of redemption activity, and enhance disclosure regarding fund liquidity
and shareholder redemption practices. We discuss below the collection
of information burdens associated with these reforms.

B. Rule 22e-4

    Proposed rule 22e-4 would require funds to establish a written
liquidity risk management program that is reasonably designed to assess
and manage the fund's liquidity risk. This program would include
policies and procedures adopted by the fund that incorporate certain
program elements, including: (i) Classification, and ongoing review of
the classification, of the liquidity of a fund's portfolio positions;
(ii) assessment and periodic review of a fund's liquidity risk; and
(iii) management of the fund's liquidity risk, including determination
and periodic review of the fund's three-day liquidity asset minimum and
establishment of policies and procedures regarding redemptions in kind,
to the extent that the fund engages in or reserves the right to engage
in redemptions in kind. The rule also would require board approval and
oversight of the program and recordkeeping. The proposed requirements
that funds adopt a written liquidity risk management program, report to
the board, maintain a written record of how the three-day liquid asset
minimum and any adjustments were determined, and retain certain records
are collections of information under the

PRA. The respondents to proposed rule 22e-4 would be open-end
management investment companies (other than money market funds), and we
estimate that funds within 867 fund complexes would be subject to
proposed rule 22e-4.\819\ Compliance with proposed rule 22e-4 would be
mandatory for all such funds. Information regarding the fund's three-
day liquid asset minimum would be confidential until publicly reported
on Form N-PORT, as described below. Other information provided to the
Commission in connection with staff examinations or investigations
would be kept confidential subject to the provisions of applicable law.
---------------------------------------------------------------------------

    \819\ See 2015 ICI Fact Book, supra note 3, at Fig. 1.8.
---------------------------------------------------------------------------

1. Preparation of Written Liquidity Risk Management Program
    We believe that most funds regularly monitor the liquidity of their
portfolios as part of the portfolio management function, but they may
not have written policies and procedures regarding liquidity
management. Proposed rule 22e-4 would require funds to have a written
liquidity risk management program. We believe such a program would
promote efficient liquidity risk management, reduce the probability
that a fund will be able to meet redemption requests only through
activities that could materially affect the fund's NAV or risk profile
or dilute the interests of fund shareholders, and respond to risks
associated with increasingly complex portfolio investments and
operations.
    For purposes of this PRA analysis, we estimate that a fund complex
would incur a one-time average burden of 40 hours associated with
documenting the liquidity risk management programs adopted by each fund
within the complex. Proposed rule 22e-4 requires fund boards to approve
the liquidity risk management program and any material changes to the
program (including the three-day liquid asset minimum), and we estimate
a one-time burden of nine hours per fund complex associated with fund
boards' review and approval of the funds' liquidity risk management
programs and preparation of board materials. Amortized over a 3 year
period, this would be an annual burden per fund complex of about 16
hours. Accordingly, we estimate that the total burden for initial
documentation and review of funds' written liquidity risk management
program would be 42,483 hours.\820\ We also estimate that it would cost
a fund complex approximately $38,466 to document, review and initially
approve these policies and procedures, for a total cost of
approximately $33,350,022.\821\
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    \820\ This estimate is based on the following calculation: (40 +
9) hours x 867 fund complexes = 42,483 hours.
    \821\ These estimates are based on the following calculations:
20 hours x $301 (hourly rate for a senior portfolio manager) =
$6,020; 20 hours x $455.5 (blended hourly rate for assistant general
counsel ($426) and chief compliance officer ($485) = $9,110; 5 hours
x $4,400 (hourly rate for a board of 8 directors) = $22,000; 4 hours
(for a fund attorney's time to prepare materials for the board's
determinations) x $334 (hourly rate for a compliance attorney) =
$1,336. $6,020 + $9,110 + $22,000 + $1,336 = $38,466; $38,466 x 867
fund complexes = $33,350,022. The hourly wages used are from SIFMA's
Management & Professional Earnings in the Securities Industry 2013,
modified to account for an 1800-hour work-year and multiplied by
5.35 to account for bonuses, firm size, employee benefits, and
overhead. The staff previously estimated in 2009 that the average
cost of board of director time was $4,000 per hour for the board as
a whole, based on information received from funds and their counsel.
Adjusting for inflation, the staff estimates that the current
average cost of board of director time is approximately $4,400.
---------------------------------------------------------------------------

2. Reporting Regarding the Three-Day Liquid Assets Minimum
    Under proposed rule 22e-4(b)(2)(iv), each fund would be required as
part of its liquidity risk management program to determine and
periodically review its three-day liquid asset minimum. The fund's
investment adviser or officer that administers the liquidity risk
management program must provide a written report to the fund's board at
least annually that reviews the adequacy of the fund's liquidity risk
management program, including the fund's three-day liquid asset
minimum, and the effectiveness of its implementation.
    For purposes of this PRA analysis, we estimate that, for each fund
complex, compliance with the reporting requirement would entail: (i)
Five hours of portfolio management time, (ii) five hours of compliance
time, (iii) five hours of professional legal time and (iv) 2.5 hours of
support staff time, requiring an additional 17.5 burden hours at a time
cost of approximately $5,193 per fund complex to draft the required
report to the board.\822\ We estimate that the total burden for
preparation of the board report would be 15,173 hours, at an aggregate
cost of $4,502,331.\823\
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    \822\ This estimate is based on the following calculation: 5
hours x $301 (hourly rate for a senior portfolio manager) = $1,505;
5 hours x $283 (hourly rate for compliance manager) = $1,415; 5
hours x $426 (hourly rate for assistant general counsel) = $2,130;
and 2.5 hours x $57 (hourly rate for general clerk) = $143. $1,505 +
$1,415 + $2,130 + $143 = $5,193. The hourly wages used are from
SIFMA's Management & Professional Earnings in the Securities
Industry 2013, modified to account for an 1800-hour work-year and
multiplied by 5.35 to account for bonuses, firm size, employee
benefits, and overhead. The hourly wage used for the general clerk
is from SIFMA's Office Salaries in the Securities Industry 2013,
modified to account for an 1800-hour work-year and multiplied by
2.93 to account for bonuses, firm size, employee benefits, and
overhead.
     Because each fund within a fund complex would be required to
determine its own three-day liquid asset minimum, this estimate
assumes that the report at issue would incorporate an assessment of
the three-day liquid asset minimum for each fund within the fund
complex.
    \823\ These estimates are based on the following calculations:
867 fund complexes x 17.5 hours = 15,173 hours; and $5,193 x 867
fund complexes = $4,502,331.
---------------------------------------------------------------------------

3. Recordkeeping
    Proposed rule 22e-4(c) would require a fund to maintain a written
copy of policies and procedures adopted pursuant to its liquidity risk
management program for five years in an easily accessible place. The
proposed rule also would require a fund to maintain copies of materials
provided to the board, as well as a written record of how the three-day
liquid asset minimum and any adjustments to the minimum were
determined, for five years, the first two years in an easily accessible
place. The retention of these records would be necessary to allow the
staff during examinations of funds to determine whether a fund is in
compliance with the required liquidity risk management program. We
estimate that the burden would be five hours per fund complex to retain
these records, with 2.5 hours spent by a general clerk and 2.5 hours
spent by a senior computer operator. We estimate a time cost per fund
complex of $361.\824\ We estimate that the total burden for
recordkeeping related to the liquidity risk management program would be
4,335 hours, at an aggregate cost of $312,987.\825\
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    \824\ This estimate is based on the following calculations: 2.5
hours x $57 (hourly rate for a general clerk) = $143; 2.5 hours x
$87 (hour rate for a senior computer operator) = $218. $143 + $218 =
$361.
    \825\ This estimate is based on the following calculations: 867
fund complexes x 5 hours = 4,335 hours. 867 fund complexes x $361 =
$312,987.
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4. Estimated Total Burden
    Amortized over a three-year period, the hour burdens and time costs
associated with proposed rule 22e-4, including the burden associated
with (a) funds' initial documentation and review of the required
written liquidity risk management program, (b) reporting to a fund's
board regarding the fund's three-day liquid asset minimum, and (c)
recordkeeping requirements, would result in an average aggregate annual
burden of 28,611 hours and average aggregate time costs of
$14,431,215.\826\

We estimate that there are no external costs associated with this
collection of information.
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    \826\ These estimates are based on the following calculations:
42,483 hours (year 1) + (2 x 15,173 hours) (years 2 and 3) + (3 x
4,335 hours) (years 1, 2 and 3) / 3 = 28,611 hours; $33,350,022
(year 1) + (2 x $4,502,331) (years 2 and 3) + (3 x $312,987) (years
1, 2 and 3) / 3 = $14,431,215.
---------------------------------------------------------------------------

C. Rule 22c-1

    We are proposing to amend rule 22c-1 and establish new collection
of information burdens under the rule. The proposed amendments would
permit a fund (with the exception of a money market fund or ETF) to
establish and implement policies and procedures that would require the
fund, under certain circumstances, to use swing pricing to mitigate
dilution of the value of outstanding redeemable securities stemming
from shareholder purchase or redemption activity. We believe the
proposed amendments to rule 22c-1 would promote investor protection by
providing funds with an additional tool to mitigate the potentially
dilutive effects of shareholder purchase or redemption activity and
provide a set of operational standards that would allow funds to gain
comfort using swing pricing as a new means of mitigating potential
dilution.\827\
---------------------------------------------------------------------------

    \827\ See supra section IV.C.2.b.
---------------------------------------------------------------------------

    In order to use swing pricing under the proposed amendments, a fund
would be required to establish and implement swing pricing policies and
procedures that meet certain requirements.\828\ The proposed amendments
also would require a fund's board of directors to approve the fund's
swing pricing policies and procedures, including any material change to
these policies and procedures,\829\ and funds would be required to
maintain a written copy of the fund's swing pricing policies and
procedures.\830\ The requirements that funds adopt policies and
procedures, obtain board approval and retain certain records related to
swing pricing are collections of information under the PRA. The
respondents to the proposed amendments to rule 22c-1 would be open-end
management investment companies (other than money market funds or ETFs)
that engage in swing pricing. We estimate that 167 fund complexes
include funds that would adopt swing pricing policies and procedures
pursuant to the rule.\831\ Compliance with rule 22c-1 would be
mandatory for any fund that chose to use swing pricing to adjust its
NAV in reliance on the proposed amendments. The information when
provided to the Commission in connection with staff examinations or
investigations would be kept confidential subject to the provisions of
applicable law.
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    \828\ See proposed rule 22c-1(a)(3)(i).
    \829\ See proposed rule 22c-1(a)(3)(ii).
    \830\ See proposed rule 22c-1(a)(3)(iii).
    \831\ See supra section IV.C.2.c.
---------------------------------------------------------------------------

