If your firm is considering FICC-GSD membership in response to the SEC’s new U.S. Treasury Clearing requirements, DTCC has developed two new public calculators that can help in your decision-making. 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, these calculators will be crucial tools for firms.
The CCLF® Public Calculator
The CCLF® Public Calculator gives firms the ability to simulate estimated future Capped Contingency Liquidity Facility (CCLF) obligations quickly and transparently and understand exactly how CCLF obligations associated with FICC-GSD membership are determined -- before you even apply.
CCLF is a rules-based committed liquidity facility designed to help ensure FICC-GSD has sufficient liquid resources to meet its cash settlement obligations every day, even in the event of the default of the member (and its affiliates) with the largest exposure to FICC in extreme but plausible market conditions. If FICC-GSD has ceased to act for a GSD Netting Member, FICC may declare a “CCLF Event” requiring non-defaulting GSD Netting Members to hold and fund their deliveries to the insolvent member, up to a predetermined cap, by entering into repo transactions with FICC until the associated closeout is complete.
Access the CCLF® Calculator
The VaR® Public Calculator
The VaR® Public Calculator provides market participants with the ability to calculate potential margin obligations associated with becoming a member of FICC-GSD on a simulated portfolio, for given positions and market value, using FICC’s Value at Risk (VaR) methodology.
VaR is a widely used risk management concept in the financial services industry and is the primary component of GSD’s Clearing Fund requirements. The calculator considers factors such as historical data, volatility, and confidence levels to estimate VaR, increasing market transparency.
A future release of the VaR calculator will also provide insight into cross-margin of futures contracts.
Access the VaR® Calculator