Order Making Fiscal 2008 Mid-Year Adjustment to the Fee Rates Applicable Under Sections 31(b) and (c) of the Securities Exchange Act of 1934, 12228-12233 [E8-4335]
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12228
Federal Register / Vol. 73, No. 45 / Thursday, March 6, 2008 / Notices
Applicant’s Address: 300 Pacific
Coast Hwy., Suite 305, Huntington
Beach, CA 92648.
Keeley Small Cap Value Fund, Inc.
[File No. 811–7760]
Summary: Applicant seeks an order
declaring that it has ceased to be an
investment company. On December 31,
2007, applicant transferred its assets to
Keeley Small Cap Value Fund, a series
of Keeley Funds, Inc., based on net asset
value. Expenses of $25,600 incurred in
connection with the reorganization were
paid by applicant.
Filing Date: The application was filed
on January 25, 2008.
Applicant’s Address: 401 South
LaSalle, Suite 1201, Chicago, IL 60605.
[File No. 811–8957]
Summary: Applicant, a master fund in
a master-feeder structure, seeks an order
declaring that it has ceased to be an
investment company. On December 31,
2007, applicant made a liquidating
distribution to Highland Floating Rate
Fund, its feeder fund and sole
shareholder. Expenses of approximately
$5,000 incurred in connection with the
liquidation were paid by applicant.
Filing Date: The application was filed
on February 6, 2008.
Applicant’s Address: c/o Highland
Capital Management, L.P., Two Galleria
Tower, 13455 Noel Rd., Suite 800,
Dallas, TX 75240.
High Income Master Portfolio LLC
[File No. 811–21690]
Summary: Applicant seeks an order
declaring that it has ceased to be an
investment company. Applicant has
never made a public offering of its
securities and does not propose to make
a public offering or engage in business
of any kind.
Filing Date: The application was filed
on January 29, 2008.
Applicant’s Address: c/o Highland
Capital Management, L.P., Two Galleria
Tower, 13455 Noel Rd., Suite 800,
Dallas, TX 75240.
Dreyfus Massachusetts Tax Exempt
Bond Fund
mstockstill on PROD1PC66 with NOTICES
[File No. 811–4271]
Summary: Applicant seeks an order
declaring that it has ceased to be an
investment company. On October 20,
2004, applicant transferred its assets to
the Massachusetts Series of Dreyfus
Premier State Municipal Bond Fund,
based on net asset value. Expenses of
$66,440 incurred in connection with the
reorganization were paid by The
16:57 Mar 05, 2008
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offsetting collection amount’’ specified
in Section 31(l)(1) for that fiscal year.6
For fiscal 2008, the target offsetting
collection amount is $892,000,000.7
For the Commission, by the Division of
Investment Management, pursuant to
delegated authority.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E8–4257 Filed 3–5–08; 8:45 am]
Under section 31(j)(2) of the Exchange
Act, the Commission must make a midyear adjustment to the fee rates under
Sections 31(b) and (c) in fiscal year 2008
if it determines, based on the actual
aggregate dollar volume of sales during
the first five months of the fiscal year,
that the baseline estimate
($78,732,152,559,457) is reasonably
likely to be 10% (or more) greater or less
than the actual aggregate dollar volume
of sales for fiscal 2008.8 To make this
determination, the Commission must
estimate the actual aggregate dollar
volume of sales for fiscal 2008.
Based on data provided by the
national securities exchanges and the
national securities association that are
subject to section 31,9 the actual
aggregate dollar volume of sales during
the first four months of fiscal 2008 was
$27,185,458,106,162.10 Using these data
and a methodology for estimating the
aggregate dollar amount of sales for the
remainder of fiscal 2008 (developed
after consultation with the
Congressional Budget Office and the
OMB),11 the Commission estimates that
the aggregate dollar amount of sales for
the remainder of fiscal 2008 to be
$71,539,094,586,685. Thus, the
Commission estimates that the actual
aggregate dollar volume of sales for all
of fiscal 2008 will be
$98,724,552,692,847.
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57407/February 29, 2008]
Highland Floating Rate Limited
Liability Company
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Dreyfus Corporation, applicant’s
investment adviser.
Filing Date: The application was filed
on January 30, 2008.
Applicant’s Address: c/o The Dreyfus
Corporation, 200 Park Ave., New York,
NY 10166.