    For purposes of this PRA analysis, we estimate that each fund
complex would incur a one-time average burden of 24 hours to document
swing pricing policies and procedures. The proposed amendments to rule
22c-1 would require fund boards initially to approve the swing pricing
policies and procedures (including the swing threshold) and any
material changes to them, and we estimate a one-time burden of five
hours per fund complex associated with the fund board's review and
approval of swing pricing policies and procedures. Amortized over a 3
year period, this would be an annual burden per fund complex of about
10 hours. Accordingly, we estimate that the total burden associated
with the preparation and approval of swing pricing policies and
procedures by those fund complexes that we believe would use swing
pricing would be 4,843 hours.\832\ We also estimate that it would cost
a fund complex $21,710 to document, review and initially approve these
policies and procedures, for a total cost of $3,625,570.\833\
---------------------------------------------------------------------------

    \832\ This estimate is based on the following calculation: (24 +
5) hours x 167 fund complexes = 4,843 hours.
    \833\ These estimates are based on the following calculations:
12 hours x $198 (hourly rate for a senior accountant) = $2,376; 12
hours x $455.5 (blended hourly rate for assistant general counsel
($426) and chief compliance officer ($485) = $5,466; 3 hours x
$4,400 (hourly rate for a board of 8 directors) = $13,200; 2 hours
(for a fund attorney's time to prepare materials for the board's
determinations) x $334 (hourly rate for a compliance attorney) =
$668; ($2,376 + $5,466 + $13,200 + $668) = $21,710; $21,710 x 167
fund complexes = $3,625,570. The hourly wages used are from SIFMA's
Management & Professional Earnings in the Securities Industry 2013,
modified to account for an 1800-hour work-year and multiplied by
5.35 to account for bonuses, firm size, employee benefits, and
overhead. See also supra note 821 (discussing basis for estimated
hourly rate for a board of directors).
---------------------------------------------------------------------------

    The proposed amendments to rule 22c-1 also would require a fund
that uses swing pricing to retain a written copy of the fund's swing
policies and procedures that are in effect, or at any time within the
past six years were in effect, in an easily accessible place.\834\ The
retention of these records would be necessary to allow the staff during
examinations of funds to determine whether a fund is in compliance with
its swing pricing policies and procedures, and whether the policies and
procedures comply with the proposed amendments to rule 22c-1. We
estimate that the burden would be three hours per fund complex to
retain these records, with 1.5 hours spent by a general clerk and 1.5
hours spent by a senior computer operator. We estimate a time cost per
fund complex of $216.\835\ We estimate that the total for recordkeeping
related to swing pricing would be 501 hours, at an aggregate cost of
$36,072 for all fund complexes that we believe include funds that would
adopt swing pricing policies and procedures.\836\
---------------------------------------------------------------------------

    \834\ Proposed rule 22c-1(a)(3)(iii).
    \835\ This estimate is based on the following calculations: 1.5
hours x $57 (hourly rate for a general clerk) = $85.5; 1.5 hours x
$87 (hour rate for a senior computer operator) = $130.5. $85.5 +
$130.5 = $216.
    \836\ These estimates are based on the following calculation: 3
hours x 167 fund complexes = 501 hours. 167 fund complexes x $216 =
$36,072.
---------------------------------------------------------------------------

    Amortized over a three-year period, the hour burdens and time costs
associated with the proposed amendments to rule 22c-1, including the
burden associated with the requirements that funds adopt policies and
procedures, obtain board approval and retain certain records related to
swing pricing, would result in an average aggregate annual burden of
2,115 hours and average aggregate time costs of $1,244,595.\837\ We
estimate that there are no external costs associated with this
collection of information.
---------------------------------------------------------------------------

    \837\ These estimates are based on the following calculations:
4,843 hours (year 1) + (3 x 501 hours) (years 1, 2 and 3) / 3 =
2,115 hours; $3,625,570 (year 1) + (3 x $36,072) (years 1, 2 and 3)
/ 3 = $1,244,595.
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D. Rule 31a-2

    Section 31(a)(1) of the Investment Company Act requires registered
investment companies and certain of their majority-owned subsidiaries
to maintain and preserve records as prescribed by Commission rules.
Rule 31a-1 under the Act specifies the books and records that must be
maintained. Rule 31a-2 under the Act specifies the time periods that
entities must retain certain books and records, including those
required to be maintained under rule 31a-1. The retention of records,
as required by rule 31a-2, is necessary to ensure access by Commission
staff to material business and financial information about funds and
certain related entities. This information is used by the staff to
evaluate fund compliance with the Investment Company Act and
regulations thereunder. The Commission currently estimates that the
annual burden associated with rule 31a-2 is 220 hours per fund, with
110 hours spent by a general clerk at a rate of $52 per hour and 110
hours spent by a senior computer operator at a rate of $81 per
hour.\838\ The current estimate of the

total annual burden for all funds to comply with rule 31a-2 is
approximately 766,480 hours at an estimated cost of $50,970.920.\839\
---------------------------------------------------------------------------

    \838\ The estimated salary rates were derived from SIFMA's
Office Salaries in the Securities Industry 2011, modified to account
for an 1800-hour work-year and multiplied by 2.93 to account for
bonuses, firm size, employee benefits, and overhead.
    \839\ These estimates were based on the following calculations:
220 hours x 3,484 funds (the estimated number of funds the last time
the rule's information collections were submitted for PRA renewal in
2012) = 766,480 total hours; 776,480 hours / 2 = 383,240 hours;
383,240 x $52/hour for a clerk = $19,928,480; 383,240 x $81 rate per
hour for a computer operator = $31,042,440; $19,928,480 +
$31,042,440 = $50,970,920 total cost.
---------------------------------------------------------------------------

    We are proposing to amend rule 31a-2 to require a fund that chooses
to use swing pricing to create and maintain a record of support for
each computation of an adjustment to the NAV of the fund's shares based
on the fund's swing policies and procedures.\840\ This collection of
information requirement would be mandatory for any fund that chooses to
use swing pricing to adjust its NAV in reliance on the proposed
amendments to rule 22c-1. 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.
---------------------------------------------------------------------------

    \840\ Proposed amendment to rule 31a-2(a)(2).
---------------------------------------------------------------------------

    We estimate that approximately 947 funds would use swing pricing
pursuant to the proposed amendments to rule 22c-1. We also estimate
that each fund that uses swing pricing generally would incur an
additional burden of 1 hour per year in order to comply with the
proposed amendments to rule 31a-2. Accordingly, we estimate that the
total average annual hour burden associated with the proposed
amendments to rule 31a-2 would be an additional 947 hours at a cost of
$68,169.\841\
---------------------------------------------------------------------------

    \841\ These estimates are based on the following calculations: 1
hour x 947 funds = 947 total hours; 474 hours x $57 rate per hour
for a general clerk = $27,018; 473 hours x $87 rate per hour for a
senior computer operator = $41,151; $27,018 + $41,151 = $68,169
total cost.
---------------------------------------------------------------------------

    The Commission currently estimates that the average external cost
of preserving books and records required by rule 31a-2 is approximately
$70,000 per fund at a total cost of approximately $243,880,000 per
year,\842\ but that funds would already spend approximately half this
amount to preserve these same books and records, as they are also
necessary to prepare financial statements, meet various state reporting
requirements, and prepare their annual federal and state income tax
returns. Therefore, the Commission estimated that the total annual cost
burden for all funds as a result of compliance with rule 31a-2 is
approximately $121,940,000.\843\ We estimate that the annual external
cost burden of compliance with the information collection requirements
of rule 31a-2 would increase by $300 per fund that engages in swing
pricing, for an increase in the total annual cost burden of
$284,100.\844\
---------------------------------------------------------------------------

    \842\ This estimate is based on the following calculation: 3,484
funds (the estimated number of funds the last time the rule's
information collections were submitted for PRA renewal in 2012) x
$70,000 = $243,880,000.
    \843\ See Submission of OMB Review; Comment Request, Extension:
Rule 31a-2, OMB Control No. 3235-0179, Securities and Exchange
Commission 77 FR 66885 (Nov. 7, 2012).
    \844\ This estimate is based on the following calculation: 947
funds x $300 = $284,100.
---------------------------------------------------------------------------

E. Form N-PORT

    On May 20, 2015, the Commission proposed Form N-PORT, which would
require funds to report information within thirty days after the end of
each month about their monthly portfolio holdings to the Commission in
a structured data format. Preparing a report on Form N-PORT is
mandatory and a collection of information under the PRA, and the
information required by Form N-PORT would be data-tagged in XML format.
Responses to the reporting requirements would be kept confidential for
reports filed with respect to the first two months of each quarter; the
third month of the quarter would not be kept confidential, but made
public sixty days after the quarter end.
    In the Investment Company Reporting Modernization Release, we
estimated that, for the 35% of funds that would file reports on
proposed Form N-PORT in house, the per fund average aggregate annual
hour burden was estimated to be 178 hours per fund, and the average
cost to license a third-party software solution would be $4,805 per
fund per year.\845\ For the remaining 65% of funds that would retain
the services of a third party to prepare and file reports on proposed
Form N-PORT on the fund's behalf, we estimated the average aggregate
annual hour burden to be 125 hours per fund, and each fund would pay an
average fee of $11,440 per fund per year for the services of third-
party service provider. In sum, we estimated that filing reports on
proposed Form N-PORT would impose an average total annual hour burden
of 1,537,572 hours on applicable funds, and all applicable funds would
incur on average, in the aggregate, external annual costs of
$97,674,221.\846\
---------------------------------------------------------------------------

    \845\ See Investment Company Reporting Modernization Release,
supra note 104, at nn.736-741, 749 and accompanying text.
    \846\ See Investment Company Reporting Modernization Release,
supra note 104, at nn.748 and 751 and accompanying text.
---------------------------------------------------------------------------

    We are proposing amendments to Form N-PORT that would require each
fund to report its three-day liquid asset minimum,\847\ the liquidity
classification for each portfolio asset position (or portion
thereof),\848\ and whether an asset is a 15% standard asset.\849\ For
portfolio assets with multiple liquidity classifications, the proposed
amendments would require funds to indicate the dollar amount
attributable to each classification. We believe that requiring funds to
report information about the liquidity of portfolio investments would
assist the Commission in better assessing liquidity risk in the open-
end fund industry. Moreover, we believe that this information would
help investors and potential users better understand the liquidity
risks in funds.
---------------------------------------------------------------------------

    \847\ See proposed Item B.7 of proposed Form N-PORT.
    \848\ See proposed Item C.13 of proposed Form N-PORT.
    \849\ See proposed Item C.7 of proposed Form N-PORT.
---------------------------------------------------------------------------

1. Liquidity Classification
    Under proposed rule 22e-4(b)(2)(i), an open-end management
investment company (other than a money market fund) would be required
as part of its liquidity risk management program to classify the
liquidity of each of its positions in a portfolio asset (or portions of
a position in a particular asset) based the number of days that the
fund's position in the asset (or portion thereof) would be convertible
to cash at a price that does not materially affect the value of that
asset immediately prior to sale. We estimate that 8,734 funds would be
required to file, on a monthly basis, additional information on Form N-
PORT as a result of the proposed amendments.\850\ Funds also would be
required to conduct an ongoing review of the liquidity of their assets.
Proposed rule 22e-4(b)(2)(ii) includes factors that funds must take
into account when classifying the liquidity of their assets. The
liquidity classifications of each portfolio asset position would be
reported on Item C. 13 of proposed Form N-PORT.
---------------------------------------------------------------------------

