67404 Federal Register / Vol. 88, No. 188 / Friday, September 29, 2023 / Notices 

22 17 CFR 200.30–3(a)(12). 

Electronic Comments 

• Use the Commission’s internet 

comment form (https://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number SR– 

CBOE–2023–053 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–CBOE–2023–053. 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 the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the principal office of the 

Exchange. 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–CBOE–2023–053 and should be 

submitted on or before October 20, 

2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.22

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–21347 Filed 9–28–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–824; OMB Control No. 

3235–0500] 

Submission for OMB Review; 

Comment Request; Extension: Rule 

608 

Upon Written Request, Copies Available 

From: Securities and Exchange 

Commission, Office of FOIA Services, 

100 F Street NE, Washington, DC 

20549–2736. 

Notice is hereby given that, pursuant 

to the Paperwork Reduction Act of 1995 

(‘‘PRA’’) (44 U.S.C. 3501 et seq.), the 

Securities and Exchange Commission 

(‘‘Commission’’) has submitted to the 

Office of Management and Budget 

(‘‘OMB’’) a request for approval of 

extension of the previously approved 

collection of information provided for in 

Rule 608 (17 CFR 242.608) under the 

Securities Exchange Act of 1934 (15 

U.S.C. 78a et seq.). 

Rule 608 specifies procedures for 

filing or amending national market 

system plans (‘‘NMS Plans’’). Selfregulatory organizations (‘‘SROs’’) filing 

a new NMS Plan must submit the text 

of the NMS Plan to the Commission, 

along with a statement of purpose, and, 

if applicable, specified supporting 

materials that may include: (1) a copy of 

all governing or constituent documents, 

(2) a description of the manner in which 

the NMS Plan, and any facility or 

procedure contemplated by the NMS 

Plan, will be implemented, (3) a listing 

of all significant phases of development 

and implementation contemplated by 

the NMS Plan, including a projected 

completion date for each phase, (4) an 

analysis of the competitive impact of 

implementing the NMS Plan, (5) a 

description of any written agreements or 

understandings between or among plan 

participants or sponsors relating to 

interpretations of the NMS Plan or 

conditions for becoming a plan 

participant or sponsor, and (6) a 

description of the manner in which any 

facility contemplated by the NMS Plan 

shall be operated. Participants or 

sponsors to the NMS Plan must ensure 

that a current and complete version of 

the NMS Plan is posted on a designated 

website or a plan website after being 

notified by the Commission that the 

NMS Plan is effective. Each plan 

participant or sponsor must also provide 

a link on its own website to the current 

website to the current version of the 

NMS Plan. 

The Commission estimates that the 

creation and submission of a new NMS 

Plan and any related materials would 

result in an average aggregate burden of 

approximately 850 hours per year (25 

SROs × 34 hours = 850 hours). The 

Commission further estimates an 

average aggregate burden of 

approximately 125 hours per year (25 

SROs × 5 hours = 125 hours), for each 

of the SROs to keep a current and 

complete version of the NMS Plan 

posted on a designated website or a plan 

website, and to provide a link to the 

current version of the NMS Plan on its 

own website. In addition, the 

Commission estimates that the creation 

of a new NMS Plan and any related 

materials would result in an average 

aggregate cost of approximately 

$150,000 per year (25 SROs × $6,000 = 

$150,000). 

