DTCC today announced the launch of FICC’s interactive, public-facing Capped Contingency Liquidity Facility (CCLF) Calculator.
DTCC explains that 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.
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.
