Order Making Fiscal Year 2011 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, 24757-24769 [2010-10491]
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Federal Register / Vol. 75, No. 86 / Wednesday, May 5, 2010 / Notices
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
U.S. Small Business Administration,
409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
SUPPLEMENTARY INFORMATION: The notice
of the President’s major disaster
declaration for Private Non-Profit
organizations in the State of West
Virginia, dated 03/29/2010, is hereby
amended to include the following areas
as adversely affected by the disaster.
Primary Counties: Greenbrier.
All other information in the original
declaration remains unchanged.
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008)
Joseph P. Loddo,
Acting Associate Administrator for Disaster
Assistance.
[FR Doc. 2010–10478 Filed 5–4–10; 8:45 am]
BILLING CODE 8025–01–P
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #12144 and #12145]
Virginia Disaster #VA–00029
This is a Notice of the
Presidential declaration of a major
disaster for Public Assistance Only for
the Commonwealth of Virginia (FEMA–
1905–DR), dated 04/27/2010.
Incident: Severe Winter Storms and
Snowstorms.
Incident Period: 02/05/2010 through
02/11/2010.
Effective Date: 04/27/2010.
Physical Loan Application Deadline
Date: 06/28/2010.
Economic Injury (EIDL) Loan
Application Deadline Date: 01/27/2011.
ADDRESSES: Submit completed loan
applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
U.S. Small Business Administration,
409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
SUPPLEMENTARY INFORMATION: Notice is
hereby given that as a result of the
President’s major disaster declaration on
04/27/2010, Private Non-Profit
organizations that provide essential
services of governmental nature may file
disaster loan applications at the address
listed above or other locally announced
locations.
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SUMMARY:
19:02 May 04, 2010
Percent
For Physical Damage:
Non-Profit Organizations With
Credit Available Elsewhere .....
Non-Profit Organizations Without
Credit Available Elsewhere .....
For Economic Injury:
Non-Profit Organizations Without
Credit Available Elsewhere .....
3.625
3.000
3.000
The number assigned to this disaster
for physical damage is 12144B and for
economic injury is 12145B.
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
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The following areas have been
determined to be adversely affected by
the disaster:
Primary Counties: Albemarle,
Alexandria City, Appomattox,
Arlington, Augusta, Buckingham,
Caroline, Clarke, Craig, Culpeper,
Essex, Fairfax, Fairfax City, Falls
Church City, Fauquier, Fluvanna,
Frederick, Fredericksburg City,
Greene, Highland, King George,
Loudoun, Louisa, Madison, Manassas
City, Manassas Park City, Nelson,
Orange, Prince William,
Rappahannock, Shenandoah,
Spotsylvania, Stafford, Tazewell,
Warren, Waynesboro City, Winchester
City.
The Interest Rates are:
Jkt 220001
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008)
Joseph P. Loddo,
Acting Associate Administrator for Disaster
Assistance.
[FR Doc. 2010–10477 Filed 5–4–10; 8:45 am]
BILLING CODE 8025–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release Nos. 33–9122; 34–62005/April 29,
2010]
Order Making Fiscal Year 2011 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
I. Background
The Commission collects fees under
various provisions of the securities
laws. Section 6(b) of the Securities Act
of 1933 (‘‘Securities Act’’) requires the
Commission to collect fees from issuers
on the registration of securities.1 Section
13(e) of the Securities Exchange Act of
1934 (‘‘Exchange Act’’) requires the
Commission to collect fees on specified
1 15
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U.S.C. 77f(b).
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24757
repurchases of securities.2 Section 14(g)
of the Exchange Act requires the
Commission to collect fees on proxy
solicitations and statements in corporate
control transactions.3 Finally, Sections
31(b) and (c) of the Exchange Act
require national securities exchanges
and national securities associations,
respectively, to pay fees to the
Commission on transactions in specified
securities.4
The Investor and Capital Markets Fee
Relief Act (‘‘Fee Relief Act’’) 5 amended
Section 6(b) of the Securities Act and
Sections 13(e), 14(g), and 31 of the
Exchange Act to require the
Commission to make annual
adjustments to the fee rates applicable
under these sections for each of the
fiscal years 2003 through 2011, and one
final adjustment to fix the fee rates
under these sections for fiscal year 2012
and beyond.6
II. Fiscal Year 2011 Annual Adjustment
to the Fee Rates Applicable Under
Section 6(b) of the Securities Act and
Sections 13(e) and 14(g) of the Exchange
Act
Section 6(b)(5) of the Securities Act
requires the Commission to make an
annual adjustment to the fee rate
applicable under Section 6(b) of the
Securities Act in each of the fiscal years
2003 through 2011.7 In those same fiscal
years, Sections 13(e)(5) and 14(g)(5) of
the Exchange Act require the
Commission to adjust the fee rates
under Sections 13(e) and 14(g) to a rate
that is equal to the rate that is applicable
under Section 6(b). In other words, the
annual adjustment to the fee rate under
Section 6(b) of the Securities Act also
sets the annual adjustment to the fee
rates under Sections 13(e) and 14(g) of
the Exchange Act.
