68698 Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A). 

4 17 CFR 240.19b–4(f)(1). 

5The Integrated Spread Response Parameters 

capture credit spread and recovery rate fluctuations 

and is computed by creating profit/loss 

distributions from a set of jointly simulated 

hypothetical credit spread and recovery rate 

scenarios, such as Monte Carlo Value at Risk. The 

Integrated Spread Response Parameters are 

categorized into Univariate, Multivariate and AntiProcyclicality Level Parameters. 

6With respect to credit default swap contracts, 

each underlying index, sub-index or single name 

reference entity is deemed a separate ‘‘Risk Factor.’’ 

7A Market (Sub-Portfolio) Group consists of Risk 

Factors that share similar market and risk profile 

characteristics such as geographical locations, hours 

of trading activity and stress periods. 

8Master Document Transaction Types refers to 

the ‘‘Transaction Types’’ identified by the 

International Swaps and Derivatives Association, 

Inc. (IDSA) in the publication of their Credit 

Derivatives Physical Settlement Matrix. 

9 15 U.S.C. 78q–1. 

10 17 CFR 240.17Ad–22. 

11 15 U.S.C. 78q–1(b)(3)(F). 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98603; File No. SR–ICC– 

2023–011] 

Self-Regulatory Organizations; ICE 

Clear Credit LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Relating to the ICC Risk 

Parameter Setting and Review Policy 

Framework 

September 28, 2023. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934,1 and 

Rule 19b–4,2 notice is hereby given that 

on September 27, 2023, ICE Clear Credit 

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

and Exchange Commission the proposed 

rule change as described in Items I, II 

and III below, which Items have been 

primarily prepared by ICC. ICC filed the 

proposed rule change pursuant to 

Section 19(b)(3)(A) 3 of the Act and Rule 

19b–4(f)(1) thereunder,4 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, 

security-based swap submission, or 

advance notice from interested persons. 

I. Clearing Agency’s Statement of the 

Terms of Substance of the Proposed 

Rule Change 

ICC proposes a rule change to update 

the ICC Risk Parameter Setting and 

Review Policy Framework (‘‘RPSRP’’). 

These revisions do not require any 

changes to the ICC Clearing Rules (the 

‘‘Rules’’). 

II. Clearing Agency’s Statement of the 

Purpose of, and Statutory Basis for, the 

Proposed Rule Change 

In its filing with the Commission, ICC 

included statements concerning the 

purpose of and basis for the proposed 

rule change, security-based swap 

submission, or advance notice and 

discussed any comments it received on 

the proposed rule change, securitybased swap submission, or advance 

notice. The text of these statements may 

be examined at the places specified in 

Item IV below. ICC 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 

(a) Purpose 

ICC proposes to revise its RPSRP, 

which describes the process of setting 

and reviewing the risk management 

model core parameters and the 

performance of sensitivity analysis 

related to certain parameter settings. 

The parameters set and calibrated 

pursuant to the RPSRP are used in ICC’s 

risk methodology in certain calculations 

including, without limitation, initial 

margin and guaranty fund requirements, 

as described in the ICC Risk 

Management Model Description 

document and the ICC Risk 

Management Framework. ICC believes 

that such revisions will facilitate the 

prompt and accurate clearance and 

settlement of securities transactions and 

derivative agreements, contracts, and 

transactions for which it is responsible. 

ICC proposes to make such changes 

effective following Commission 

approval of the proposed rule change. 

The proposed revisions are described in 

detail as follows. 

ICC proposes to revise the RPSRP to 

add clarifying language and more detail 

as to how a particular parameter is 

calculated in response to a recent 

independent validator recommendation. 

Such proposed revisions do not 

represent a change in the calculation of 

any parameter set under the RPSRP. 