    \850\ There were 8,734 open-end funds (excluding money market
funds, and including ETFs (for purposes of these calculations, we
exclude non-1940 Act ETFs)) as of the end of 2014. See 2015 ICI Fact
Book, supra note 3, at 177, 184.
---------------------------------------------------------------------------

    Based on staff outreach, we understand that many funds currently
categorize assets based on their liquidity, but this proposal would
require a specific type of classification and the determination of a
three-day liquid asset minimum. We expect that funds would incur a one-
time internal burden to initially classify a fund's

portfolio securities and program existing systems to conduct the
ongoing classifications and reviews required by the proposed rule for
reporting purposes. We estimate that each fund would incur an average
one-time burden of 54 hours at a time cost of $15,330.\851\ Amortized
over a three year period, this would result in an average annual hour
burden of approximately 18 burden hours and a time cost of $5,110.\852\
---------------------------------------------------------------------------

    \851\ We estimate that these systems modifications would include
the following costs: (i) Project planning and systems design (24
hours x $260 (hourly rate for a senior systems analyst) = $6,240)
and (ii) systems modification integration, testing, installation and
deployment (30 hours x $303 (hourly rate for a senior programmer) =
$9,090. $6,240 + $9,090 = $15,330.
    \852\ $15,330 / 3 = $5,110.
---------------------------------------------------------------------------

2. Reporting on Proposed Form N-PORT
    In addition to the classification and review of securities, we
estimate that 8,734 \853\ funds would be required to file, on a monthly
basis, additional information on Form N-PORT as a result of the
proposed amendments. We estimate that each fund that files reports on
Form N-PORT in house (35%, or 3,057 funds) would require an average of
approximately 3 burden hours to compile (including review of the
information), tag, and electronically file the additional information
in light of the proposed amendments for the first time and an average
of approximately 1 burden hours for subsequent filings. Therefore, we
estimate the per fund average annual hour burden associated with the
incremental changes to Form N-PORT as a result of the proposed
amendments for these funds would be an additional 14 hours for the
first year \854\ and an additional 12 hours for each subsequent
year.\855\ Amortized over three years, the average annual hour burden
would be an additional 12.67 hours per fund.\856\
---------------------------------------------------------------------------

    \853\ There were 8,734 open-end funds (excluding money market
funds, and including ETFs) as of the end of 2014. See 2015 ICI Fact
Book, supra note 3, at 177, 184.
    \854\ The estimate is based on the following calculation: (1
filing x 3 hours) + (11 filings x 1 hour) = 14 burden hours in the
first year.
    \855\ This estimate is based on the following calculation: 12
filings x 1 hour = 12 burden hours in each subsequent year.
    \856\ The estimate is based on the following calculation: (14 +
(12 x 2)) / 3 = 12.67.
---------------------------------------------------------------------------

    We estimate that 65% of funds (5,677) would retain the services of
a third party to provide data aggregation, validation and/or filing
services as part of the preparation and filing of reports on proposed
Form N-PORT on the fund's behalf. For these funds, we estimate that
each fund would require an average of approximately 4 hours to compile
and review the information with the service provider prior to
electronically filing the report for the first time and an average of
0.5 burden hours for subsequent filings. Therefore, we estimate the per
fund average annual hour burden associated with the incremental changes
to proposed Form N-PORT as a result of the proposed amendments for
these funds would be an additional 9.5 hours for the first year \857\
and an additional 6 hours for each subsequent year.\858\ Amortized over
three years, the average aggregate annual hour burden would be an
additional 7.17 hours per fund.\859\ In sum, we estimate that the
proposed amendments to Form N-PORT would impose an average total annual
hour burden of an additional 79,436.28 hours on applicable funds.\860\
We do not anticipate any change to the total external annual costs of
$97,674,221.\861\
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    \857\ The estimate is based on the following calculation: (1
filing x 4 hours) + (11 filings x 0.5 hour) = 9.5 burden hours in
the first year.
    \858\ This estimate is based on the following calculation: 12
filings x 0.5 hour = 6 burden hours in each subsequent year.
    \859\ The estimate is based on the following calculation: (9.5 +
(6 x 2)) / 3 = 7.17.
    \860\ The estimate is based on the following calculation: (3,057
funds x 12.67 hours) + (5,677 funds x 7.17 hours) = 79,436.28 hours.
    \861\ See Investment Company Reporting Modernization Release,
supra note 104, at n. 751 and accompanying text.
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F. Form N-CEN

    On May 20, 2015, we proposed to amend rule 30a-1 to require all
funds to file reports with certain census-type information on proposed
Form N-CEN with the Commission on an annual basis. Proposed Form N-CEN
would be a collection of information under the PRA, and is designed to
facilitate the Commission's oversight of funds and its ability to
monitor trends and risks. The collection of information under Form N-
CEN would be mandatory for all funds, and responses would not be kept
confidential.
    In the Investment Company Reporting Modernization Release, we
estimated that the average annual hour burden per response for proposed
Form N-CEN for the first year would be 32.37 hours and 12.37 hours in
subsequent years.\862\ Amortizing the burden over three years, we
estimated that the average annual hour burden per fund per year would
be 19.04 and the total average annual hour burden would be 59,900
hours.\863\ We also estimated that all applicable funds would incur, in
the aggregate, external annual costs of $1,748,637, which would include
the costs of registering and maintaining LEIs for funds.
---------------------------------------------------------------------------

    \862\ Id. at n. 762 and accompanying text.
    \863\ Id. at n. 765 and accompanying text.
---------------------------------------------------------------------------

    We are proposing amendments to Form N-CEN to enhance the reporting
of a fund's liquidity risk management practices. Specifically, the
proposed amendments to Form N-CEN would require a fund to disclose
information about committed lines of credit, including the size of the
line of credit, the number of days that the line of credit was used,
and the identity of the institution with whom the line of credit is
held. The proposed amendments to Form N-CEN also would require a fund
to report whether it engaged in interfund lending or interfund
borrowing. Funds other than money market funds and ETFs would be
required to report whether they used swing pricing during the reporting
period. In addition, proposed amendments to Form N-CEN would require an
ETF to report whether it required that an authorized participant post
collateral to the ETF or any of its designated service providers in
connection with the purchase or redemption of ETF shares during the
reporting period.\864\
---------------------------------------------------------------------------

    \864\ We do not estimate any change in burden as a result of
proposed Item 60(g) of Form N-CEN because the proposed new item only
requires a yes or no response.
---------------------------------------------------------------------------

    We estimate that 8,734 funds would be required to file responses on
Form N-CEN as a result of the proposed amendments to the form. We
estimate that the average annual hour burden per additional response to
Form N-CEN as a result of the proposed amendments would be 0.5 hour per
fund per year for a total average annual hour burden of 4,367
hours.\865\ We do not estimate any change to the external costs
associated with proposed Form N-CEN.
---------------------------------------------------------------------------

    \865\ This estimate is based on the following calculation: 8,734
funds x 0.5 hours = 4,367 hours.
---------------------------------------------------------------------------

G. Form N-1A

    Form N-1A is the registration form used by open-end investment
companies. The respondents to the proposed amendments to Form N-1A are
open-end management investment companies registered or registering with
the Commission. Compliance with the disclosure requirements of Form N-
1A is mandatory, and the responses to the disclosure requirements are
not confidential. We currently estimate for Form N-1A a total hour
burden of 1,579,974 hours, and the total annual external cost burden is
$124,820,197.\866\
---------------------------------------------------------------------------

    \866\ These estimates are based on the last time the rule's
information collections were submitted for PRA renewal in 2014.
---------------------------------------------------------------------------

    We are proposing amendments to Form N-1A that would require funds

that use swing pricing to disclose that they use swing pricing, and, if
applicable, an explanation of the circumstances under which swing
pricing is used, and the effects of using swing pricing.\867\ We also
are proposing amendments to Form N-1A that would require funds to
disclose on their balance sheet the NAV as adjusted pursuant to swing
pricing policies and procedures. The proposed amendments to Form N-1A
also would require funds to disclose additional information concerning
the procedures for redeeming a fund's shares. Funds would be required
to describe the number of days following receipt of shareholder
redemption requests in which the fund will pay redemption proceeds to
redeeming shareholders.\868\ Funds also would be required to describe
the methods used to meet redemption requests in stressed and non-
stressed market conditions.\869\ Finally, funds would be required to
file as exhibits to their registration statements credit agreements for
the benefit of the funds. Overall, we believe that requiring funds to
provide this additional disclosure regarding swing pricing and
redemption procedures, and requiring the filing of credit agreements
would provide Commission staff, investors, and market participants with
improved information about the procedures funds use to meet their
redemption obligations and the conditions under which swing pricing
procedures will be used to mitigate the effects of dilution as a result
of shareholder purchase or redemption activity.
---------------------------------------------------------------------------

    \867\ See proposed Item 6(d) of Form N-1A.
    \868\ See proposed Item 11(c)(7) of Form N-1A.
    \869\ See proposed Item 11(c)(8) of Form N-1A.
---------------------------------------------------------------------------

    Form N-1A generally imposes two types of reporting burdens on
investment companies: (i) The burden of preparing and filing the
initial registration statement; and (ii) the burden of preparing and
filing post-effective amendments to a previously effective registration
statement (including post-effective amendments filed pursuant to rule
485(a) or 485(b) under the Securities Act, as applicable). We estimate
that each fund would incur a one-time burden of an additional 2
hours,\870\ at a time cost of an additional $637,\871\ to draft and
finalize the required disclosure and amend its registration statement.
In aggregate, we estimate that funds would incur a one-time burden of
an additional 17,468 hours,\872\ at a time cost of an additional
$5,563,558,\873\ to comply with the proposed Form N-1A disclosure
requirements. Amortizing the one-time burden over a three-year period
results in an average annual burden of an additional 5,823 hours at a
time cost of an additional $1,854,519.\874\
---------------------------------------------------------------------------

    \870\ This estimate is based on the following calculation: 1
hour to update registration statement to include swing pricing-
related disclosure statements + 1 hour to update registration
statement disclosure about redemption procedures = 2 hours.
    \871\ This estimate is based on the following calculation: 2
hours x $318.5 (blended rate for a compliance attorney ($334) and a
senior programmer ($303)) = $637.
    \872\ This estimate is based on the following calculations: 2
hours x 8,734 funds = 17,468 hours.
    \873\ This estimate is based on the following calculation:
17,468 hours x $318.50 (blended rate for a compliance attorney
($334) and a senior programmer ($303)) = $5,563,558.
    \874\ This estimate is based on the following calculation:
17,468 hours / 3 = 5,823 average annual burden hours; $5,563,558
burden costs / 3 = $1,854,519 average annual burden cost.
---------------------------------------------------------------------------

