The Depository Trust & Clearing Corporation (DTCC) has launched enhancements to its Value at Risk (VaR) calculator, adding cross-margining and repo transaction functionalities.
The updated risk tools seek to support firms as they prepare for the expansion of US Treasury clearing in 2025 and 2026.
Developed for the Fixed Income Clearing Corporation’s (FICC) Government Securities Division (GSD), the calculator functionality offers users estimated calculations of potential cross-margining reductions at FICC as well as other enhancements.
DTCC added that 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 US 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 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 allows users to estimate the potential cross-margin reduction on a sample portfolio containing GSD cash positions and CME Group futures which are based solely on FICC’s cross-margining methodology.
Market participants are able to determine whether they can take advantage of greater margin savings on a combined portfolio, including eligible positions at GSD and future contracts.
These tools can be used collectively by traders to calculate all available margins across multiple accounts using portfolio management to offset trades, which helps with capital efficiencies, alongside helping 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 and governance at DTCC.