modifications to Rule 17Ad-22(e)(4) noted above will require updating
current policies and procedures or establishing new policies and

procedures to ensure compliance, the Commission estimates that
respondent clearing agencies will incur an aggregate one-time burden of
approximately 1,533 hours to review and revise existing policies and
procedures and to create new policies and procedures, as
necessary.\825\
---------------------------------------------------------------------------

    \823\ See supra Part II.C.4.
    \824\ See CCA Standards proposing release, supra note 5, at
29568. This figure was calculated as follows: ((Assistant General
Counsel for 60 hours) + (Compliance Attorney for 40 hours) + (Senior
Risk Management Specialist for 30 hours) + (Computer Operations
Manager for 45 hours) + (Chief Compliance Officer for 15 hours) +
(Senior Programmer for 10 hours)) = 200 hours x 7 respondent
clearing agencies = 1,400 hours.
    \825\ This figure was calculated as follows: ((Assistant General
Counsel for 74 hours) + (Compliance Attorney for 45 hours) + (Senior
Risk Management Specialist for 30 hours) + (Computer Operations
Manager for 45 hours) + (Chief Compliance Officer for 15 hours) +
(Senior Programmer for 10 hours)) = 219 hours x 7 respondent
clearing agencies = 1,533 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(4) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures developed in
response to the rule and ongoing activities with respect to testing the
sufficiency of its financial resources and performing the annual model
validation. Based on the Commission's previous estimates for ongoing
monitoring and compliance burdens with respect to Rule 17Ad-22,\826\
the Commission preliminarily estimated that the ongoing activities
required by proposed Rule 17Ad-22(e)(4) would impose an aggregate
annual burden on respondent clearing agencies of 420 hours.\827\
Because the modifications to Rule 17Ad-22(e)(4) noted above will
require updating current policies and procedures or establishing new
policies and procedures to ensure compliance, the Commission estimates
that the ongoing activities required by Rule 17Ad-22(e)(4) will impose
an aggregate annual burden on respondent clearing agencies of 434
hours.\828\
---------------------------------------------------------------------------

    \826\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \827\ See CCA Standards proposing release, supra note 5, at
29569. This figure was calculated as follows: ((Compliance Attorney
for 24 hours) + (Administrative Assistant for 3 hours) + (Senior
Business Analyst for 3 hours) + (Risk Management Specialist for 30
hours)) = 60 hours x 7 respondent clearing agencies = 420 hours.
    \828\ This figure was calculated as follows: ((Compliance
Attorney for 26 hours) + (Administrative Assistant for 3 hours) +
(Senior Business Analyst for 3 hours) + (Risk Management Specialist
for 30 hours)) = 62 hours x 7 respondent clearing agencies = 434
hours.
---------------------------------------------------------------------------

5. Rule 17Ad-22(e)(5)
    As described in Part IV.A.5, the Commission is adopting Rule 17Ad-
22(e)(5) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\829\
---------------------------------------------------------------------------

    \829\ See CCA Standards proposing release, supra note 5, at
29569.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(5) contains similar provisions to Rule 17Ad-
22(d)(3).\830\ The Commission therefore expects that a respondent
clearing agency has written rules, policies, and procedures
substantially similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing current policies
and procedures and revising them, where appropriate, pursuant to the
rule. For example, a respondent clearing agency may need to develop new
policies and procedures for an annual review of the sufficiency of its
collateral haircuts and concentration limits. Accordingly, based on the
similar policies and procedures requirements in and the Commission's
previous corresponding burden estimates for Rule 17Ad-22(d)(3),\831\
the Commission estimates that respondent clearing agencies will incur
an aggregate one-time burden of approximately 294 hours to review and
revise existing policies and procedures and to create new policies and
procedures, as necessary.\832\
---------------------------------------------------------------------------

    \830\ See 17 CFR 240.17Ad-22(d)(3); see also supra Part II.C.5.
    \831\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \832\ This figure was calculated as follows: ((Assistant General
Counsel for 16 hours) + (Compliance Attorney for 12 hours) + (Senior
Risk Management Specialist for 7 hours) + (Computer Operations
Manager for 7 hours)) = 42 hours x 7 respondent clearing agencies =
294 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(5) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to the written policies and procedures created
in response to the rule and also requires an annual review of
collateral haircuts and concentration limits. Based on the Commission's
previous estimates for ongoing monitoring and compliance burdens with
respect to Rule 17Ad-22,\833\ the Commission estimates that the ongoing
activities required by the rule imposes an aggregate annual burden on
respondent clearing agencies of 252 hours.\834\ The Commission notes
that the estimated ongoing burden for Rule 17Ad-22(e)(5) is similar to
the initial one-time burden because the rule requires policies and
procedures for a not-less-than-annual review of the sufficiency of a
covered clearing agency's collateral haircuts and concentration limits.
---------------------------------------------------------------------------

    \833\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \834\ This figure was calculated as follows: ((Compliance
Attorney for 6 hours) + (Risk Management Specialist for 30 hours)) =
36 hours x 7 respondent clearing agencies = 252 hours.
---------------------------------------------------------------------------

6. Rule 17Ad-22(e)(6)
    As described in Part IV.A.6, the Commission is adopting Rule 17Ad-
22(e)(6) with modifications. Because these modifications are only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. Therefore, the burden estimates described below are unchanged
from the CCA Standards proposing release.\835\
---------------------------------------------------------------------------

    \835\ See CCA Standards proposing release, supra note 5, at
29569.
---------------------------------------------------------------------------

    The Commission estimates that the PRA burdens for Rule 17Ad-
22(e)(6) are more significant than in other cases under Rule 17Ad-22(e)
and may require a respondent clearing agency to make substantial
changes to its written rules, policies, and procedures pursuant to the
rule.\836\ For example, Rule 17Ad-22(e)(6) requires one-time systems
adjustments to perform daily backtesting and monthly (or more frequent)
sensitivity analyses. As a result, the Commission preliminarily
estimated that respondent clearing agencies would incur an aggregate
one-time burden of 1,080 hours to review and revise existing policies
and procedures and to create new policies and procedures, as
necessary.\837\
---------------------------------------------------------------------------

    \836\ See id. at 29569 & n.469; see also supra Part II.C.6.
    \837\ This figure was calculated as follows: ((Assistant General
Counsel for 50 hours) + (Compliance Attorney for 40 hours) + (Senior
Risk Management Specialist for 25 hours) + (Computer Operations
Manager for 40 hours) + (Chief Compliance Officer for 15 hours) +
(Senior Programmer for 10 hours)) = 180 hours x 6 respondent
clearing agencies = 1,080 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(6) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to the written policies and procedures created
in response to the rule and activities associated with daily
backtesting, monthly (or more frequent) sensitivity analyses, and
annual model validation. Based on the Commission's previous estimates
for ongoing monitoring and compliance burdens with respect to Rule
17Ad-22,\838\ the Commission estimates that the ongoing activities
required by Rule 17Ad-22(e)(6) impose an aggregate annual burden on
respondent clearing agencies of 360 hours.\839\
---------------------------------------------------------------------------

    \838\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \839\ This figure was calculated as follows: ((Compliance
Attorney for 24 hours) + (Administrative Assistant for 3 hours) +
(Senior Business Analyst for 3 hours) + (Risk Management Specialist
for 30 hours)) = 60 hours x 6 respondent clearing agencies = 360
hours.

---------------------------------------------------------------------------

7. Rule 17Ad-22(e)(7)
    As described in Part IV.A.7, the Commission is adopting Rule 17Ad-
22(e)(7) with modifications. Because these modifications are only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. Therefore, the burden estimates described below are unchanged
from the CCA Standards proposing release.\840\
---------------------------------------------------------------------------

    \840\ See CCA Standards proposing release, supra note 5, at
29569-70.
---------------------------------------------------------------------------

    The Commission estimates that the PRA burdens for Rule 17Ad-
22(e)(7) are more significant than in other cases under Rule 17Ad-22(e)
and may require a respondent clearing agency to make substantial
changes to its written rules, policies, and procedures pursuant to the
rule.\841\ For example, Rule 17Ad-22(e)(7) requires one-time systems
adjustments to test the sufficiency of its liquid resources, test its
access to liquidity providers, and perform an annual model validation.
As a result, the Commission estimates that respondent clearing agencies
will incur an aggregate one-time burden of 2,310 hours to review and
revise existing policies and procedures and to create new policies and
procedures, as necessary.\842\
---------------------------------------------------------------------------

    \841\ See id. at 29569 & n.473; see also supra Part II.C.7.
    \842\ This figure was calculated as follows: ((Assistant General
Counsel for 95 hours) + (Compliance Attorney for 85 hours) + (Senior
Risk Management Specialist for 45 hours) + (Computer Operations
Manager for 60 hours) + (Chief Compliance Officer for 30 hours) +
(Senior Programmer for 15 hours)) = 330 hours x 7 respondent
clearing agencies = 2,310 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(7) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to policies and procedures created in response
to the rule as well as activities related to testing the sufficiency of
its liquidity resources, testing access to its liquidity providers, and
performing an annual model validation. Based on the Commission's
previous estimates for ongoing monitoring and compliance burdens with
respect to existing Rule 17Ad-22,\843\ the Commission estimates that
the ongoing activities required by Rule 17Ad-22(e)(7) impose an
aggregate annual burden on respondent clearing agencies of 896
hours.\844\
---------------------------------------------------------------------------

    \843\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \844\ This figure was calculated as follows: ((Compliance
Attorney for 48 hours) + (Administrative Assistant for 5 hours) +
(Senior Business Analyst for 5 hours) + (Risk Management Specialist
for 60 hours) + (Senior Risk Management Specialist for 10 hours)) =
128 hours x 7 respondent clearing agencies = 896 hours.
---------------------------------------------------------------------------

8. Rule 17Ad-22(e)(8)
    As described in Part IV.A.8, the Commission is adopting Rule 17Ad-
22(e)(8) with one modification. Because these modifications are only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. Therefore, the burden estimates described below are unchanged
from the CCA Standards proposing release.\845\
---------------------------------------------------------------------------

    \845\ See CCA Standards proposing release, supra note 5, at
29570.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(8) contains substantially similar provisions to
Rule 17Ad-22(d)(12).\846\ The Commission therefore expects that a
respondent clearing agency has written rules, policies, and procedures
substantially similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing current policies
and procedures and revising them, where appropriate, pursuant to the
rule. Accordingly, based on the similar provisions and the
corresponding burden estimates previously made by the Commission for
Rule 17Ad-22(d)(12),\847\ the Commission estimates that respondent
clearing agencies will incur an aggregate one-time burden of
approximately 84 hours to review and revise existing policies and
procedures.\848\
---------------------------------------------------------------------------