    We estimate that each fund would incur an ongoing burden of an
additional 0.25 hours, at a time cost of an additional $80,\875\ each
year to review and update the proposed disclosure in response to Item
11 and Item 28 of Form N-1A regarding the pricing and redemption of
fund shares and the inclusion of credit agreements as exhibits,
respectively. In aggregate, we estimate that funds would incur an
annual burden of an additional 2,184 hours,\876\ at a time cost of an
additional $695,604,\877\ to comply with the proposed Form N-1A
disclosure requirements.
---------------------------------------------------------------------------

    \875\ This estimate is based on the following calculations: 0.25
hours x $318.50 (blended hourly rate for a compliance attorney
($334) and a senior programmer ($303)) = $79.63.
    \876\ This estimate is based on the following calculation: 0.25
hours x 8,734 funds = 2,183.5 hours.
    \877\ This estimate is based on the following calculation: 2,184
hours x $318.50 (blended hourly rate for a compliance attorney
($334) and a senior programmer ($303)) = $695,604.
---------------------------------------------------------------------------

    Amortizing these one-time and ongoing hour and cost burdens over
three years results in an average annual increased burden of
approximately 0.50 hours per fund,\878\ at a time cost of $265.42 per
fund.\879\
---------------------------------------------------------------------------

    \878\ This estimate is based on the following calculation: 1
burden hour (year 1) + 0.25 burden hour (year 2) + 0.25 burden hour
(year 3) / 3 = 0.50 hours.
    \879\ This estimate is based on the following calculation: $637
(year 1 monetized burden hours) + $79.63 (year 2 monetized burden
hours) + $79.63 (year 3 monetized burden hours) / 3 = $265.42.
---------------------------------------------------------------------------

    In total, we estimate that funds would incur an average annual
increased burden of approximately 8,007 hours,\880\ at a time cost of
approximately $2,550,123,\881\ to comply with the proposed Form N-1A
disclosure requirements. We do not estimate any change to the external
costs associated with the proposed amendments to Form N-1A.
---------------------------------------------------------------------------

    \880\ This estimate is based on the following calculation: 5,823
hours + 2,184 hours = 8,007 hours.
    \881\ This estimate is based on the following calculation:
$1,854,519 + $695,604 = $2,550,123.
---------------------------------------------------------------------------

H. Request for Comments

    We request comment on whether our estimates for burden hours and
any external costs as described above are reasonable. Pursuant to 44
U.S.C. 3506(c)(2)(B), the Commission solicits comments in order to: (i)
Evaluate whether the proposed collections of information are necessary
for the proper performance of the functions of the Commission,
including whether the information will have practical utility; (ii)
evaluate the accuracy of the Commission's estimate of the burden of the
proposed collections of information; (iii) determine whether there are
ways to enhance the quality, utility, and clarity of the information to
be collected; and (iv) determine whether there are ways to minimize the
burden of the collections of information on those who are to respond,
including through the use of automated collection techniques or other
forms of information technology.
    The agency has submitted the proposed collection of information to
OMB for approval. Persons wishing to submit comments on the collection
of information requirements of the proposed amendments should direct
them to the Office of Management and Budget, Attention Desk Officer for
the Securities and Exchange Commission, Office of Information and
Regulatory Affairs, Washington, DC 20503, and should send a copy to
Brent J. Fields, Secretary, Securities and Exchange Commission, 100 F
Street NE., Washington, DC 20549 1090, with reference to File No. S7-
16-15. OMB is required to make a decision concerning the collections of
information between 30 and 60 days after publication of this release;
therefore, a comment to OMB is best assured of having its full effect
if OMB receives it within 30 days after publication of this release.
Requests for materials submitted to OMB by the Commission with regard
to these collections of information should be in writing, refer to File
No. S7-16-15, and be submitted to the Securities and Exchange
Commission, Office of FOIA Services, 100 F Street NE., Washington, DC
20549-2736.

VI. Initial Regulatory Flexibility Act Analysis

    This Initial Regulatory Flexibility Analysis has been prepared in
accordance with section 3 of the

Regulatory Flexibility Act (``RFA'').\882\ It relates to: Proposed rule
22e-4; proposed amendments to rule 22c-1(a)(3) and rule 31a-2; and
proposed amendments to Form N-1A, Regulation S-X, proposed Form N-PORT,
and proposed Form N-CEN.
---------------------------------------------------------------------------

    \882\ 5 U.S.C. 603.
---------------------------------------------------------------------------

A. Reasons for and Objectives of the Proposed Actions

    Funds are not currently subject to requirements under the federal
securities laws or Commission rules that specifically require them to
manage their liquidity risk.\883\ Also, with the exception of money
market funds, there are guidelines (not rules) stating that an open-end
fund should limit its investments in illiquid assets.\884\ Moreover,
funds are only subject to limited disclosure and reporting requirements
concerning a fund's liquidity risk and risk management.\885\ We
understand that funds today engage in a variety of different practices,
with varying levels of comprehensiveness, for classifying the liquidity
of their portfolio assets, assessing and managing liquidity risk, and
disclosing information about their liquidity risk, redemption
practices, and liquidity risk management practices to investors.\886\
---------------------------------------------------------------------------

    \883\ See supra sections II.D, IV.B.1.a.
    \884\ See id.
    \885\ See supra sections II.D, IV.B.1.c.
    \886\ See supra sections II.D, IV.B.1.a, IV.B.1.c.
---------------------------------------------------------------------------

    The Commission is proposing a new rule, amendments to current
rules, and amendments to current and proposed forms that are designed
to promote effective liquidity risk management throughout the open-end
fund industry and thereby reduce the risk that funds will be unable to
meet redemption obligations and mitigate dilution of the interests of
fund shareholders. The proposed amendments also seek to enhance
disclosure regarding fund liquidity and redemption practices.
Specifically, a primary objective of these proposed liquidity
regulations is to promote shareholder protection by elevating the
overall quality of liquidity risk management across the fund industry,
as well as by increasing transparency of funds' liquidity risks and
risk management. The proposed liquidity regulations are also intended
to lessen the possibility of early redemption incentives (and investor
dilution) created by insufficient liquidity risk management, as well as
the possibility that investors' share value will be diluted by costs
incurred by the fund as a result of other investors' purchase and
redemption activity. Finally, the proposed liquidity regulations are
meant to address recent industry developments that have underscored the
significance of funds' liquidity risk management practices. Each of
these objectives is discussed in detail in section IV above.

B. Legal Basis

    The Commission is proposing new rule 22e-4 under the authority set
forth in sections 22(c), 22(e) and 38(a) of the Investment Company Act
[15 U.S.C. 80a-37(a)]. The Commission is proposing amendments to rule
22c-1 under the authority set forth in sections 22(c) and 38(a) of the
Investment Company Act [15 U.S.C. 80a-22(c) and 80a-37(a)]. The
Commission is proposing amendments to rule 31a-2 under the authority
set forth in section 31(a) of the Investment Company Act [15 U.S.C.
80a-31(a)]. The Commission is proposing amendments to Form N-1A,
Regulation S-X, proposed Form N-PORT, and proposed Form N-CEN under the
authority set forth in the Securities Act, particularly section 19
thereof [15 U.S.C. 77a et seq.], the Trust Indenture Act, particularly,
section 19 thereof [15 U.S.C. 77aaa et seq.], the Exchange Act,
particularly sections 10, 13, 15, and 23, and 35A thereof [15 U.S.C.
78a et seq.], and the Investment Company Act, particularly, sections 8,
30, and 38 thereof [15 U.S.C. 80a et seq.].

C. Small Entities Subject to the Proposed Liquidity Regulations

    An investment company is a small entity if, together with other
investment companies in the same group of related investment companies,
it has net assets of $50 million or less as of the end of its most
recent fiscal year.\887\ Commission staff estimates that, as of
December 2014, there were 134 small open-end investment companies
(comprising 85 fund complexes) that would be considered small entities;
this number includes open-end ETFs.
---------------------------------------------------------------------------

    \887\ See rule 0-10(a) under the Investment Company Act.
---------------------------------------------------------------------------

D. Projected Reporting, Recordkeeping, and Other Compliance
Requirements

1. Proposed Rule 22e-4
    Proposed new rule 22e-4 would require each fund, including each
small entity, to establish a written liquidity risk management
program.\888\ A fund's liquidity risk management program would be
required to include the following elements: (i) A fund must classify,
and review the classification on an ongoing basis, the liquidity of
each of the fund's positions in a portfolio asset (or portions of a
position in a particular asset), taking into account certain specified
factors; \889\ (ii) a fund must assess and periodically review its
liquidity risk, taking into account certain specified factors; \890\
and (iii) a fund must manage its liquidity risk, including by
maintaining a prescribed minimum portion of net assets in three-day
liquid assets.\891\ A fund's board, including a majority of the fund's
independent directors, would be required to approve the fund's
liquidity risk management program, as well as any material change to
the program.\892\ Proposed rule 22e-4 also includes certain
recordkeeping requirements.\893\ All of these requirements are
discussed in detail above in sections III.A. and III.E. For smaller
funds and fund groups (i.e., funds that together with other investment
companies in the same ``group of related investment companies'' have
net assets of less than $1 billion as of the end of the most recent
fiscal year), which would include small entities, we have proposed an
extra 12 months (or 30 months after the effective date) to comply with
the proposed liquidity risk management program requirement.\894\
---------------------------------------------------------------------------

    \888\ Proposed rule 22e-4(b)(1).
    \889\ Proposed rule 22e-4(b)(2)(i)-(ii).
    \890\ Proposed rule 22e-4(b)(2)(iii).
    \891\ Proposed rule 22e-4(b)(2)(iv).
    \892\ Proposed rule 22e-4(b)(3).
    \893\ Proposed rule 22e-4(c).
    \894\ See supra section III.H.
---------------------------------------------------------------------------

    We estimate that 85 fund complexes are small fund groups that have
funds that would be required to comply with the proposed liquidity risk
management program requirement.\895\ As discussed above, we estimate
that, on average, a fund complex would incur one-time costs ranging
from $1,300,000 to $2,250,000, depending on the fund's particular
circumstances and current liquidity risk management practices, to
establish and implement a liquidity risk management program.\896\ We
further estimate that a fund complex would incur ongoing annual costs
associated with proposed rule 22e-4 that would range from $130,000 to
$562,500.\897\ For purposes of this analysis, Commission staff
estimates, based on outreach conducted with a variety of funds
regarding funds' current liquidity risk management practices, that
approximately two-thirds of small fund groups would incur one-time and
ongoing costs on the low end of the range of costs associated with
establishing and implementing a liquidity risk management program,\898\

and one-third of small fund groups would incur one-time and ongoing
costs on the high end of the range.\899\
---------------------------------------------------------------------------

    \895\ See supra section VI.C.
    \896\ See supra section IV.C.1.c.
    \897\ See id.
    \898\ See id.
    \899\ See id.
---------------------------------------------------------------------------

