Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Exchange Act” or “Act”),^[1] and Rule 19b-4 thereunder,^[2] notice is hereby given that on July 8, 2026, The Options Clearing Corporation (“OCC”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been prepared primarily by OCC. OCC filed the proposed rule change pursuant to Section 19(b)(3)(A) ^[3] of the Act and paragraph (f) of Rule 19b-4 ^[4] thereunder, such that the proposed rule change was immediately effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

I. Clearing Agency's Statement of the Terms of Substance of the Proposed Rule Change

This proposed rule change would expand the use of an existing OCC margin model used to margin certain futures products that OCC clears in its capacity as a derivatives clearing organization (“DCO”) registered with the Commodity Futures Trading Commission (“CFTC”).

OCC provided proposed changes to its STANS Methodology Description as confidential Exhibit 5 to File No. SR-OCC-2026-006. Material proposed to be added to the STANS Methodology Description as currently in effect is underlined and material proposed to be deleted is marked with strikethrough text. All capitalized terms not defined herein have the same meaning as set forth in the OCC By-Laws and Rules.

II. Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, OCC included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. OCC has prepared summaries, set forth in sections (A), (B), and (C) below, of the most significant aspects of these statements.

(A) Clearing Agency's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

In its capacity as a DCO registered with the CFTC, OCC clears certain futures products on behalf of CFTC-registered designated contract markets (“DCMs”). In its role as a DCO, OCC guarantees the performance of its Clearing Members by becoming the buyer to every seller and the seller to every buyer, thereby guaranteeing performance of the futures contracts regardless of the potential default of one of its Clearing Members. OCC manages its financial risk exposure to its Clearing Members through financial safeguards, including the collection of margin collateral from Clearing Members designed to, among other things, address the market risk associated with a Clearing Member's positions during the period of time OCC has determined it would take to liquidate those positions.

To calculate Clearing Member margin requirements, OCC has developed models within its proprietary margin methodology, the System for Theoretical Analysis and Numerical Simulations (“STANS”). With respect to futures products, one of those models is OCC's Synthetic Futures Model, which OCC uses to model settlement prices for certain futures products. Originally developed to margin futures on Cboe's Volatility Index (“VIX”),^[5] OCC has since extended the Synthetic Futures Model to other futures products cleared by OCC. The Synthetic Futures Model generates prices and correlations using risk factors that are based on observed futures prices ( i.e., the “synthetic” futures contract),^[6] as opposed to using the underlying itself. Accordingly, this model is more appropriate for pricing futures products where the underlying contract is not traded and, as such, cannot be valued using the cost-of-carry relationship applied to traded contracts.^[7] This approach enables the model to account for variations in futures volatility across the term structure. The Synthetic Futures component within STANS is used for futures products where it is crucial to explicitly capture the dynamics of various tenors of a product, such as futures on volatility indices, futures on interest rates, and futures on crude oil.

The Cboe Futures Exchange (“CFE”) now intends to list two new futures products on indices whose value measures the total return of the 50 best performing stocks and the 50 lowest performing stocks, respectively, included in the Cboe U.S. Large-Mid Cap 100 Equal Weighted Index (“Lead & ( printed page 45849) Lag Futures”). This proposed rule change would allow OCC to use its Synthetic Futures Model to support CFE's Lead & Lag Futures and other futures that a DCM may list in the future with similar dynamics for which OCC's Quantitative Risk Management business unit (“QRM”) determines the Synthetic Futures Model is appropriate.

1. Purpose

Background

On May 16, 2019, the Commission approved a proposed rule change by OCC to enhance its margin model to simulate price returns for VIX futures ^[8] and allow for more appropriate modeling of the risk attributes of such products. The proposed methodology enhancements included (1) introducing synthetic futures into the process for daily re-estimation of prices and correlations for VIX and (2) an enhanced statistical distribution for modeling price returns for synthetic futures. Prior to that change, OCC modeled the futures settlement prices for VIX futures in STANS based on the index underlying the futures contract. This approach was subject to several limitations, including that, among other things, (i) the underlying ( i.e., the index), is not a traded contract and, therefore, cannot be replicated by static portfolios of traded contracts; and (ii) the term structure of the futures market cannot be modeled using the underlying index.^[9] Due to the limitations of modeling the term structure, the model used for VIX prior to the change could under-margin positions in certain trading strategies that involve spreads between delivery dates.^[10]

To address these limitations, the Synthetic Futures Model generates prices and correlations using risk factors that are based on observed futures prices ( i.e., the synthetic futures contract,^[11] ) as opposed to using the underlying index itself. This allows the model to capture differences in volatility of futures across the term structure. Such differences in volatility are exhibited for futures products whose underlying deliverable is linked to a different tenor of a market observable risk factor. These risk factors are then used in the generation of Monte Carlo scenarios for the futures by using volatility and correlations obtained from the existing simulation models in STANS.