Order Making Fiscal 2008 Mid-Year
Adjustment to the Fee Rates
Applicable Under Sections 31(b) and
(c) of the Securities Exchange Act of
1934
I. Background
Section 31 of the Securities Exchange
Act of 1934 (‘‘Exchange Act’’) requires
each national securities exchange and
national securities association to pay
transaction fees to the Commission.1
Specifically, section 31(b) requires each
national securities exchange to pay to
the Commission fees based on the
aggregate dollar amount of sales of
certain securities transacted on the
exchange.2 Section 31(c) requires each
national securities association to pay to
the Commission fees based on the
aggregate dollar amount of sales of
certain securities transacted by or
through any member of the association
other than on an exchange.3
Sections 31(j)(1) and (3) require the
Commission to make annual
adjustments to the fee rates applicable
under sections 31(b) and (c) for each of
the fiscal years 2003 through 2011, and
one final adjustment to fix the fee rates
for fiscal year 2012 and beyond.4
Section 31(j)(2) requires the
Commission, in certain circumstances,
to make a mid-year adjustment to the fee
rates in fiscal 2002 through fiscal 2011.5
The annual and mid-year adjustments
are designed to adjust the fee rates in a
given fiscal year so that, when applied
to the aggregate dollar volume of sales
for the fiscal year, they are reasonably
likely to produce total fee collections
under section 31 equal to the ‘‘target
1 15
U.S.C. 78ee.
U.S.C. 78ee(b).
3 15 U.S.C. 78ee(c).
4 15 U.S.C. 78ee(j)(1) and (j)(3).
5 15 U.S.C. 78ee(j)(2).
2 15
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II. Determination of the Need for a MidYear Adjustment in Fiscal 2008
6 15
U.S.C. 78ee(l)(1).
7 Id.
8 The amount $78,732,152,559,457 is the baseline
estimate of the aggregate dollar amount of sales for
fiscal year 2008 calculated by the Commission in
its Order Making Fiscal 2008 Annual Adjustments
to the Fee Rates Applicable Under Section 6(b) of
the Securities Act of 1933 and Sections 13(e), 14(g),
31(b) and 31(c) of the Securities Exchange Act of
1934, Rel. No. 33–8794 (April 30, 2007), 72 FR
25809 (May 7, 2007).
9 The Financial Industry Regulatory Authority
(‘‘FINRA’’) and each exchange is required to file a
monthly report on Form R31 containing dollar
volume data on sales of securities subject to Section
31. The report is due on the 10th business day
following the month for which the exchange or
association provides dollar volume data.
10 Although Section 31(j)(2) indicates that the
Commission should determine the actual aggregate
dollar volume of sales for fiscal 2008 ‘‘based on the
actual aggregate dollar volume of sales during the
first 5 months of such fiscal year,’’ data are only
available for the first four months of the fiscal year
as of the date the Commission is required to issue
this order, i.e., March 1, 2008. Dollar volume data
on sales of securities subject to Section 31 for
February 2008 will not be available from the
exchanges and FINRA for several weeks.
11 See Appendix A.
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Because the baseline estimate of
$78,732,152,559,457 is more than 10%
less than the $98,724,552,692,847
estimated actual aggregate dollar
volume of sales for fiscal 2008, section
31(j)(2) of the Exchange Act requires the
Commission to issue an order adjusting
the fee rates under sections 31(b) and
(c).
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III. Calculation of the Uniform Adjusted
Rate
Section 31(j)(2) specifies the method
for determining the mid-year adjustment
for fiscal 2008. Specifically, the
Commission must adjust the rates under
sections 31(b) and (c) to a ‘‘uniform
adjusted rate that, when applied to the
revised estimate of the aggregate dollar
amount of sales for the remainder of
[fiscal 2008], is reasonably likely to
produce aggregate fee collections under
section 31 (including fees collected
during such 5-month period and
assessments collected under [Section
31(d)]) that are equal to
[$892,000,000].’’ 12 In other words, the
uniform adjusted rate is determined by
subtracting fees collected prior to the
effective date of the new rate and
assessments collected under section
31(d) during all of fiscal 2008 from
$892,000,000, which is the target
offsetting collection amount for fiscal
2008. That difference is then divided by
the revised estimate of the aggregate
dollar volume of sales for the remainder
of the fiscal year following the effective
date of the new rate.