    \846\ See 17 CFR 240.17Ad-22(d)(12); see also supra Part II.C.8.
    \847\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \848\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Compliance Attorney for 6 hours) + (Senior
Business Analyst for 2 hours) + (Computer Operations Manager for 2
hours)) = 12 hours x 7 respondent clearing agencies = 84 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(8) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\849\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(8) impose an aggregate annual burden on respondent clearing
agencies of approximately 35 hours.\850\
---------------------------------------------------------------------------

    \849\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \850\ This figure was calculated as follows: (Compliance
Attorney for 5 hours) x 7 respondent clearing agencies = 35 hours.
---------------------------------------------------------------------------

9. Rule 17Ad-22(e)(9)
    As described in Part IV.A.9, the Commission is adopting Rule 17Ad-
22(e)(9) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\851\
---------------------------------------------------------------------------

    \851\ See CCA Standards proposing release, supra note 5, at
29570.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(9) contains substantially similar provisions to
Rule 17Ad-22(d)(5).\852\ The Commission therefore expects that a
respondent clearing agency has written rules, policies, and procedures
substantially similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing current policies
and procedures and revising them, where appropriate, pursuant to the
rule. Accordingly, based on the similar provisions and the
corresponding burden estimates previously made by the Commission for
Rule 17Ad-22(d)(5),\853\ the Commission estimates that respondent
clearing agencies will incur an aggregate one-time burden of
approximately 84 hours to review and revise existing policies and
procedures.\854\
---------------------------------------------------------------------------

    \852\ See 17 CFR 240.17Ad-22(d)(5); see also supra Part II.C.9.
    \853\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \854\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Compliance Attorney for 6 hours) + (Senior
Business Analyst for 2 hours) + (Computer Operations Manager for 2
hours)) = 12 hours x 7 respondent clearing agencies = 84 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(9) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\855\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(9) impose an aggregate annual burden on respondent clearing
agencies of approximately 35 hours.\856\
---------------------------------------------------------------------------

    \855\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \856\ This figure was calculated as follows: (Compliance
Attorney for 5 hours) x 7 respondent clearing agencies = 35 hours.
---------------------------------------------------------------------------

10. Rule 17Ad-22(e)(10)
    As described in Part IV.A.10, the Commission is adopting Rule 17Ad-
22(e)(10) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\857\
---------------------------------------------------------------------------

    \857\ See CCA Standards proposing release, supra note 5, at
29570.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(10) contains substantially similar provisions to
Rule 17Ad-22(d)(15).\858\ The Commission

therefore expects that a respondent clearing agency has written rules,
policies, and procedures substantially similar to the requirements in
the rule and that the PRA burden includes the incremental burdens of
reviewing current policies and procedures and revising them, where
appropriate, pursuant to the rule. Accordingly, based on the similar
provisions and the corresponding burden estimates previously made by
the Commission for Rule 17Ad-22(d)(15),\859\ the Commission estimates
that respondent clearing agencies will incur an aggregate one-time
burden of approximately 84 hours to review and revise existing policies
and procedures.\860\
---------------------------------------------------------------------------

    \858\ See 17 CFR 240.17Ad-22(d)(15); see also supra Part
II.C.10.
    \859\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \860\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Compliance Attorney for 6 hours) + (Senior
Business Analyst for 2 hours) + (Computer Operations Manager for 2
hours)) = 12 hours x 7 respondent clearing agencies = 84 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(10) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\861\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(10) impose an aggregate annual burden on respondent clearing
agencies of approximately 35 hours.\862\
---------------------------------------------------------------------------

    \861\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \862\ This figure was calculated as follows: (Compliance
Attorney for 5 hours) x 7 respondent clearing agencies = 35 hours.
---------------------------------------------------------------------------

11. Rule 17Ad-22(e)(11)
    As described in Part IV.A.11, the Commission is adopting Rule 17Ad-
22(e)(11) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\863\
---------------------------------------------------------------------------

    \863\ See CCA Standards proposing release, supra note 5, at
29570-71.
---------------------------------------------------------------------------

    With respect to Rule 17Ad-22(e)(11), a respondent clearing agency
is a registered clearing agencies that provides CSD services. Because
Rule 17Ad-22(e)(11) contains similar provisions to Rule 17Ad-
22(d)(10),\864\ the Commission expects that such clearing agencies
generally have written rules, policies, and procedures similar to the
requirements imposed under the rule. Rule 17Ad-22(e)(11) also imposes
additional requirements that do not appear in Rule 17Ad-22, and
accordingly a covered clearing agency providing CSD services may need
to review and revise its policies and procedures or create new policies
and procedures, as necessary, as necessary, pursuant to the rule. Based
on the similar policies and procedures requirements and the
corresponding burden estimates made by the Commission for Rule 17Ad-
22(d)(10),\865\ the Commission estimates that the respondent clearing
agency will incur a one-time burden of approximately 55 hours to review
and revise existing policies and procedures and create new policies and
procedures, as necessary.\866\
---------------------------------------------------------------------------

    \864\ See 17 CFR 240.17Ad-22(d)(10); see also supra Part
II.B.11.
    \865\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \866\ This figure was calculated as follows: ((Assistant General
Counsel for 20 hours) + (Compliance Attorney for 10 hours) +
(Intermediate Accountant for 15 hours) + (Senior Business Analyst
for 5 hours) + (Computer Operations Manager for 5 hours)) = 55 hours
x 1 respondent clearing agency = 55 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(11) also imposes ongoing burdens on the respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\867\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(11) impose a total annual burden on the respondent clearing
agency of approximately 8 hours.\868\
---------------------------------------------------------------------------

    \867\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \868\ This figure was calculated as follows: (Compliance
Attorney for 8 hours) x 1 respondent clearing agency = 8 hours.
---------------------------------------------------------------------------

12. Rule 17Ad-22(e)(12)
    As described in Part IV.A.12, the Commission is adopting Rule 17Ad-
22(e)(12) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\869\
---------------------------------------------------------------------------

    \869\ See CCA Standards proposing release, supra note 5, at
29571.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(12) contains substantially similar provisions to
Rule 17Ad-22(d)(13).\870\ The Commission therefore expects that a
respondent clearing agency has written rules, policies, and procedures
substantially similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing current policies
and procedures and revising them, where appropriate, pursuant to the
rule. Accordingly, based on the similar provisions and the
corresponding burden estimates previously made by the Commission for
Rule 17Ad-22(d)(13),\871\ the Commission estimates that respondent
clearing agencies will incur an aggregate one-time burden of
approximately 84 hours to review and revise existing policies and
procedures.\872\
---------------------------------------------------------------------------

    \870\ See 17 CFR 240.17Ad-22(d)(13); see also supra Part
II.C.12.
    \871\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \872\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Compliance Attorney for 6 hours) + (Senior
Business Analyst for 2 hours) + (Computer Operations Manager for 2
hours)) = 12 hours x 7 respondent clearing agencies = 84 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(12) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\873\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(12) impose an aggregate annual burden on respondent clearing
agencies of approximately 35 hours.\874\
---------------------------------------------------------------------------

    \873\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \874\ This figure was calculated as follows: (Compliance
Attorney for 5 hours) x 7 respondent clearing agencies = 35 hours.
---------------------------------------------------------------------------

13. Rule 17Ad-22(e)(13)
    As described in Part IV.A.13, the Commission is adopting Rule 17Ad-
22(e)(13) with modifications. The burden estimates for the rule, as
described below, have been modified from the preliminary estimates in
the CCA Standards proposing release to reflect that Rules 17Ad-
22(e)(13)(i) and (ii) are being adopted under Rule 17Ad-22(e)(4) as new
Rules 17Ad-22(e)(4)(viii) and (ix).\875\
---------------------------------------------------------------------------

    \875\ See supra note 822.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(13) requires a respondent clearing agency to have
written policies and procedures reasonably designed to address
participant default and ensure that the clearing agency can contain
losses and liquidity demands and continue to meet its obligations. Rule
17Ad-22(e)(13) contains similar provisions to Rule 17Ad-22(d)(11) but
also imposes additional requirements that do not appear in Rule 17Ad-
22.\876\ The Commission therefore expects that a respondent clearing
agency may have written rules, policies, and procedures similar to some
requirements in the rule and that the PRA burden includes the
incremental burdens of reviewing and

revising existing policies and procedures pursuant to Rule 17Ad-
22(e)(13) and creating new policies and procedures, as necessary.
Accordingly, based on the similar policies and procedures requirements
and the corresponding burden estimates previously made by the
Commission for Rule 17Ad-22(d)(11),\877\ the Commission preliminarily
estimated that respondent clearing agencies would incur an aggregate
one-time burden of approximately 420 hours to review and update
existing policies and procedures and to create new policies and
procedures, as necessary.\878\ Because the modifications to Rule 17Ad-
22(e)(13) noted above will require updating current policies and
procedures or establishing new policies and procedures to ensure
compliance, the Commission estimates that respondent clearing agencies
will incur an aggregate one-time burden of approximately 287 hours to
review and revise existing policies and procedures and to create new
policies and procedures, as necessary.\879\
---------------------------------------------------------------------------

    \876\ See 17 CFT 240.17Ad-22(d)(11); see also supra Part
II.C.13.
    \877\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \878\ See CCA Standards proposing release, supra note 5, at
29571. This figure was calculated as follows: ((Assistant General
Counsel for 20 hours) + (Compliance Attorney for 16 hours) + (Senior
Business Analyst for 12 hours) + (Computer Operations Manager for 12
hours)) = 60 hours x 7 respondent clearing agencies = 420 hours.
    \879\ This figure was calculated as follows: ((Assistant General
Counsel for 6 hours) + (Compliance Attorney for 11 hours) + (Senior
Business Analyst for 12 hours) + (Computer Operations Manager for 12
hours)) = 41 hours x 7 respondent clearing agencies = 287 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(13) also imposes ongoing burdens on a respondent
clearing agency. The rule requires policies and procedures for the
annual review and testing of a clearing agency's default policies and
procedures. Based on the Commission's previous estimates for ongoing
monitoring and compliance burdens with respect to Rule 17Ad-22,\880\
the Commission preliminarily estimated that the ongoing activities
required by Rule 17Ad-22(e)(13) would impose an aggregate annual burden
on respondent clearing agencies of approximately 63 hours.\881\ Because
the modifications to Rule 17Ad-22(e)(13) noted above will require
updating current policies and procedures or establishing new policies
and procedures to ensure compliance, the Commission estimates that the
ongoing activities required by Rule 17Ad-22(e)(13) will impose an
aggregate annual burden on respondent clearing agencies of 49
hours.\882\
---------------------------------------------------------------------------

