Intraday Risk Monitoring
RMaaS enables clients to more effectively monitor and manage intraday risk exposure. As a result of delivering timely data and analytics, members can better anticipate potential intraday margin calls and manage cash positions. The service intends to provide increased transparency, which enables firms to monitor and analyze the same intra-day risk exposure data as DTCC’s own Financial Risk Management department.
VaR Attribution and Forecasting
The next-generation Value at Risk (VaR) Calculator delivers improved transparency into the volatility charge with CUSIP-level position details to identify key drivers and diversification offsets with frequent intraday portfolio updates. The VaR Calculator allows a simulated volatility forecast to help with more efficient capital planning and overnight cash utilization.
Firms can use the VaR Calculator to submit hypothetical portfolios and retrieve a detailed breakdown of the simulated volatility charge from DTCC’s risk engines. For enhanced pre-trade planning, firms can assess the marginal impact of a large block trade to a portfolio VaR by seamlessly adding a position and comparing the results. Additionally, firms can quickly check the simulated volatility of a portfolio in the evening to forecast volatility charges for the next morning.
The Risk Client Portal includes a business intelligence dashboard to display top level information with respect to DTC’s risk controls, collateral positions, and settlement data. The dashboard delivers enhanced capabilities to monitor intraday settlement blockage trends and dynamic visualizations of historical settlement throughput. Providing this capability allows members to quickly compare recent historical data to determine the proportion of made, dropped, or reclaimed transactions versus industry totals to assess operational settlement performance. The service also gives members the ability to track the value and volume of pending transactions due to collateral monitor or net debit cap risk controls throughout the settlement cycle, and easily pinpoint the counterparties involved in these pending transactions. In addition, the service also allows a historical look back at intraday patterns of the value and volume of transactions pending Receiver Authorized Delivery (RAD) controls with your top counterparties.