2. Swing Pricing
    Under proposed rule 22c-1(a)(3), all funds (except money market
funds and ETFs), including small entities, would be permitted (but not
required) to use swing pricing to adjust the fund's current NAV to
prevent potential dilution of the value of outstanding redeemable
securities caused by shareholder purchase or redemption activity. In
order to use swing pricing, a fund would be required to adopt swing
pricing policies and procedures that must: (i) Provide that the fund
will adjust its NAV by an amount designated as the ``swing factor''
once the level of net purchases or net redemptions from the fund has
exceeded a specified percentage of the fund's net asset value known as
the ``swing threshold''; \900\ (ii) specify the fund's swing threshold,
considering certain specified factors; \901\ (iii) provide for the
periodic review (at least annually) of the fund's swing threshold
considering certain specified factors; \902\ (iv) specify how the swing
factor to be used to adjust the fund's NAV when the fund's swing
threshold is breached will be determined, which determination must take
into account certain specified factors.\903\ A fund's board, including
a majority of the fund's independent directors, would be required to
approve the fund's swing pricing policies and procedures.\904\ A fund
that adopts swing pricing policies and procedures also would be subject
to certain recordkeeping requirements under proposed rule 22c-1(a)(3)
and proposed amendments to rule 31a-2(a)(2).\905\ Because proposed rule
22c-1(a)(3) would permit, but not require, a fund to adopt swing
pricing policies and procedures, there is no compliance date associated
with this proposed rule. Thus, while we anticipate that the compliance
dates for proposed rule 22e-4 and the proposed disclosure and reporting
requirements regarding liquidity risk and liquidity risk management
would be tiered to permit a longer compliance period for smaller funds
and fund groups, there would be no need for tiered compliance with
respect to proposed rule 22c-1(a)(3) and the proposed amendments to
rule 31a-2(a)(2), because a fund would be permitted to adopt swing
pricing policies and procedures within whatever period the fund
chooses.\906\
---------------------------------------------------------------------------

    \900\ Proposed rule 22c-1(a)(3)(i)(A).
    \901\ Proposed rule 22c-1(a)(3)(i)(B).
    \902\ Proposed rule 22c-1(a)(3)(i)(C).
    \903\ Proposed rule 22c-1(a)(3)(i)(D).
    \904\ Proposed rule 22c-1(a)(3)(ii).
    \905\ Proposed rule 22c-1(a)(3)(iii); proposed amendments to
rule 31a-2(a)(2).
    \906\ See supra section III.H.
---------------------------------------------------------------------------

    As discussed above, we estimate that, on average, a fund complex
would incur one-time costs ranging from $1,300,000 to $2,250,000,
depending on the fund complex's particular circumstances, to adopt
swing pricing policies and procedures and comply with related record
retention requirements, as well as ongoing annual costs ranging from
$65,000 to $337,500 per year associated with the proposed swing pricing
(and related recordkeeping) regulations.\907\ We estimate that 24 fund
complexes that are small complexes would adopt swing pricing policies
and procedures under proposed rule 22c-1(a)(3).\908\ Because staff is
unable to estimate how many small fund complexes would incur one-time
and ongoing costs on the low end of the estimated range versus the high
end of the estimated range, staff estimates that each small fund
complex would incur one-time costs of $1,775,000 (which represents the
middle of the range of estimated one-time costs) \909\ and ongoing
costs of $201,250 (which represents the middle of the range of
estimated ongoing costs).\910\
---------------------------------------------------------------------------

    \907\ See supra section IV.C.2.c.
    \908\ We assume that certain types of mutual fund strategies
(high-yield bond funds, world bond funds (including emerging market
debt funds), multi-sector bond funds, state municipal funds,
alternative strategy funds, and emerging market equity funds would
be relatively more likely to adopt swing pricing policies and
procedures, and of the fund complexes with funds comprising these
strategies, 75% would actually adopt swing pricing policies and
procedures. Staff estimates that there are 32 fund complexes that
are small fund groups with funds that use these stated strategies.
0.75 x 32 funds = 24 funds.
    \909\ This estimate is based on the following calculations:
$1,300,000 + $2,250,000 = $3,550,000; $3,550,000 / 2 = $1,775,000.
    \910\ This estimate is based on the following calculations:
$65,000 + $337,500 = $402,500; $402,500 / 2 = $201,250.
---------------------------------------------------------------------------

3. Disclosure and Reporting Requirements Regarding Liquidity Risk and
Liquidity Risk Management
    We are proposing amendments to Form N-1A, proposed Form N-PORT, and
proposed Form N-CEN to enhance fund disclosure and reporting regarding
the fund's redemption practices, portfolio liquidity, and certain
liquidity risk management practices. Specifically, proposed amendments
to Form N-1A would require new disclosure regarding a fund's redemption
practices and its use of swing pricing (as applicable); \911\ and
proposed amendments to proposed Form N-PORT would require a fund to
report certain information about the liquidity of the fund's portfolio
assets.\912\ Proposed amendments to proposed Form N-CEN would require a
fund to report certain information about the fund's use of lines of
credit, interfund lending and borrowing, and swing pricing, and also
would require an ETF to report whether it requires authorized
participants to post collateral in connection with the purchase or
redemption of ETF shares.\913\
---------------------------------------------------------------------------

    \911\ Proposed Items 6(d), 11(c)(8), 11(c)(9) of Form N-1A.
    \912\ Proposed Items B.7, C.7, and C.13 of proposed Form N-PORT.
    \913\ Proposed Items 44 and 60(g) of proposed Form N-CEN.
---------------------------------------------------------------------------

    All funds would be subject to the proposed disclosure and reporting
requirements, including funds that are small entities. For smaller
funds and fund groups (i.e., funds that together with other investment
companies in the same ``group of related investment companies'' have
net assets of less than $1 billion as of the end of the most recent
fiscal year), which would include small entities, we proposed an extra
12 months (or 30 months after the effective date) to comply with the
proposed Form N-PORT reporting requirements.\914\ We estimate that 134
funds are small entities that would be required to comply with the
proposed disclosure and reporting requirements.\915\
---------------------------------------------------------------------------

    \914\ See supra section III.H.
    \915\ See supra section VI.C.
---------------------------------------------------------------------------

    As discussed above, we estimate that each fund, including funds
that are small entities, would incur a one-time burden of an additional
2 hours, at a time cost of an additional $637 (plus printing costs), to
comply with the proposed amendments to Form N-1A.\916\ We also estimate
that each fund, including small entities, would incur an ongoing burden
of an additional 0.25 hours, at a time cost of approximately an
additional $80 each year associated with compliance with the proposed
amendments to Form N-1A.\917\ We do not estimate any change to the
external costs associated with the proposed amendments to Form N-
1A.\918\
---------------------------------------------------------------------------

    \916\ See supra notes 790, 870-871 and accompanying text.
    \917\ See supra notes 791, 875 and accompanying text.
    \918\ See supra section V.G.
---------------------------------------------------------------------------

    We also estimate that the one-time disclosure- and reporting-
related compliance costs for a fund that files reports in compliance
with the proposed amendments to Form N-PORT in house would be
approximately $780, and the one-time costs for a fund that uses a
third-party service provider to prepare and file reports on proposed
Form N-PORT would be approximately

$1,040.\919\ We estimate that the ongoing disclosure- and reporting-
related compliance costs for a fund that files reports to comply with
the proposed amendments to Form N-PORT in house would be approximately
$260, and the ongoing costs for a fund that uses a third-party service
provider to prepare and file reports on proposed Form N-PORT would be
approximately $130.\920\ These compliance cost estimates would not vary
based on the fund's size. We assume that 35% of funds that are small
entities, or approximately 47 funds, would file reports on proposed
Form N-PORT in house, and 65% of funds that are small entities, or
approximately 87 funds, would use a third-party service provider to
prepare and file reports on proposed Form N-PORT.\921\
---------------------------------------------------------------------------

    \919\ See supra notes 801-802 and accompanying text.
    \920\ See supra notes 803-804 and accompanying text.
    \921\ See supra notes 801-804 and accompanying text.
---------------------------------------------------------------------------

    As discussed above, we also estimate that the average annual burden
per additional response to Form N-CEN as a result of the proposed
amendments would be 0.5 hour per year per fund, including funds that
are small entities.\922\ Furthermore, we estimate that the one-time and
ongoing annual compliance costs associated with providing additional
responses to Form N-CEN as a result of the proposed amendments would be
approximately $160 per fund, including funds that are small
entities.\923\ We do not estimate any change to the external costs
associated with proposed Form N-CEN.\924\
---------------------------------------------------------------------------

    \922\ See supra note 865 and accompanying text.
    \923\ See supra note 800 and accompanying text.
    \924\ See supra section V.F.; see also note 800 and accompanying
text.
---------------------------------------------------------------------------

E. Duplicative, Overlapping, or Conflicting Federal Rules

    Commission staff has not identified any federal rules that
duplicate, overlap, or conflict with the proposed liquidity
regulations.

F. Significant Alternatives

    The RFA directs the Commission to consider significant alternatives
that would accomplish our stated objectives, while minimizing any
significant economic impact on small entities. We considered the
following alternatives for small entities in relation to the proposed
liquidity regulations: (i) Exempting funds that are small entities from
proposed rule 22e-4, and/or establishing different requirements under
proposed rule 22e-4 to account for resources available to small
entities; (ii) exempting funds that are small entities from the
proposed disclosure and reporting requirements, or establishing
different disclosure and reporting requirements, or different reporting
frequency, to account for resources available to small entities; and
(iii) exempting funds that are small entities from proposed rule 22c-
1(a)(3) and the recordkeeping requirements of the proposed amendments
to rule 31a-2.
    We do not believe that exempting any subset of funds, including
funds that are small entities, from proposed rule 22e-4 would permit us
to achieve our stated objectives. As discussed above, we believe that
the proposed liquidity regulations would result in multiple investor
protection benefits, and these benefits should apply to investors in
smaller funds as well as investors in larger funds.\925\ Small funds do
not entail less liquidity risk than larger funds, and investors in
small funds could suffer from ineffective liquidity risk management
just as investors in larger funds could. Indeed, analysis by staff
economists has shown that funds with relatively low assets can actually
experience greater flow volatility (including more volatility in
unexpected flows) than funds with higher assets, which in turn could
lead to increased liquidity risk for investors in smaller funds.\926\
Moreover, we understand, based on staff outreach, that small funds
today are less likely than large funds to employ relatively
comprehensive portfolio liquidity classification practices and
liquidity risk management practices. Thus, while small funds may face
increased liquidity risk, these funds currently may have less effective
systems in place to address and mitigate this risk than larger funds.
We therefore do not believe it would be appropriate to exempt funds
that are small entities from the liquidity risk management requirements
of proposed rule 22e-4. We do note, however, that we are proposing a
delayed compliance period for proposed rule 22e-4 for funds that are
small entities.\927\
---------------------------------------------------------------------------

    \925\ See supra section IV.C.1.b.
    \926\ See supra note 727 and accompanying text.
    \927\ See supra section III.H.
---------------------------------------------------------------------------

