Federal Register #SR-OCC-2026-006

OCC Proposed Rule Change: Expansion of Synthetic Futures Model for Margining

This notice concerns a proposed rule change by The Options Clearing Corporation (OCC), published by the Securities and Exchange Commission (SEC): - The OCC seeks to expand the use of its proprietary Synthetic Futures Model, part of its margin methodology (STANS), to additional futures products listed by designated contract markets (DCMs) - The Synthetic Futures Model is designed to generate prices and correlations for futures contracts, especially where the underlying contract is not actively traded - The proposed change clarifies how the model will be used within OCC's margin methodology to provide more appropriate margin coverage for these products - No procurement of goods or services is involved; this is a regulatory notice - No OEMs, vendors, products, part numbers, or purchase quantities are mentioned

Description

The notice pertains to a proposed rule change by The Options Clearing Corporation (OCC) concerning the Synthetic Futures Model. The OCC, a derivatives clearing organization registered with the Commodity Futures Trading Commission, proposes to expand the use of its Synthetic Futures Model to additional futures products listed by designated contract markets. This model generates prices and correlations using risk factors based on observed futures prices, which is more appropriate for pricing futures where the underlying contract is not traded. The proposed change aims to provide more appropriate margin coverage for these futures products and clarifies the intended scope and use of the model within OCC's margin methodology.

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