The Depository Trust & Clearing Corporation (DTCC) has announced significant updates to its Value at Risk (VaR) calculator, enhancing the tool’s functionality for cross-margining and repo transactions. The move aims to assist financial firms as they gear up for the anticipated U.S. Treasury Clearing expansion scheduled for 2025 and 2026.
Developed under the Fixed Income Clearing Corporation’s (FICC) Government Securities Division (GSD), the upgraded VaR calculator now enables users to gauge potential margin reductions on combined GSD cash and CME Group futures positions using FICC’s cross-margining methodology. By expanding the calculator’s scope, FICC aims to enhance firms’ understanding of risk management and margin requirements, providing additional transparency as the market evolves.
Greater margin savings
With the new functionalities, participants can now assess the potential for greater margin savings across a combined portfolio that includes both GSD and eligible futures contracts. These tools also allow for portfolio-wide margin calculations, helping traders optimise capital and reduce the need for unnecessary position liquidation.
The updated VaR calculator supports DTCC’s commitment to developing innovative risk tools that address the changing needs of the global financial industry, positioning firms to manage risk more effectively as the U.S. Treasury Clearing landscape advances.