The Commission estimates that it will
collect $581,546,346 in fees for the
period prior to the effective date of the
mid-year adjustment 13 and $32,475 in
12 15 U.S.C. 78ee(j)(2). The term ‘‘fees collected’’
is not defined in Section 31. Because national
securities exchanges and national securities
associations are not required to pay the first
installment of Section 31 fees for fiscal 2008 until
March 15, the Commission will not ‘‘collect’’ any
fees in the first five months of fiscal 2008. See 15
U.S.C. 78ee(e). However, the Commission believes
that, for purposes of calculating the mid-year
adjustment, Congress, by stating in Section 31(j)(2)
that the ‘‘uniform adjusted rate * * * is reasonably
likely to produce aggregate fee collections under
Section 31 * * * that are equal to [$892,000,000],’’
intended the Commission to include the fees that
the Commission will collect based on transactions
in the six months before the effective date of the
mid-year adjustment.
13 This calculation is based on applying a fee rate
of $15.30 per million to the aggregate dollar volume
of sales of securities subject to Section 31 through
January 24, 2008, and a rate of $11.00 for the period
from January 25, 2008 to March 31, 2008. Because
the Commission’s regular appropriation for fiscal
year 2008 was not enacted prior to the end of fiscal
year 2007, Exchange Act Section 31(k), the ‘‘Lapse
of Appropriation’’ provision, required that the fee
rate in use at the end of fiscal year 2007, $15.30 per
million, remain in effect until 30 days after the
appropriation was enacted. See also Order Making
Fiscal 2008 Annual Adjustments to the Fee Rates
Applicable Under Section 6(b) of the Securities Act
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assessments on round turn transactions
in security futures products during all of
fiscal 2008. Using the methodology
referenced in Part II above, the
Commission estimates that the aggregate
dollar volume of sales for the remainder
of fiscal 2008 following the effective
date of the new rate will be
$55,740,439,070,059. Based on these
estimates, the uniform adjusted rate is
$5.60 per million of the aggregate dollar
amount of sales of securities.14
The Commission recognizes that this
fee rate is lower than the current fee rate
of $11.00 per million. The new fee rate
is established by the statutory mid-year
adjustment mechanism and is a direct
consequence of more recent information
on the dollar amount of sales of
securities. The aggregate dollar amount
of sales of securities subject to section
31 fees is illustrated in Appendix A.
IV. Effective Date of the Uniform
Adjusted Rate
Section 31(j)(4)(B) of the Exchange
Act provides that a mid-year adjustment
shall take effect on April 1 of the fiscal
year in which such rate applies.
Therefore, the exchanges and the
national securities association that are
subject to section 31 fees must pay fees
under sections 31(b) and (c) at the
uniform adjusted rate of $5.60 per
million for sales of securities transacted
on April 1, 2008, and thereafter until the
annual adjustment for fiscal 2009 is
effective.15
V. Conclusion
Accordingly, pursuant to section 31 of
the Exchange Act,16 It is hereby ordered
that each of the fee rates under sections
31(b) and (c) of the Exchange Act shall
be $5.60 per $1,000,000 of the aggregate
dollar amount of sales of securities
subject to these sections effective April
1, 2008.
of 1933 and Sections 13(e), 14(g), 31(b) and 31(c)
of the Securities Exchange Act of 1934, Rel. No. 33–
8794 (April 30, 2007), 72 FR 25809 (May 7, 2007).
The Commission’s regular appropriation for fiscal
year 2008 was enacted on December 26, 2007, and
the $11.00 per million rate went into effect 30 days
later, by operation of the statute. See Exchange Act
Section 31(j)(4)(A)(ii).
14 The calculation is as follows:
($892,000,000¥$581,546,346¥$32,475)/
$55,740,439,070,059 = $0.0000055690. Round this
result to the seventh decimal point, yielding a rate
of $5.60 per million.
15 Section 31(j)(1) and Section 31(g) of the
Exchange Act require the Commission to issue an
order no later than April 30, 2008, adjusting the fee
rates applicable under Sections 31(b) and (c) for
fiscal 2009. These fee rates for fiscal 2009 will be
effective on the later of October 1, 2008 or thirty
days after the enactment of the Commission’s
regular appropriation for fiscal 2009.
16 15 U.S.C. 78ee.
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By the Commission.
Nancy M. Morris,
Secretary.
