30 Day Notice

Federal Register / Vol. 85, No. 167 / Thursday, August 27, 2020 / Notices
Rule 30b1–10, Form N–LIQUID, SEC File
No. 270–803, OMB Control No. 3235–
0754

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Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission (the
‘‘Commission’’) has submitted to the
Office of Management and Budget a
request for extension of the previously
approved collection of information
discussed below.
17 CFR 270.30b1–10 (Rule 30b1–10)
and 17 CFR 274.223 (Form N–LIQUID)
require open-end investment
companies, including exchange-traded
funds that redeem in kind (‘‘In-Kind
ETFs’’) but not including money market
funds, to file a current report on Form
N–LIQUID on a non-public basis when
certain events related to their liquidity
occur. The information reported on
Form N–LIQUID concerns events under
which more than 15% of a fund’s or InKind ETF’s net assets are, or become,
illiquid investments that are assets as
defined in 17 CFR 270.22e–4 (rule 22e–
4) and when holdings in illiquid
investments are assets that previously
exceeded 15% of a fund’s net assets
have changed to be less than or equal to
15% of the fund’s net assets.1 The
information reported on Form N–
LIQUID also regards events under which
a fund’s holdings in assets that are
highly liquid investments fall below the
fund’s highly liquid investment
minimum for more than 7 consecutive
calendar days. A report on Form N–
LIQUID is required to be filed, as
applicable, within one business day of
the occurrence of one or more of these
events.2
Based on staff analysis, we estimate
that the Commission receives an average
of 30 reports per year on Form N–
LIQUID.3 When filing a report on Form
N–LIQUID, staff estimates that a fund
will spend on average approximately 4
hours of an in-house attorney’s time and
1 hour of an in-house accountant’s time
to prepare, review, and submit Form N–
LIQUID, at a total time cost of $1,894.4
1 See Item C.1 and Item C.2 of Part A of Form
N–LIQUID.
2 See General Instruction A.2 of Form N–LIQUID.
3 The estimated number of annual filings is based
on the number of filings in 2019, adjusted because
certain of these filings would no longer be
necessary going forward and a subset of funds were
not subject to the filing requirement for all of 2019.
4 This estimate is based on the following
calculations: (4 hours × $419/hour for an attorney
= $1,676), plus (1 hour × $218/hour for a senior
accountant = $218), for a combined total of 5 hours
at total time costs of $1,894. The estimates
concerning the wage rates for attorney and senior
accountant time are based on salary information for
the securities industry compiled by the Securities
Industry and Financial Markets Association. The
estimated wage figure is based on published rates

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Accordingly, in the aggregate, staff
estimates that compliance with rule
30b1–10 and Form N–LIQUID will
result in a total annual burden of
approximately 150 burden hours and
total annual time costs of approximately
$56,820.5
Compliance with rule 30b1–10 is
mandatory for all open-end investment
companies, other than money market
funds. Responses to the disclosure
requirements will be kept confidential.
The estimate of average burden hours is
made solely for the purposes of the
PRA. The estimate is not derived from
a comprehensive or even a
representative survey or study of the
costs of Commission rules. Complying
with this collection of information
requirement is necessary to enable the
Commission to receive information on
fund liquidity events more uniformly
and efficiently, and to enhance the
Commission’s oversight of funds when
significant liquidity events occur and its
ability to respond to market events. An
agency may not conduct or sponsor, and
a person is not required to respond to
a collection of information unless it
displays a currently valid 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
within 30 days of publication of this
notice to (i) www.reginfo.gov/public/do/
PRAMain and (ii) David Bottom,
Director/Chief Information Officer,
Securities and Exchange Commission,
c/o Cynthia Roscoe, 100 F Street NE,
Washington, DC 20549, or by sending an
email to: [email protected].
Dated: August 21, 2020.
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2020–18802 Filed 8–26–20; 8:45 am]
BILLING CODE 8011–01–P

for in-house attorneys and senior accountants,
modified to account for a 1,800-hour work-year and
inflation, and multiplied by 5.35 to account for
bonuses, firm size, employee benefits, and
overhead. See Securities Industry and Financial
Markets Association, Report on Management &
Professional Earnings in the Securities Industry
2013.
5 This estimate is based on the following
calculations: 30 reports filed per year × 5 hours per
report = approximately 150 total annual burden
hours. 30 reports filed per year × $1,894 in costs
per report = $56,820 total annual costs.

