New FICC tool will calculate the Value at Risk for a given portfolio, providing market participants with further insight into market value, positions and risk profiles ahead of SEC Expanded U.S. Treasury Clearing Rule
New York/London/Hong Kong/Singapore/Sydney, July 10, 2024 ‒ The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced the launch of a new public-facing Value at Risk (VaR) calculator. The calculator provides market participants with the ability to evaluate potential margin and Clearing Fund obligations associated with becoming a Member of DTCC’s Fixed Income Clearing Corporation (FICC) Government Securities Division (GSD).
With U.S. Treasury Clearing activity processed through FICC expected to rise by US$4 trillion daily after the SEC’s expanded clearing mandate is implemented in 2025 and 2026, DTCC’s VaR calculator will be a crucial tool for firms to accurately determine VaR and potential margin obligations for any simulated portfolio.
“VaR is a widely used risk management concept in the financial services industry and is the primary component of GSD’s Clearing Fund requirements,” said Tim Hulse, Managing Director, Financial Risk & Governance, at DTCC. “The calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, increasing market transparency.”
The new calculator provides market participants with the opportunity to calculate potential Margin obligations on a simulated portfolio, for given positions and market value, using FICC’s VaR methodology.
Hulse added, “FICC understands the urgency and importance of evaluating firms’ risk exposure associated with the expansion of U.S. Treasury Clearing. The VaR calculator provides market participants with increased transparency into these obligations.”
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.
About DTCC
With over 50 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From 20 locations around the world, DTCC, through 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 existing financial markets while advancing the digital asset ecosystem. In 2023, DTCC’s subsidiaries processed securities transactions valued at U.S. $3 quadrillion and its depository subsidiary provided custody and asset servicing for securities issues from over 150 countries and territories valued at U.S. $85 trillion. DTCC’s Global Trade Repository service, through locally registered, licensed, or approved trade repositories, processes more than 20 billion messages annually. To learn more, please visit us at www.dtcc.com or connect with us on LinkedIn, X, YouTube, Facebook, and Instagram.