The Depository Trust & Clearing Corporation (DTCC) today announced the launch of a new public Value at Risk (VaR) calculator.
The calculator enables market participants to assess the potential margin and Clearing Fund obligations associated with becoming a Member of the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Company (FICC).
“VaR is a widely used risk management concept in the financial services industry and is the main component of GSD’s Clearing Capital requirements,” said Tim Hulse, Managing Director, Financial Risk & Governance, at DTCC. “The calculator takes into account 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 liabilities on a simulated portfolio, for given positions and market value, using FICC’s VaR methodology.
Hulse added, “FICC understands the urgency and importance of assessing corporate risk exposure related to the extension of the US Treasury’s liquidation. The VaR calculator provides market participants with increased transparency into these liabilities.”
As part of its commitment to the industry, DTCC continues to evaluate calculators, tools and improved access methods to support the expansion of the US Treasury’s clearing activity.