DTCC’s FICC enhances VaR Calculator Capabilities
13 November 2024 US
Image: stock.adobe.com/Eurobanks
The Depository Trust & Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) has enhanced its Value at Risk (VaR) calculator capabilities, adding cross-margining and repo transaction functionalities.
The enhancements come amid firms across the industry preparing for the expansion of US Treasury Clearing in 2025 and 2026.
The calculator functionality aims to provide users with estimated calculations of potential cross-margining reductions at FICC as well as other enhancements.
Laura Klimpel, managing director and head of DTCC's fixed income and financing solutions, says: “FICC is the leading provider of trade comparison, netting and settlement for US Treasury transactions, and we continue to innovate and provide increased transparency to meet the needs of the industry as the markets evolve.”
Tim Hulse, managing director, Financial Risk and Governance at DTCC, adds: “These enhancements represent a significant step forward to better understanding and managing members’ obligations while ultimately safeguarding the Treasury Market.”
The enhancements come amid firms across the industry preparing for the expansion of US Treasury Clearing in 2025 and 2026.
The calculator functionality aims to provide users with estimated calculations of potential cross-margining reductions at FICC as well as other enhancements.
Laura Klimpel, managing director and head of DTCC's fixed income and financing solutions, says: “FICC is the leading provider of trade comparison, netting and settlement for US Treasury transactions, and we continue to innovate and provide increased transparency to meet the needs of the industry as the markets evolve.”
Tim Hulse, managing director, Financial Risk and Governance at DTCC, adds: “These enhancements represent a significant step forward to better understanding and managing members’ obligations while ultimately safeguarding the Treasury Market.”
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