The Depository Trust & Clearing Corporation has launched a new public-facing Value at Risk calculator allowing market participants to evaluate potential margin and clearing fund obligations associated with DTCC’s Fixed Income Clearing Corporation government securities division.
With US Treasury Clearing activity processed through FICC expected to rise by $4tn daily after the SEC’s expanded clearing mandate is implemented in 2025 and 2026, DTCC says its VaR calculator will be a crucial tool for firms to accurately determine VaR and potential margin obligations for any simulated portfolio.
The new calculator enables market participants to calculate potential margin obligations on a simulated portfolio, given positions and market value, using FICC’s VaR methodology.
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