The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced the launch of enhancements to its interactive, public-facing Value at Risk (VaR) calculator adding cross-margining and repo transaction functionalities. These enhanced risk 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 new tools follow a significant surge in FICC's GSD total volume activity, which is now clearing a record-setting USD$8.8 trillion in average daily activity as of October. By providing users with access to new tools, firms can enhance their understanding of GSD’s risk management and margin requirements capabilities.
“FICC is the leading provider of trade comparison, netting and settlement for U.S. Treasury transactions, and we continue to innovate and provide increased transparency to meet the needs of the industry as the markets evolve,” said Laura Klimpel, Managing Director, Head of DTCC's Fixed Income and Financing Solutions. “FICC is laser-focused on providing the highest level of service and value to our diverse set of clients.”
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 collectively to calculate all available margins across multiple accounts using portfolio management to offset trades, which helps with capital efficiencies and may serve to reduce the need for unnecessary position liquidation.
“Our risk management team is focused on creating new capabilities that support greater transparency for market participants. These enhancements represent a significant step forward to better understanding and managing members’ obligations while ultimately safeguarding the Treasury Market,” said Tim Hulse, Managing Director, Financial Risk & Governance at DTCC.
