DTCC launches FICC VaR calculator ahead of UST clearing

The Depository Trust & Clearing Corporation (DTCC) announced the launch of a new public-facing Value at Risk (VaR) calculator that 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 US Treasury Clearing activity processed through FICC expected to rise by $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 for Financial Risk & Governance at DTCC, in a statement. “The calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, increasing market transparency.”

Market participants can for example calculate potential margin obligations on a simulated portfolio for given positions and market value using FICC’s VaR methodology.

“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,” Hulse said in a statement.


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