    \880\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \881\ See CCA Standards proposing release, supra note 5, at
29571. This figure was calculated as follows: (Compliance Attorney
for 9 hours) x 7 respondent clearing agencies = 63 hours.
    \882\ This figure was calculated as follows: (Compliance
Attorney for 7 hours) x 7 respondent clearing agencies = 49 hours.
---------------------------------------------------------------------------

14. Rule 17Ad-22(e)(14)
    As described in Part IV.A.14, the Commission is adopting Rule 17Ad-
22(e)(14) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\883\
---------------------------------------------------------------------------

    \883\ See CCA Standards proposing release, supra note 5, at
29571-72.
---------------------------------------------------------------------------

    With respect to Rule 17Ad-22(e)(14), a respondent clearing agency
is a registered clearing agency that provides CCP services for
security-based swaps. Such clearing agencies generally have written
policies and procedures regarding the segregation and portability of
customer positions and collateral as a result of applicable rules and
regulations notwithstanding Rule 17Ad-22.\884\ The Commission therefore
expects that a respondent clearing agency has written rules, policies,
and procedures substantially similar to the requirements in the rule
and that the PRA burden includes the incremental burdens of reviewing
current policies and procedures and revising them, where appropriate,
pursuant to the rule. Accordingly, the Commission estimates that Rule
17Ad-22(e)(14) imposes on respondent clearing agencies an aggregate
one-time burden of 72 hours to review and revise existing policies and
procedures.\885\
---------------------------------------------------------------------------

    \884\ See, e.g., 77 FR 6336 (Feb. 7, 2012) (CFTC adopting rules
imposing LSOC on DCOs for cleared swaps); see also supra Part
II.C.14. Because the respondent clearing agencies are subject to the
CFTC's segregation and portability requirements for cleared swaps,
the Commission expects that the burden imposed by Rule 17Ad-
22(e)(14) will be limited.
    \885\ This figure was calculated as follows: ((Assistant General
Counsel for 12 hours) + (Compliance Attorney for 10 hours) +
(Computer Operations Manager for 7 hours) + (Senior Business Analyst
for 7 hours)) = 36 hours x 2 respondent clearing agency that
provide, or would potentially provide, CCP services with respect to
security-based swaps = 72 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(14) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\886\ the
Commission believes that the ongoing activities required by Rule 17Ad-
22(e)(14) impose an aggregate annual burden on respondent clearing
agencies of approximately 12 hours.\887\
---------------------------------------------------------------------------

    \886\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \887\ This figure was calculated as follows: (Compliance
Attorney for 6 hours) x 2 respondent clearing agencies = 12 hours
---------------------------------------------------------------------------

15. Rule 17Ad-22(e)(15)
    As described in Part IV.A.15, the Commission is adopting Rule 17Ad-
22(e)(15) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\888\
---------------------------------------------------------------------------

    \888\ See CCA Standards proposing release, supra note 5, at
29571.
---------------------------------------------------------------------------

    Because Rule 17Ad-22(d) does not include requirements related to
general business risk, the Commission estimates that the PRA burdens
for Rule 17Ad-22(e)(15) are more significant than in other cases under
Rule 17Ad-22(e) and may require a respondent clearing agency to make
substantial changes to its written rules, policies, and procedures
pursuant to the rule.\889\ The Commission estimates that Rule 17Ad-
22(e)(15) will impose an aggregate one-time burden on respondent
covered clearing agencies of 1,470 hours to review and revise existing
policies and procedures and to create new policies and procedures, as
necessary.\890\
---------------------------------------------------------------------------

    \889\ See 17 CFR 240.17Ad-22(d); see also supra Part II.C.15.
    \890\ This figure was calculated as follows: ((Assistant General
Counsel for 40 hours) + (Compliance Attorney for 30 hours) +
(Computer Operations Manager for 10 hours) + (Senior Business
Analyst for 10 hours) + (Financial Analyst for 70 hours) + (Chief
Financial Officer for 50 hours)) = 210 hours x 7 respondent clearing
agencies = 1,470 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(15) also imposes ongoing burdens on a respondent
clearing agency. Rule 17Ad-22(e)(15) requires a respondent clearing
agency to establish, implement, maintain and enforce written policies
and procedures reasonably designed to maintain a viable plan, approved
by its board of directors and updated at least annually, for raising
additional equity in the event that the covered clearing agency's
liquid net assets fall below the level required by the rule. Based on
the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\891\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(15) impose an aggregate annual burden on respondent clearing
agencies of 336 hours.\892\
---------------------------------------------------------------------------

    \891\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \892\ This figure was calculated as follows: ((Compliance
Attorney for 42 hours) + (Administrative Assistant for 3 hours) +
(Senior Business Analyst for 3 hours)) = 48 hours x 7 respondents
clearing agencies = 336 hours.

---------------------------------------------------------------------------

16. Rule 17Ad-22(e)(16)
    As described in Part IV.A.16, the Commission is adopting Rule 17Ad-
22(e)(16) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\893\
---------------------------------------------------------------------------

    \893\ See CCA Standards proposing release, supra note 5, at
29572.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(16) contains substantially similar provisions to
Rule 17Ad-22(d)(3).\894\ The Commission therefore expects that a
respondent clearing agency has written rules, policies, and procedures
substantially similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing current policies
and procedures and revising them, where appropriate, pursuant to the
rule. Accordingly, based on the similar provisions and the
corresponding burden estimates previously made by the Commission for
Rule 17Ad-22(d)(3),\895\ the Commission estimates that respondent
clearing agencies will incur an aggregate one-time burden of
approximately 140 hours to review and revise existing policies and
procedures.\896\
---------------------------------------------------------------------------

    \894\ See 17 CFR 240.17Ad-22(d)(3); see also supra Part II.C.16.
    \895\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \896\ This figure was calculated as follows: ((Assistant General
Counsel for 4 hours) + (Compliance Attorney for 8 hours) + (Senior
Business Analyst for 4 hours) + (Computer Operations Manager for 4
hours)) = 20 hours x 7 respondent clearing agencies = 140 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(16) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\897\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(16) impose an aggregate annual burden on respondent clearing
agencies of 42 hours.\898\
---------------------------------------------------------------------------

    \897\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \898\ This figure was calculated as follows: (Compliance
Attorney for 6 hours) x 7 respondent clearing agencies = 42 hours.
---------------------------------------------------------------------------

17. Rule 17Ad-22(e)(17)
    As described in Part IV.A.17, the Commission is adopting Rule 17Ad-
22(e)(17) with one modification. Because this modification is only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. The burden estimates for the rule are unchanged from the CCA
Standards proposing release.\899\
---------------------------------------------------------------------------

    \899\ See CCA Standards proposing release, supra note 5, at
29572-73.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(17) contains similar provisions to Rule 17Ad-
22(d)(4) but also imposes additional requirements that do not appear in
Rule 17Ad-22.\900\ The Commission therefore expects that a respondent
clearing agency may have written rules, policies, and procedures
similar to the requirements in the rule and that the PRA burden
includes the incremental burdens of reviewing and revising current
policies and procedures and creating new policies and procedures, as
necessary, pursuant to the rule. Accordingly, based on the similar
policies and procedures requirements and the corresponding burden
estimates previously made by the Commission for Rule 17Ad-
22(d)(4),\901\ the Commission estimates that respondent clearing
agencies will incur an aggregate one-time burden of 196 hours to review
and revise existing policies and procedures and to create new policies
and procedures, as necessary.\902\
---------------------------------------------------------------------------

    \900\ See 17 CFR 240.17Ad-22(d)(4); see also supra Part II.C.17.
    \901\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \902\ This figure was calculated as follows: ((Assistant General
Counsel for 4 hours) + (Compliance Attorney for 8 hours) + (Computer
Operations Manager for 6 hours) + (Senior Business Analyst for 4
hours) + (Chief Compliance Officer for 4 hours) + (Senior Programmer
for 2 hours)) = 28 hours x 7 respondent clearing agency = 196 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(17) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to Rule 17Ad-22,\903\ the Commission
estimates that the ongoing activities required by Rule 17Ad-22(e)(17)
impose an aggregate annual burden on respondent clearing agencies of
112 hours.\904\
---------------------------------------------------------------------------

    \903\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \904\ This figure was calculated as follows: (Compliance
Attorney for 6 hours) x 7 respondent clearing agencies = 42 hours.
---------------------------------------------------------------------------

18. Rule 17Ad-22(e)(18)
    As described in Part IV.A.18, the Commission is adopting Rule 17Ad-
22(e)(18) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\905\
---------------------------------------------------------------------------

    \905\ See CCA Standards proposing release, supra note 5, at
29573.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(18) contains similar provisions to Rules 17Ad-
22(b)(5) through (7) and (d)(2).\906\ The Commission therefore expects
that a respondent clearing agency may have written rules, policies, and
procedures similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing and revising
current policies and procedures and creating new policies and
procedures, as necessary, pursuant to the rule. Accordingly, based on
the similar policies and procedures requirements and the corresponding
burden estimates previously made by the Commission for Rules 17Ad-
22(b)(5) through (7) and (d)(2),\907\ the Commission estimates that
respondent clearing agencies will incur an aggregate one-time burden of
308 hours to review and revise existing policies and procedures and to
create new policies and procedures, as necessary.\908\
---------------------------------------------------------------------------

    \906\ See 17 CFR 240.17Ad-22(b)(5)-(7), (d)(2); see also supra
Part II.C.18.
    \907\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \908\ This figure was calculated as follows: ((Assistant General
Counsel for 10 hours) + (Compliance Attorney for 7 hours) + Computer
Operations Manager for 15 hours) + (Senior Business Analyst for 5
hours) + (Chief Compliance Officer for 5 hours) + (Senior Programmer
for 2 hours)) = 44 hours x 7 respondent clearing agencies = 308
hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(18) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\909\ the
Commission estimates that the ongoing activities required by the rule
impose an aggregate annual burden on respondent clearing agencies of 49
hours.\910\
---------------------------------------------------------------------------