OCC has since expanded use of the Synthetic Futures Model to other futures products. On July 10, 2020, OCC filed a proposed rule change to expand the use of the Synthetic Futures Model to CFE's AMERIBOR Futures.^[12] On September 30, 2020, OCC filed another proposed rule change to further expand the use of the Synthetic Futures Model to Treasury yield index futures.^[13] On April 29, 2021, OCC filed another proposed rule change to extend the use of the Synthetic Futures Model to futures linked to crude oil.^[14]

The Synthetic Futures Model would allow OCC to facilitate innovative futures products where the underlying assets are not actively traded contracts. In situations where the term structure of the futures market cannot be determined by referencing the underlying asset, this model employs risk factors derived from synthetic futures contracts to generate prices.

Proposed Changes

OCC now proposes to expand the use of the Synthetic Futures Model to additional futures products that may be listed by DCMs, provided the model is suitable for accurately representing the dynamics across the various tenors of these products. Specifically, OCC proposes revising its STANS Margins Methodology to clarify the intended scope and use of its Synthetic Futures Model to measure the risk of these futures within STANS. Under the proposed rule change, OCC also proposes removing any historical lists of in-scope products from its STANS Methodology Description of the Synthetic Futures Model. This is appropriate since some of the listed futures products no longer trade ( i.e., crude oil futures), while others now use a different model ( i.e., VIX futures). As outlined in the STANS Methodology Description, OCC would implement the model specifically for futures products where it is crucial to explicitly capture the dynamics of various tenors of the product. OCC believes that the Synthetic Futures Model would provide more appropriate margin coverage ^[15] for these futures products than other models in OCC's inventory.^[16]

Under the existing STANS Methodology Description, the Synthetic Futures Model would be used to construct a synthetic series of futures based on the daily historical returns of the contracts with approximately the same tenor as traded futures. The traded futures contracts would be mapped to the simulated return scenarios of the corresponding synthetics to produce theoretical prices. When market data is unavailable to construct the synthetic time-series of futures, such as the launch of new products or where the underlying is untraded or not investible ( i.e., the product cannot be replicated by static portfolios of traded contracts such as an index), proxy data from similar products or statistical methods would be used instead to calibrate the model parameters.^[17] OCC would reassess the underlying assumptions and statistical method used to generate the proxy data for these futures products once three months of market data are accumulated, and quarterly thereafter. Market data will completely replace the proxy data once OCC has sufficient time series to meet the minimum data requirements for calibration and estimation under the STANS Methodology.

Going forward, OCC's Financial Risk Management (“FRM”) Department would determine to employ the Synthetic Futures Model for futures ( printed page 45850) products consistent with OCC's existing Model Risk Management (“MRM”) Policy,^[18] which provides that FRM reviews new products in accordance with its Risk Methodology Development & Implementation Procedure to determine whether or not a new Risk Model ^[19] is required or if the use of an existing Risk Model is fit for purposes.^[20] OCC believes FRM is the appropriate decisionmaker for making such model selection determinations because the Quantitative Risk Management (“QRM”) business unit within FRM is responsible for, among other things, developing Risk Models such as the Synthetic Futures Model and monitoring the use and performance of such Risk Models according to relevant procedures. The MRM Policy further provides that FRM recommends approval to the Model Risk Working Group (“MRWG”) ^[21] subsequent to effective challenge and approval by OCC's second-line Model Risk Management business unit.^[22]

Specifically, QRM reviews all new products proposed to be listed by participant exchanges, including new futures contracts proposed to be listed by DCMs for which OCC provides clearance and settlement services. As part of this review process, QRM determines whether a current model in OCC's model inventory is appropriate for the product. For example, certain models in OCC's model inventory are specific to particular types of underlying interests, such as OCC's S&P 500 Implied Volatility Simulation Model.^[23] QRM makes such model selections for new products based on the consistency of the product specifications with the application of the STANS Methodology Description and QRM's determination of the appropriateness of the model's margin treatment for the product. To the extent that any changes to the STANS Methodology Description would be required, or if clearance of the product using existing models would materially affect the nature or level of risk presented by OCC, OCC would file such changes with the Commission following approval of such changes by OCC's Risk Committee in accordance with the existing MRM Policy.^[24]