Appendix A
A. Baseline Estimate of the Aggregate
Dollar Amount of Sales
First, calculate the average daily
dollar amount of sales (ADS) for each
month in the sample (January 1998–
January 2008). The data obtained from
the exchanges and FINRA are presented
in Table A. The monthly aggregate
dollar amount of sales from all
exchanges and FINRA is contained in
column C.
Next, calculate the change in the
natural logarithm of ADS from monthto-month. The average monthly change
in the logarithm of ADS over the entire
sample is 0.017 and the standard
deviation 0.124. Assume the monthly
percentage change in ADS follows a
random walk. The expected monthly
percentage growth rate of ADS is 2.5
percent.
Now, use the expected monthly
percentage growth rate to forecast total
dollar volume. For example, one can use
the ADS for January 2008
($380,797,961,013) to forecast ADS for
February 2008 ($390,166,745,447 =
$380,797,961,013 × 1.025).17 Multiply
by the number of trading days in
February 2008 (20) to obtain a forecast
of the total dollar volume for the month
($7,803,334,908,936). Repeat the
method to generate forecasts for
subsequent months.
The forecasts for total dollar volume
are in column G of Table A. The
following is a more formal
(mathematical) description of the
procedure:
1. Divide each month’s total dollar
volume (column C) by the number of
trading days in that month (column B)
to obtain the average daily dollar
volume (ADS, column D).
2. For each month t, calculate the
change in ADS from the previous month
as Dt = log (ADSt / ADSt-1), where log (x)
denotes the natural logarithm of x.
3. Calculate the mean and standard
deviation of the series {D1, D2, * * * ,
D120}. These are given by µ = 0.017 and
s = 0.124, respectively.
4. Assume that the natural logarithm
of ADS follows a random walk, so that
Ds and Dt are statistically independent
for any two months s and t.
5. Under the assumption that Dt is
normally distributed, the expected value
of ADSt /ADSt-1 is given by exp (µ + s2),
or on average ADSt = 1.025 × ADSt-1.
17 The value 1.025 has been rounded. All
computations are done with the unrounded value.
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6. For February 2008, this gives a
forecast ADS of 1.025 ×
$380,797,961,013 = $390,166,745,447.
Multiply this figure by the 20 trading
days in February 2008 to obtain a total
dollar volume forecast of
$7,803,334,908,936.
7. For March 2008, multiply the
February 2008 ADS forecast by 1.025 to
obtain a forecast ADS of
$399,766,030,385. Multiply this figure
by the 20 trading days in March 2008 to
obtain a total dollar volume forecast of
$7,995,320,607,691.
8. Repeat this procedure for
subsequent months.
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B. Using the Forecasts From A to
Calculate the New Fee Rate
1. Determine the aggregate dollar
volume of sales between 10/1/07 and 1/
24/08 to be $25,283,975,749,096.
Multiply this amount by the fee rate of
$15.3 per million dollars in sales during
this period and get $386,844,829 in
actual fees collected during 10/1/07 and
1/24/08. Determine the actual and
projected aggregate dollar volume of
sales between 1/25/08 and 3/31/08 to be
$17,700,137,873,692. Multiply this
amount by the fee rate of $11.00 per
million dollars in sales during this
period and get an estimate of
$194,701,517 in actual and projected
fees collected during 1/25/08 and 3/31/
08.
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2. Estimate the amount of assessments
on security futures products collected
during 10/1/07 and 9/30/08 to be
$32,475 by summing the amounts
collected through January of $8,747
with projections of a 2.5% monthly
increase in subsequent months.
3. Determine the projected aggregate
dollar volume of sales between 4/1/08
and 9/30/08 to be $55,740,439,070,059.
4. The rate necessary to collect the
target $892,000,000 in fee revenues is
then calculated as: ($892,000,000 ¥
$386,844,829 ¥ $194,701,517 ¥
$32,475) ÷ $55,740,439,070,059 =
0.0000055690.
5. Round the result to the seventh
decimal point, yielding a rate of
0.0000056 (or $5.60 per million).
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BILLING CODE 8011–01–C
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57401; File No. SR–Amex–
2008–12]
Self-Regulatory Organizations;
American Stock Exchange, LLC;
Notice of Filing and Immediate
Effectiveness of Proposed Rule
Change, as Modified by Amendment
No. 2 Thereto, Relating to the
Exchange’s Options Fee Cap Pilot
Program for Dividend Strategies,
Merger Spreads, and Short Stock
Interest Spreads
February 29, 2008.
mstockstill on PROD1PC66 with NOTICES
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on February
20, 2008, the American Stock Exchange,
LLC (‘‘Amex’’ or ‘‘Exchange’’) filed with
the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been prepared by the Exchange.