2 15
U.S.C. 78m(e).
U.S.C. 78n(g).
4 15 U.S.C. 78ee(b) and (c). In addition, Section
31(d) of the Exchange Act requires the Commission
to collect assessments from national securities
exchanges and national securities associations for
round turn transactions on security futures. 15
U.S.C. 78ee(d).
5 Public Law No. 107–123, 115 Stat. 2390 (2002).
6 See 15 U.S.C. 77f(b)(5), 77f(b)(6), 78m(e)(5),
78m(e)(6), 78n(g)(5), 78n(g)(6), 78ee(j)(1), and
78ee(j)(3). Section 31(j)(2) of the Exchange Act, 15
U.S.C. 78ee(j)(2), also requires the Commission, in
specified circumstances, to make a mid-year
adjustment to the fee rates under Sections 31(b) and
(c) of the Exchange Act in fiscal years 2002 through
2011.
7 The annual adjustments are designed to adjust
the fee rate in a given fiscal year so that, when
applied to the aggregate maximum offering price at
which securities are proposed to be offered for the
fiscal year, it is reasonably likely to produce total
fee collections under Section 6(b) equal to the
‘‘target offsetting collection amount’’ specified in
Section 6(b)(11)(A) for that fiscal year.
3 15
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Section 6(b)(5) sets forth the method
for determining the annual adjustment
to the fee rate under Section 6(b) for
fiscal year 2011. Specifically, the
Commission must adjust the fee rate
under Section 6(b) to a ‘‘rate that, when
applied to the baseline estimate of the
aggregate maximum offering prices for
[fiscal year 2011], is reasonably likely to
produce aggregate fee collections under
[Section 6(b)] that are equal to the target
offsetting collection amount for [fiscal
year 2011].’’ That is, the adjusted rate is
determined by dividing the ‘‘target
offsetting collection amount’’ for fiscal
year 2011 by the ‘‘baseline estimate of
the aggregate maximum offering prices’’
for fiscal year 2011.
Section 6(b)(11)(A) specifies that the
‘‘target offsetting collection amount’’ for
fiscal year 2011 is $394,000,000. Section
6(b)(11)(B) defines the ‘‘baseline
estimate of the aggregate maximum
offering price’’ for fiscal year 2011 as
‘‘the baseline estimate of the aggregate
maximum offering price at which
securities are proposed to be offered
pursuant to registration statements filed
with the Commission during [fiscal year
2011] as determined by the
Commission, after consultation with the
Congressional Budget Office and the
Office of Management and Budget
* * *.’’
To make the baseline estimate of the
aggregate maximum offering price for
fiscal year 2011, the Commission is
using the same methodology it
developed in consultation with the
Congressional Budget Office (‘‘CBO’’)
and Office of Management and Budget
(‘‘OMB’’) to project aggregate offering
price for purposes of the fiscal year 2010
annual adjustment. Using this
methodology, the Commission
determines the ‘‘baseline estimate of the
aggregate maximum offering price’’ for
fiscal year 2011 to be
$3,394,310,932,374.8 Based on this
estimate, the Commission calculates the
fee rate for fiscal 2011 to be $116.10 per
million. This adjusted fee rate applies to
Section 6(b) of the Securities Act, as
well as to Sections 13(e) and 14(g) of the
Exchange Act.
8 Appendix A explains how we determined the
‘‘baseline estimate of the aggregate maximum
offering price’’ for fiscal year 2011 using our
methodology, and then shows the purely
arithmetical process of calculating the fiscal year
2011 annual adjustment based on that estimate. The
appendix includes the data used by the
Commission in making its ‘‘baseline estimate of the
aggregate maximum offering price’’ for fiscal year
2011.
