30 Day Notice

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

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.

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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

22 17

CFR 200.30–3(a)(12).

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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

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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

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Federal Register / Vol. 88, No. 188 / Friday, September 29, 2023 / Notices
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.
1 See, e.g., 5 U.S.C. 552 et seq.; 15 U.S.C. 78x
(governing the public availability of information
obtained by the Commission).
2 See 17 CFR 240.17a–1(b).

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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
1 15

U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Self-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’’).
4 Capitalized terms not otherwise defined herein
have the meanings assigned to them in ICC’s
Clearing Rules.
2 17

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67405

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
5 Notice,

at 56899.

6 Id.
7 Id.

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