SEC approves CME Clearing's stress testing policy amendment
The order binds CME Securities Clearing and its members, taking effect September 28, 2026
The Securities and Exchange Commission approved CME Securities Clearing Inc.'s proposed rule change SR-CMESC-2026-006 on September 28, 2026. The filing, made on August 6, 2026 and published for comment on August 18, 2026, amends the CMESC Stress Testing & Guaranty Fund Sizing Policy and Rule 402(b) of the CMESC Rulebook. No comments were received.
The amendment adds detailed language describing the stress-testing scenarios used for credit and liquidity risk. It separates scenarios into two categories - historical and hypothetical - clarifies that they represent "extreme but plausible market conditions," and introduces subparagraphs for risk-factor shocks, event-driven shocks, and theoretically driven hypothetical scenarios. New text also explains how interest-rate shocks are calculated based on varying return types.
Table 1 of the policy is revised to rename the three scenario categories as "Historical: Risk Factor Shocks," "Historical: Event-Driven," and "Hypothetical." The description of historical scenarios is updated to reflect quantitative filters applied to U.S. Treasury curves, including on-the-run, off-the-run, and repo curves, over a defined look-back period.
The rule change clarifies the Guaranty Fund allocation process. Member contributions are calculated as the greater of a ten-million-dollar minimum or each member's proportionate share of the fund, weighted 90 % by the member's largest net debtor amount and 10 % by its gross notional exposure. Rule 402(b) language is aligned with the revised policy description.
The order is filed under Release No. 34-106516, File No. SR-CMESC-2026-006, and FR Doc No. 2026-20074, covering pages 62580-62584 of the Federal Register.
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