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 


lotter on DSK11XQN23PROD with NOTICES1
67406 Federal Register / Vol. 88, No. 188 / Friday, September 29, 2023 / Notices 

8 15 U.S.C. 78s(b)(2)(C). 

9 15 U.S.C. 78q–1(b)(3)(F). 

10 17 CFR 240.17Ad–22(e)(4)(ii) and (vi). 

11 15 U.S.C. 78q–1(b)(3)(F). 

12 Id. 

13 17 CFR 240.17Ad–22(e)(4)(ii). 

14 17 CFR 240.17Ad–22(e)(4)(vi). 

15 17 CFR 240.17Ad–22(e)(4)(ii). 

16 17 CFR 240.17Ad–22(e)(4)(ii) and (vi). 

17 15 U.S.C. 78q–1(b)(3)(F). 

18 17 CFR 240.17Ad–22(e)(4)(ii) and (vi). 

19 15 U.S.C. 78s(b)(2). 

20 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

set an internal start date for the ‘‘2022/ 

2023 inflation’’ crisis period. However, 

as the 2022–2023 period of volatility 

remains ongoing, ICC states that it will 

continue to monitor interest rate 

volatility for any new volatility peak 

observed in the current ‘‘2022/2023 

inflation’’ crisis period for the defaultfree Euro discount interest curve. 

Additionally, ICC proposes to make 

an analogous clarifying language change 

to the identification of the default-free 

U.S. Dollar discount interest rate curve 

in Section 11 of the STF. Specifically, 

the proposed change would remove the 

exact start and end dates of the credit 

crisis period from Section 11 and 

replace them with the description 

written as the ‘‘2008/2009’’ credit crisis 

period. The exact start and end dates of 

the ‘‘2008/2009’’ credit crisis period are 

listed in Section 5 of STF and would 

remain unchanged. This proposed rule 

change would not alter the time span or 

affect any other characteristic of the 

parameter covering the ‘‘2008/2009’’ 

credit crisis period for the default-free 

U.S. Dollar discount interest rate curve. 

III. Discussion and Commission 

Findings 

Section 19(b)(2)(C) of the Act directs 

the Commission to approve a proposed 

rule change of a self-regulatory 

organization if it finds that such 

proposed rule change is consistent with 

the requirements of the Act and the 

rules and regulations thereunder 

applicable to such organization.8 For the 

reasons discussed below, the 

Commission finds that the proposed 

rule change is consistent with Section 

17A(b)(3)(F) of the Act 9 and Rule 17Ad22(e)(4)(ii) and (vi) thereunder.10

A. Consistency With Section 

17A(b)(3)(F) of the Act 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of ICC be designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions 

and, to the extent applicable, derivative 

agreements, contracts, and 

transactions.11

The proposed rule change would 

update the period covering the defaultfree Euro discount interest curve, which 

is part of the interest rate sensitivity 

analysis applied to several of ICC’s 

stress-testing scenarios in its STF. 

Specifically, the proposed 2022/2023 

inflation crisis period, which is ongoing, 

has exhibited greater interest rate 

volatility than that observed during the 

2011–2012 western European credit 

crisis period. The Commission believes 

that this proposed rule change would 

provide a more accurate magnitude of 

the largest shock to the applicable 

sovereign debt used as part of the 

parameters underlying ICC’s stress 

scenarios. Recalibrating the magnitude 

of the largest shock would enhance 

ICC’s ability to identify and measure the 

risk of a credit exposure to defaulting 

Clearing Participants, which should, in 

turn, increase the likelihood that ICC 

calculates and collects sufficient 

financial resources to mitigate this 

potential exposure and enhance ICC’s 

ability to manage a default by 

continuing to promptly and accurately 

clear and settle securities transactions. 