Specifically, ICC proposes to revise 

RPSRP Section 1.7.1. ‘‘Univariate Level 

Parameters,’’ which contains a 

description of ICC’s process of setting 

and reviewing the Univariate Level 

Parameters, which are the standardized 

distributions that describe the random 

fluctuations of the credit spread logreturns which are calibrated daily. The 

Univariate Level Parameters are a 

category of the ‘‘Integrated Spread 

Response Parameters’’ model 

component.5 ICC proposes to provide 

more details to the Univariate Level 

Parameters with respect to the 

estimation of the stress period mean 

absolute deviation (‘‘MAD’’). The 

proposed revision consists of providing 

details on the determination of the 

stress period MAD, which is the period 

that corresponds to the peak sample 

MAD estimate based on 250 

observations over the most actively 

traded tenor historical dataset, during 

which the majority of the Risk Factors 6

belonging to a ‘‘Market (Sub-portfolio) 

Group’’ 7 exhibited their highest stress 

MAD levels. The revisions are intended 

to provide enhanced details of the stress 

period MAD calculation and how such 

stress periods are selected across Risk 

Factors, but such revisions do not 

represent a change in the calculation of 

the Univariate Level Parameters. 

Also, ICC proposes the addition of 

Table 2 to Section 1.7.1. of the RPSRP 

to provide an illustration of Market 

(Sub-portfolio) Group compositions 

across several Master Document 

Transaction Types 8 (‘‘MDTTs’’). The 

purpose of Table 2 is to provide further 

details on the composition of the Market 

(Sub-portfolio) Groups by providing 

illustrative mapping of various Market 

(Sub-portfolio) Groups to the applicable 

MDTTs. Also, ICC has made conforming 

changes to Exhibit 5 [sic], to account for 

the addition of Table 2. Finally, ICC 

proposes to update the RPSRP revision 

history to reflect the proposed changes. 

(b) Statutory Basis 

ICC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 9

and the regulations thereunder 

applicable to it, including the applicable 

standards under Rule 17Ad–22.10 In 

particular, Section 17A(b)(3)(F) of the 

Act 11 requires, among other things, that 

the rules of a clearing agency be 

designed to promote the prompt and 

accurate clearance and settlement of 

securities transactions, and to the extent 

applicable, derivative agreements, 

contracts and transactions cleared by 

ICC; the safeguarding of securities and 

funds which are in the custody or 

control of ICC or for which it is 

responsible; and the protection of 

investors and the public interest. The 

proposed revisions to the RPSRP are 

limited to providing additional detail on 

the calculation of the stress period MAD 

which is used in the Univariate Level 

Parameters. ICC believes that the 

proposed additional details to the 


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Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices 68699 

12 Id. 

13 17 CFR 240.17Ad–22(e)(4)(ii). 

14 Id. 

15 17 CFR 240.17Ad–22(e)(4)(vi)(B). 

16 Id. 

17 17 CFR 240.17Ad–22(e)(6)(i). 

18 Id. 

19 15 U.S.C. 78s(b)(3)(A). 

20 17 CFR 240.19b–4(f). 

calculation of the stress period MAD 

enhance ICC policies, practices and 

procedures with respect to risk 

management. As such, the proposed 

rule change is designed to promote the 

prompt and accurate clearance and 

settlement of securities transactions, 

derivatives agreements, contracts, and 

transactions; to contribute to the 

safeguarding of securities and funds 

associated with security-based swap 

transactions in ICC’s custody or control, 

or for which ICC is responsible; and, in 

general, to protect investors and the 

public interest within the meaning of 

Section 17A(b)(3)(F) of the Act.12

Rule 17Ad–22(e)(4)(ii) 13 requires 

each covered clearing agency to 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed 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 the covered clearing 

agency in extreme but plausible market 

conditions. ICC believes that the 

proposed changes provide additional 

clarity and more detail on ICC’s current 

practices as to how a particular 

parameter is calculated in the RPSRP, 

which strengthens ICC’s process for 

reviewing and setting the model core 

parameters and, in turn, serves to 

promote the soundness of ICC’s risk 

management model and its ability to 

manage risks and maintain appropriate 

financial resources. Such changes 

enhance the readability and 

transparency of the RPSRP, which 

would strengthen the documentation 

and ensure that it remains up-to-date, 

clear, and transparent. As such, the 

proposed amendments would 

strengthen ICC’s ability to maintain its 

financial resources and withstand the 

pressures of defaults, consistent with 

the requirements of Rule 17Ad– 

22(e)(4)(ii).14

Rule 17Ad–22(e)(4)(vi)(B) 15 requires 

each covered clearing agency to 

establish, implement, maintain, and 

enforce written policies and procedures 

reasonably designed 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, including by conducting a 

