In anticipation of the new SEC requirements for expanded U.S. Treasury Clearing, this new tool simulates estimated CCLF obligations associated with FICC GSD membership
New York/London/Hong Kong/Singapore/Sydney, June 12, 2024 ‒ DTCC, the premier post-trade market infrastructure for the global financial services industry, today announced the launch of FICC’s interactive, public-facing Capped Contingency Liquidity Facility (CCLF) Calculator.
With the expansion of central clearing in U.S. Treasuries on the horizon and given the size of transactions in the U.S. Treasury market - now exceeding USD $7 trillion daily - CCLF is a critical risk management tool used for managing DTCC’s Fixed Income Clearing Corporation’s (FICC) liquidity risk arising from settlement activity. Market participants can input their current unique settlement activity into the calculator to estimate and understand the CCLF-related liquidity obligations that could arise from membership.
CCLF is a rules-based liquidity resource facility that would provide FICC with additional liquid financial resources to meet its cash settlement obligations in the event of a default of the largest GSD family of affiliated Netting Members. To anticipate this potential funding need, GSD Netting Members incorporate their individually determined CCLF obligation amounts into their own liquidity plans. While the CCLF obligation is a committed obligation for the Netting Members, FICC does not require pre-funding or deposits of the obligation amount. Instead, as an ongoing FICC membership requirement Netting Members provide up-front attestations regarding their ability to provide such CCLF amounts.
“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,” Tim Hulse, Managing Director, Financial Risk & Governance at DTCC. “CCLF provides a critical backstop to address the financial impact of volatility and stress across repo markets while safeguarding the industry and individual members.”
The new CCLF calculator, accessible on dtcc.com, requires a series of data points to be provided by users. Once entered on screen, the calculator processes the data points using the existing GSD CCLF engine logic, delivering an estimated individual CCLF obligation.
“FICC recognizes that many firms are considering membership with GSD to comply with the final SEC rule on expanded clearing of U.S. Treasury activity,” said Claire Lough, Executive Director, Financial Risk & Governance at DTCC. “This calculator will enable market participants to simulate their potential CCLF obligations to assist in understanding what is required of a GSD Netting Member.”
FICC is the leading provider of trade comparison, netting and settlement for the Government Securities marketplace. As part of its commitment to the industry, DTCC continues to assess calculators, tools and enhanced access methods to best support the expansion of U.S. Treasury clearing activity.
About DTCC
With over 50 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From 20 locations around the world, DTCC, through its subsidiaries, automates, centralizes, and standardizes the processing of financial transactions, mitigating risk, increasing transparency, enhancing performance and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. Industry owned and governed, the firm innovates purposefully, simplifying the complexities of clearing, settlement, asset servicing, transaction processing, trade reporting and data services across asset classes, bringing enhanced resilience and soundness to existing financial markets while advancing the digital asset ecosystem. In 2023, DTCC’s subsidiaries processed securities transactions valued at U.S. $3 quadrillion and its depository subsidiary provided custody and asset servicing for securities issues from over 150 countries and territories valued at U.S. $85 trillion. DTCC’s Global Trade Repository service, through locally registered, licensed, or approved trade repositories, processes more than 20 billion messages annually. To learn more, please visit us at www.dtcc.com or connect with us on LinkedIn, X, YouTube, Facebook, and Instagram.