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III. Fiscal Year 2011 Annual
Adjustment to the Fee Rates Applicable
Under Sections 31(b) and (c) of the
Exchange Act
Section 31(b) of the Exchange Act
requires each national securities
exchange to pay the Commission a fee
at a rate, as adjusted by our order
pursuant to Section 31(j)(2),9 which
currently is $16.90 per million of the
aggregate dollar amount of sales of
specified securities transacted on the
exchange. Similarly, Section 31(c)
requires each national securities
association to pay the Commission a fee
at the same adjusted rate on the
aggregate dollar amount of sales of
specified securities transacted by or
through any member of the association
otherwise than on an exchange. Section
31(j)(1) requires 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
2011.10
Section 31(j)(1) specifies the method
for determining the annual adjustment
for fiscal year 2011. Specifically, the
Commission must adjust the rates under
Sections 31(b) and (c) to a ‘‘uniform
adjusted rate that, when applied to the
baseline estimate of the aggregate dollar
amount of sales for [fiscal year 2011], is
reasonably likely to produce aggregate
fee collections under [Section 31]
(including assessments collected under
[Section 31(d)]) that are equal to the
target offsetting collection amount for
[fiscal year 2011].’’
Section 31(l)(1) specifies that the
‘‘target offsetting collection amount’’ for
fiscal year 2011 is $1,321,000,000.
Section 31(l)(2) defines the ‘‘baseline
estimate of the aggregate dollar amount
of sales’’ as ‘‘the baseline estimate of the
aggregate dollar amount of sales of
securities * * * to be transacted on
each national securities exchange and
by or through any member of each
national securities association
(otherwise than on a national securities
exchange) during [fiscal year 2011] as
determined by the Commission, after
consultation with the Congressional
9 Order Making Fiscal 2010 Mid-Year Adjustment
to the Fee Rates Applicable Under Sections 31(b)
and (c) of the Securities Exchange Act of 1934, Rel.
No. 34–61605 (March 1, 2010), 75 FR 9964 (March
4, 2010).
10 The annual adjustments, as well as the midyear adjustments required in specified
circumstances under Section 31(j)(2) in fiscal years
2002 through 2011, 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.
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Budget Office and the Office of
Management and Budget * * *.’’
To make the baseline estimate of the
aggregate dollar amount of sales for
fiscal year 2011, the Commission is
using the same methodology it
developed in consultation with the CBO
and OMB to project dollar volume for
purposes of prior fee adjustments.11
Using this methodology, the
Commission calculates the baseline
estimate of the aggregate dollar amount
of sales for fiscal year 2011 to be
$69,588,660,831,911. Based on this
estimate, and an estimated collection of
$17,950 in assessments on security
futures transactions under Section 31(d)
in fiscal year 2011, the uniform adjusted
rate for fiscal year 2011 is $19.20 per
million.12
IV. Effective Dates of the Annual
Adjustments
Section 6(b)(8)(A) of the Securities
Act provides that the fiscal year 2011
annual adjustment to the fee rate
applicable under Section 6(b) of the
Securities Act shall take effect on the
later of October 1, 2010, or five days
after the date on which a regular
appropriation to the Commission for
fiscal year 2011 is enacted.13 Sections
13(e)(8)(A) and 14(g)(8)(A) of the
Exchange Act provide for the same
effective date for the annual adjustments
to the fee rates applicable under
Sections 13(e) and 14(g) of the Exchange
Act.14
Section 31(j)(4)(A) of the Exchange
Act provides that the fiscal year 2011
annual adjustments to the fee rates
applicable under Sections 31(b) and (c)
of the Exchange Act shall take effect on
the later of October 1, 2010, or 30 days
after the date on which a regular
appropriation to the Commission for
fiscal year 2011 is enacted.
V. Conclusion
Accordingly, pursuant to Section 6(b)
of the Securities Act and Sections 13(e),
14(g), and 31 of the Exchange Act,15
It is hereby ordered that the fee rates
applicable under Section 6(b) of the
11 Appendix B explains how we determined the
‘‘baseline estimate of the aggregate dollar amount of
sales’’ for fiscal year 2011 using our methodology,
and then shows the purely arithmetical process of
calculating the fiscal year 2011 annual adjustment
based on that estimate. The appendix also includes
the data used by the Commission in making its
‘‘baseline estimate of the aggregate dollar amount of
sales’’ for fiscal year 2011.
12 The calculation of the adjusted fee rate assumes
that the current fee rate of $16.90 per million will
apply through October 31, 2011, due to the
operation of the effective date provision contained
in Section 31(j)(4)(A) of the Exchange Act.
13 15 U.S.C. 77f(b)(8)(A).
14 15 U.S.C. 78m(e)(8)(A) and 78n(g)(8)(A).
15 15 U.S.C. 77f(b), 78m(e), 78n(g), and 78ee(j).
