DTCC’s FICC introduces publicly accessible Value at Risk (VaR) calculator, increasing transparency for market participants

New FICC tool calculates the Value at Risk for a given portfolio and provides market participants with further insight into market value, positions and risk profiles in advance of the SEC’s expanded US Treasury Clearing Rule

New York/London/Hong Kong/Singapore/Sydney, July 10, 2024 ‒ The Depository Trust & Clearing Corporation (DTCC), the leading post-trade market infrastructure for the global financial services industry, today announced the launch of a new publicly available Value at Risk (VaR) calculator. The calculator provides market participants with the ability to evaluate potential margin and clearing fund obligations associated with membership in the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Corporation (FICC).

With U.S. Treasury clearing activity processed through FICC expected to increase by $4 trillion per day following implementation of the SEC’s expanded clearing mandate in 2025 and 2026, DTCC’s VaR calculator will be an important tool for firms to accurately determine VaR and potential margin obligations for each simulated portfolio.

“VaR is a widely used risk management concept in the financial services industry and is the main component of GSD’s clearing fund requirements,” said Tim HulseManaging Director, Financial Risk & Governance, at DTCC. “The calculator takes into account factors such as historical data, volatility and confidence levels to estimate VaR and thus increase market transparency..”

The new calculator provides market participants with the ability to calculate potential margin requirements for a simulated portfolio for given positions and market values ​​using FICC’s VaR methodology.

Hulse added: “FICC recognizes the urgency and importance of assessing corporate risks associated with the expansion of US Treasury Clearing. The VaR calculator provides market participants with greater transparency regarding these obligations.”

As part of its commitment to the industry, the DTCC continues to evaluate calculators, tools and improved access methods to support the expansion of the U.S. Treasury’s clearing activities.