2. Statutory Basis

OCC believes the proposed rule change is consistent with Section 17A of the Exchange Act ^[25] and Rule 17ad-22(e)(6) ^[26] thereunder applicable to OCC. Section 17A(b)(3)(F) of the Act ^[27] requires, in part, that the rules of a clearing agency be designed to promote the prompt and accurate clearance and settlement of securities transactions, and to assure the safeguarding of securities and funds which are in the custody or control of the clearing agency or for which it is responsible. The proposed rule change would make minor changes to OCC's Margins Methodology so that the Synthetic Futures Model can be used to model price returns for certain futures products. OCC believes the Synthetic Futures Model may provide better margin coverage for these products than other margin models maintained by OCC. OCC uses the margin it collects from a defaulting Clearing Member to protect other Clearing Members from losses and ensure that OCC is able to continue the prompt and accurate clearance and settlement of its cleared products. Moreover, OCC believes that accurate calculation of margin requirements is necessary to help OCC manage the risk of a Clearing Member default without recourse to the assets of non-defaulting Clearing Members, which supports the safeguarding of securities and funds in OCC's custody or control. OCC therefore believes that the proposed rule change is designed to promote the prompt and accurate clearance and settlement of derivative transactions in accordance with Section 17A(b)(3)(F) of the Act.^[28]

Exchange Act Rules 17ad-22(e)(6)(i), (iii), and (v) ^[29] further require that a covered clearing agency establish, implement, maintain and enforce written policies and procedures reasonably designed to cover its credit exposures to its participants by establishing a risk-based margin system that, among other things: (1) considers, and produces margin levels commensurate with, the risks and particular attributes of each relevant product, portfolio, and market; (2) calculates margin sufficient to cover its potential future exposure to participants in the interval between the last margin collection and the close out of positions following a participant default; and (3) uses an appropriate method for measuring credit exposure that accounts for relevant product risk factors and portfolio effects across products. OCC believes that using the Synthetic Futures Model for certain futures products would produce margin levels commensurate with the risks and particular attributes of the products in question, generate margin requirements to cover OCC's potential future exposure to its participants, and appropriately consider relevant product risk factors for these futures products. In this way, OCC believes the proposed rule change is consistent with the requirements of Rules 17ad-22(e)(6)(i), (iii), and (v).^[30]

(B) Clearing Agency's Statement on Burden on Competition

Section 17A(b)(3)(I) of the Act ^[31] requires that the rules of a clearing agency not impose any burden on competition, not necessary or appropriate in furtherance of the purposes of the Act. OCC does not believe that the proposed rule changes would have any impact or impose a burden on competition. The Synthetic Futures Model would be used to model returns for certain futures products for all Clearing Members upon the launch of new products. OCC does not believe that the proposed rule change would ( printed page 45851) unfairly inhibit access to OCC's services or disadvantage or favor any particular participant in relationship to another participant. Accordingly, OCC does not believe that the proposed rule change would have any impact or impose a burden on competition.

(C) Clearing Agency's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others

Written comments were not and are not intended to be solicited with respect to the proposed change and none have been received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action

The foregoing rule change has become effective pursuant to Section 19(b)(3)(A) of the Act ^[32] and paragraph (f) of Rule 19b-4 ^[33] thereunder. At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act.

The proposal shall not take effect until all regulatory actions required with respect to the proposal are completed.^[34]

IV. Solicitation of Comments

Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

• Use the Commission's internet comment form (https://www.sec.gov/​rules/​sro.shtml); or
• Send an email torule-comments@sec.gov. Please include file number SR-OCC-2026-006 on the subject line.

Paper Comments

• Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to file number SR-OCC-2026-006. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website ( https://www.sec.gov/​rules/​sro.shtml). Copies of such filing will be available for inspection and copying at the principal office of OCC and on OCC's website at https://www.theocc.com/​Company-Information/​Documents-and-Archives/​By-Laws-and-Rules. Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to File Number SR-OCC-2026-006 and should be submitted on or before August 11, 2026.