DTCC’s FICC launches new public-facing Value at Risk calculator

New offering will provide market participants increased insight into market value, positions and risk profiles.

DTCC has launched a new public-facing Value at Risk (VaR) calculator to help increase transparency for market participants.

The calculator enables participants 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 the amount of US Treasury clearing activity processed through FICC expected to rise by $4 trillion daily following the SEC’s expanded clearing mandate which will be implemented in 2025 and 2026, DTCC’s calculator will be a key tool for firms to 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 and governance, at DTCC.

“The calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, increasing market transparency.”

Using FICC’s VaR methodology, the new calculator will offer the opportunity for participants to calculate potential margin obligations on a simulated portfolio, for given positions and market value.

“FICC understands the urgency and importance of evaluating firms’ risk exposure associated with the expansion of US Treasury Clearing. The VaR calculator provides market participants with increased transparency into these obligations,” added Hulse.