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Securities Act and Sections 13(e) and
14(g) of the Exchange Act shall be
$116.10 per million effective on the
later of October 1, 2010, or five days
after the date on which a regular
appropriation to the Commission for
fiscal year 2011 is enacted; and
It is further ordered that the fee rates
applicable under Sections 31(b) and (c)
of the Exchange Act shall be $19.20 per
million effective on the later of October
1, 2010, or 30 days after the date on
which a regular appropriation to the
Commission for fiscal year 2011 is
enacted.
By the Commission.
Elizabeth M. Murphy,
Secretary.
Appendix A
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With the passage of the Investor and
Capital Markets Relief Act, Congress has,
among other things, established a target
amount of monies to be collected from fees
charged to issuers based on the value of their
registrations. This appendix provides the
formula for determining such fees, which the
Commission adjusts annually. Congress has
mandated that the Commission determine
these fees based on the ‘‘aggregate maximum
offering prices,’’ which measures the
aggregate dollar amount of securities
registered with the Commission over the
course of the year. In order to maximize the
likelihood that the amount of monies targeted
by Congress will be collected, the fee rate
must be set to reflect projected aggregate
maximum offering prices. As a percentage,
the fee rate equals the ratio of the target
amounts of monies to the projected aggregate
maximum offering prices.
For 2011, the Commission has estimated
the aggregate maximum offering prices by
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projecting forward the trend established in
the previous decade. More specifically, an
ARIMA model was used to forecast the value
of the aggregate maximum offering prices for
months subsequent to March 2010, the last
month for which the Commission has data on
the aggregate maximum offering prices.
The following sections describe this
process in detail.
A. Baseline Estimate of the Aggregate
Maximum Offering Prices for Fiscal Year
2011
First, calculate the aggregate maximum
offering prices (AMOP) for each month in the
sample (March 2000–March 2010). Next,
calculate the percentage change in the AMOP
from month to month.
Model the monthly percentage change in
AMOP as a first order moving average
process. The moving average approach
allows one to model the effect that an
exceptionally high (or low) observation of
AMOP tends to be followed by a more
‘‘typical’’ value of AMOP.
Use the estimated moving average model to
forecast the monthly percent change in
AMOP. These percent changes can then be
applied to obtain forecasts of the total dollar
value of registrations. The following is a
more formal (mathematical) description of
the procedure:
1. Begin with the monthly data for AMOP.
The sample spans ten years, from March
2000 to March 2010.
2. Divide each month’s AMOP (column C)
by the number of trading days in that month
(column B) to obtain the average daily AMOP
(AAMOP, column D).
3. For each month t, the natural logarithm
of AAMOP is reported in column E.
4. Calculate the change in log(AAMOP)
from the previous month as Dt = log
(AAMOPt)—log(AAMOPt–1). This
approximates the percentage change.
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5. Estimate the first order moving average
model Dt = a + bet–1 + et, where et denotes
the forecast error for month t. The forecast
error is simply the difference between the
one-month ahead forecast and the actual
realization of Dt. The forecast error is
expressed as et = Dt¥a¥bet–1. The model can
be estimated using standard commercially
available software such as SAS or Eviews.
Using least squares, the estimated parameter
values are a =¥0.0034456 and b =¥0.78509.
6. For the month of April 2010 forecast Dt
= 4/10 = a + bet = 3/10. For all subsequent
months, forecast Dt = a.
7. Calculate forecasts of log(AAMOP). For
example, the forecast of log(AAMOP) for June
2010 is given by FLAAMOP t = 6/10 =
log(AAMOPt = 3/10) + Dt = 4/10 + Dt = 5/10 + Dt
= 6/10.
8. Under the assumption that et is normally
distributed, the n-step ahead forecast of
AAMOP is given by exp(FLAAMOPt + sn2/2),
where sn denotes the standard error of the nstep ahead forecast.
9. For June 2010, this gives a forecast
AAMOP of $13.4 Billion (Column I), and a
forecast AMOP of $295.9 Billion (Column J).
10. Iterate this process through September
2011 to obtain a baseline estimate of the
aggregate maximum offering prices for fiscal
year 2011 of $3,394,310,932,374.
B. Using the Forecasts From A to Calculate
the New Fee Rate
1. Using the data from Table A, estimate
the aggregate maximum offering prices
between 10/1/10 and 9/30/11 to be
$3,394,310,932,374.
2. The rate necessary to collect the target
$394,000,000 in fee revenues set by Congress
is then calculated as: $394,000,000 ÷
$3,394,310,932,374 = 0.00011608.
3. Round the result to the seventh decimal
point, yielding a rate of 0.0001161 (or
$116.10 per million).