    \909\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \910\ This figure was calculated as follows: (Compliance
Attorney for 7 hours) x 7 respondent clearing agencies = 49 hours.
---------------------------------------------------------------------------

19. Rule 17Ad-22(e)(19)
    As described in Part IV.A.19, the Commission is adopting Rule 17Ad-
22(e)(19) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\911\
---------------------------------------------------------------------------

    \911\ See CCA Standards proposing release, supra note 5, at
29573.
---------------------------------------------------------------------------

    Tiered participation arrangements are not addressed by Rule 17Ad-
22(d). The Commission therefore expects that a respondent clearing
agency may need to create policies and procedures pursuant to Rule
17Ad-22(e)(19).\912\ The

Commission estimates that Rule 17Ad-22(e)(19) imposes an aggregate one-
time burden on respondent clearing agencies of 308 hours to review and
revise existing policies and procedures and to create new policies and
procedures, as necessary.\913\
---------------------------------------------------------------------------

    \912\ See 17 CFR 240.17Ad-22(d); see also supra Part II.C.19.
    \913\ This figure was calculated as follows: ((Assistant General
Counsel for 10 hours) + (Compliance Attorney for 7 hours) +
(Computer Operations Manager for 15 hours) + (Senior Business
Analyst for 5 hours) + (Chief Compliance Officer for 5 hours) +
(Senior Programmer for 2 hours)) = 44 hours x 7 respondent clearing
agencies = 308 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(19) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to Rule 17Ad-22,\914\ the Commission
estimates that the ongoing activities required by the rule impose an
annual aggregate burden on respondent clearing agencies of 49
hours.\915\
---------------------------------------------------------------------------

    \914\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \915\ This figure was calculated as follows: (Compliance
Attorney for 7 hours) x 7 respondent clearing agencies = 49 hours.
---------------------------------------------------------------------------

20. Rule 17Ad-22(e)(20)
    As described in Part IV.A.13, the Commission is adopting Rule 17Ad-
22(e)(20) with one modification. The burden estimates for the rule are
unchanged from the CCA Standards proposing release.\916\
---------------------------------------------------------------------------

    \916\ See Clearing Agency Standards adopting release, supra note
5, at 29573-74.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(20) contains similar provisions to Rule 17Ad-
22(d)(7) but also adds additional requirements that do not appear in
Rule 17Ad-22(d).\917\ The Commission therefore expects that a
respondent clearing agency may have written rules, policies, and
procedures similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing and revising
current policies and procedures and creating new policies and
procedures, as necessary, pursuant to the rule. Accordingly, based on
the similar policies and procedures requirements and compliance burdens
associated with Rule 17Ad-22(d)(7),\918\ the Commission estimates that
respondent clearing agencies will incur an aggregate one-time burden of
approximately 308 hours to review and update existing policies and
procedures.\919\ Rule 17Ad-22(e)(20) also imposes ongoing burdens on a
respondent clearing agency. The rule requires ongoing monitoring and
compliance activities with respect to its policies and procedures under
the rule. Based on the Commission's previous estimates for ongoing
monitoring and compliance burdens with respect to Rule 17Ad-22,\920\
the Commission estimates that the ongoing activities required by the
rule impose an aggregate annual burden on respondent clearing agencies
of 49 hours.\921\
---------------------------------------------------------------------------

    \917\ See17 CFR 240.17Ad-22(d)(7); see also supra Part II.C.20.
    \918\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \919\ See CCA Standards proposing release, supra note 5, at
29573. This figure was calculated as follows: ((Assistant General
Counsel for 10 hours) + (Compliance Attorney for 7 hours) + (Senior
Business Analyst for 5 hours) + (Computer Operations Manager for 15
hours) + (Chief Compliance Officer for 5 hours) + (Senior Programmer
for 2 hours) = 44 hours x 7 respondent clearing agencies = 308
hours.
    \920\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \921\ This figure was calculated as follows: (Compliance
Attorney for 7 hours) x 7 respondent clearing agencies = 49 hours.
---------------------------------------------------------------------------

21. Rule 17Ad-22(e)(21)
    As described in Part IV.A.21, the Commission is adopting Rule 17Ad-
22(e)(21) with one modification. Because this modification is only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. The burden estimates for the rule are unchanged from the CCA
Standards proposing release.\922\
---------------------------------------------------------------------------

    \922\ See CCA Standards proposing release, supra note 5, at
29574.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(21) contains similar provisions to Rule 17Ad-
22(d)(6) but also adds additional requirements that do not appear in
Rule 17Ad-22(d).\923\ The Commission therefore expects that a
respondent clearing agency may have written rules, policies, and
procedures similar to the requirements in the rule and that the PRA
burden includes the incremental burdens of reviewing and revising
current policies and procedures and creating new policies and
procedures, as necessary, pursuant to the rule. Accordingly, based on
the similar policies and procedures requirements and the corresponding
burden estimates previously made by the Commission for Rule 17Ad-
22(d)(6),\924\ the Commission estimates that respondent clearing
agencies will incur an aggregate one-time burden of approximately 224
hours to review and revise existing policies and procedures.\925\
---------------------------------------------------------------------------

    \923\ See 17 CFR 240.17Ad-22(d)(6); see also supra Part II.C.21.
    \924\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \925\ This figure was calculated as follows: ((Assistant General
Counsel for 10 hours) + (Compliance Attorney for 7 hours) + (Senior
Business Analyst for 5 hours) + (Computer Operations Manager for 10
hours)) = 32 hours x 7 respondent clearing agencies = 224 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(21) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to existing Rule 17Ad-22,\926\ the
Commission estimates that the ongoing activities required by Rule 17Ad-
22(e)(21) impose an aggregate annual burden on respondent clearing
agencies of 77 hours.\927\
---------------------------------------------------------------------------

    \926\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \927\ This figure was calculated as follows: ((Compliance
Attorney for 5 hours) + (Administrative Assistant for 3 hours) +
(Senior Business Analyst for 3 hours) = 11 hours x 7 respondent
clearing agencies = 77 hours.
---------------------------------------------------------------------------

22. Rule 17Ad-22(e)(22)
    As described in Part IV.A.22, the Commission is adopting Rule 17Ad-
22(e)(22) as proposed. The burden estimates for the rule are unchanged
from the CCA Standards proposing release.\928\
---------------------------------------------------------------------------

    \928\ See CCA Standards proposing release, supra note 5, at
29574.
---------------------------------------------------------------------------

    Although Rule 17Ad-22(d) does not include any requirements with
provisions similar to Rule 17Ad-22(e)(22), the Commission understands
that covered clearing agencies currently use the relevant
internationally accepted communication procedures and standards and
therefore expects that a respondent clearing agency may need to make
only limited changes to its policies and procedures under the
rule.\929\ Accordingly, the Commission estimates that the rule imposes
an aggregate one-time burden on respondent clearing agencies of 168
hours to review and revise existing policies and procedures.\930\
---------------------------------------------------------------------------

    \929\ See 17 CFR 240.17Ad-22(d); see also supra Part II.C.22.
    \930\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Compliance Attorney for 6 hours) + (Computer
Operations Manager for 7 hours) + (Senior Business Analyst for 2
hours) + (Chief Compliance Officer for 5 hours) + (Senior Programmer
for 2 hours)) = 24 hours x 7 respondent clearing agencies = 168
hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(22) also imposes ongoing burdens on a respondent
clearing agency. It requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for

ongoing monitoring and compliance burdens with respect to existing Rule
17Ad-22,\931\ the Commission estimates that the ongoing activities
required by Rule 17Ad-22(e)(22) impose an aggregate annual burden on
respondent clearing agencies of 35 hours.\932\
---------------------------------------------------------------------------

    \931\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \932\ This figure was calculated as follows: (Compliance
Attorney for 5 hours) x 7 respondent clearing agencies = 35 hours.
---------------------------------------------------------------------------

23. Rule 17Ad-22(e)(23)
    As described in Part IV.A.23, the Commission is adopting Rule 17Ad-
22(e)(23) with modifications. Because these modifications are only
technical or clarifying in nature, the Commission does not believe they
will alter the PRA burdens described in the CCA Standards proposing
release. Therefore, the burden estimates described below are unchanged
from the CCA Standards proposing release.\933\
---------------------------------------------------------------------------

    \933\ See CCA Standards proposing release, supra note 5, at
29574.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(23) contains similar requirements to Rule 17Ad-
22(d)(9) but also imposes substantial new requirements.\934\ The
Commission therefore expects that, although a respondent clearing
agency may have written rules, policies and procedures similar to those
required by some provisions under the rule, a respondent clearing
agency will need to create new policies and procedures to address the
other provisions. Accordingly, based on the similar policies and
procedures requirements and the corresponding burden estimates
previously made by the Commission for Rule 17Ad-22(d)(9),\935\ the
Commission estimates that respondent clearing agencies will incur an
aggregate one-time burden of 966 hours to review and revise existing
policies and procedures and to create policies and procedures, as
necessary.\936\
---------------------------------------------------------------------------

    \934\ See 17 CFR 240.17Ad-22(d)(9); see also supra Part II.C.23.
    \935\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \936\ This figure was calculated as follows: ((Assistant General
Counsel for 38 hours) + (Compliance Attorney for 24 hours) +
(Computer Operations Manager for 32 hours) + (Senior Business
Analyst for 18 hours) + (Chief Compliance Officer for 18 hours) +
(Senior Programmer for 8 hours)) = 138 hours x 7 respondent clearing
agencies = 966 hours.
---------------------------------------------------------------------------

    Rule 17Ad-22(e)(23) also imposes ongoing burdens on a respondent
clearing agency. The rule requires ongoing monitoring and compliance
activities with respect to its policies and procedures under the rule.
Based on the Commission's previous estimates for ongoing monitoring and
compliance burdens with respect to Rule 17Ad-22,\937\ the Commission
estimates that the ongoing activities required by Rule 17Ad-22(e)(23)
impose an aggregate annual burden on respondent clearing agencies of
238 hours.\938\
---------------------------------------------------------------------------

    \937\ See Clearing Agency Standards adopting release, supra note
5, at 66260-63.
    \938\ This figure was calculated as follows: (Compliance
Attorney for 34 hours) x 7 respondent clearing agencies = 238 hours.
---------------------------------------------------------------------------

