DTCC’s FICC launches new public-facing Value at Risk calculator
The TRADE
JULY 10, 2024
With the amount of US Treasury clearing activity processed through FICC expected to rise by $4 trillion daily following the SEC’s expanded clearing mandate which will be implemented in 2025 and 2026, DTCC’s calculator will be a key tool for firms to determine VaR and potential margin obligations for any simulated portfolio.
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