comprehensive analysis on at least a 

monthly basis of underlying parameters 

and assumptions. Under the proposed 

changes, the RPSRP continues to 

provide a clear framework for ICC to set 

and review the risk management model 

core parameters and their underlying 

assumptions in the risk management 

model. The proposed changes provide 

additional clarity with respect to the 

Univariate Level Parameters associated 

with the integrated spread response 

model component. As such, ICC 

believes the proposed rule change is 

consistent with the requirements of Rule 

17Ad–22(e)(4)(vi)(B).16

Rule 17Ad–22(e)(6)(i) 17 requires each 

covered clearing agency to 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, at a minimum, considers, and 

produces margin levels commensurate 

with, the risks and particular attributes 

of each relevant product, portfolio, and 

market. As described above, the 

proposed clarifications would promote 

clarity and transparency in the 

documentation. In ICC’s view, the 

proposed changes thus enhance and 

strengthen ICC’s process for reviewing 

and setting the model core parameters, 

which in turn serves to promote the 

soundness of ICC’s risk management 

model and system, which will continue 

to consider and produce margin levels 

commensurate with the risks and 

particular attributes of each relevant 

product, portfolio, and market, 

consistent with the requirements of Rule 

17Ad–22(e)(6)(i).18

(B) Clearing Agency’s Statement on 

Burden on Competition 

ICC does not believe the proposed 

rule change would have any impact, or 

impose any burden, on competition. 

The proposed rule change to update the 

ICC RPSRP will apply uniformly across 

all market participants. Therefore, ICC 

does not believe the proposed rule 

change imposes any burden on 

competition that is inappropriate in 

furtherance of the purposes of the Act. 

(C) Clearing Agency’s Statement on 

Comments on the Proposed Rule 

Change Received From Members, 

Participants or Others 

Written comments relating to the 

proposed rule change have not been 

solicited or received. ICC will notify the 

Commission of any written comments 

received by ICC. 

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 19 and paragraph (f) of the 

Rule 19b–4 20 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. 

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 to rule-comments@

sec.gov. Please include file number SR– 

ICC–2023–011 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549. 

All submissions should refer to file 

number SR–ICC–2023–011. 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 


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68700 Federal Register / Vol. 88, No. 191 / Wednesday, October 4, 2023 / Notices 

21 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The Exchange initially filed the proposed fee 

changes on September 1, 2023 (SR–CBOE–2023– 

045). On September 25, 2023, the Exchange 

withdrew that filing and submitted this proposal. 

4See Cboe Global Markets U.S. Options Market 

Volume Summary (August 30, 2023), available at 

https://markets.cboe.com/us/options/market_

statistics/. 

5See e.g., NASDAQ Stock Market Rules, Options 

Rules, Options 7 Pricing Schedule, Sec. 2 Options 

Market—Fees and Rebates, Tiers 1–6; see also NYSE 

Arca Options, Fees and Charges, Customer Posting 

Credit Tiers in Non-Penny Issues. 

6See Cboe Options Fees Schedule, Footnote 36. 

7See Cboe Options Fees Schedule, Volume 

Incentive Program. 

8See Cboe Options Fees Schedule, Footnote 34. 

9See Cboe Options Fees Schedule, Footnote 47. 

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 such filings 

will also be available for inspection and 

copying at the principal office of ICE 

Clear Credit and on ICE Clear Credit’s 

website at https://www.ice.com/clearcredit/regulation. 

