The Fixed Income Clearing Corporation (FICC), a subsidiary of DTCC, has unveiled a public Capped Contingency Liquidity Facility (CCLF) calculator. This new tool comes in response to the US Securities and Exchange Commission’s (SEC) expanded requirements for US treasury clearing.

The US Treasury market, which now sees transactions exceeding US$7 trillion daily, necessitates robust risk management tools, explains DTCC in a press release. The CCLF calculator aims to assist participants in estimating their liquidity obligations associated with FICC Government Securities Division (GSD) membership. Participants can input their current settlement activities to gauge potential CCLF-related liquidity obligations.

The tool is designed to enhance understanding and preparation for CCLF obligations without requiring pre-funding or deposits. Instead, GSD netting members provide upfront attestations regarding their capability to meet these obligations.


Tim Hulse, managing director of financial risk and governance at DTCC, states, “By providing the public CCLF calculator, we continue to increase transparency into our financial risk management program, empowering potential members to understand their role and obligations as a FICC GSD member.”

GSD CCLF engine logic

The new calculator processes various data points using GSD CCLF engine logic to provide an estimated individual CCLF obligation, helping firms comply with the SEC’s expanded clearing rules for US Treasury activities.

“This calculator will enable market participants to simulate their potential CCLF obligations, assisting in understanding what is required of a GSD Netting Member”, notes Claire Lough, executive director of financial risk and governance at DTCC.