On February 21, 2008, the Exchange
filed Amendment No. 1 to the proposal.
The Exchange withdrew Amendment
No. 1 on February 22, 2008, and
submitted Amendment No. 2 on
February 27, 2008.3 Amex has
designated this proposal as one
establishing or changing a due, fee, or
other charge imposed by the Exchange
under Section 19(b)(3)(A),4 and Rule
19b–4(f)(2) thereunder,5 which renders
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 Amendment No. 2 deleted the references in the
original filing to the retroactive application of the
Fee Cap Pilot Program from February 1, 2008
through February 19, 2008.
4 15 U.S.C. 78s(b)(3)(A).
5 17 CFR 240.19b–4(f)(2).
2 17
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Amex proposes to extend the Fee Cap
Pilot Program for dividend strategies,
merger spreads, and short stock interest
spreads (the ‘‘Fee Cap Program’’) until
February 1, 2009. The text of the
proposed rule change is available at the
Exchange, the Commission’s Public
Reference Room, and https://
www.amex.com.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
Amex included statements concerning
the purpose of, and basis for, the
proposed rule change and discussed any
comments it received on the proposal.
The text of these statements may be
examined at the places specified in Item
IV below. Amex has prepared
summaries, set forth in Sections A, B,
and C below, of the most significant
aspects of such statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The purpose of the proposed rule
change is to extend the current Fee Cap
Program from February 19, 2008
through February 1, 2009. The current
Fee Cap Program expired on February 1,
2008.
The Fee Cap Program provides that
specialists, registered options traders,
non-member market makers, firms, and
member and non-member broker-dealers
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option transaction, comparison and
floor brokerage fees are limited to an
aggregate fee of $100 for all dividend
strategies, merger spreads, and short
stock interest spreads executed on the
same trading day in the same option
class.6 Additionally, such fees are also
limited to $12,500 per month per
initiating firm.
To date, the Exchange believes that
the current Fee Cap Program has been
beneficial, and submits that an
extension through February 1, 2009 is
warranted. The Exchange asserts that
the Fee Cap Program may increase the
trading opportunities for members and
provide additional business
opportunities for the Exchange.
Accordingly, the proposal seeks to
extend the pilot through February 1,
2009.
2. Statutory Basis
The Exchange submits that the
proposed fee change is consistent with
Section 6(b)(4) of the Act 7 regarding the
equitable allocation of reasonable dues,
fees, and other charges among exchange
members and other persons using
exchange facilities. The Exchange
believes that the proposed extension of
the current Fee Cap Program is
beneficial to market participants by
providing additional trading
opportunities at an efficient cost.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
Amex does not believe that the
proposed rule change will impose any
burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
6 These fees are charged only to Exchange
members.
7 15 U.S.C. 78f(b)(4).
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the proposal effective upon filing with
the Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change,
as modified by Amendment No. 2, from
interested persons.
[FR Doc. E8–4335 Filed 3–5–08; 8:45 am]
12233
]]>Agencies
[Federal Register Volume 73, Number 45 (Thursday, March 6, 2008)]
[Notices]
[Pages 12228-12233]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-4335]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-57407/February 29, 2008]
Order Making Fiscal 2008 Mid-Year Adjustment to the Fee Rates
Applicable Under Sections 31(b) and (c) of the Securities Exchange Act
of 1934
I. Background
Section 31 of the Securities Exchange Act of 1934 (``Exchange
Act'') requires each national securities exchange and national
securities association to pay transaction fees to the Commission.\1\
Specifically, section 31(b) requires each national securities exchange
to pay to the Commission fees based on the aggregate dollar amount of
sales of certain securities transacted on the exchange.\2\ Section
31(c) requires each national securities association to pay to the
Commission fees based on the aggregate dollar amount of sales of
certain securities transacted by or through any member of the
association other than on an exchange.\3\
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78ee.
\2\ 15 U.S.C. 78ee(b).
\3\ 15 U.S.C. 78ee(c).