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–ICC–2023–011 and 

should be submitted on or before 

October 25, 2023. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.21

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2023–21944 Filed 10–3–23; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–98601; File No. SR–CBOE– 

2023–056] 

Self-Regulatory Organizations; Cboe 

Exchange, Inc.; Notice of Filing and 

Immediate Effectiveness of a Proposed 

Rule Change To Amend Its Fees 

Schedule 

September 28, 2023. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on 

September 25, 2023, Cboe Exchange, 

Inc. (the ‘‘Exchange’’ or ‘‘Cboe 

Options’’) filed with the Securities and 

Exchange Commission (the 

‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared by the Exchange. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Cboe Exchange, Inc. (the ‘‘Exchange’’ 

or ‘‘Cboe Options’’) proposes to amend 

its Fees Schedule. The text of the 

proposed rule change is provided in 

Exhibit 5. 

The text of the proposed rule change 

is also available on the Exchange’s 

website (http://www.cboe.com/ 

AboutCBOE/

CBOELegalRegulatoryHome.aspx), at 

the Exchange’s Office of the Secretary, 

and at the Commission’s Public 

Reference Room. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

Exchange 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. The 

Exchange has prepared summaries, set 

forth in sections A, B, and C below, of 

the most significant aspects of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to amend its 

Fees Schedule.3 The Exchange first 

notes that it operates in a highly 

competitive market in which market 

participants can readily direct order 

flow to competing venues if they deem 

fee levels at a particular venue to be 

excessive or incentives to be 

insufficient. More specifically, the 

Exchange is only one of 16 options 

venues to which market participants 

may direct their order flow. Based on 

publicly available information, no single 

options exchange has more than 19% of 

the market share.4 Thus, in such a lowconcentrated and highly competitive 

market, no single options exchange 

possesses significant pricing power in 

the execution of option order flow. The 

Exchange believes that the ever-shifting 

market share among the exchanges from 

month to month demonstrates that 

market participants can shift order flow 

or discontinue or reduce use of certain 

categories of products, in response to fee 

changes. Accordingly, competitive 

forces constrain the Exchange’s 

transaction fees, and market participants 

can readily trade on competing venues 

if they deem pricing levels at those 

other venues to be more favorable. In 

response to the competitive 

environment, the Exchange offers tiered 

pricing in its Fees Schedule, like that of 

other options exchanges fees 

schedules,5 which provides Trading 

Permit Holders (‘‘TPHs’’) opportunities 

to qualify for higher rebates or reduced 

fees where certain volume criteria and 

thresholds are met. Tiered pricing 

provides an incremental incentive for 

TPHs to strive for higher tier levels, 

which provides increasingly higher 

benefits or discounts for satisfying 

increasingly more stringent criteria. 

Customer Volume Incentive Program 

and Affiliated Volume Plan 

The Exchange proposes to amend the 

Customer Volume Incentive Program 

(‘‘VIP’’) and the Affiliated Volume Plan 

(‘‘AVP’’). Under the VIP, the Exchange 

credits each TPH the per contract 

amount set forth in the VIP table for 

Public Customer (origin code ‘‘C’’) 

orders transmitted by TPHs (with 

certain exceptions) 6 and executed 

electronically on the Exchange, 

provided the TPH meets certain volume 

thresholds in a month; volume for 

Professional Customers (origin code 

‘‘U’’), Broker-Dealers (origin code ‘‘B’’), 

and Joint Back-Offices (‘‘JBO’’) (origin 

code ‘‘J’’) orders are counted toward 

reaching such thresholds.7 Specifically, 

the percentage thresholds are calculated 

based on the percentage of national 

customer volume in all underlying 

symbols excluding Underlying Symbol 

List A,8 Sector Indexes,9 the Dow Jones 

Industrial Average Index (‘‘DJX’’), the 

Mini Russell 2000 Index (‘‘MRUT’’), the 

MSCI EAFE Index (‘‘MXEA’’), the MSCI 

Emerging Market Index (‘‘MXEF’’), the 

Mini S&P 500 Index (‘‘NANOS’’), MiniSPX Index (‘‘XSP’’) and FLEX Micros 

entered and executed over the course of 

the month. VIP offers rates for both 


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