SROs proposing to amend an existing 

NMS Plan must submit the text of the 

amendment to the Commission, along 

with a statement of purpose, and, if 

applicable, the supporting materials 

described above, as well as a statement 

that the amendment has been approved 

by the plan participants or sponsors in 

accordance with the terms of the NMS 

Plan. Participants or sponsors to the 

NMS Plan must ensure that any 

proposed amendments are posted to a 

designated website or a plan website 

after filing the amendments with the 

Commission and that those websites are 

updated to reflect the current status of 

the amendment and the NMS Plan. Each 

plan participant or sponsor must also 

provide a link on its own website to the 

current version of the NMS Plan. The 

Commission estimates that the creation 

and submission of NMS Plan 

amendments and any related materials 

would result in an average aggregate 

burden of approximately 11,050 hours 

per year (25 SROs × 442 hours = 11,050 

hours). The Commission further 

estimates an average aggregate burden of 

approximately 124 hours per year (25 

SROs × 4.94 hours = 123.5 hours 

rounded up to 124) for SROs to post any 

pending NMS Plan amendments to a 

designated website or a plan website 

and to update such websites to reflect 

the current status of the amendment and 

the NMS Plan. In addition, the 

Commission estimates that the creation 

of an NMS Plan amendment and any 

related materials would result in an 

average aggregate cost of approximately 

$325,000 per year (25 SROs × $13,000 

= $325,000). 

Finally, to the extent that a plan 

processor is required for any facility 

contemplated by a NMS Plan, the plan 

participants or sponsors must file with 

the Commission a statement identifying 

the plan processor selected, describing 

the material terms under which the plan 

processor is to serve, and indicating the 


lotter on DSK11XQN23PROD with NOTICES1
Federal Register / Vol. 88, No. 188 / Friday, September 29, 2023 / Notices 67405 

1See, e.g., 5 U.S.C. 552 et seq.; 15 U.S.C. 78x 

(governing the public availability of information 

obtained by the Commission). 

2See 17 CFR 240.17a–1(b). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3Self-Regulatory Organizations; ICE Clear Credit 

LLC; Notice of Filing of Proposed Rule Change 

Relating to the Stress Testing Framework; Exchange 

Act Release No. 98140 (Aug. 15, 2023); 88 FR 56899 

(Aug. 21, 2023) (File No. SR–ICC–2023–012) 

(‘‘Notice’’). 

4Capitalized terms not otherwise defined herein 

have the meanings assigned to them in ICC’s 

Clearing Rules. 

5Notice, at 56899. 

6 Id. 

7 Id. 

solicitation efforts, if any, for alternative 

plan processors, the alternatives 

considered, and the reasons for the 

selection of the plan processor. The 

Commission estimates that the 

preparation and materials related to the 

selection of a plan processor would 

result in an average aggregate burden of 

approximately 283 hours per year (25 

SROs × 11.33 hours = 283.33 rounded 

down to 233). In addition, the 

Commission estimates that the 

preparation and submission of materials 

related to the selection of a plan 

processor would result in an average 

aggregate cost of approximately $8,333 

per year (25 SROs × $333.33 = $8,333.33 

rounded down to $8,333). 

The above estimates result in a total 

annual industry burden of 

approximately 12,432 hours (850 + 125 

+ 11,050 + 124 + 283) and a total annual 

industry cost of approximately $483,333 

($150,000 + $325,000 + $8,333). 

Compliance with Rule 608 is 

mandatory. The text of the NMS Plans 

and any amendments will not be 

confidential but published on a 

designated website or a plan website. To 

the extent that Rule 608 requires the 

SROs to submit confidential information 

to the Commission, that information 

will be kept confidential subject to the 

provisions of applicable law.1 The SROs 

are required by law to retain the records 

and information that are collected 

pursuant to Rule 608 for a period of not 

less than 5 years, the first 2 years in an 

easily accessible place.2 Rule 608 does 

not affect this existing requirement. 

An agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

under the PRA unless it displays a 

currently valid OMB control number. 

The public may view background 

documentation for this information 

collection at the following website: 

www.reginfo.gov. Find this particular 

information collection by selecting 

‘‘Currently under 30-day Review—Open 

for Public Comments’’ or by using the 

search function. Written comments and 

recommendations for the proposed 

information collection should be sent by 

October 30, 2023 to (i) www.reginfo.gov/ 

public/do/PRAMain and (ii) David 

Bottom, Director/Chief Information 

Officer, Securities and Exchange 

Commission, c/o John Pezzullo, 100 F 

Street NE, Washington, DC 20549, or by 

sending an email to: PRA_Mailbox@

sec.gov. 

