DTCC’s Fixed Income Clearing Corporation (FICC) conducted a survey in April 2024 to further support the industry’s understanding of the implications of the SEC’s Final Rule to expand central clearing activity. The survey findings demonstrate that the industry’s level of understanding and preparedness has significantly improved since FICC conducted a similar survey last year.
Insights include:
- Newly refined estimates of volume transactions required to be submitted for central clearing.
- Planned usage of FICC’s access models
- The possible impact on margin and liquidity risk management resources
Key Takeways
- Treasury Clearing Volume: FICC’s daily Treasury Clearing activity is expected to increase by
more than $4TN.
- Access Models: The Sponsored Service continues to be the preferred approach at this time; however, survey respondents showed an increased interest in usage of the Agent Clearing Member (ACM) Service. Account set up and indirect participant onboarding has started in advance of the Treasury Clearing Mandate go-live dates. FICC will continue to facilitate a smooth transition.
- Done-Away Clearing: There is growing evidence for the adoption of a done-away clearing model
for indirect participants.
- Margin: Treasury Repo and Buy/Sell activity estimates indicate an increase in aggregate margin (VaR) for the respondents’ portfolios of approximately $58.4BN, with approximately $27BN (or 46%) of the aggregate incremental VaR representing segregated indirect participant margin.
- Liquidity / CCLF: Responses to the survey indicate a potential maximum daily liquidity need of $84.5BN, which would point to a total CCLF size of $109.9BN under current parameters and the outlined assumptions. Since 2021,
the CCLF facility has ranged between $71.0BN and $128.4BN.
- Affiliate Clearing: Majority of respondents are planning to choose indirect access for their affiliates.
Download The U.S. Treasury Clearing Mandate: An Industry Pulse Check WhitePaper