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53035

SECURITIES AND EXCHANGE
COMMISSION
[SEC File No. 270–777, OMB Control No.
3235–0729]

Submission for OMB Review;
Comment Request
Upon Written Request, Copies Available
From: Securities and Exchange
Commission, Office of FOIA Services,
100 F Street NE, Washington, DC
20549–2736
Extension:
Form N–CEN

Notice is hereby given that, pursuant
to the Paperwork Reduction Act of 1995
(44 U.S.C. 3501 et seq.), the Securities
and Exchange Commission (the
‘‘Commission’’) has submitted to the
Office of Management and Budget a
request for extension of the previously
approved collection of information
discussed below.
The title for the collection of
information is ‘‘Form N–CEN under the
Investment Company Act of 1940.’’
Form N CEN is used to collect annual,
census-type information for registered
funds. Filers must submit this report
electronically using the Commission’s
electronic filing system ‘‘(EDGAR’’) in
Extensible Markup Language (‘‘XML’’)
format. The purpose of Form N–CEN is
to satisfy the filing and disclosure
requirements of Section 30 of the
Investment Company Act, and of rule
30a–1 thereunder.
We estimate that the average annual
hour burden to complete the generally
applicable items on Form N–CEN
response will be 12.31 hours per year.
We estimate that the aggregate annual
hour burden to complete the generally
applicable items will be 34,899 hours
per year. We therefore estimate that
filers would have total average
annualized paperwork related expenses
related to complete the generally
applicable items of $12,249,496.35 for
reports on Form N–CEN. Additionally,
we estimate that filers will be required
to file 12,365 responses related to
liquidity risk management items on
Form N–CEN. We estimate that the
average annual hour burden of the
liquidity risk management items on
Form N–CEN will be one hour per
response per year, for an additional
average annual hour burden of 12,365
hours and average aggregate time costs
of $4,340,115. Additionally, we estimate
that filers will be required to file 9,854
responses regarding swing pricing. We
estimate that the average annual hour
burden as a result of the swing pricingrelated items on Form N–CEN will be an
additional 0.5 hour per fund per year for

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53036

Federal Register / Vol. 85, No. 167 / Thursday, August 27, 2020 / Notices

an average annual hour burden of 4,927
hours and average aggregate time costs
of $1,729,377. We estimate that filers
will be required to file 2,091 responses
regarding rule 6c–11. For these
responses related to rule 6c–11, we an
average annual hour burden of 0.1 hour
per response per year, for an average
annual hour burden of 209.1 hours and
average aggregate time costs of
$73,394.1.
We estimate that the total hour
burdens and time costs associated with
Form N–CEN, including the burdens
associated with the liquidity-related,
swing pricing-related, and rule 6c–11related items, will result in an average
annual hour burden of 52,397 hours and
average aggregate time costs of
$18,392,382.45.
The requirements of this collection of
information are mandatory. Responses
will not be kept confidential. An agency
may not conduct or sponsor, and a
person is not required to respond to a
collection of information unless it
displays a currently valid 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
within 30 days of publication of this
notice to (i) www.reginfo.gov/public/do/
PRAMain and (ii) David Bottom,
Director/Chief Information Officer,
Securities and Exchange Commission,
c/o Cynthia Roscoe, 100 F Street NE,
Washington, DC 20549, or by sending an
email to: [email protected].

SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–89639; File No. SR–ICC–
2020–009]

Self-Regulatory Organizations; ICE
Clear Credit LLC; Order Approving
Proposed Rule Change Relating to the
ICC Risk Management Framework, ICC
Risk Management Model Description,
ICC Risk Parameter Setting and
Review Policy, ICC Stress Testing
Framework, and ICC Liquidity Risk
Management Framework
August 21, 2020.

I. Introduction
On July 1, 2020, 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 1 and
Rule 19b–4,2 a proposed rule change to
make changes to ICC’s Risk Management
Framework (‘‘RMF’’), Risk Management
Model Description (‘‘RMMD’’), Risk
Parameter Setting and Review Policy
(‘‘RPSRP’’), Stress Testing Framework
(‘‘STF’’), and Liquidity Risk
Management Framework (‘‘LRMF’’). The
proposed rule change was published for
comment in the Federal Register on July
16, 2020.3 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
A. Updated Stress Scenario Naming
Conventions and Clarifications

[FR Doc. 2020–18803 Filed 8–26–20; 8:45 am]

The proposed rule change would
update certain stress scenario naming
conventions to be more generic, i.e., by
replacing naming conventions for stress
scenarios associated with the Lehman
Brothers (‘‘LB’’) default with more
generic naming conventions associated
with extreme price increases and
decreases (the ‘‘Extreme Price Change
Scenarios’’).

BILLING CODE 8011–01–P

1. Risk Management Framework

Dated: August 21, 2020.
J. Matthew DeLesDernier,
Assistant Secretary.

The proposed rule change would
replace references to the LB default in
the RMF with more generic references to
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1 15

U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Self-Regulatory Organizations; ICE Clear Credit
LLC; Notice of Proposed Rule Change Relating to
the ICC Risk Management Framework, ICC Risk
Management Model Description, ICC Risk
Parameter Setting and Review Policy, ICC Stress
Testing Framework, and ICC Liquidity Risk
Management Framework, Exchange Act Release No.
89286 (July 10, 2020); 85 FR 43272 (July 16, 2020)
(SR–ICC–2020–009).
2 17

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extreme market events. In particular, to
achieve anti-procyclicality (‘‘APC’’) of
initial margin requirements and to
achieve APC of Guaranty Fund sizing,
Sections IV.B.1 and IV.E.1, respectively,
of the RMF discuss two price-based
scenarios, associated with price
decreases and increases, and currently
states that the considered stress price
changes are derived from market
behavior during and after the LB default
period. The proposed rule change
would replace the reference to the LB
default in both sections with a reference
to extreme market events, stating that
the considered stress price changes are
derived from extreme market events
related to the default of a large market
participant, global pandemic problem,
or regional or global economic crisis.
2. Risk Management Model Description
The proposed rule change would
incorporate the Extreme Price Change
Scenarios into the RMMD. Specifically,
the proposal would replace references
and notations to the scenarios
associated with the LB default with
references and notations to the Extreme
Price Change Scenarios in both the
Initial Margin and Guaranty Fund
Methodology sections.
The proposed rule change would
introduce the Extreme Price Change
Scenarios in Section VII.3.3, which
discusses APC measures. Currently, this
section examines instrument price
changes observed during the LB default.
The proposal would amend this section
by replacing references to the LB Default
with references to extreme market
events to examine instrument price
changes observed during extreme
market events rather than the LB Default
and would include considerations
related to the greatest price decreases
and increases over a number of
consecutive trading days during the
period of extreme market events. This
section would also state that the
Extreme Price Change Scenarios reflect
extreme market events related to the
default of a large market participant,
global pandemic problem, regional or
global economic crisis and would
explain how these scenarios are derived.
Moreover, this section would introduce
a factor that would be associated with
one of the Extreme Price Change
Scenarios and reference the RPSRP for
details on how it is set.
In the context of Index Swaptions, the
formulas used would also be updated to
reference the Extreme Price Change
Scenarios in Section VII.3.3 and minor
clarifications would be included for
certain descriptions associated with
option instruments in respect of the

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