About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Briefs

DTCC Launches Public-Facing VaR Calculator for FICC

Subscribe to our newsletter

The Depository Trust & Clearing Corporation (DTCC) has introduced a new public-facing Value at Risk (VaR) calculator, designed to assist market participants in assessing potential margin and Clearing Fund obligations associated with membership in DTCC’s Fixed Income Clearing Corporation (FICC) Government Securities Division (GSD).

The launch of the tool is timely, with U.S. Treasury clearing activity through FICC projected to increase by $4 trillion daily following the Securities and Exchange Commission’s expanded clearing mandate set for 2025 and 2026. DTCC’s VaR calculator enables firms to determine VaR and potential margin obligations for simulated portfolios accurately.

The calculator utilises FICC’s VaR methodology to allow users to estimate potential margin requirements based on given positions and market values. The calculator considers factors such as historical data, volatility and confidence levels to estimate VaR, increasing market transparency.

Tim Hulse, Managing Director, Financial Risk & Governance, at DTCC commented: “FICC understands the urgency and importance of evaluating firms’ risk exposure associated with the expansion of U.S. Treasury Clearing. The VaR calculator provides market participants with increased transparency into these obligations.”

This initiative underscores DTCC’s commitment to enhancing tools and access methods in support of the forthcoming expansion in U.S. Treasury clearing activity.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: Navigating the Build vs Buy Dilemma: Cloud Strategies for Accelerating Quantitative Research

Date: 20 May 2026 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes For many quantitative trading firms and asset managers, building a self-provisioned historical market data environment remains one of the most time-consuming and resource-intensive steps in establishing a new research capability. Sourcing data, normalising symbologies, handling corporate actions and maintaining...

BLOG

When Margin Moves Upstream: How TT is Reworking Trading Decisions After the OpenGamma Deal

More than a month after completing its acquisition of OpenGamma, Trading Technologies is beginning to articulate how the deal is intended to change the way firms think about margin, capital efficiency, and trading decision-making. Rather than positioning margin as a downstream risk or treasury concern, TT is now framing capital efficiency as a front-office variable...

EVENT

AI in Capital Markets Summit London

Now in its 3rd year, the AI in Capital Markets Summit returns with a focus on the practicalities of onboarding AI enterprise wide for business value creation. Whilst AI offers huge potential to revolutionise capital markets operations many are struggling to move beyond pilot phase to generate substantial value from AI.

GUIDE

Entity Data Management Handbook – Second Edition

Entity data management is this year’s hot topic as financial firms focus on entity data to gain a better understanding of customers, improve risk management and meet regulatory compliance requirements. Data management programmes that enrich the Legal Entity Identifier with hierarchy data and links to other datasets can also add real value, including new business...