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With the passage of the Investor and
Capital Markets Relief Act, Congress has,
among other things, established a target
amount of monies to be collected from fees
charged to investors based on the value of
their transactions. This appendix provides
the formula for determining such fees, which
the Commission adjusts annually, and may
adjust semi-annually.16 In order to maximize
the likelihood that the amount of monies
targeted by Congress will be collected, the fee
rate must be set to reflect projected dollar
transaction volume on the securities
exchanges and certain over-the-counter
markets over the course of the year. As a
percentage, the fee rate equals the ratio of the
target amounts of monies to the projected
dollar transaction volume.
For 2011, the Commission has estimated
dollar transaction volume by projecting
forward the trend established in the previous
decade. More specifically, dollar transaction
volume was forecasted for months
subsequent to March 2010, the last month for
which the Commission has data on
transaction volume.
The following sections describe this
process in detail.
A. Baseline Estimate of the Aggregate Dollar
Amount of Sales for Fiscal Year 2011
First, calculate the average daily dollar
amount of sales (ADS) for each month in the
sample (March 2000–March 2010). The
16 Congress requires that the Commission make a
mid-year adjustment to the fee rate if four months
into the fiscal year it determines that its forecasts
of aggregate dollar volume are reasonably likely to
be off by 10% or more.
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monthly aggregate dollar amount of sales
(exchange plus certain over-the-counter
markets) is presented in column C of Table
B.
Next, calculate the change in the natural
logarithm of ADS from month to month. The
average monthly percentage growth of ADS
over the entire sample is 0.0025 and the
standard deviation is 0.124. Assuming the
monthly percentage change in ADS follows a
random walk, calculating the expected
monthly percentage growth rate for the full
sample is straightforward. The expected
monthly percentage growth rate of ADS is
1.0%.
Now, use the expected monthly percentage
growth rate to forecast total dollar volume.
For example, one can use the ADS for March
2010 ($241,886,611,540) to forecast ADS for
April 2010 ($244,367,079,739 =
$241,886,611,540 × 1.010) 17 Multiply by the
number of trading days in April 2010 (21) to
obtain a forecast of the total dollar volume for
the month ($5,131,708,674,527). Repeat the
method to generate forecasts for subsequent
months.
The forecasts for total dollar volume are in
column G of Table B. 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.
17 The value 1.010 has been rounded. All
computations are done with the unrounded value.
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3. Calculate the mean and standard
deviation of the series {D1, D2, * * * , D120}.
These are given by μ = 0.0025 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 + s2/2), or on
average ADSt = 1.010 × ADSt–1.
6. For April 2010, this gives a forecast ADS
of 1.010 × $241,886,611,540 =
$244,367,079,739. Multiply this figure by the
21 trading days in April 2010 to obtain a total
dollar volume forecast of $5,131,708,674,527.
7. For May 2010, multiply the April 2010
ADS forecast by 1.010 to obtain a forecast
ADS of $246,872,984,330. Multiply this
figure by the 20 trading days in May 2010 to
obtain a total dollar volume forecast of
$4,937,459,686,603.
8. Repeat this procedure for subsequent
months.
B. Using the Forecasts From A To Calculate
the New Fee Rate
1. Use Table B to estimate fees collected for
the period 10/1/10 through 10/31/10. The
projected aggregate dollar amount of sales for
this period is $5,455,658,813,145. Projected
fee collections at the current fee rate of
0.0000161 are $92,200,634.
2. Estimate the amount of assessments on
securities futures products collected during
10/1/10 and 9/30/11 to be $17,950 by
projecting a 1.0% monthly increase from a
base of $1,316 in March 2010.
3. Subtract the amounts $92,200,634 and
$17,950 from the target offsetting collection
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Appendix B
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amount set by Congress of $1,321,000,000
leaving $1,228,781,416 to be collected on
dollar volume for the period 11/1/10 through
9/30/11.
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4. Use Table B to estimate dollar volume
for the period 11/1/10 through 9/30/11. The
estimate is $64,133,002,018,766. Finally,
compute the fee rate required to produce the
additional $1,228,781,416 in revenue. This
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rate is $1,228,781,416 divided by
$64,133,002,018,766 or 0.0000191599.
5. Round the result to the seventh decimal
point, yielding a rate of .0000192 (or $19.20
per million).