24. Total Burden for Rule 17Ad-22(e)
    The Commission preliminarily estimated that respondent clearing
agencies would incur an aggregate initial burden under Rule 17Ad-22(e)
of 10,664 hours and an aggregate ongoing burden of 3,460 hours.\939\ In
light of the modifications made by the Commission in adopting Rule
17Ad-22(e) described above that will require updating current policies
and procedures or establishing new policies and procedures to ensure
compliance with the rule, the Commission estimates that respondent
clearing agencies will incur an aggregate initial burden of 10,776
hours under Rule 17Ad-22(e) and an aggregate ongoing burden of 3,537
hours.
---------------------------------------------------------------------------

    \939\ See CCA Standards proposing release, supra note 5, at
29574.
---------------------------------------------------------------------------

25. Total Burden for Rule 17Ab2-2
    As discussed in Part IV.A.24, Rule 17Ab2-2 establishes procedures
for the Commission to make determinations affecting covered clearing
agencies in certain circumstances.\940\ Because such determinations may
be made upon request of a clearing agency or its members, the
respondents would have the burdens of preparing such requests for
submission to the Commission. To the extent such determinations are
carried out by the Commission on its own initiative under Rule 17Ab2-2,
the Commission expects that the PRA burdens on a respondent clearing
agency would be limited. Accordingly, based on the Commission's
previous estimates for ongoing monitoring and compliance burdens with
respect to existing Rule 17Ad-22,\941\ the Commission preliminarily
estimated that respondent clearing agencies would incur an aggregate
one-time burden of approximately 24 hours to draft and review a
determination request to the Commission.\942\ In consideration of the
modifications made by the Commission in adopting Rule 17Ab2-2 as
described above, the Commission estimates that respondent clearing
agencies will incur an aggregate one-time burden of approximately 20
hours to draft and review a determination request to the
Commission.\943\
---------------------------------------------------------------------------

    \940\ See supra Part II.D.
    \941\ See Clearing Agency Standards adopting release, supra note
5, at 66260.
    \942\ See CCA Standards proposing release, supra note 5, at
29575. This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Staff Attorney for 4 hours) + (Outside
Counsel for 6 hours)) = 12 hours x 2 respondent clearing agencies =
24 hours.
    \943\ This figure was calculated as follows: ((Assistant General
Counsel for 2 hours) + (Staff Attorney for 3 hours) + (Outside
Counsel for 5 hours)) = 10 hours x 2 respondent clearing agencies =
20 hours.
---------------------------------------------------------------------------

26. Total Burden for Rule 17Ad-22(c)(1)
    As discussed in Part IV.A.25, the modifications to Rule 17Ad-
22(c)(1) impose a recordkeeping requirement on registered clearing
agencies that are covered clearing agencies. With respect to Rule 17Ad-
22(c)(1), a respondent clearing agency is a registered clearing agency
that provides CCP services. In the Clearing Agency Standards release,
the Commission estimated that respondent clearing agencies would incur
both initial and ongoing burdens under Rule 17Ad-22(c)(1).
Specifically, the Commission estimated that Rule 17Ad-22(c)(1) would
impose on a respondent clearing agency a one-time burden of 100
hours.\944\ In light of the modifications to Rule 17Ad-22(c)(1) that
affect covered clearing agencies, the Commission believes that
respondent clearing agencies would incur an aggregate one-time burden
of 660 hours to perform adjustments needed to synthesize and format
existing information in a manner sufficient to explain the methodology
used to meet the requirements of Rule 17Ad-22(c)(1).\945\
---------------------------------------------------------------------------

    \944\ See Clearing Agency Standards adopting release, supra note
5, 66261-62. This figure was calculated as follows: ((Chief
Compliance Officer at 40 hours) + (Computer Operations Department
Manager at 40 hours) + (Senior Programmer at 20 hours)) = 100 hours.
    \945\ This figure was calculated as follows: ((Chief Compliance
Officer at 44 hours) + (Computer Operations Department Manager at 44
hours) + (Senior Programmer at 22 hours)) = 110 hours x 6 respondent
clearing agencies = 660 hours.
---------------------------------------------------------------------------

    In addition, the Commission estimated that Rule 17Ad-22(c)(1) would
impose ongoing burdens on a respondent clearing agency of three hours
per respondent clearing agency per quarter, amounting to an aggregate
annual burden of 12 hours.\946\ In light of the modifications to Rule
17Ad-22(c)(1) that affect covered clearing agencies, the Commission
believes that the ongoing activities required by Rule 17Ad-22(c)(1)
will impose an aggregate annual burden on respondent clearing agencies
of 120 hours to perform adjustments

needed to synthesize and format existing information in a manner
sufficient to explain the methodology used to meet the requirements of
the rule.\947\
---------------------------------------------------------------------------

    \946\ See Clearing Agency Standards adopting release, supra note
5, 66262. This figure was calculated as follows: ((Compliance
Attorney at 1 hour) + (Computer Operations Department Manager at 2
hours)) = 3 hours per quarter x 4 quarters per year = 12 hours.
    \947\ This figure was calculated as follows: ((Compliance
Attorney at 2 hours) + (Computer Operations Department Manager at 3
hours)) = 5 hours per quarter x 4 quarters per year = 20 hours x 6
respondent clearing agencies = 120 hours.
---------------------------------------------------------------------------

D. Collection of Information Is Mandatory

    The collection of information requirement for Rule 17Ad-22(e) is
mandatory. The collection of information requirement for Rule 17Ab2-2
is voluntary.

E. Confidentiality

    The Commission expects that the policies and procedures developed
pursuant to Rule 17Ad-22(e) would be communicated to the participants,
as applicable, of each respondent clearing agency and, as applicable,
the public. A respondent clearing agency would be required to preserve
such policies and procedures in accordance with, and for the periods
specified in, Rules 17a-1 and 17a-4(e)(7) under the Exchange Act.\948\
To the extent that the Commission receives confidential information
pursuant to this collection of information, such information would be
kept confidential subject to the provisions of applicable law.\949\
---------------------------------------------------------------------------

    \948\ 17 CFR 240.17a-1 and 17a-4(e)(7).
    \949\ See, e.g., 5 U.S.C. 552. Exemption 4 of the Freedom of
Information Act provides an exemption for trade secrets and
commercial or financial information obtained from a person and
privileged or confidential. See 5 U.S.C. 552(b)(4). Exemption 8 of
the Freedom of Information Act provides an exemption for matters
that are contained in or related to examination, operating, or
condition reports prepared by, on behalf of, or for the use of an
agency responsible for the regulation or supervision of financial
institutions. See 5 U.S.C. 552(b)(8).
---------------------------------------------------------------------------

    To the extent that the Commission receives confidential information
pursuant to the collection of information under Rule 17Ab2-2, the
Commission also expects such information would be kept confidential
subject to the provisions of applicable law.\950\
---------------------------------------------------------------------------

    \950\ See id.
---------------------------------------------------------------------------

V. Regulatory Flexibility Act

    The Regulatory Flexibility Act (``RFA'') requires the Commission,
in promulgating rules, to consider the impact of those rules on small
entities.\951\ Section 603(a) of the Administrative Procedure Act,\952\
as amended by the RFA, generally requires the Commission to undertake a
regulatory flexibility analysis of all proposed rules to determine the
impact of such rulemaking on ``small entities.'' \953\ The Commission
certified in the CCA Standards proposing release, pursuant to Section
605(b) of the RFA,\954\ that the proposed rules would not, if adopted,
have a significant impact on a substantial number of small entities.
The Commission received no comments on this certification.
---------------------------------------------------------------------------

    \951\ See 5 U.S.C. 601 et seq.
    \952\ See 5 U.S.C. 603(a).
    \953\ Section 601(b) of the RFA permits agencies to formulate
their own definitions of ``small entities.'' See 5 U.S.C. 601(b).
The Commission has adopted definitions for the term ``small entity''
for the purposes of rulemaking in accordance with the RFA. These
definitions are set forth in Rule 0-10, 17 CFR 240.0-10.
    \954\ See 5 U.S.C. 605(b).
---------------------------------------------------------------------------

A. Registered Clearing Agencies

    The amendments to Rule 17Ad-22 and Rule 17Ab2-2 apply to covered
clearing agencies, which would include registered clearing agencies
that are designated clearing agencies, complex risk profile clearing
agencies, or clearing agencies that otherwise have been determined to
be covered clearing agencies by the Commission. For the purposes of
Commission rulemaking and as applicable to the amendments to Rule 17Ad-
22 and new Rule 17Ab2-2, a small entity includes, when used with
reference to a clearing agency, a clearing agency that (i) compared,
cleared, and settled less than $500 million in securities transactions
during the preceding fiscal year, (ii) had less than $200 million of
funds and securities in its custody or control at all times during the
preceding fiscal year (or at any time that it has been in business, if
shorter), and (iii) is not affiliated with any person (other than a
natural person) that is not a small business or small
organization.\955\
---------------------------------------------------------------------------

    \955\ See 17 CFR 240.0-10(d).
---------------------------------------------------------------------------

    Based on the Commission's existing information about the clearing
agencies currently registered with the Commission,\956\ the Commission
believes that such registered clearing agencies exceed the thresholds
defining ``small entities'' set out above. While other clearing
agencies may seek to register as clearing agencies with the Commission,
the Commission does not believe that any such entities would be ``small
entities'' as defined in Exchange Act Rule 0-10.\957\ Further,
registered clearing agencies are only subject to the requirements of
Rule 17Ad-22(e) if they meet the definition of a covered clearing
agency, as described in Part II.A. Accordingly, the Commission believes
that any such registered clearing agencies will exceed the thresholds
for ``small entities'' set forth in Exchange Act Rule 0-10.
---------------------------------------------------------------------------

    \956\ In 2015, DTCC processed $1.508 quadrillion in financial
transactions. Within DTCC, DTC settled $112.3 trillion of securities
and held securities valued at $45.4 trillion, NSCC processed an
average daily value of $976.6 billion in equity securities, and FICC
cleared $917.1 trillion of transactions in government securities and
$48.2 trillion of transactions in agency mortgage-backed securities.
See DTCC, 2015 Annual Report, available at http://www.dtcc.com/annuals/2015/index.php. OCC cleared more than 4.1 billion contracts
and held margin of $98.3 billion at the end of 2015. See OCC, 2015
Annual Report, available at http://www.theocc.com/components/docs/about/annual-reports/occ-2015-annual-report.pdf. In addition,
Intercontinental Exchange (``ICE'') averaged daily trade volume of
9.3 million and revenues of $3.3 billion in 2015. See ICE at a
glance, available at https://www.theice.com/publicdocs/ICE_at_a_glance.pdf.
    \957\ See 17 CFR 240.0-10(d). The Commission based this
determination on its review of public sources of financial
information about registered clearing agencies.
---------------------------------------------------------------------------

B. Certification

    For the reasons described above, the Commission certifies that the
amendments to Rule 17Ad-22 and new Rule 17Ab2-2 will not have a
significant economic impact on a substantial number of small entities.