    We also do not believe that it would be desirable to establish
different requirements applicable to funds of different sizes under
proposed rule 22e-4 to account for resources available to small
entities. We believe that all of the proposed program elements would be
necessary for a fund to effectively assess and manage its liquidity
risk, and we anticipate that all of the proposed program elements would
work together to produce the anticipated investor protection benefits.
We do note that the costs associated with proposed rule 22e-4 would
vary depending on the fund's particular circumstances, and thus the
proposed rule could result in different burdens on funds' resources. In
particular, we expect that a fund that pursues an investment strategy
that involves greater liquidity risk may have greater costs associated
with its liquidity risk management program. However, we believe that it
is appropriate to correlate the costs associated with the proposed rule
with the level of liquidity risk facing a fund, and not necessarily
with the fund's size. Under the proposed rule, a fund would be
permitted to customize its liquidity risk management program precisely
to reflect the liquidity risks that it typically faces, and that it
could face in stressed market conditions. This flexibility in
permitting a fund to customize its liquidity risk management program is
meant to result in programs whose scope, and related costs and burdens,
are appropriate to manage the actual amount of liquidity risk faced by
a particular fund. Thus, to the extent a fund that is a small entity
faces relatively little liquidity risk, it would incur relatively low
costs to comply with proposed rule 22e-4. However, as discussed above,
we believe that small funds could generally entail relatively high
liquidity risk compared to larger funds, and thus these funds could
incur relatively high costs to comply with proposed rule 22e-4.\928\
---------------------------------------------------------------------------

    \928\ See supra note 926 and accompanying text.
---------------------------------------------------------------------------

    Similarly, we do not believe that the interest of investors would
be served by exempting funds that are small entities from the proposed
disclosure and reporting requirements, or subjecting these funds to
different disclosure and reporting requirements than larger funds. We
believe that all fund investors, including investors in funds that are
small entities, would benefit from disclosure and reporting
requirements that would permit them to make investment choices that
better match their risk tolerances.\929\ We also believe that all fund
investors would benefit from enhanced Commission monitoring and
oversight of the fund industry, which we anticipate would result from
the proposed disclosure and reporting requirements. We note that the
current disclosure requirements for reports on Form N-1A, and the
proposed requirements for reports on proposed Form N-PORT and proposed
Form N-CEN, do not distinguish between small entities and other

funds.\930\ However, as discussed above, proposed Form N-PORT has a
delayed compliance period for small entities that would file reports on
this form, and we are also proposing a delayed compliance period for
the amendments to proposed Form N-PORT that we are proposing
today.\931\
---------------------------------------------------------------------------

    \929\ See supra section IV.C.3.b.
    \930\ See Investment Company Reporting Modernization Release,
supra note 104, at section IV.F (noting that small entities
currently follow the same requirements that large entities do when
filing reports on Form N-SAR, Form N-CSR, and Form N-Q, and stating
that the Commission believes that establishing different reporting
requirements or frequency for small entities (including with respect
to proposed Form N-PORT and proposed Form N-CEN) would not be
consistent with the Commission's goal of industry oversight and
investor protection).
    \931\ See supra section III.H.
---------------------------------------------------------------------------

    Finally, we are not exempting funds that are small entities from
proposed rule 22c-1(a)(3) because we believe that all funds should be
able to use swing pricing as a voluntary tool to mitigate potential
shareholder dilution.\932\ We do not believe that the potential
dilution that proposed rule 22c-1(a)(3) is meant to prevent would
affect large funds and their shareholders more significantly than small
funds and investors in small funds. Also, because the adoption of swing
pricing policies and procedures would be permitted, but not required,
under proposed rule 22c-1(a)(3), a fund that is a small entity would
not need to incur the costs of compliance with the proposed rule if the
fund (and the fund's board) were to determine that the advantages of
swing pricing would not outweigh the associated disadvantages,
including compliance costs.
---------------------------------------------------------------------------

    \932\ See supra section IV.C.2.b.
---------------------------------------------------------------------------

G. General Request for Comment

    The Commission requests comments regarding this analysis. We
request comment on the number of small entities that would be subject
to the proposed liquidity regulations and whether the proposed
liquidity regulations would have any effects that have not been
discussed. We request that commenters describe the nature of any
effects on small entities subject to the proposed liquidity regulations
and provide empirical data to support the nature and extent of such
effects. We also request comment on the estimated compliance burdens of
the proposed liquidity regulations and how they would affect small
entities.

VII. Consideration of Impact on the Economy

    For purposes of the Small Business Regulatory Enforcement Fairness
Act of 1996 (``SBREFA''), the Commission must advise OMB whether a
proposed regulation constitutes a ``major'' rule. Under SBREFA, a rule
is considered ``major'' where, if adopted, it results in or is likely
to result in:
    [cir] An annual effect on the economy of $100 million or more;
    [cir] A major increase in costs or prices for consumers or
individual industries; or
    [cir] Significant adverse effects on competition, investment, or
innovation.
    We request comment on whether our proposal would be a ``major
rule'' for purposes of SBREFA. We solicit comment and empirical data
on:
    [cir] The potential effect on the U.S. economy on an annual basis;
    [cir] Any potential increase in costs or prices for consumers or
individual industries; and
    [cir] Any potential effect on competition, investment, or
innovation.
    Commenters are requested to provide empirical data and other
factual support for their views to the extent possible.

VIII. Statutory Authority and Text of Proposed Amendments

    The Commission is proposing new rule 22e-4 under the authority set
forth in sections 22(c), 22(e) and 38(a) of the Investment Company Act
[15 U.S.C. 80a-37(a)]. The Commission is proposing amendments to rule
22c-1 under the authority set forth in sections 22(c) and 38(a) of the
Investment Company Act [15 U.S.C. 80a-22(c) and 80a-37(a)]. The
Commission is proposing amendments to rule 31a-2 under the authority
set forth in section 31(a) of the Investment Company Act [15 U.S.C.
80a-31(a)]. The Commission is proposing amendments to Form N-1A,
Regulation S-X, proposed Form N-PORT, and proposed Form N-CEN under the
authority set forth in the Securities Act, particularly section 19
thereof [15 U.S.C. 77a et seq.], the Trust Indenture Act, particularly,
section 19 thereof [15 U.S.C. 77aaa et seq.], the Exchange Act,
particularly sections 10, 13, 15, and 23, and 35A thereof [15 U.S.C.
78a et seq.], and the Investment Company Act, particularly, sections 8,
30, and 38 thereof [15 U.S.C. 80a et seq.].

Text of Rules and Forms

List of Subjects

17 CFR Part 210

    Accounting, Investment companies, Reporting and recordkeeping
requirements, Securities.

17 CFR Parts 270 and 274

    Investment companies, Reporting and recordkeeping requirements,
Securities.

    For the reasons set out in the preamble, Title 17, Chapter II of
the Code of Federal Regulations is proposed to be amended as follows:

PART 210--FORM AND CONTENT OF AND REQUIREMENTS FOR FINANCIAL
STATEMENTS, SECURITIES ACT OF 1933, SECURITIES EXCHANGE ACT OF
1934, INVESTMENT COMPANY ACT OF 1940, INVESTMENT ADVISERS ACT OF
1940, AND ENERGY POLICY AND CONSERVATION ACT OF 1975

0
1. The authority citation for part 210 continues to read as follows:

    Authority: 15 U.S.C. 77f, 77g, 77h, 77j, 77s, 77z-2, 77z-3,
77aa(25), 77aa(26), 77nn(25), 77nn(26), 78c, 78j-1, 78l, 78m, 78n,
78o(d), 78q, 78u-5, 78w, 78ll, 78mm, 80a-8, 80a-20, 80a-29, 80a-30,
80a-31, 80a-37(a), 80b-3, 80b-11, 7202 and 7262, unless otherwise
noted.

0
2. Amend Sec.  210.6-02 by adding paragraphs (e), (f) and (g) to read
as follows:

Sec.  210.6-02  Definition of certain terms.

* * * * *
    (e) Illiquid investment. The term illiquid investment means an
investment that is a 15% standard asset, as defined in Sec.  270.22e-
4(a)(4) of this chapter.
    (f) Illiquid securities. The term illiquid securities means
securities that are 15% standard assets, as defined in Sec.  270.22e-
4(a)(4) of this chapter.
    (g) Swing pricing. The term swing pricing shall have the meaning
given in Sec.  270.22c-1(a)(3)(v)(C) of this chapter.
0
3. Section 210.6-03 is further amended, as proposed at 80 FR 33687,
June 12, 2015, by adding paragraph (n) to read as follows:

Sec.  210.6-03  Special rules of general application to registered
investment companies and business development companies.

* * * * *
    (n) Swing Pricing. For a registered investment company that has
adopted swing pricing policies and procedures, state in a note the
general methods used in determining whether the company's net asset
value per share will swing, if the company's net asset value per share
has swung during the year, and a general description of the effects of
swing pricing on the company's financial statements.
0
4. Section 210.6-04 is further amended, as proposed at 80 FR 33688,
June 12, 2015 by revising item 19 to read as follows:

Sec.  210.6-04  Balance sheets.

* * * * *
    19. Net assets applicable to outstanding units of capital. State
the

net asset value per share as adjusted pursuant to swing pricing
policies and procedures, if applicable.

PART 270--RULES AND REGULATIONS, INVESTMENT COMPANY ACT OF 1940

0
5. The authority citation for part 270 continues to read, in part, as
follows:

    Authority: 15 U.S.C. 80a-1 et seq., 80a-34(d), 80a-37, 80a-39,
and Pub. L. 111-203, sec. 939A, 124 Stat. 1376 (2010), unless
otherwise noted.
* * * * *
0
6. Amend Sec.  270.22c-1 by adding paragraph (a)(3) to read as follows:

Sec.  270.22c-1  Pricing of redeemable securities for distribution,
redemption and repurchase.

