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.