National Securities Clearing Corporation's margin calculation formula combining Value-at-Risk (VaR) on open settlement positions + Excess Capital Premium (ECP) charge for brokers whose clearing exposure exceeds their net capital threshold. January 28 2021 5:11am EST: Robinhood hit with $3 billion call = $1.4 billion core VaR + $2.2 billion ECP charge. Robinhood preemptively implemented PCO (position-close-only) restrictions in exchange for the ECP being waived entirely, net requirement ~$700 million-$1 billion. Documented in DTCC rule filings and Tenev Congressional testimony. Structural function: the Settlement Layer's primary defense mechanism against retail-volatility threats to counterparty integrity. The algorithm protects the clearinghouse, not retail price discovery.