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24768
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A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
[FR Doc. 2010–10491 Filed 5–4–10; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–61989; File No. SR–
NYSEAmex-2010–37]
Self-Regulatory Organizations; NYSE
Amex LLC; Notice of Filing of
Proposed Rule Change Amending
Commentary to Rule 915 and Rule 916
April 27, 2010.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on April 8,
2010, NYSE Amex LLC (‘‘NYSE Amex’’
or the ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(the ‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the self-regulatory
organization. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
Commentary .10 to Rule 915 and
Commentary .11 to Rule 916 for the
purpose of listing and trading options
on the shares of the ETFS Palladium
Trust and the ETFS Platinum Trust. The
text of the proposed rule change is
available on the Commission’s Web Site
at https://www.sec.gov. A copy of this
filing is available on the Exchange’s
Web site at https://www.nyse.com, at the
Exchange’s principal office and at the
Commission’s Public Reference Room.
sroberts on DSKD5P82C1PROD with NOTICES
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
self-regulatory organization included
statements concerning the purpose of,
and basis for, the proposed rule change
and discussed any comments it received
on the proposed rule change. The text
of those statements may be examined at
the places specified in Item IV below.
The Exchange has prepared summaries,
set forth in sections A, B, and C below,
of the most significant parts of such
statements.
1 15
U.S.C. 78s(b)(1).
U.S.C. 78a.
3 17 CFR 240.19b–4.
2 15
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1. Purpose
Recently, the U.S. Securities and
Exchange Commission (‘‘SEC’’ or
‘‘Commission’’) authorized the Exchange
to list and trade options on the SPDR
Gold Trust 4 (‘‘GLD’’) the iShares
COMEX Gold Trust (‘‘IAU’’) the iShares
Silver Trust (‘‘SLV’’),5 the ETFS Silver
Trust (‘‘SIVR’’) and the ETFS Gold Trust
(‘‘SGOL’’).6 Now, the Exchange proposes
to list and trade options on the ETFS
Palladium Trust (‘‘PALL’’) and the ETFS
Platinum Trust (‘‘PPLT’’).
Currently, Amex Rule 915 deems
appropriate for options trading
Exchange-Traded Fund Shares (‘‘ETFs’’
or ‘‘Fund Shares’’) that are traded on a
national securities exchange and are
defined as an ‘‘NMS stock’’ in Rule 600
of Regulation NMS and that represent (i)
Interests in registered investment
companies (or series thereof) organized
as open-end management investment
companies, unit investment trusts or
similar entities that hold portfolios of
securities and/or financial instruments
including, but not limited to, stock
index futures contracts, options on
futures, options on securities and
indexes, equity caps, collars and floors,
swap agreements, forward contracts,
repurchase agreements and reverse
purchase agreements (the ‘‘Financial
Instruments’’), and money market
instruments, including, but not limited
to, U.S. government securities and
repurchase agreements (the ‘‘Money
Market Instruments’’) comprising or
otherwise based on or representing
investments in indexes or portfolios of
securities and/or Financial Instruments
and Money Market Instruments (or that
hold securities in one or more other
registered investment companies that
themselves hold such portfolios of
securities and/or Financial Instruments
and Money Market Instruments); or (ii)
interests in a trust or similar entity that
holds a specified non-U.S. currency
deposited with the trust or similar entity
when aggregated in some specified
minimum number may be surrendered
to the trust by the beneficial owner to
receive the specified non-U.S. currency
and pays the beneficial owner interest
and other distributions on deposited
4 See Securities Exchange Act Release No. 57894
(May 30, 2008), 73 FR 32061 (June 5, 2008) (order
approving SR–Amex-2008–15).
5 See Securities Exchange Act Release No. 59055
(December 4, 2008), 73 FR 238 [sic] (December 10,
2008) (order approving SR–Amex-2008–68).
6 See Securities Exchange Act Release No. 61483
(February 3, 2010), 75 FR 6753 (February 10, 2010).
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24769
non-U.S. currency, if any, declared and
paid by the trust; or (iii) commodity
pool interests principally engaged,
directly or indirectly, in holding and/or
managing portfolios or baskets of
securities, commodity futures contracts,
options on commodity futures contracts,
swaps, forward contracts and/or options
on physical commodities and/or nonU.S. currency (‘‘Commodity Pool
Units’’), or (iv) represents an interest in
a registered investment company
(‘‘Investment Company’’) organized as an
open-end management investment
company or similar entity, that invests
in a portfolio of securities selected by
the Investment Company’s investment
adviser consistent with the Investment
Company’s investment objectives and
policies, which is issued in a specified
aggregate minimum number in return
for a deposit of a specified portfolio of
securities and/or a cash amount with a
value equal to the next determined net
asset value (‘‘NAV’’), and when
aggregated in the same specified
minimum number, may be redeemed at
a holder’s request, which holder will be
paid a specified portfolio of securities
and/or cash with a value equal to the
next determined NAV (‘‘Managed Fund
Share’’).7 In addition, pursuant to
Commentary .10 to Rule 915 the
Exchange may also list options based on
shares of GLD, IAU, SLV, SIVR, and
SGOL. This proposed rule change seeks
to expand the current exception set
forth in Commentary .10 to Rule 915 for
Exchange-Traded Fund Shares that may
be approved for options trading on the
Exchange to include PALL and PPLT.