VI. Statutory Authority

    Pursuant to the Exchange Act, particularly Section 17A thereof, 15
U.S.C. 78q-1, and Section 805 of the Clearing Supervision Act, 12
U.S.C. 5464, the Commission is adopting amendments to Rule 17Ad-22 and
new Rule 17Ab2-2.

List of Subjects in 17 CFR Part 240

    Reporting and recordkeeping requirements, Securities.

Text of Amendment

    In accordance with the foregoing, title 17, chapter II of the Code
of Federal Regulations is amended as follows:

PART 240--GENERAL RULES AND REGULATIONS, SECURITIES EXCHANGE

0
1. The general authority citation for part 240 continues to read, and
the sectional authority for Sec.  240.17Ad-22 is revised to read, as
follows:

    Authority: 15 U.S.C. 77c, 77d, 77g, 77j, 77s, 77z-2, 77z-3,
77eee, 77ggg, 77nnn, 77sss, 77ttt, 78c, 78c-3, 78c-5, 78d, 78e, 78f,
78g, 78i, 78j, 78j-1, 78k, 78k-1, 78l, 78m, 78n, 78n-1, 78o, 78ov-4,
78o-10, 78p, 78q, 78q-1, 78s, 78u-5, 78w, 78x, 78ll, 78mm, 80a-20,
80a-23, 80a-29, 80a-37, 80b-3, 80b-4, 80b-11, and 7201 et. seq.; and
8302; 7 U.S.C. 2(c)(2)(E); 12 U.S.C. 5221(e)(3); 18 U.S.C. 1350;
Pub. L. 111-203, 939A, 124 Stat. 1376 (2010); and Pub. L. 112-106,
sec. 503 and 602, 126 Stat. 326 (2012), unless otherwise noted.
* * * * *

    Section 240.17Ad-22 is also issued under 12 U.S.C. 5461 et seq.
* * * * *

0
2. Section 240.17Ab2-2 is added to read as follows:

Sec.  240.17Ab2-2  Determinations affecting covered clearing agencies.

    (a) The Commission may, if it deems appropriate, upon application
by any clearing agency or member of a clearing agency, or on its own
initiative, determine whether a covered clearing agency is systemically
important in multiple jurisdictions. In determining whether a covered
clearing agency is systemically important in multiple jurisdictions,
the Commission may consider:
    (1) Whether the covered clearing agency is a designated clearing
agency; and
    (2) Whether the clearing agency has been determined to be
systemically important by one or more jurisdictions other than the
United States through a process that includes consideration of whether
the foreseeable effects of a failure or disruption of the designated
clearing agency could threaten the stability of each relevant
jurisdiction's financial system.
    (b) The Commission may, if it deems appropriate, determine whether
any of the activities of a clearing agency providing central
counterparty services, in addition to clearing agencies registered with
the Commission for the purpose of clearing security-based swaps, have a
more complex risk profile. In determining whether a clearing agency's
activity has a more complex risk profile, the Commission may consider
whether the clearing agency clears financial instruments that are
characterized by discrete jump-to-default price changes or that are
highly correlated with potential participant defaults.
    (c) The Commission may, if it deems appropriate, upon application
by any clearing agency or member of a clearing agency, or on its own
initiative, determine whether to rescind any determination made
pursuant to paragraph (a) or (b) of this section. In determining
whether to rescind any such determination, the Commission may consider
a change in circumstances such that the covered clearing agency no
longer meets the criteria supporting the determination in effect.
    (d) The Commission shall publish notice of its intention to
consider making a determination under paragraph (a), (b), or (c) of
this section, together with a brief statement of the grounds under
consideration therefor, and provide at least a 30-day public comment
period prior to any such determination, giving all interested persons
an opportunity to submit written data, views, and arguments concerning
such proposed determination. The Commission may provide the clearing
agency subject to the proposed determination opportunity for hearing
regarding the proposed determination.
    (e) Notice of determinations under paragraph (a), (b), or (c) of
this section shall be given by prompt publication thereof, together
with a statement of written reasons therefor.
    (f) For purposes of this rule, the terms covered clearing agency,
designated clearing agency, and systemically important in multiple
jurisdictions shall have the meanings set forth in Sec.  240.17Ad-
22(a).

0
3. Amend Sec.  240.17Ad-22 by revising paragraphs (a) and (c)(1), and
(d) introductory text and adding paragraphs (e) and (f) to read as
follows:

Sec.  240.17Ad-22  Standards for clearing agencies.

    (a) Definitions. For purposes of this section:
    (1) Backtesting means an ex-post comparison of actual outcomes with
expected outcomes derived from the use of margin models.
    (2) Central counterparty means a clearing agency that interposes
itself between the counterparties to securities transactions, acting
functionally as the buyer to every seller and the seller to every
buyer.
    (3) Central securities depository services means services of a
clearing agency that is a securities depository as described in Section
3(a)(23)(A) of the Act (15 U.S.C. 78c(a)(23)(A)).
    (4) Clearing agency involved in activities with a more complex risk
profile means a clearing agency registered with the Commission under
Section 17A of the Act (15 U.S.C. 78q-1) that:
    (i) Provides central counterparty services for security-based
swaps;
    (ii) Has been determined by the Commission to be involved in
activities with a more complex risk profile at the time of its initial
registration; or
    (iii) Is subsequently determined by the Commission to be involved
in activities with a more complex risk profile pursuant to Sec.
240.17Ab2-2(b).
    (5) Covered clearing agency means a designated clearing agency or a
clearing agency involved in activities with a more complex risk profile
for which the Commodity Futures Trading Commission is not the
Supervisory Agency as defined in Section 803(8) of the Payment,
Clearing, and Settlement Supervision Act of 2010 (12 U.S.C. 5461 et
seq.).
    (6) Designated clearing agency means a clearing agency registered
with the Commission under Section 17A of the Exchange Act (15 U.S.C.
78q-1) that is designated systemically important by the Financial
Stability Oversight Council pursuant to the Payment, Clearing, and
Settlement Supervision Act of 2010 (12 U.S.C. 5461 et seq.) and for
which the Commission is the supervisory agency as defined in Section
803(8) of the Payment, Clearing, and Settlement Supervision Act of 2010
(12 U.S.C. 5461 et seq.).
    (7) Financial market utility has the same meaning as defined in
Section 803(6) of the Payment, Clearing, and Settlement Supervision Act
of 2010 (12 U.S.C. 5462(6)).
    (8) Link means, for purposes of paragraph (e)(20) of this section,
a set of contractual and operational arrangements between two or more
clearing agencies, financial market utilities, or trading markets that
connect them directly or indirectly for the purposes of participating
in settlement, cross margining, expanding their services to additional
instruments or participants, or for any other purposes material to
their business.
    (9) Model validation means an evaluation of the performance of each
material risk management model used by a covered clearing agency (and
the related parameters and assumptions associated with such models),
including initial margin models, liquidity risk models, and models used
to generate clearing or guaranty fund requirements, performed by a
qualified person who is free from influence from the persons
responsible for the development or operation of the models or policies
being validated.
    (10) Net capital as used in paragraph (b)(7) of this section means
net capital as defined in Sec.  240.15c3-1 for broker-dealers or any
similar risk adjusted capital calculation for all other prospective
clearing members.
    (11) Normal market conditions as used in paragraphs (b)(1) and (2)
of this section means conditions in which the expected movement of the
price of cleared securities would produce changes in a clearing
agency's exposures to its participants that would be expected to breach
margin requirements or other risk control mechanisms only one percent
of the time.
    (12) Participant family means that if a participant directly, or
indirectly through one or more intermediaries, controls, is controlled
by, or is under common control with, another participant then the
affiliated