Additionally, ICC’s proposal to 

streamline the description of the 2008/ 

2009 credit crisis period applicable to 

the default-free U.S. dollar interest rate 

curve would provide consistency to the 

language relevant to the interest rate 

sensitivity analysis in the STF. This, in 

turn, would assist in facilitating the 

execution of the various stress tests, 

thus helping to ensure the adequacy of 

systemic risk protections through 

appropriate financial resource collection 

during a Clearing Participant default, 

and promoting the prompt and accurate 

clearance and settlement of securities 

transactions. 

For these reasons, the Commission 

believes the proposed rule changes are 

consistent with Section 17A(b)(3)(F) of 

the Act.12

B. Consistency With Rule 17Ad– 

22(e)(4)(ii) and (vi) 

Rule 17Ad–22(e)(4)(ii) requires ICC to 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed, as applicable, to 

effectively identify, measure, monitor, 

and manage its credit exposures to 

participants and those arising from its 

payment, clearing, and settlement 

processes, including by maintaining 

additional financial resources at the 

minimum to enable it to cover a wide 

range of foreseeable stress scenarios that 

include, but are not limited to, the 

default of the two participant families 

that would potentially cause the largest 

aggregate credit exposure for ICC in 

extreme but plausible market 

conditions.13 Rule 17Ad–22(e)(4)(vi) 14

requires ICC to establish, implement, 

maintain, and enforce written policies 

and procedures reasonably designed, as 

applicable, to effectively identify, 

measure, monitor, and manage its credit 

exposures to participants and those 

arising from its payment, clearing, and 

settlement processes, including by 

testing the sufficiency of its total 

financial resources available to meet the 

minimum financial resource 

requirements of Rule 17Ad– 

22(e)(4)(ii).15

The Commission believes that 

replacing the 2011–2012 western 

European credit crisis period with the 

2022/2023 inflation crisis period 

relating to the default-free Euro discount 

interest rate curve used for interest rate 

sensitivity analysis would provide a 

more effective measurement of the 

required shock in stress testing. This 

updated measurement may better ensure 

ICC’s ability to monitor and manage its 

credit exposures and to maintain 

additional financial resources to enable 

it to cover a wide range of foreseeable 

stress scenarios. Likewise, the 

Commission believes that the simplified 

description of the 2008/2009 credit 

crisis period applicable to the defaultfree U.S. dollar interest rate curve 

would enhance the readability and 

usability of the STF, thereby enhancing 

the documentation for its users and 

helping ensure that it remains 

transparent and consistent to support 

the effectiveness of ICC’s risk 

management system. 

For these reasons, the Commission 

believes that the proposed rule changes 

are therefore consistent with the 

requirements of Rules 17Ad–22(e)(4)(ii) 

and (e)(4)(vi).16

IV. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act, and in 

particular, with the requirements of 

Section 17A(b)(3)(F) of the Act,17 and 

Rule 17Ad–22(e)(4)(ii) and (vi) 

thereunder.18

It is therefore ordered pursuant to 

Section 19(b)(2) of the Act 19 that the 

proposed rule change (SR–ICC–2023– 

012), be, and hereby is, approved.20


lotter on DSK11XQN23PROD with NOTICES1
Federal Register / Vol. 88, No. 188 / Friday, September 29, 2023 / Notices 67407 

21 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Securities Exchange Act Release No. 98213 

(Aug. 24, 2023), 88 FR 59968 (Aug. 30, 2023) (File 

No. SR–NSCC–2023–007) (‘‘Notice of Filing’’). 

4 15 U.S.C. 78s(b)(2)(i). 

5 15 U.S.C. 78 s(b)(2)(ii). 

6 Id. 

7 Id. 

8 17 CFR 200.30–3(a)(31). 

For the Commission, by the Division 

of Trading and Markets, pursuant to 

delegated authority.21

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–21340 Filed 9–28–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[SEC File No. 270–422, OMB Control No. 