Apart from allowing PALL and PPLT
to be underlyings for options traded on
the Exchange as described above, the
listing standards for Exchange-Traded
Fund Shares will remain unchanged
from those that apply under current
Exchange rules. Exchange-Traded Fund
Shares on which options may be listed
and traded must still be listed and
traded on a national securities exchange
and must satisfy the other listing
standards set forth in Commentary .06
to Rule 915. Specifically, in addition to
satisfying the listing requirements set
forth above, Exchange-Traded Fund
Shares must meet either (1) the criteria
and guidelines under Commentary .01
to Rule 915; or (2) be available for
creation or redemption each business
day from or through the issuer in cash
or in kind at a price related to net asset
value, and the issuer must be obligated
to issue Exchange-Traded Fund Shares
in a specified aggregate number even if
some or all of the investment assets
required to be deposited have not been
7 See
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Commentary .06 to Rule 915.
05MYN1
]]>Agencies
[Federal Register Volume 75, Number 86 (Wednesday, May 5, 2010)]
[Notices]
[Pages 24757-24769]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2010-10491]
=======================================================================
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release Nos. 33-9122; 34-62005/April 29, 2010]
Order Making Fiscal Year 2011 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
I. Background
The Commission collects fees under various provisions of the
securities laws. Section 6(b) of the Securities Act of 1933
(``Securities Act'') requires the Commission to collect fees from
issuers on the registration of securities.\1\ Section 13(e) of the
Securities Exchange Act of 1934 (``Exchange Act'') requires the
Commission to collect fees on specified repurchases of securities.\2\
Section 14(g) of the Exchange Act requires the Commission to collect
fees on proxy solicitations and statements in corporate control
transactions.\3\ Finally, Sections 31(b) and (c) of the Exchange Act
require national securities exchanges and national securities
associations, respectively, to pay fees to the Commission on
transactions in specified securities.\4\
---------------------------------------------------------------------------
\1\ 15 U.S.C. 77f(b).
\2\ 15 U.S.C. 78m(e).
\3\ 15 U.S.C. 78n(g).
\4\ 15 U.S.C. 78ee(b) and (c). In addition, Section 31(d) of the
Exchange Act requires the Commission to collect assessments from
national securities exchanges and national securities associations
for round turn transactions on security futures. 15 U.S.C. 78ee(d).
---------------------------------------------------------------------------
The Investor and Capital Markets Fee Relief Act (``Fee Relief
Act'') \5\ amended Section 6(b) of the Securities Act and Sections
13(e), 14(g), and 31 of the Exchange Act to require the Commission to
make annual adjustments to the fee rates applicable under these
sections for each of the fiscal years 2003 through 2011, and one final
adjustment to fix the fee rates under these sections for fiscal year
2012 and beyond.\6\
---------------------------------------------------------------------------
\5\ Public Law No. 107-123, 115 Stat. 2390 (2002).
\6\ See 15 U.S.C. 77f(b)(5), 77f(b)(6), 78m(e)(5), 78m(e)(6),
78n(g)(5), 78n(g)(6), 78ee(j)(1), and 78ee(j)(3). Section 31(j)(2)
of the Exchange Act, 15 U.S.C. 78ee(j)(2), also requires the
Commission, in specified circumstances, to make a mid-year
adjustment to the fee rates under Sections 31(b) and (c) of the
Exchange Act in fiscal years 2002 through 2011.
---------------------------------------------------------------------------
II. Fiscal Year 2011 Annual Adjustment to the Fee Rates Applicable
Under Section 6(b) of the Securities Act and Sections 13(e) and 14(g)
of the Exchange Act
Section 6(b)(5) of the Securities Act requires the Commission to
make an annual adjustment to the fee rate applicable under Section 6(b)
of the Securities Act in each of the fiscal years 2003 through 2011.\7\
In those same fiscal years, Sections 13(e)(5) and 14(g)(5) of the
Exchange Act require the Commission to adjust the fee rates under
Sections 13(e) and 14(g) to a rate that is equal to the rate that is
applicable under Section 6(b). In other words, the annual adjustment to
the fee rate under Section 6(b) of the Securities Act also sets the
annual adjustment to the fee rates under Sections 13(e) and 14(g) of
the Exchange Act.