participants shall be collectively deemed to be a single participant
family for purposes of paragraphs (b)(3), (d)(14), (e)(4), and (e)(7)
of this section.
    (13) Potential future exposure means the maximum exposure estimated
to occur at a future point in time with an established single-tailed
confidence level of at least 99 percent with respect to the estimated
distribution of future exposure.
    (14) Qualifying liquid resources means, for any covered clearing
agency, the following, in each relevant currency:
    (i) Cash held either at the central bank of issue or at
creditworthy commercial banks;
    (ii) Assets that are readily available and convertible into cash
through prearranged funding arrangements, such as:
    (A) Committed arrangements without material adverse change
provisions, including:
    (1) Lines of credit;
    (2) Foreign exchange swaps; and
    (3) Repurchase agreements; or
    (B) Other prearranged funding arrangements determined to be highly
reliable even in extreme but plausible market conditions by the board
of directors of the covered clearing agency following a review
conducted for this purpose not less than annually; and
    (iii) Other assets that are readily available and eligible for
pledging to (or conducting other appropriate forms of transactions
with) a relevant central bank, if the covered clearing agency has
access to routine credit at such central bank in a jurisdiction that
permits said pledges or other transactions by the covered clearing
agency.
    (15) Security-based swap means a security-based swap as defined in
Section 3(a)(68) of the Act (15 U.S.C. 78c(a)(68)).
    (16) Sensitivity analysis means an analysis that involves analyzing
the sensitivity of a model to its assumptions, parameters, and inputs
that:
    (i) Considers the impact on the model of both moderate and extreme
changes in a wide range of inputs, parameters, and assumptions,
including correlations of price movements or returns if relevant, which
reflect a variety of historical and hypothetical market conditions.
Sensitivity analysis must use actual portfolios and, where applicable,
hypothetical portfolios that reflect the characteristics of proprietary
positions and customer positions;
    (ii) When performed by or on behalf of a covered clearing agency
involved in activities with a more complex risk profile, considers the
most volatile relevant periods, where practical, that have been
experienced by the markets served by the clearing agency; and
    (iii) Tests the sensitivity of the model to stressed market
conditions, including the market conditions that may ensue after the
default of a member and other extreme but plausible conditions as
defined in a covered clearing agency's risk policies.
    (17) Stress testing means the estimation of credit or liquidity
exposures that would result from the realization of potential stress
scenarios, such as extreme price changes, multiple defaults, or changes
in other valuation inputs and assumptions.
    (18) Systemically important in multiple jurisdictions means, with
respect to a covered clearing agency, a covered clearing agency that
has been determined by the Commission to be systemically important in
more than one jurisdiction pursuant to Sec.  240.17Ab2-2.
    (19) Transparent means, for the purposes of paragraphs (e)(1), (2),
and (10) of this section, to the extent consistent with other statutory
and Commission requirements on confidentiality and disclosure, that
documentation required under paragraphs (e)(1), (2), and (10) is
disclosed to the Commission and, as appropriate, to other relevant
authorities, to clearing members and to customers of clearing members,
to the owners of the covered clearing agency, and to the public.
* * * * *
    (c) Record of financial resources and annual audited financial
statements. (1) Each fiscal quarter (based on calculations made as of
the last business day of the clearing agency's fiscal quarter), or at
any time upon Commission request, a registered clearing agency that
performs central counterparty services shall calculate and maintain a
record, in accordance with Sec.  240.17a-1 of this chapter, of the
financial and qualifying liquid resources necessary to meet the
requirements, as applicable, of paragraphs (b)(3), (e)(4), and (e)(7)
of this section, and sufficient documentation to explain the
methodology it uses to compute such financial resources or qualifying
liquid resources requirement.
* * * * *
    (d) Each registered clearing agency that is not a covered clearing
agency shall establish, implement, maintain and enforce written
policies and procedures reasonably designed to, as applicable:
* * * * *
    (e) Each covered clearing agency shall establish, implement,
maintain and enforce written policies and procedures reasonably
designed to, as applicable:
    (1) Provide for a well-founded, clear, transparent, and enforceable
legal basis for each aspect of its activities in all relevant
jurisdictions.
    (2) Provide for governance arrangements that:
    (i) Are clear and transparent;
    (ii) Clearly prioritize the safety and efficiency of the covered
clearing agency;
    (iii) Support the public interest requirements in Section 17A of
the Act (15 U.S.C. 78q-1) applicable to clearing agencies, and the
objectives of owners and participants;
    (iv) Establish that the board of directors and senior management
have appropriate experience and skills to discharge their duties and
responsibilities;
    (v) Specify clear and direct lines of responsibility; and
    (vi) Consider the interests of participants' customers, securities
issuers and holders, and other relevant stakeholders of the covered
clearing agency.
    (3) Maintain a sound risk management framework for comprehensively
managing legal, credit, liquidity, operational, general business,
investment, custody, and other risks that arise in or are borne by the
covered clearing agency, which:
    (i) Includes risk management policies, procedures, and systems
designed to identify, measure, monitor, and manage the range of risks
that arise in or are borne by the covered clearing agency, that are
subject to review on a specified periodic basis and approved by the
board of directors annually;
    (ii) Includes plans for the recovery and orderly wind-down of the
covered clearing agency necessitated by credit losses, liquidity
shortfalls, losses from general business risk, or any other losses;
    (iii) Provides risk management and internal audit personnel with
sufficient authority, resources, independence from management, and
access to the board of directors;
    (iv) Provides risk management and internal audit personnel with a
direct reporting line to, and oversight by, a risk management committee
and an independent audit committee of the board of directors,
respectively; and
    (v) Provides for an independent audit committee.
    (4) Effectively identify, measure, monitor, and manage its credit
exposures to participants and those arising from its payment, clearing,
and settlement processes, including by:
    (i) Maintaining sufficient financial resources to cover its credit
exposure to

each participant fully with a high degree of confidence;
    (ii) To the extent not already maintained pursuant to paragraph
(e)(4)(i) of this section, for a covered clearing agency providing
central counterparty services that is either systemically important in
multiple jurisdictions or a clearing agency involved in activities with
a more complex risk profile, 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;
    (iii) To the extent not already maintained pursuant to paragraph
(e)(4)(i) of this section, for a covered clearing agency not subject to
paragraph (e)(4)(ii) of this section, 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 participant family that would potentially cause the
largest aggregate credit exposure for the covered clearing agency in
extreme but plausible market conditions;
    (iv) Including prefunded financial resources, exclusive of
assessments for additional guaranty fund contributions or other
resources that are not prefunded, when calculating the financial
resources available to meet the standards under paragraphs (e)(4)(i)
through (iii) of this section, as applicable;
    (v) Maintaining the financial resources required under paragraphs
(e)(4)(ii) and (iii) of this section, as applicable, in combined or
separately maintained clearing or guaranty funds;
    (vi) Testing the sufficiency of its total financial resources
available to meet the minimum financial resource requirements under
paragraphs (e)(4)(i) through (iii) of this section, as applicable, by:
    (A) Conducting stress testing of its total financial resources once
each day using standard predetermined parameters and assumptions;
    (B) Conducting a comprehensive analysis on at least a monthly basis
of the existing stress testing scenarios, models, and underlying
parameters and assumptions, and considering modifications to ensure
they are appropriate for determining the covered clearing agency's
required level of default protection in light of current and evolving
market conditions;
    (C) Conducting a comprehensive analysis of stress testing
scenarios, models, and underlying parameters and assumptions more
frequently than monthly when the products cleared or markets served
display high volatility or become less liquid, or when the size or
concentration of positions held by the covered clearing agency's
participants increases significantly; and
    (D) Reporting the results of its analyses under paragraphs
(e)(4)(vi)(B) and (C) of this section to appropriate decision makers at
the covered clearing agency, including but not limited to, its risk
management committee or board of directors, and using these results to
evaluate the adequacy of and adjust its margin methodology, model
parameters, models used to generate clearing or guaranty fund
requirements, and any other relevant aspects of its credit risk
management framework, in supporting compliance with the minimum
financial resources requirements set forth in paragraphs (e)(4)(i)
through (iii) of this section;
    (vii) Performing a model validation for its credit risk models not
less than annually or more frequently as may be contemplated by the
covered clearing agency's risk management framework established
pursuant to paragraph (e)(3) of this section;
    (viii) Addressing allocation of credit losses the covered clearing
agency may face if its collateral and other resources are insufficient
to fully cover its credit exposures, including the repayment of any
funds the covered clearing agency may borrow from liquidity providers;
and
    (ix) Describing the covered clearing agency's process to replenish
any financial resources it may use following a default or other event
in which use of such resources is contemplated.
    (5) Limit the assets it accepts as collateral to those with low
credit, liquidity, and market risks, and set and enforce appropriately
conservative haircuts and concentration limits if the covered clearing
agency requires collateral to manage its or its participants' credit
exposure; and require a review of the sufficiency of its collateral
haircuts and concentration limits to be performed not less than
annually.
    (6) Cover, if the covered clearing agency provides central
counterparty services, its credit exposures to its participants by
establishing a risk-based margin system that, at a minimum:
    (i) Considers, and produces margin levels commensurate with, the
risks and particular attributes of each relevant product, portfolio,
and market;
    (ii) Marks participant positions to market and collects margin,
including variation margin or equivalent charges if relevant, at least
daily and includes the authority and operational capacity to make
intraday margin calls in defined circumstances;
    (iii) Calculates margin sufficient to cover its potential future
exposure to participants in the interval between the last margin
collection and the close out of positions following a participant
default;
    (iv) Uses reliable sources of timely price data and uses procedures
and sound valuation models for addressing circumstances in which
pricing data are not readily available or reliable;
    (v) Uses an appropriate method for measuring credit exposure that
accounts for relevant product risk factors and portfolio effects across
products;
    (vi) Is monitored by management on an ongoing basis and is
regularly reviewed, tested, and verified by:
    (A) Conducting backtests of its margin model at least once each day
using standard predetermined parameters and assumptions;
    (B) Conducting a sensitivity analysis of its margin model and a
review of its parameters and assumptions for backtesting on at least a
monthly basis, and considering modifications to ensure the backtesting
practices are appropriate for determining the adequacy of the covered
clearing agency's margin resources;
    (C) Conducting a sensitivity analysis of its margin model and a
review of its parameters and assumptions for backtesting more
frequently than monthly during periods of time when the products
cleared or markets served display high volatility or become less
liquid, or when the size or concentration of positions held by the
covered clearing agency's participants increases or decreases
significantly; and
    (D) Reporting the results of its analyses under paragraphs
(e)(6)(vi)(B) and (C) of this section to appropriate decision makers at
the covered clearing agency, including but not limited to, its risk
management committee or board of directors, and using these results to
evaluate the adequacy of and adjust its margin methodology, model
parameters, and any other relevant aspects of its credit risk
management framework; and
    (vii) Requires a model validation for the covered clearing agency's
margin system and related models to be performed not less than
annually, or more frequently as may be contemplated by the covered
clearing agency's risk management framework established pursuant to
paragraph (e)(3) of this section.

