CME Securities Fine-Tunes Stress Tests and Fund Sizing Rules
Published Date: 8/18/2026
Notice
Summary
No summary available.
Analyzed Economic Effects
3 provisions identified: 0 benefits, 1 costs, 2 mixed.
Minimum $10M Guaranty Fund Cutoff
If you are a CMESC Member, your Required Guaranty Fund Contribution will be the greater of a minimum of $10,000,000 or your calculated proportionate share of the Guaranty Fund. This $10,000,000 minimum is specified in Rule 402(b).
Allocation Based on Member LND (90%)
CMESC will allocate each Member's Required Guaranty Fund Contribution using a dual-component formula that weights the Member's largest net debtor amount (LND) at 90% and the Member's gross notional outstanding securities transactions at 10%. Rule 402(b) is being revised to apply this allocation to each individual "Member" (replacing references to "Member Family").
Cover‑2 Sizing & User Exposure Inclusion
CMESC's Guaranty Fund will be sized at least to cover the largest theoretical loss in excess of initial margin from the default of two (2) Member Families (the "cover two" standard), and the Cover 2 calculation includes the exposures of a predefined number of Users per Member as determined by CMESC's risk management team. CMESC may maintain the Fund above the cover two amount (e.g., by including a buffer), and stress scenario price moves are calculated over a two-business-day period.
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