement are asserted.

A calendar spread may offset some risk in a model but still retain basis risk. The clearing model and a broker's customer requirement are separate layers.

Price and return drivers

In the simplified example only, required collateral = largest supplied scenario loss + stated spread charge − allowed credit. This arithmetic explains the direction of changes; it is not a reproduction of the production BISTECH engine. Use current files, complete positions and a member calculation for an actual account.

Worked case

A hypothetical portfolio has scenario losses TRY 8,000, TRY 12,000 and TRY 9,000. A supplied spread charge is TRY 2,000 and allowed cross-product credit TRY 3,000. Illustrative requirement = max(8,000,12,000,9,000) + 2,000 − 3,000 = TRY 11,000. Existing eligible cash TRY 14,000 gives TRY 3,000 headroom. Commission TRY 100 and one-period reserve funding TRY 140 reduce economic resources by TRY 240, though the exact collateral effect depends on which account pays them. Here both are paid externally.

Adverse case

Stress losses to TRY 10,000, TRY 18,000 and TRY 13,000, increase spread charge to TRY 3,000 and remove the credit. New illustrative requirement is TRY 21,000, a TRY 10,000 increase and TRY 7,000 shortfall against posted TRY 14,000. An unchanged net notional does not prevent this jump. Closing only the offsetting leg can increase risk on the surviving leg before any cash withdrawal is possible.

Practical use

Retrieve the dated parameter file and record effective time, product grouping, offsets and collateral rules. Submit the actual portfolio to the member's risk calculation, including options if present. Do not substitute a single notional-times-scan-range estimate for a portfolio amount. Allow for member add-ons, parameter changes, conversion haircuts, commissions and funding.

Reconcile the confirmation, position register and cash statement separately. Costs include the quoted bid/ask spread, brokerage and clearing charges, collateral or principal financing, currency conversion, custody where relevant, and exit or termination charges. A mark is not a fill. Any amount explicitly excluded below remains outside the reported result. Tax is excluded from these teaching cases: an actual comparison requires income year, investor residence and individual/corporate status, contract and acquisition dates, settlement form and effective law. The GIB guide, checked 2026-10-26, covers 2025 individual investment income, so its publication date alone does not settle a 2026 derivative liability.

Decision boundaries

Use model offsets as conditional funding relief, not permanent contractual protection. A hedge can remain economically sensible while its required collateral rises. Defer an implementation if survival depends on an offset that cannot be reproduced or if no reserve exists for its removal.

Practice and references

Exercise: supplied worst loss TRY 16,000, spread charge TRY 2,500, credit TRY 1,500, eligible cash TRY 20,000. Solution: illustrative requirement TRY 17,000 and headroom TRY 3,000. Removing the credit raises requirement to TRY 18,500, leaving TRY 1,500 headroom; it does not create a trading loss by itself.

Takeaway: Stress a disappearing portfolio offset using the actual cash schedule, with every excluded cost and remaining exposure stated.

Reference card: viop-future. Formula: Supplied scenario margin illustration. Glossary: Price scan range, Portfolio offset. Next lesson: C3T2L4. Topic test.

Sources and verification date (2026-10-26):

Shared reference guide