Risk Management Tools – CCLF^® and VaR Calculators

The CCLF^® Public Calculator gives firms the ability to simulate estimated future Capped Contingency Liquidity Facility (CCLF) obligations quickly and transparently and understand exactly how CCLF obligations associated with FICC-GSD membership are determined -- before you even apply.

CCLF is a rules-based committed liquidity facility designed to help ensure FICC-GSD has sufficient liquid resources to meet its cash settlement obligations every day, even in the event of the default of the member (and its affiliates) with the largest exposure to FICC in extreme but plausible market conditions. If FICC-GSD has ceased to act for a GSD Netting Member, FICC may declare a “CCLF Event” requiring non-defaulting GSD Netting Members to hold and fund their deliveries to the insolvent member, up to a predetermined cap, by entering into repo transactions with FICC until the associated closeout is complete.

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The VaR Public Calculator provides market participants with the ability to calculate potential margin obligations associated with becoming a member of FICC-GSD on a simulated portfolio, for given positions and market value, using FICC’s Value at Risk (VaR) methodology.

VaR is a widely used risk management concept in the financial services industry and is the primary component of GSD’s Clearing Fund requirements. The calculator considers factors such as historical data, volatility, and confidence levels to estimate VaR, increasing market transparency.

The Cross-Margining enhancement to the VaR calculator enables users to estimate the potential benefit on a sample portfolio containing GSD cash positions and CME Futures by providing information solely based on FICC’s methodology. Participants can determine whether they can take advantage of greater margin savings and reduce costs on a combined portfolio, including eligible positions at GSD and future contracts. Traders can also calculate all available margins across multiple accounts using portfolio management to offset trades, which helps with capital efficiencies and reduces the need for unnecessary position liquidation.

The Repo Calculator enhancement to the VaR calculator estimates repo volatility charges by providing users the ability to understand the risk associated with interest rate movement in preparations for the June 30, 2026, U.S. Treasury Clearing repo requirement. This will help people understand VaR methodology, of which the repo volatility represents a haircut, meaning remaining risk is the interest component on a Repo which is subject to interest rate movement.

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