DTCC has recently launched an enhancement to the public FICC Capped Contingency Liquidity Facility (CCLF) and Value at Risk (VaR) calculators. The new Public Risk Calculator AI Assistant is an AI-powered conversational tool created to support users in navigating the calculators, addressing inquiries and providing more information about certain risk management methodologies.
The new tool supports both direct and indirect members as well as non-members of FICC’s Government Securities Division (GSD) by providing faster responses to users’ questions, saving time and reducing the effort required to manually consult support documentation. Users can enter questions into the prompt window and the AI Assistant will provide an answer, with links to reference documents for more context.
DTCC launched the CCLF and VaR public calculators last year to provide transparency to market participants to estimate and understand the CCLF-related liquidity obligations associated with GSD membership, as well as calculate potential margin obligations on a simulated portfolio, for given positions and market value, using FICC’s VaR methodology. While the calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, the AI Assistant does not provide any transaction advice or recommendations and should not be considered as a substitute for professional advice.
“The Public Risk Calculator AI Assistant is one of the tools our team identified and developed to improve the client experience and drive value for businesses, like Risk, across the enterprise,” said Johnna Powell, DTCC Managing Director and Head of Technology, Research and Innovation. “This was a perfect use-case in our mind because it aligned to our corporate strategy and demonstrates how we can leverage AI to improve the user experience and elevate the value of our platforms for our clients.”
“With these tools – the public calculators and now the AI Assistant -- we continue to increase transparency into our financial risk management program,” said Robert Crain, DTCC Managing Director, Market Risk.
Initial usage of the Public Risk Calculator AI Assistant has elicited positive feedback. A leading asset manager in the pilot test group shared, "This definitely appears to be a helpful tool that will help alleviate inquiries around common questions and help to direct users to the appropriate reference materials efficiently."
Users can provide optional feedback on the AI Assistant with a quick thumbs-up or thumbs-down reaction, and the reactions and responses are analyzed to inform future improvements. User feedback can then help improve response accuracy and relevance in potential future revisions.
Future planned enhancements to the Public Risk Calculator AI Assistant include extensions to support some of DTCC’s other risk calculators.
“As part of its commitment to the industry, DTCC continues to assess calculators, tools, and enhanced access methods to support the expansion of U.S. Treasury clearing activity,” said Claire Lough, DTCC Executive Director, Liquidity Risk & Stress Testing.