---------------------------------------------------------------------------
Sections 31(j)(1) and (3) require the Commission to make annual
adjustments to the fee rates applicable under sections 31(b) and (c)
for each of the fiscal years 2003 through 2011, and one final
adjustment to fix the fee rates for fiscal year 2012 and beyond.\4\
Section 31(j)(2) requires the Commission, in certain circumstances, to
make a mid-year adjustment to the fee rates in fiscal 2002 through
fiscal 2011.\5\ The annual and mid-year adjustments are designed to
adjust the fee rates in a given fiscal year so that, when applied to
the aggregate dollar volume of sales for the fiscal year, they are
reasonably likely to produce total fee collections under section 31
equal to the ``target offsetting collection amount'' specified in
Section 31(l)(1) for that fiscal year.\6\ For fiscal 2008, the target
offsetting collection amount is $892,000,000.\7\
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\4\ 15 U.S.C. 78ee(j)(1) and (j)(3).
\5\ 15 U.S.C. 78ee(j)(2).
\6\ 15 U.S.C. 78ee(l)(1).
\7\ Id.
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II. Determination of the Need for a Mid-Year Adjustment in Fiscal 2008
Under section 31(j)(2) of the Exchange Act, the Commission must
make a mid-year adjustment to the fee rates under Sections 31(b) and
(c) in fiscal year 2008 if it determines, based on the actual aggregate
dollar volume of sales during the first five months of the fiscal year,
that the baseline estimate ($78,732,152,559,457) is reasonably likely
to be 10% (or more) greater or less than the actual aggregate dollar
volume of sales for fiscal 2008.\8\ To make this determination, the
Commission must estimate the actual aggregate dollar volume of sales
for fiscal 2008.
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\8\ The amount $78,732,152,559,457 is the baseline estimate of
the aggregate dollar amount of sales for fiscal year 2008 calculated
by the Commission in its Order Making Fiscal 2008 Annual Adjustments
to the Fee Rates Applicable Under Section 6(b) of the Securities Act
of 1933 and Sections 13(e), 14(g), 31(b) and 31(c) of the Securities
Exchange Act of 1934, Rel. No. 33-8794 (April 30, 2007), 72 FR 25809
(May 7, 2007).
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Based on data provided by the national securities exchanges and the
national securities association that are subject to section 31,\9\ the
actual aggregate dollar volume of sales during the first four months of
fiscal 2008 was $27,185,458,106,162.\10\ Using these data and a
methodology for estimating the aggregate dollar amount of sales for the
remainder of fiscal 2008 (developed after consultation with the
Congressional Budget Office and the OMB),\11\ the Commission estimates
that the aggregate dollar amount of sales for the remainder of fiscal
2008 to be $71,539,094,586,685. Thus, the Commission estimates that the
actual aggregate dollar volume of sales for all of fiscal 2008 will be
$98,724,552,692,847.
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\9\ The Financial Industry Regulatory Authority (``FINRA'') and
each exchange is required to file a monthly report on Form R31
containing dollar volume data on sales of securities subject to
Section 31. The report is due on the 10th business day following the
month for which the exchange or association provides dollar volume
data.
\10\ Although Section 31(j)(2) indicates that the Commission
should determine the actual aggregate dollar volume of sales for
fiscal 2008 ``based on the actual aggregate dollar volume of sales
during the first 5 months of such fiscal year,'' data are only
available for the first four months of the fiscal year as of the
date the Commission is required to issue this order, i.e., March 1,
2008. Dollar volume data on sales of securities subject to Section
31 for February 2008 will not be available from the exchanges and
FINRA for several weeks.
\11\ See Appendix A.
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[[Page 12229]]
Because the baseline estimate of $78,732,152,559,457 is more than
10% less than the $98,724,552,692,847 estimated actual aggregate dollar
volume of sales for fiscal 2008, section 31(j)(2) of the Exchange Act
requires the Commission to issue an order adjusting the fee rates under
sections 31(b) and (c).
III. Calculation of the Uniform Adjusted Rate
Section 31(j)(2) specifies the method for determining the mid-year
adjustment for fiscal 2008. Specifically, the Commission must adjust
the rates under sections 31(b) and (c) to a ``uniform adjusted rate
that, when applied to the revised estimate of the aggregate dollar
amount of sales for the remainder of [fiscal 2008], is reasonably
likely to produce aggregate fee collections under section 31 (including
fees collected during such 5-month period and assessments collected
under [Section 31(d)]) that are equal to [$892,000,000].'' \12\ In
other words, the uniform adjusted rate is determined by subtracting
fees collected prior to the effective date of the new rate and
assessments collected under section 31(d) during all of fiscal 2008
from $892,000,000, which is the target offsetting collection amount for
fiscal 2008. That difference is then divided by the revised estimate of
the aggregate dollar volume of sales for the remainder of the fiscal
year following the effective date of the new rate.