    (7) Effectively measure, monitor, and manage the liquidity risk
that arises in or is borne by the covered clearing agency, including
measuring, monitoring, and managing its settlement and funding flows on
an ongoing and timely basis, and its use of intraday liquidity by, at a
minimum, doing the following:
    (i) Maintaining sufficient liquid resources at the minimum in all
relevant currencies to effect same-day and, where appropriate, intraday
and multiday settlement of payment obligations with a high degree of
confidence under a wide range of foreseeable stress scenarios that
includes, but is not limited to, the default of the participant family
that would generate the largest aggregate payment obligation for the
covered clearing agency in extreme but plausible market conditions;
    (ii) Holding qualifying liquid resources sufficient to meet the
minimum liquidity resource requirement under paragraph (e)(7)(i) of
this section in each relevant currency for which the covered clearing
agency has payment obligations owed to clearing members;
    (iii) Using the access to accounts and services at a Federal
Reserve Bank, pursuant to Section 806(a) of the Payment, Clearing, and
Settlement Supervision Act of 2010 (12 U.S.C. 5465(a)), or other
relevant central bank, when available and where determined to be
practical by the board of directors of the covered clearing agency, to
enhance its management of liquidity risk;
    (iv) Undertaking due diligence to confirm that it has a reasonable
basis to believe each of its liquidity providers, whether or not such
liquidity provider is a clearing member, has:
    (A) Sufficient information to understand and manage the liquidity
provider's liquidity risks; and
    (B) The capacity to perform as required under its commitments to
provide liquidity to the covered clearing agency;
    (v) Maintaining and testing with each liquidity provider, to the
extent practicable, the covered clearing agency's procedures and
operational capacity for accessing each type of relevant liquidity
resource under paragraph (e)(7)(i) of this section at least annually;
    (vi) Determining the amount and regularly testing the sufficiency
of the liquid resources held for purposes of meeting the minimum liquid
resource requirement under paragraph (e)(7)(i) of this section by, at a
minimum:
    (A) Conducting stress testing of its liquidity resources at least
once each day using standard and predetermined parameters and
assumptions;
    (B) Conducting a comprehensive analysis on at least a monthly basis
of the existing stress testing scenarios, models, and underlying
parameters and assumptions used in evaluating liquidity needs and
resources, and considering modifications to ensure they are appropriate
for determining the clearing agency's identified liquidity needs and
resources in light of current and evolving market conditions;
    (C) Conducting a comprehensive analysis of the scenarios, models,
and underlying parameters and assumptions used in evaluating liquidity
needs and resources more frequently than monthly when the products
cleared or markets served display high volatility or become less
liquid, when the size or concentration of positions held by the
clearing agency's participants increases significantly, or in other
appropriate circumstances described in such policies and procedures;
and
    (D) Reporting the results of its analyses under paragraphs
(e)(7)(vi)(B) and (C) of this section to appropriate decision makers at
the covered clearing agency, including but not limited to, its risk
management committee or board of directors, and using these results to
evaluate the adequacy of and adjust its liquidity risk management
methodology, model parameters, and any other relevant aspects of its
liquidity risk management framework;
    (vii) Performing a model validation of its liquidity risk models
not less than annually or more frequently as may be contemplated by the
covered clearing agency's risk management framework established
pursuant to paragraph (e)(3) of this section;
    (viii) Addressing foreseeable liquidity shortfalls that would not
be covered by the covered clearing agency's liquid resources and seek
to avoid unwinding, revoking, or delaying the same-day settlement of
payment obligations;
    (ix) Describing the covered clearing agency's process to replenish
any liquid resources that the clearing agency may employ during a
stress event; and
    (x) Undertaking an analysis at least once a year that evaluates the
feasibility of maintaining sufficient liquid resources at a minimum in
all relevant currencies to effect same-day and, where appropriate,
intraday and multiday settlement of payment obligations with a high
degree of confidence under a wide range of foreseeable stress scenarios
that includes, but is not limited to, the default of the two
participant families that would potentially cause the largest aggregate
payment obligation for the covered clearing agency in extreme but
plausible market conditions if the covered clearing agency provides
central counterparty services and is either systemically important in
multiple jurisdictions or a clearing agency involved in activities with
a more complex risk profile.
    (8) Define the point at which settlement is final to be no later
than the end of the day on which the payment or obligation is due and,
where necessary or appropriate, intraday or in real time.
    (9) Conduct its money settlements in central bank money, where
available and determined to be practical by the board of directors of
the covered clearing agency, and minimize and manage credit and
liquidity risk arising from conducting its money settlements in
commercial bank money if central bank money is not used by the covered
clearing agency.
    (10) Establish and maintain transparent written standards that
state its obligations with respect to the delivery of physical
instruments, and establish and maintain operational practices that
identify, monitor, and manage the risks associated with such physical
deliveries.
    (11) When the covered clearing agency provides central securities
depository services:
    (i) Maintain securities in an immobilized or dematerialized form
for their transfer by book entry, ensure the integrity of securities
issues, and minimize and manage the risks associated with the
safekeeping and transfer of securities;
    (ii) Implement internal auditing and other controls to safeguard
the rights of securities issuers and holders and prevent the
unauthorized creation or deletion of securities, and conduct periodic
and at least daily reconciliation of securities issues it maintains;
and
    (iii) Protect assets against custody risk through appropriate rules
and procedures consistent with relevant laws, rules, and regulations in
jurisdictions where it operates.
    (12) Eliminate principal risk by conditioning the final settlement
of one obligation upon the final settlement of the other, regardless of
whether the covered clearing agency settles on a gross or net basis and
when finality occurs if the covered clearing agency settles
transactions that involve the settlement of two linked obligations.
    (13) Ensure the covered clearing agency has the authority and
operational capacity to take timely action to contain losses and
liquidity

demands and continue to meet its obligations by, at a minimum,
requiring the covered clearing agency's participants and, when
practicable, other stakeholders to participate in the testing and
review of its default procedures, including any close-out procedures,
at least annually and following material changes thereto.
    (14) Enable, when the covered clearing agency provides central
counterparty services for security-based swaps or engages in activities
that the Commission has determined to have a more complex risk profile,
the segregation and portability of positions of a participant's
customers and the collateral provided to the covered clearing agency
with respect to those positions and effectively protect such positions
and related collateral from the default or insolvency of that
participant.
    (15) Identify, monitor, and manage the covered clearing agency's
general business risk and hold sufficient liquid net assets funded by
equity to cover potential general business losses so that the covered
clearing agency can continue operations and services as a going concern
if those losses materialize, including by:
    (i) Determining the amount of liquid net assets funded by equity
based upon its general business risk profile and the length of time
required to achieve a recovery or orderly wind-down, as appropriate, of
its critical operations and services if such action is taken;
    (ii) Holding liquid net assets funded by equity equal to the
greater of either (x) six months of the covered clearing agency's
current operating expenses, or (y) the amount determined by the board
of directors to be sufficient to ensure a recovery or orderly wind-down
of critical operations and services of the covered clearing agency, as
contemplated by the plans established under paragraph (e)(3)(ii) of
this section, and which:
    (A) Shall be in addition to resources held to cover participant
defaults or other risks covered under the credit risk standard in
paragraph (b)(3) or paragraphs (e)(4)(i) through (iii) of this section,
as applicable, and the liquidity risk standard in paragraphs (e)(7)(i)
and (ii) of this section; and
    (B) Shall be of high quality and sufficiently liquid to allow the
covered clearing agency to meet its current and projected operating
expenses under a range of scenarios, including in adverse market
conditions; and
    (iii) Maintaining a viable plan, approved by the board of directors
and updated at least annually, for raising additional equity should its
equity fall close to or below the amount required under paragraph
(e)(15)(ii) of this section.
    (16) Safeguard the covered clearing agency's own and its
participants' assets, minimize the risk of loss and delay in access to
these assets, and invest such assets in instruments with minimal
credit, market, and liquidity risks.
    (17) Manage the covered clearing agency's operational risks by:
    (i) Identifying the plausible sources of operational risk, both
internal and external, and mitigating their impact through the use of
appropriate systems, policies, procedures, and controls;
    (ii) Ensuring that systems have a high degree of security,
resiliency, operational reliability, and adequate, scalable capacity;
and
    (iii) Establishing and maintaining a business continuity plan that
addresses events posing a significant risk of disrupting operations.
    (18) Establish objective, risk-based, and publicly disclosed
criteria for participation, which permit fair and open access by direct
and, where relevant, indirect participants and other financial market
utilities, require participants to have sufficient financial resources
and robust operational capacity to meet obligations arising from
participation in the clearing agency, and monitor compliance with such
participation requirements on an ongoing basis.
    (19) Identify, monitor, and manage the material risks to the
covered clearing agency arising from arrangements in which firms that
are indirect participants in the covered clearing agency rely on the
services provided by direct participants to access the covered clearing
agency's payment, clearing, or settlement facilities.
    (20) Identify, monitor, and manage risks related to any link the
covered clearing agency establishes with one or more other clearing
agencies, financial market utilities, or trading markets.
    (21) Be efficient and effective in meeting the requirements of its
participants and the markets it serves, and have the covered clearing
agency's management regularly review the efficiency and effectiveness
of its:
    (i) Clearing and settlement arrangements;
    (ii) Operating structure, including risk management policies,
procedures, and systems;
    (iii) Scope of products cleared or settled; and
    (iv) Use of technology and communication procedures.
    (22) Use, or at a minimum accommodate, relevant internationally
accepted communication procedures and standards in order to facilitate
efficient payment, clearing, and settlement.
    (23) Provide for the following:
    (i) Publicly disclosing all relevant rules and material procedures,
including key aspects of its default rules and procedures;
    (ii) Providing sufficient information to enable participants to
identify and evaluate the risks, fees, and other material costs they
incur by participating in the covered clearing agency;
    (iii) Publicly disclosing relevant basic data on transaction volume
and values;
    (iv) A comprehensive public disclosure that describes its material
rules, policies, and procedures regarding its legal, governance, risk
management, and operating framework, accurate in all material respects
at the time of publication, that includes:
    (A) Executive summary. An executive summary of the key points from
paragraphs (e)(23)(iv)(B), (C), and (D) of this section;
    (B) Summary of material changes since the last update of the
disclosure. A summary of the material changes since the last update of
paragraph (e)(23)(iv)(C) or (D) of this section;
    (C) General background on the covered clearing agency. A
description of:
    (1) The covered clearing agency's function and the markets it
serves;
    (2) Basic data and performance statistics on the covered clearing
agency's services and operations, such as basic volume and value
statistics by product type, average aggregate intraday exposures to its
participants, and statistics on the covered clearing agency's
operational reliability; and
    (3) The covered clearing agency's general organization, legal and
regulatory framework, and system design and operations; and
    (D) Standard-by-standard summary narrative. A comprehensive
narrative disclosure for each applicable standard set forth in
paragraphs (e)(1) through (23) of this section with sufficient detail
and context to enable a reader to understand the covered clearing
agency's approach to controlling the risks and addressing the
requirements in each standard; and
    (v) Updating the public disclosure under paragraph (e)(23)(iv) of
this section every two years, or more frequently following changes to
its system or the environment in which it operates to the extent
necessary to ensure statements previously provided under paragraph
(e)(23)(iv) of this section remain accurate in all material respects.

    (f) For purposes of enforcing the Payment, Clearing, and Settlement
Supervision Act of 2010 (12 U.S.C. 5461 et seq.), a designated clearing
agency for which the Commission acts as supervisory agency shall be
subject to, and the Commission shall have the authority under, the
provisions of paragraphs (b) through (n) of Section 8 of the Federal
Deposit Insurance Act (12 U.S.C. 1818) in the same manner and to the
same extent as if such designated clearing agency were an insured
depository institution and the Commission were the appropriate Federal
banking agency for such insured depository institution.

    By the Commission.

    Dated: September 28, 2016.
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016-23891 Filed 10-12-16; 8:45 am]
 BILLING CODE 8011-01-P