DTCC’s FICC reportedly enhances VaR calculator capabilities, as firms Prepare for the U.S. Treasury Clearing Requirements.
New Cross Margining and Repo calculator functionalities will enhance Users’ understanding of risk management and margin requirements.
The Depository Trust & Clearing Corporation (DTCC), the post-trade market infrastructure for the financial services industry, announced enhancements to its interactive, public-facing Value at Risk (VaR) calculator adding cross-margining and repo transaction functionalities.
These tools are intended to support firms as they prepare for the “expansion of U.S. Treasury Clearing in 2025 and 2026.”
The calculator functionality, developed for the Fixed Income Clearing Corporation’s (FICC) Government Securities Division (GSD), provides users with estimated calculations of “potential cross-margining reductions at FICC as well as other enhancements.”
The tools follow a surge in FICC’s GSD total volume activity, which is reportedly “clearing $8.8 trillion in average daily activity as of October.”
By providing users with access to tools, firms are able to enhance their understanding of GSD’s risk management and margin requirements capabilities.
The cross-margining VaR calculator enables users to estimate the potential cross-margin reduction on a sample portfolio containing “GSD cash positions and CME Group futures solely based on FICC’s cross-margining methodology.”
Participants can determine whether they can take advantage of greater margin savings on a combined portfolio, including “eligible positions at GSD and future contracts.”
Traders can use these tools to calculate available margins across accounts using portfolio management to offset trades, which helps with capital efficiencies and may “serve to reduce the need for unnecessary position liquidation.”
With “over 50 years” of experience, DTCC is the post-trade market infrastructure for the financial services industry.
From 20 locations around the world, DTCC, via its subsidiaries, automates, centralizes, and standardizes the processing of financial transactions, “mitigating risk, increasing transparency, enhancing performance and driving efficiency for thousands of broker/dealers, custodian banks and asset managers.”
Industry owned and governed, the firm innovates “purposefully, simplifying the complexities” of clearing, settlement, asset servicing, transaction processing, trade reporting and data services across asset classes, “bringing enhanced resilience and soundness to financial markets while advancing the digital asset ecosystem.”
Last year, DTCC’s subsidiaries reportedly processed securities transactions “valued at $3 quadrillion and its depository subsidiary provided custody and asset servicing for securities issues from over 150 countries and territories valued at $85 trillion.”
DTCC’s Global Trade Repository service, via locally registered, licensed, or approved trade repositories, processes 20 billion+ messages annually.