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\12\ 15 U.S.C. 78ee(j)(2). The term ``fees collected'' is not
defined in Section 31. Because national securities exchanges and
national securities associations are not required to pay the first
installment of Section 31 fees for fiscal 2008 until March 15, the
Commission will not ``collect'' any fees in the first five months of
fiscal 2008. See 15 U.S.C. 78ee(e). However, the Commission believes
that, for purposes of calculating the mid-year adjustment, Congress,
by stating in Section 31(j)(2) that the ``uniform adjusted rate * *
* is reasonably likely to produce aggregate fee collections under
Section 31 * * * that are equal to [$892,000,000],'' intended the
Commission to include the fees that the Commission will collect
based on transactions in the six months before the effective date of
the mid-year adjustment.
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The Commission estimates that it will collect $581,546,346 in fees
for the period prior to the effective date of the mid-year adjustment
\13\ and $32,475 in assessments on round turn transactions in security
futures products during all of fiscal 2008. Using the methodology
referenced in Part II above, the Commission estimates that the
aggregate dollar volume of sales for the remainder of fiscal 2008
following the effective date of the new rate will be
$55,740,439,070,059. Based on these estimates, the uniform adjusted
rate is $5.60 per million of the aggregate dollar amount of sales of
securities.\14\
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\13\ This calculation is based on applying a fee rate of $15.30
per million to the aggregate dollar volume of sales of securities
subject to Section 31 through January 24, 2008, and a rate of $11.00
for the period from January 25, 2008 to March 31, 2008. Because the
Commission's regular appropriation for fiscal year 2008 was not
enacted prior to the end of fiscal year 2007, Exchange Act Section
31(k), the ``Lapse of Appropriation'' provision, required that the
fee rate in use at the end of fiscal year 2007, $15.30 per million,
remain in effect until 30 days after the appropriation was enacted.
See also Order Making Fiscal 2008 Annual Adjustments to the Fee
Rates Applicable Under Section 6(b) of the Securities Act of 1933
and Sections 13(e), 14(g), 31(b) and 31(c) of the Securities
Exchange Act of 1934, Rel. No. 33-8794 (April 30, 2007), 72 FR 25809
(May 7, 2007). The Commission's regular appropriation for fiscal
year 2008 was enacted on December 26, 2007, and the $11.00 per
million rate went into effect 30 days later, by operation of the
statute. See Exchange Act Section 31(j)(4)(A)(ii).
\14\ The calculation is as follows: ($892,000,000-$581,546,346-
$32,475)/ $55,740,439,070,059 = $0.0000055690. Round this result to
the seventh decimal point, yielding a rate of $5.60 per million.
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The Commission recognizes that this fee rate is lower than the
current fee rate of $11.00 per million. The new fee rate is established
by the statutory mid-year adjustment mechanism and is a direct
consequence of more recent information on the dollar amount of sales of
securities. The aggregate dollar amount of sales of securities subject
to section 31 fees is illustrated in Appendix A.
IV. Effective Date of the Uniform Adjusted Rate
Section 31(j)(4)(B) of the Exchange Act provides that a mid-year
adjustment shall take effect on April 1 of the fiscal year in which
such rate applies. Therefore, the exchanges and the national securities
association that are subject to section 31 fees must pay fees under
sections 31(b) and (c) at the uniform adjusted rate of $5.60 per
million for sales of securities transacted on April 1, 2008, and
thereafter until the annual adjustment for fiscal 2009 is
effective.\15\
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\15\ Section 31(j)(1) and Section 31(g) of the Exchange Act
require the Commission to issue an order no later than April 30,
2008, adjusting the fee rates applicable under Sections 31(b) and
(c) for fiscal 2009. These fee rates for fiscal 2009 will be
effective on the later of October 1, 2008 or thirty days after the
enactment of the Commission's regular appropriation for fiscal 2009.
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V. Conclusion
Accordingly, pursuant to section 31 of the Exchange Act,\16\ It is
hereby ordered that each of the fee rates under sections 31(b) and (c)
of the Exchange Act shall be $5.60 per $1,000,000 of the aggregate
dollar amount of sales of securities subject to these sections
effective April 1, 2008.
