Federal Register #SR-NSCC-2026-008

NSCC Proposed Rule Change to Enhance Clearing Fund Risk Methodology for ETPs

This notice outlines a proposed rule change by the National Securities Clearing Corporation (NSCC), under the Securities and Exchange Commission (SEC), to enhance its clearing fund methodology for improved risk management of exchange-traded products (ETPs). - Government Buyer: - National Securities Clearing Corporation (NSCC), under the SEC's Division of Trading and Markets - OEMs and Vendors: - No OEMs or commercial vendors are mentioned, as this is a regulatory methodology update, not a procurement - Products/Services Requested: - Enhancement of NSCC Clearing Fund Methodology - Improvements to Gap Risk Charge calculations by decomposing ETF holdings - More granular Bid-Ask Spread Charges for different ETP sub-categories - Clarification of Fat Tail Adjustment Factor use in parametric Value at Risk (VaR) calculations - Unique or Notable Requirements: - Focus on more accurate and representative risk charges for ETPs, including ETFs and ETNs - Aims to improve risk management and margin accuracy for NSCC Members' portfolios - No acquisition of physical products or commercial services; this is a regulatory and methodological enhancement

Description

This notice pertains to a proposed rule change filed by the National Securities Clearing Corporation (NSCC) to enhance its clearing fund methodology. The proposed changes aim to improve risk management by modifying the Gap Risk Charge methodology to better address risks from exchange-traded products (ETPs), enhancing the Bid-Ask Spread Charge with more granular basis point charges for different ETP sub-categories, and clarifying the use of the Fat Tail Adjustment Factor in parametric Value at Risk (VaR) calculations. The enhancements are intended to produce more accurate and representative charges reflecting the liquidity profiles and risk exposures of various products and portfolios. NSCC plans to implement the changes by October 30, 2026.

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