    (a) * * *
    (3) Notwithstanding this paragraph (a), a registered open-end
management investment company (but not a registered open-end management
investment company that is regulated as a money market fund under Sec.
270.2a-7 or an exchange-traded fund as defined in paragraph
(a)(3)(v)(A) of this section) (a ``fund'') may use swing pricing to
adjust its current net asset value per share to mitigate dilution of
the value of its outstanding redeemable securities as a result of
shareholder purchase and redemption activity, provided that it has
established and implemented swing pricing policies and procedures in
compliance with the paragraphs (a)(3)(i)-(v) of this section.
    (i) The fund's swing pricing policies and procedures shall:
    (A) Provide that the fund must adjust its net asset value per share
by a swing factor, determined pursuant to paragraph (a)(3)(i)(D) of
this section, once the level of net purchases into or net redemptions
from such fund has exceeded the fund's swing threshold, determined
pursuant to paragraph (a)(3)(i)(B) of this section. In determining
whether the fund's level of net purchases or net redemptions has
exceeded the fund's swing threshold, the person(s) responsible for
administering the fund's swing pricing policies and procedures pursuant
to paragraph (a)(3)(ii)(B) of this section: shall be permitted to make
such determination on the basis of information obtained after
reasonable inquiry; and shall exclude any purchases or redemptions that
are made in kind and not in cash.
    (B) Specify the fund's swing threshold to be used pursuant to
paragraph (3)(i)(A) of this section, considering:
    (1) The size, frequency, and volatility of historical net purchases
or net redemptions of fund shares during normal and stressed periods;
    (2) The fund's investment strategy and the liquidity of the fund's
portfolio assets;
    (3) The fund's holdings of cash and cash equivalents, as well as
borrowing arrangements and other funding sources; and
    (4) The costs associated with transactions in the markets in which
the fund invests.
    (C) Provide for the periodic review, no less frequently than
annually, of the fund's swing threshold, considering the factors set
forth in paragraph (a)(3)(i)(B) of this section.
    (D) Specify how the swing factor to be used pursuant to paragraph
(a)(3)(i)(A) of this section shall be determined, and whether the swing
factor would be subject to any upper limit. The determination of the
swing factor, as well as any upper limit on the swing factor, must take
into account:
    (1) Any near-term costs expected to be incurred by the fund as a
result of net purchases or net redemptions that occur on the day the
swing factor is used to adjust the fund's net asset value per share,
including any market impact costs, spread costs, and transaction fees
and charges arising from asset purchases or asset sales to satisfy
those purchases or redemptions, as well as any borrowing-related costs
associated with satisfying redemptions; and
    (2) The value of assets purchased or sold by the fund as a result
of net purchases or net redemptions that occur on the day the swing
factor is used to adjust the fund's net asset value per share, if that
information would not be reflected in the current net asset value of
the fund computed that day.
    (ii) The fund's swing pricing policies and procedures shall be
subject to the following approval and oversight requirements:
    (A) The fund's board of directors, including a majority of
directors who are not interested persons of the fund, shall approve the
swing pricing policies and procedures (including the fund's swing
threshold, and any swing factor upper limit specified under the fund's
swing pricing policies and procedures), as well as any material change
to the policies and procedures (including any change to the fund's
swing threshold, a change to any swing factor upper limit specified
under the fund's swing pricing policies and procedures, or any decision
to suspend or terminate the fund's swing pricing policies and
procedures).
    (B) The fund's board of directors shall designate the fund's
investment adviser or officers responsible for administering the swing
pricing policies and procedures, and for determining the swing factor
that will be used each time the swing threshold is breached; provided
that determination of the swing factor must be reasonably segregated
from the portfolio management function of the fund.
    (iii) The fund shall maintain a written copy of the policies and
procedures adopted by the fund under this paragraph (a)(3) that are in
effect, or at any time within the past six years were in effect, in an
easily accessible place.
    (iv) Any fund (a ``feeder fund'') that invests, pursuant to section
12(d)(1)(E) of the Act (15 U.S.C. 80a-12(d)(1)(E)), in another fund (a
``master fund'') may not use swing pricing to adjust the feeder fund's
net asset value per share; however, a master fund may use swing pricing
to adjust the master fund's net asset value per share, pursuant to the
requirements set forth in this paragraph (a)(3).
    (v) For purposes of this paragraph (a)(3):
    (A) Exchange-traded fund means an open-end management investment
company or a class thereof, the shares of which are traded on a
national securities exchange, and that operates pursuant to an
exemptive order granted by the Commission or in reliance on an
exemptive rule adopted by the Commission.
    (B) Swing factor means the amount, expressed as a percentage of the
fund's net asset value and determined pursuant to the fund's swing
pricing procedures, by which a fund adjusts its net asset value per
share when the level of net purchases into or net redemptions from the
fund has exceeded the fund's swing threshold.
    (C) Swing pricing means the process of adjusting a fund's current
net asset value per share to mitigate dilution of the value of its
outstanding redeemable securities as a result of shareholder purchase
and redemption activity, pursuant to the requirements set forth in this
paragraph (a)(3).
    (D) Swing threshold means the amount of net purchases into or net
redemptions from a fund, expressed as a percentage of the fund's net
asset value, that triggers the initiation of swing pricing.
    (E) Transaction fees and charges means brokerage commissions,
custody fees, and any other charges, fees, and taxes associated with
portfolio asset purchases and sales.
* * * * *
0
7. Section 270.22e-4 is added to read as follows:

Sec.  270.22e-4  Liquidity risk management programs.

    (a) Definitions. For purposes of this section:
    (1) Acquisition (or acquire) means any purchase or subsequent
rollover.
    (2) Business day means any day, other than Saturday, Sunday, or any
customary business holiday.
    (3) Convertible to cash means the ability to be sold, with the sale
settled.
    (4) 15% standard asset means an asset that may not be sold or
disposed of in the ordinary course of business within seven calendar
days at approximately the value ascribed to it by the fund. For
purposes of this definition, the fund does not need to consider the
size of the fund's position in the asset or the number of days
associated with receipt of proceeds of sale or disposition of the
asset.
    (5) Fund means an open-end management investment company that is
registered or required to register under section 8 of the Act (15
U.S.C. 80a-8) and includes a separate series of such an investment
company, but does not include a registered open-end management
investment company that is regulated as a money market fund under Sec.
270.2a-7.
    (6) Less liquid asset means any position of a fund in an asset (or
portion of the fund's position in an asset) that is not a three-day
liquid asset. In determining whether a position or portion of a
position in an asset is a less liquid asset, a fund must take into
account the factors set forth in paragraph (b)(2)(ii) of this section,
to the extent applicable.
    (7) Liquidity risk means the risk that the fund could not meet
requests to redeem shares issued by the fund that are expected under
normal conditions, or are reasonably foreseeable under stressed
conditions, without materially affecting the fund's net asset value.
    (8) Three-day liquid asset means any cash held by a fund and any
position of a fund in an asset (or portion of the fund's position in an
asset) that the fund believes is convertible into cash within three
business days at a price that does not materially affect the value of
that asset immediately prior to sale. In determining whether a position
or portion of a position in an asset is a three-day liquid asset, a
fund must take into account the factors set forth in paragraph
(b)(2)(ii) of this section, to the extent applicable.
    (9) Three-day liquid asset minimum means the percentage of the
fund's net assets to be invested in three-day liquid assets pursuant to
section (b)(2)(iv)(A) and (C) of this section.
    (b) Adoption and implementation of liquidity risk management
program.
    (1) Program requirement. Each fund shall adopt and implement a
written liquidity risk management program (``program'') that is
reasonably designed to assess and manage the fund's liquidity risk. The
program shall include policies and procedures incorporating the
elements of paragraphs (b)(2)(i) through (iv) of this section. The
program shall be administered by the fund's investment adviser, or an
officer or officers of the fund, but may not be administered solely by
portfolio managers of the fund.
    (2) Required program elements. Each fund must:
    (i) Classify and engage in an ongoing review of each of the fund's
positions in a portfolio asset (or portions of a position in a
particular asset) based on the following categories of number of days
in which it is determined, using information obtained after reasonable
inquiry, that the fund's position in the asset (or portion thereof)
would be convertible to cash at a price that does not materially affect
the value of that asset immediately prior to sale:
    (A) Convertible to cash within 1 business day;
    (B) Convertible to cash within 2-3 business days;
    (C) Convertible to cash within 4-7 calendar days;
    (D) Convertible to cash within 8-15 calendar days;
    (E) Convertible to cash within 16-30 calendar days; and
    (F) Convertible to cash in more than 30 calendar days.

    Note to paragraph (b)(2)(i): In situations in which the period
to convert a position to cash could be viewed either as two-to-three
business days or four-to-seven calendar days, a fund should classify
the position based on the shorter period (i.e., two-to-three
business days, not four-to-seven calendar days).

    (ii) For purposes of classifying and reviewing the liquidity of a
fund's position in a portfolio asset (or portion thereof) under
paragraph (b)(2)(i) of this section, take into account the following
factors, to the extent applicable, with respect to the asset (or
similar asset(s), to the extent that data concerning the portfolio
asset is not available to the fund):
    (A) Existence of an active market for the asset, including whether
the asset is listed on an exchange, as well as the number, diversity,
and quality of market participants;
    (B) Frequency of trades or quotes for the asset and average daily
trading volume of the asset (regardless of whether the asset is a
security traded on an exchange);
    (C) Volatility of trading prices for the asset;
    (D) Bid-ask spreads for the asset;
    (E) Whether the asset has a relatively standardized and simple
structure;
    (F) For fixed income securities, maturity and date of issue;
    (G) Restrictions on trading of the asset and limitations on
transfer of the asset;
    (H) The size of the fund's position in the asset relative to the
asset's average daily trading volume and, as applicable, the number of
units of the asset outstanding. Analysis of position size should
consider the extent to which the timing of disposing of the position
could create any market value impact; and
    (I) Relationship of the asset to another portfolio asset.
    (iii) Assess and periodically review the fund's liquidity risk,
considering the fund's:
    (A) Short-term and long-term cash flow projections, taking into
account the following considerations:
    (1) Size, frequency, and volatility of historical purchases and
redemptions of fund shares during normal and stressed periods;
    (2) Fund's redemption policies;
    (3) Fund's shareholder ownership concentration;
    (4) Fund's distribution channels; and
    (5) Degree of certainty associated with the fund's short-term and
long-term cash flow projections.
    (B) Investment strategy and liquidity of portfolio assets;
    (C) Use of borrowings and derivatives for investment purposes; and
    (D) Holdings of cash and cash equivalents, as well as borrowing
arrangements and other funding sources.
    (iv) Manage the fund's liquidity risk, including that the fund
will:
    (A) Determine the fund's three-day liquid asset minimum,
considering the factors specified in paragraphs (b)(2)(iii)(A) through
(D) of this section;
    (B) Periodically review, no less frequently than semi-annually, the
adequacy of the fund's three-day liquid asset minimum, considering the
factors incorporated in paragraphs (b)(2)(iii)(A) through (D) of this
section;
    (C) Not acquire any less liquid asset if, immediately after the
acquisition, the fund would have invested less than its three-day
liquid asset minimum in three-day liquid assets;
    (D) Not acquire any 15% standard asset if, immediately after the
acquisition, the fund would have invested more than 15% of its total
assets in 15% standard assets; and
    (E) Establish policies and procedures regarding redemptions in
kind, to the

extent that the fund engages in or reserves the right to engage in
redemptions in kind.
    (3) Board approval and oversight of the program.
    (i) The fund shall obtain initial approval of the liquidity risk
management program (including the fund's three-day liquid asset
minimum), as well as any material change to the program (including a
change to the fund's three-day liquid asset minimum), from the fund's
board of directors, including a majority of directors who are not
interested persons of the fund.
    (ii) The fund's board of directors, including a majority of
directors who are not interested persons of the fund, shall review, no
less frequently than annually, a written report prepared by the fund's
investment adviser or officers administering the liquidity risk
management program that describes the adequacy of the fund's liquidity
risk management program, including the fund's three-day liquid asset
minimum, and the effectiveness of its implementation.
    (iii) The fund shall designate the fund's investment adviser or
officers (which may not be solely portfolio managers of the fund)
responsible for administering the policies and procedures incorporating
the elements of paragraphs (b)(2)(i) through (iv) of this section,
whose designation must be approved by the fund's board of directors,
including a majority of the directors who are not interested persons of
the fund.
    (c) Recordkeeping. The fund must maintain:
    (1) A written copy of the policies and procedures adopted by the
fund under paragraphs (b)(1) of this section that are in effect, or at
any time within the past five years were in effect, in an easily
accessible place;
    (2) Copies of any materials provided to the board of directors in
connection with its approval under paragraph (b)(3)(i) of this section,
and written reports provided to the board of directors under paragraph
(b)(3)(ii) of this section, for at least five years after the end of
the fiscal year in which the documents were provided, the first two
years in an easily accessible place; and
    (3) A written record of how the three-day liquid asset minimum, and
any adjustments thereto, were determined, including assessment of the
factors incorporated in paragraphs (b)(2)(iii)(A) through (D) of this
section, for a period of not less than five years (the first two years
in an easily accessible place) following the determination of and each
change to the three-day liquid asset minimum.
0
8. Section 270.31a-2 is amended by revising paragraph (a)(2) to read as
follows:

Sec.  270.31a-2  Records to be preserved by registered investment
companies, certain majority-owned subsidiaries thereof, and other
persons having transactions with registered investment companies.