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\16\ 15 U.S.C. 78ee.
By the Commission.
Nancy M. Morris,
Secretary.
Appendix A
A. Baseline Estimate of the Aggregate Dollar Amount of Sales
First, calculate the average daily dollar amount of sales (ADS) for
each month in the sample (January 1998-January 2008). The data obtained
from the exchanges and FINRA are presented in Table A. The monthly
aggregate dollar amount of sales from all exchanges and FINRA is
contained in column C.
Next, calculate the change in the natural logarithm of ADS from
month-to-month. The average monthly change in the logarithm of ADS over
the entire sample is 0.017 and the standard deviation 0.124. Assume the
monthly percentage change in ADS follows a random walk. The expected
monthly percentage growth rate of ADS is 2.5 percent.
Now, use the expected monthly percentage growth rate to forecast
total dollar volume. For example, one can use the ADS for January 2008
($380,797,961,013) to forecast ADS for February 2008 ($390,166,745,447
= $380,797,961,013 x 1.025).\17\ Multiply by the number of trading days
in February 2008 (20) to obtain a forecast of the total dollar volume
for the month ($7,803,334,908,936). Repeat the method to generate
forecasts for subsequent months.
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\17\ The value 1.025 has been rounded. All computations are done
with the unrounded value.
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The forecasts for total dollar volume are in column G of Table A.
The following is a more formal (mathematical) description of the
procedure:
1. Divide each month's total dollar volume (column C) by the number
of trading days in that month (column B) to obtain the average daily
dollar volume (ADS, column D).
2. For each month t, calculate the change in ADS from the previous
month as [Delta]t = log (ADSt /
ADSt-1), where log (x) denotes the natural logarithm of x.
3. Calculate the mean and standard deviation of the series
{[Delta]1, [Delta]2, * * * ,
[Delta]120{time} . These are given by [mu] = 0.017 and
[sigma] = 0.124, respectively.
4. Assume that the natural logarithm of ADS follows a random walk,
so that [Delta]s and [Delta]t are statistically
independent for any two months s and t.
5. Under the assumption that [Delta]t is normally
distributed, the expected value of ADSt /ADSt-1
is given by exp ([mu] + [sigma]\2\), or on average ADSt =
1.025 x ADSt-1.
[[Page 12230]]
6. For February 2008, this gives a forecast ADS of 1.025 x
$380,797,961,013 = $390,166,745,447. Multiply this figure by the 20
trading days in February 2008 to obtain a total dollar volume forecast
of $7,803,334,908,936.
7. For March 2008, multiply the February 2008 ADS forecast by 1.025
to obtain a forecast ADS of $399,766,030,385. Multiply this figure by
the 20 trading days in March 2008 to obtain a total dollar volume
forecast of $7,995,320,607,691.
8. Repeat this procedure for subsequent months.
B. Using the Forecasts From A to Calculate the New Fee Rate
1. Determine the aggregate dollar volume of sales between 10/1/07
and 1/24/08 to be $25,283,975,749,096. Multiply this amount by the fee
rate of $15.3 per million dollars in sales during this period and get
$386,844,829 in actual fees collected during 10/1/07 and 1/24/08.
Determine the actual and projected aggregate dollar volume of sales
between 1/25/08 and 3/31/08 to be $17,700,137,873,692. Multiply this
amount by the fee rate of $11.00 per million dollars in sales during
this period and get an estimate of $194,701,517 in actual and projected
fees collected during 1/25/08 and 3/31/08.
2. Estimate the amount of assessments on security futures products
collected during 10/1/07 and 9/30/08 to be $32,475 by summing the
amounts collected through January of $8,747 with projections of a 2.5%
monthly increase in subsequent months.
3. Determine the projected aggregate dollar volume of sales between
4/1/08 and 9/30/08 to be $55,740,439,070,059.
4. The rate necessary to collect the target $892,000,000 in fee
revenues is then calculated as: ($892,000,000 - $386,844,829 -
$194,701,517 - $32,475) / $55,740,439,070,059 = 0.0000055690.
5. Round the result to the seventh decimal point, yielding a rate
of 0.0000056 (or $5.60 per million).
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[FR Doc. E8-4335 Filed 3-5-08; 8:45 am]
BILLING CODE 8011-01-C