3235–0471] 

Submission for OMB Review; 

Comment Request; Extension: Rule 

15c1–5 

Upon Written Request, Copies Available 

From: U.S. 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 15c1–5 (17 CFR 240.15c1–5) under 

the Securities Exchange Act of 1934 (15 

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

Rule 15c1–5 states that any brokerdealer controlled by, controlling, or 

under common control with the issuer 

of a security that the broker-dealer is 

trying to sell to or buy from a customer 

must give the customer written 

notification disclosing the control 

relationship at or before completion of 

the transaction. The Commission 

estimates that 175 respondents provide 

notifications annually under Rule 15c1– 

5 and that each respondent would 

spend approximately 10 hours per year 

complying with the requirements of the 

rule for a total burden of approximately 

1,750 hours per year. There is no 

retention period requirement under 

Rule 15c1–5. This Rule does not involve 

the collection of confidential 

information. 

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. 2023–21429 Filed 9–28–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98508; File No. SR–NCC– 

2023–007] 

Self-Regulatory Organizations; 

National Securities Clearing 

Corporation; Notice of Designation of 

Longer Period for Commission Action 

on Proposed Rule Change by National 

Securities Clearing Corporation To 

Modify the Amended and Restated 

Stock Options and Futures Settlement 

Agreement and Make Certain 

Revisions to the NSCC Rules 

September 25, 2023. 

On August 10, 2023, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 

Commission (‘‘Commission’’) the 

proposed rule change SR–OCC–2023– 

003 pursuant to Section 19(b) of the 

Securities Exchange Act of 1934 

(‘‘Exchange Act’’) 1 and Rule 19b–4 2

thereunder to modify the Amended and 

Restated Stock Options and Futures 

Settlement Agreement between NSCC 

and The Options Clearing Corporation 

and make certain related revisions to 

Rule 18, Procedure III and Addendum K 

of the NSCC Rules & Procedures. The 

proposed rule change was published for 

public comment in the Federal Register 

on August 30, 2023.3 The Commission 

has received no comments regarding the 

proposal described in the proposed rule 

change. 

Section 19(b)(2)(i) of the Exchange 

Act 4 provides that, within 45 days of 

the publication of notice of the filing of 

a proposed rule change, the Commission 

shall either approve the proposed rule 

change, disapprove the proposed rule 

change, or institute proceedings to 

determine whether the proposed rule 

change should be disapproved unless 

the Commission extends the period 

within which it must act as provided in 

Section 19(b)(2)(ii) of the Exchange 

Act.5 Section 19(b)(2)(ii) of the 

Exchange Act allows the Commission to 

designate a longer period for review (up 

to 90 days from the publication of notice 

of the filing of a proposed rule change) 

if the Commission finds such longer 

period to be appropriate and publishes 

its reasons for so finding, or as to which 

the self-regulatory organization 

consents.6

The 45th day after publication of the 

Notice of Filing is October 14, 2023. In 

order to provide the Commission with 

sufficient time to consider the Proposed 

Rule Change, the Commission finds that 

it is appropriate to designate a longer 

period within which to take action on 

the proposed rule change and therefore 

is extending this 45-day time period. 

Accordingly, the Commission, 

pursuant to Section 19(b)(2) of the 

Exchange Act,7 designates November 

28, 2023, as the date by which the 

Commission shall either approve, 

disapprove, or institute proceedings to 

determine whether to disapprove 

proposed rule change SR–NCC–2023– 

007. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–21345 Filed 9–28–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98505; File No. SR–OCC– 

2023–007] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Designation of Longer Period for 

Commission Action on Proposed Rule 

Change Concerning Modifications to 

the Amended and Restated Stock 

Options and Futures Settlement 

Agreement Between the Options 

Clearing Corporation and the National 

Securities Clearing Corporation 

September 25, 2023. 

On August 10, 2023, the Options 

Clearing Corporation (‘‘OCC’’) filed with 

the Securities and Exchange 


lotter on DSK11XQN23PROD with NOTICES1