    (a) * * *
    (2) Preserve for a period not less than six years from the end of
the fiscal year in which any transactions occurred, the first two years
in an easily accessible place, all books and records required to be
made pursuant to paragraphs (5) through (12) of Sec.  270.31a-1(b) and
all vouchers, memoranda, correspondence, checkbooks, bank statements,
cancelled checks, cash reconciliations, cancelled stock certificates,
and all schedules evidencing and supporting each computation of net
asset value of the investment company shares, including schedules
evidencing and supporting each computation of an adjustment to net
asset value of the investment company shares based on swing pricing
policies and procedures established and implemented pursuant to Sec.
270.22c-1(a)(3), and other documents required to be maintained by Sec.
270.31a-1(a) and not enumerated in Sec.  270.31a-1(b).
* * * * *

PART 274--FORMS PRESCRIBED UNDER THE INVESTMENT COMPANY ACT OF 1940

0
9. The general authority citation for part 274 continues to read, in
part, as follows, and the sectional authorities for Sec. Sec.  274.101
and 274.130 are removed:

    Authority: 15 U.S.C. 77f, 77g, 77h, 77j, 77s, 78c(b), 78l, 78m,
78n, 78o(d), 80a-8, 80a-24, 80a-26, 80a-29, and Pub. L. 111-203,
sec. 939A, 124 Stat. 1376 (2010), unless otherwise noted.
* * * * *
0
10. Amend Form N-1A (referenced in 274.11A) by:
0
a. In Item 6 adding paragraph (d);
0
b. In Item 11 removing paragraph (c)(3) and redesignating paragraphs
(c)(4), (c)(5), (c)(6) and (c)(7) as paragraphs (c)(3), (c)(4), (c)(5)
and (c)(6), respectively;
0
c. In Item 11 adding new paragraph (c)(7) and paragraph (c)(8);
0
d. In Item 13, adding ``Capital Adjustments Due to Swing Pricing''
after ``Total Distributions'' to the list in paragraph (a);
0
e. In Item 13, Instruction 2., adding paragraphs (d) and (e);
0
f. In Item 13, Instruction 3., revising paragraphs (a) and (d);
0
g. In Item 26(b)(1), adding a sentence to the end of Instruction 4.
0
h. In Item 26(b)(2), adding a sentence to the end of Instruction 6.
0
i. In Item 26(b)(3), adding a sentence to the end of Instruction 6.
0
j. In Item 28, redesignating paragraphs (h), (i) (j), (k), (l), (m),
(n), (o) and (p) as paragraphs (i), (j), (k), (l), (m), (n), (o), (p),
and (q) respectively; and
0
k. In Item 28, adding new paragraph (h).

    Note: The text of Form N-1A does not, and this amendment will
not, appear in the Code of Federal Regulations.

Form N-1A

* * * * *

Item 6. Purchase and Sale of Fund Shares

    (d) If the Fund uses swing pricing, an explanation of the
circumstances under which it will use swing pricing and the effects of
using swing pricing. With respect to any portion of a Fund's assets
that is invested in one or more open-end management investment
companies that are registered under the Investment Company Act, the
Fund shall include a statement that the Fund's net asset value is
calculated based upon the net asset values of the registered open-end
management investment companies in which the Fund invests, and that the
prospectuses for those companies explain the circumstances under which
those companies will use swing pricing and the effects of using swing
pricing.
* * * * *

Item 11. Shareholder Information

    (c) * * *
    (7) The number of days following receipt of shareholder redemption
requests in which the fund will pay redemption proceeds to redeeming
shareholders. If the number of days differs by distribution channel,
disclose the number of days for each channel.
    (8) The methods that the Fund uses to meet redemption requests, and
whether those methods are used regularly, or only in stressed market
conditions (e.g., sales of portfolio assets, holdings of cash or cash
equivalents, lines of credit, interfund lending, and/or ability to
redeem in kind).
* * * * *

Item 13. Financial Highlights Information

* * * * *
    Instructions * * *
    2. Per Share Operating Performance. * * *
    (d) The amount shown at the Capital Adjustments Due to Swing
Pricing caption should include the per share impact of any amounts
retained by the

Fund pursuant to its swing pricing policies and procedures, if
applicable.
    (e) The amounts shown at the Net Asset Value, End of Period and Net
Asset Value, Beginning of Period captions should be the Fund's net
asset value per share as adjusted pursuant to its swing pricing
policies and procedures, if applicable.
    3. Total Return.
    (a) Assume an initial investment made at the net asset value
calculated on the last business day before the first day of each period
shown, as adjusted pursuant to the Fund's swing pricing policies and
procedures, if applicable.
    * * *
    (d) Assume a redemption at the price calculated on the last
business day of each period shown, as adjusted pursuant to the Fund's
swing pricing policies and procedures, if applicable.

Item 26. Calculation of Performance Data

* * * * *
    (b)
    * * *
    (1) Average Annual Total Return Quotation.
    * * *
    Instructions * * *
    4. * * * The ending redeemable value should assume a value as
adjusted pursuant to swing pricing policies and procedures, if
applicable.
    * * *
    (2) Average Annual Total Return (After Taxes on Distributions)
Quotation.
    * * *
    Instructions * * *
    6. * * * The ending value should assume a value as adjusted
pursuant to swing pricing policies and procedures, if applicable.
    (3) Average Annual Total Return (After Taxes on Distributions and
Redemption) Quotation.
    * * *
    Instructions * * *
    6. * * * The ending value should assume a value as adjusted
pursuant to swing pricing policies and procedures, if applicable.

Item 28. Exhibits

* * * * *
    (h) Credit Agreements. Agreements relating to lines of credit for
the benefit of the Fund.
    Instruction: The specific fees paid in connection with the credit
agreements need not be disclosed.
0
11. Further amend Form N-CEN (referenced in Sec.  274.101) as proposed
at 80 FR 33699, June 12, 2015 by:
0
a. In Part C, redesignating Items 44 through 79 as Items 45 through 80;
0
b. In Part C, adding Item 44;
0
c. In Part E, adding paragraph g. to newly redesignated Item 60.

Part C. Additional Questions for Management Investment Companies

    * * *
    Item 44. Lines of credit, interfund lending and borrowing, and
swing pricing. For open-end management investment companies, respond to
the following:
    a. Does the Fund have available a committed line of credit? [Yes/
No]
    i. If yes, what size is the line of credit? [insert dollar amount]
    ii. If yes, with which institution(s) is the line of credit? [list
name(s)]
    iii. If yes, is the line of credit just for the Fund, or is it
shared among multiple funds? [sole/shared]
    1. If shared, list names of other funds that may use the line of
credit. [list names and SEC File numbers]
    iv. If yes, did the Fund draw on the line of credit this period?
[Yes/No]
    v. If the Fund drew on the line of credit during this period, what
was the average amount outstanding when the line of credit was in use?
[insert dollar amount]
    vi. If the Fund drew on the line of credit during this period, what
was the number of days that the line of credit was in use? [insert
amount]
    b. Did the Fund engage in interfund lending? [Yes/No]
    i. If yes, what was the average amount of the interfund loan when
the loan was outstanding? [insert dollar amount.]
    ii. If yes, what was the number of days that the interfund loan was
outstanding? [insert amount]
    c. Did the Fund engage in interfund borrowing? [Yes/No]
    i. If yes, what was the average amount of the interfund loan when
the loan was outstanding? [insert dollar amount.]
    ii. If yes, what was the number of days that the interfund loan was
outstanding? [insert amount]
    d. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund,
or Exchange-Traded Managed Fund) engage in swing pricing? [Yes/No]

Part E. Additional Questions for Exchange-Traded Funds and Exchange-
Traded Managed Funds

    * * *
    Item 60.
    * * *
    g. Did the Fund require that an authorized participant post
collateral to the Fund or any of its designated service providers in
connection with the purchase or redemption of Fund shares during the
reporting period? [Y/N]
0
12. Amend Form N-PORT (referenced in 274.150), as proposed at 80 FR
33712, June 12, 2015 by:
0
a. In the General Instructions, removing the definition of ``Illiquid
Asset;''
0
b. In the General Instructions, adding a definition of ``15% Standard
Asset.''
0
c. In the General Instructions, adding a definition of ``Three-Day
Liquid Asset Minimum;''
0
d. In Part B., adding Item B.7;
0
e. In Part C, revising Item C.7; and
0
f. In Part C, adding Item C.13
    The revisions and additions read as follows:
    E. Definitions
    * * *
    15% Standard Asset has the meaning defined in rule 22e-4(a)(4).
    Three-Day Liquid Asset Minimum has the meaning defined in rule 22e-
4(a)(9).
    * * *

Part B: Information about the Fund

    * * *
    Item B.7 Liquidity information. For open-end investment companies,
provide the Three-Day Liquid Asset Minimum.
    * * *

Part C: Schedule of Portfolio Investments

    * * *
    Item C.7 For portfolio investments of registered open-end
management investment companies, is the investment a 15% Standard
Asset? [Y/N]
    * * *
    Item C.13 For portfolio investments of open-end management
investment companies, indicate the liquidity classification for each
portfolio asset (or portion thereof) among the following categories as
specified in rule 22e-4. For portfolio assets with multiple liquidity
classifications, indicate the dollar amount attributable to each
classification:
    Convertible to cash within 1 business day

    Convertible to cash within 2-3 business days
    Convertible to cash within 4-7 calendar days
    Convertible to cash within 8-15 calendar days
    Convertible to cash within 16-30 calendar days
    Convertible to cash in more than 30 calendar days
* * * * *

    By the Commission.

     Dated: September 22, 2015.
Brent J. Fields,
Secretary.
[FR Doc. 2015-24507 Filed 10-14-15; 8:45 am]
BILLING CODE 8011-01-P