Dated: September 26, 2023. 

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–21427 Filed 9–28–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98496; File No. SR–ICC– 

2023–012] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Order Approving 

Proposed Rule Change Relating to the 

Stress Testing Framework 

September 25, 2023. 

I. Introduction 

On August 8, 2023, ICE Clear Credit 

LLC (‘‘ICC’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’),1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

update its Stress Testing Framework 

(‘‘STF’’). The proposed rule change was 

published for comment in the Federal 

Register on August 21, 2023.3 The 

Commission did not receive comments 

regarding the proposed rule change. For 

the reasons discussed below, the 

Commission is approving the proposed 

rule change. 

II. Description of the Proposed Rule 

Change 

ICC is registered with the Commission 

as a clearing agency for the purpose of 

clearing credit default swap (‘‘CDS’’) 

contracts. ICC clears CDS contracts for 

its members, which it refers to as 

Clearing Participants.4 Clearing CDS 

contracts for Clearing Participants 

presents certain risks to ICC, such as 

exposure to systemic risk, which may 

include, but is not limited to, historic 

and current market volatility, and 

fluctuating interest rates. ICC measures 

and attempts to protect against such 

systemic risk by performing stress tests 

and, at times, adjusting the parameters 

underlying these stress-testing 

scenarios. 

This proposed rule change aims to 

update two parameters incorporated 

into several of ICC’s stress-testing 

scenarios. The parameters relate to the 

interest rate sensitivity analysis applied 

to two sets of historically observed, 

extreme but plausible market scenarios 

described in ICC’s STF, and measure the 

magnitude of interest rate shocks during 

the applicable stressed periods used to 

estimate average haircut values of 

certain government securities. In 

particular, ICC proposes to change the 

stress period of the default-free Euro 

discount interest rate curve used in 

ICC’s interest rate sensitivity analysis 

and revise the description of the credit 

crisis period for the default-free U.S. 

Dollar discount interest rate curve. 

Currently under the STF, Section 11, 

which describes ICC’s interest rate 

sensitivity analysis, incorporates two 

currency-specific stress test parallel 

shifts (i.e., up and down) of the defaultfree discount interest rate for both CDS 

and CDS Index Options instruments. 

The magnitude of the interest rate stress 

scenarios reflects the largest shock, 

estimated using the collateral haircut 

model, during a selected stress period 

for the applicable sovereign debt. The 

current stress period of the default-free 

Euro discount interest rate curve 

references the ‘‘western European 

credit’’ crisis period and specifies exact 

start and end dates between 2011 and 

2012. The selected stress periods listed 

in Section 11 are subject to periodic 

review. Following such a review, ICC 

proposes to update the stress period 

used to shock the Euro default-free 

discount interest rate by replacing the 

current language with ‘‘2022/2023 

inflation’’ crisis period and not 

specifying start and end dates. 

ICC states that changing the stress 

period of the default-free Euro discount 

interest rate curve would more 

accurately reflect the current volatile 

interest rate period, which began in 

2022 and continues into 2023 due to the 

fast pace of U.S. Dollar and Euro interest 

rate increases.5 According to ICC, the 

impact to the Euro interest rate volatility 

has been significant because of the 

sudden and rapid increases in Euro 

interest rates by the European Central 

Bank in an effort to curb multi-decade 

high inflation.6 ICC indicates that the 

interest rate volatility observed during 

the ongoing ‘‘2022/2023 inflation’’ crisis 

period is greater than that observed 

during the 2011–2012 ‘‘western 

European credit’’ crisis period currently 

listed in the STF because the collateral 

haircuts observed in 2022–2023 exceed 

those detected in 2011–2012.7 ICC has 


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