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SEC

SEC

Securities and Exchange Commission (US)

Medium Impact

SEC approves CMESC amendments to stress testing, guaranty fund sizing policy, and Rule 402(b)

Published

Sep 28, 2026

Topics

Clearing agency risk management, Stress testing, Guaranty fund sizing, Liquidity risk, Credit risk, U.S. Treasury securities clearing, SRO rule change

Executive Summary

The SEC has approved CME Securities Clearing Inc.’s proposed rule change SR-CMESC-2026-006. The approved amendments update CMESC’s Stress Testing & Guaranty Fund Sizing Policy and Rule 402(b) of the CMESC Rulebook. The changes do not create a new public regulatory reporting template, but they materially clarify the methodology CMESC documents for credit and liquidity stress testing, the basis for guaranty fund sizing, and the allocation of required guaranty fund contributions among Members. CMESC will describe stress scenarios more explicitly as historical risk factor shock, historical event-driven, and hypothetical scenarios, including use of U.S. Treasury curves, principal component analysis, plausibility thresholds, and two-business-day interest rate changes. The order also approves clarifications that individual Member contributions are allocated using the Member’s own largest net debtor amount and gross notional outstanding, rather than Member Family activity. CMESC Members should assess whether the clarified methodology affects contribution forecasting, liquidity planning, internal model validation, and participant default management controls.

What Changed

modifiedStress scenario categories reorganized

Previous

The Policy referred to historical, event-driven, and hypothetical/PCA scenarios with less detailed categorization.

New

The Policy expressly separates historical risk factor shocks, historical event-driven scenarios, and theoretically driven hypothetical scenarios.

modifiedHistorical risk factor shock methodology expanded

Previous

Historical scenarios referenced market behavior and largest curve movements with less detail on risk factor selection and shock types.

New

Historical risk factor shock scenarios will document relevant curves, defined tenors, upward and downward movements, slope, curvature, parallel shifts, and statistically extreme historical dates.

modifiedHypothetical scenario construction clarified

Previous

The Policy labeled the category as Hypothetical – Principal Component Analysis and included references that could characterize hypothetical scenarios as event-driven.

New

The category is renamed Hypothetical, event-driven references are removed, and PCA remains part of the construction method.

modifiedGuaranty Fund sizing rationale supplemented

Previous

The Policy stated the cover-two sizing approach but provided less explanation of the User Account selection rationale.

New

The Policy will explain that CMESC risk management determines the number of Users intended to capture Users that may default if their Member defaults under extreme-but-plausible conditions.

modifiedRule 402(b) allocation clarified at Member level

Previous

Rule 402(b) included references to Member Family in the allocation description.

New

Each Member’s Required Guaranty Fund Contribution allocation is described as based on that Member’s own largest net debtor amount and gross notional outstanding, subject to the minimum contribution requirement.

Business Impact

Who is affected

Directly affected

CME Securities Clearing Inc. and CMESC Members subject to Required Guaranty Fund Contributions.

Indirectly affected

authorized Users and User Accounts, Member treasury and liquidity teams, risk model validation teams, clearing operations, legal and compliance teams, and firms monitoring U.S. Treasury securities clearing exposures.

Jurisdictions

United States

Business processes

Clearing member guaranty fund contribution forecasting, Credit and liquidity stress testing governance, Treasury liquidity planning for contribution calls, Model risk management and methodology review, Default management and close-out readiness, Rulebook and policy change monitoring

Estimated effort

Medium

Compliance risk

Medium

Affected Reports

CMESC Stress Testing & Guaranty Fund Sizing PolicyCMESC Rulebook Rule 402(b)Guaranty Fund contribution allocation controlCredit and liquidity stress testing methodology documentationMember guaranty fund exposure and liquidity monitoring pack
FieldValidation rule
Stress scenario category namePolicy Section 4.1 and Table 1: categories are clarified as Historical: Risk Factor Shocks, Historical: Event-Driven, and Hypothetical.
Interest rate stress measurement periodPolicy Section 4.1: reference changed from two day period to two-business day period.
Hypothetical scenario inputsPolicy Table 1: hypothetical scenarios use PCA-derived component combinations, two-business-day interest rate changes, tenor-level plausibility thresholds, and U.S. Treasury curve consistency steps.
Gross notionalPolicy Section 5.2.2: gross notional is clarified as gross notional of outstanding securities transactions of a Member.
Required Guaranty Fund Contribution allocation entityRule 402(b): references to Member Family are replaced with Member for allocating individual Member Required Guaranty Fund Contributions.

Recommended Actions

6 suggested next steps· derived from source analysis
  1. 1
    AI generatedStep 1 of 6

    CMESC Members should update internal rule-change inventories to record SEC approval of SR-CMESC-2026-006 and identify impacted guaranty fund, liquidity, and stress testing controls.

  2. 2
    AI generatedStep 2 of 6

    Compare existing contribution forecasting models against the clarified Member-level allocation basis using each Member’s own LND and gross notional outstanding.

  3. 3
    AI generatedStep 3 of 6

    Update treasury liquidity playbooks and management reporting to reflect the clarified stress scenario taxonomy and guaranty fund allocation rationale.

  4. 4
    AI generatedStep 4 of 6

    Ask CMESC relationship or clearing contacts whether any member-facing operational guidance, contribution notices, or implementation communications will follow the SEC approval.

  5. 5
    AI generatedStep 5 of 6

    Model validation and risk governance teams should review whether references to historical, event-driven, hypothetical, PCA, and two-day shocks need terminology updates.

  6. 6
    AI generatedStep 6 of 6

    Legal and compliance teams should confirm that participant disclosures, policies, and board or committee materials no longer describe Rule 402(b) allocation at Member Family level where the rule now specifies Member.

Timeline

other

Aug 6, 2026

CMESC filed proposed rule change SR-CMESC-2026-006 with the SEC under Exchange Act Section 19(b)(1) and Rule 19b-4.

publication

Aug 13, 2026

SEC issued Release No. 34-106131, the notice of filing for the proposed amendments.

publication

Aug 18, 2026

The notice of filing was published in the Federal Register at 91 FR 53469.

publication

Sep 28, 2026

SEC issued Release No. 34-106516 approving proposed rule change SR-CMESC-2026-006. The order states that the Commission received no comments.

Sources

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