DTCC’s FICC unveils public-facing Value at Risk (VaR) calculator, increasing transparency for market participants

The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced the launch of a new public-facing Value at Risk (VaR) calculator. The calculator 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 U.S. Treasury Clearing activity processed through FICC expected to rise by US$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 (pictured), Managing Director, Financial Risk & Governance, at DTCC. “The calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, increasing market transparency.”

The new calculator provides market participants with the opportunity to calculate potential Margin obligations on a simulated portfolio, for given positions and market value, using FICC’s Value at Risk methodology.

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

As part of its commitment to the industry, DTCC continues to assess calculators, tools, and enhanced access methods to support the expansion of U.S. Treasury clearing activity.