---------------------------------------------------------------------------
\7\ The annual adjustments are designed to adjust the fee rate
in a given fiscal year so that, when applied to the aggregate
maximum offering price at which securities are proposed to be
offered for the fiscal year, it is reasonably likely to produce
total fee collections under Section 6(b) equal to the ``target
offsetting collection amount'' specified in Section 6(b)(11)(A) for
that fiscal year.
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[[Page 24758]]
Section 6(b)(5) sets forth the method for determining the annual
adjustment to the fee rate under Section 6(b) for fiscal year 2011.
Specifically, the Commission must adjust the fee rate under Section
6(b) to a ``rate that, when applied to the baseline estimate of the
aggregate maximum offering prices for [fiscal year 2011], is reasonably
likely to produce aggregate fee collections under [Section 6(b)] that
are equal to the target offsetting collection amount for [fiscal year
2011].'' That is, the adjusted rate is determined by dividing the
``target offsetting collection amount'' for fiscal year 2011 by the
``baseline estimate of the aggregate maximum offering prices'' for
fiscal year 2011.
Section 6(b)(11)(A) specifies that the ``target offsetting
collection amount'' for fiscal year 2011 is $394,000,000. Section
6(b)(11)(B) defines the ``baseline estimate of the aggregate maximum
offering price'' for fiscal year 2011 as ``the baseline estimate of the
aggregate maximum offering price at which securities are proposed to be
offered pursuant to registration statements filed with the Commission
during [fiscal year 2011] as determined by the Commission, after
consultation with the Congressional Budget Office and the Office of
Management and Budget * * *.''
To make the baseline estimate of the aggregate maximum offering
price for fiscal year 2011, the Commission is using the same
methodology it developed in consultation with the Congressional Budget
Office (``CBO'') and Office of Management and Budget (``OMB'') to
project aggregate offering price for purposes of the fiscal year 2010
annual adjustment. Using this methodology, the Commission determines
the ``baseline estimate of the aggregate maximum offering price'' for
fiscal year 2011 to be $3,394,310,932,374.\8\ Based on this estimate,
the Commission calculates the fee rate for fiscal 2011 to be $116.10
per million. This adjusted fee rate applies to Section 6(b) of the
Securities Act, as well as to Sections 13(e) and 14(g) of the Exchange
Act.
---------------------------------------------------------------------------
\8\ Appendix A explains how we determined the ``baseline
estimate of the aggregate maximum offering price'' for fiscal year
2011 using our methodology, and then shows the purely arithmetical
process of calculating the fiscal year 2011 annual adjustment based
on that estimate. The appendix includes the data used by the
Commission in making its ``baseline estimate of the aggregate
maximum offering price'' for fiscal year 2011.
---------------------------------------------------------------------------
III. Fiscal Year 2011 Annual Adjustment to the Fee Rates Applicable
Under Sections 31(b) and (c) of the Exchange Act
Section 31(b) of the Exchange Act requires each national securities
exchange to pay the Commission a fee at a rate, as adjusted by our
order pursuant to Section 31(j)(2),\9\ which currently is $16.90 per
million of the aggregate dollar amount of sales of specified securities
transacted on the exchange. Similarly, Section 31(c) requires each
national securities association to pay the Commission a fee at the same
adjusted rate on the aggregate dollar amount of sales of specified
securities transacted by or through any member of the association
otherwise than on an exchange. Section 31(j)(1) requires 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.\10\
---------------------------------------------------------------------------
\9\ Order Making Fiscal 2010 Mid-Year Adjustment to the Fee
Rates Applicable Under Sections 31(b) and (c) of the Securities
Exchange Act of 1934, Rel. No. 34-61605 (March 1, 2010), 75 FR 9964
(March 4, 2010).
\10\ The annual adjustments, as well as the mid-year adjustments
required in specified circumstances under Section 31(j)(2) in fiscal
years 2002 through 2011, 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.
---------------------------------------------------------------------------
Section 31(j)(1) specifies the method for determining the annual
adjustment for fiscal year 2011. Specifically, the Commission must
adjust the rates under Sections 31(b) and (c) to a ``uniform adjusted
rate that, when applied to the baseline estimate of the aggregate
dollar amount of sales for [fiscal year 2011], is reasonably likely to
produce aggregate fee collections under [Section 31] (including
assessments collected under [Section 31(d)]) that are equal to the
target offsetting collection amount for [fiscal year 2011].''
Section 31(l)(1) specifies that the ``target offsetting collection
amount'' for fiscal year 2011 is $1,321,000,000. Section 31(l)(2)
defines the ``baseline estimate of the aggregate dollar amount of
sales'' as ``the baseline estimate of the aggregate dollar amount of
sales of securities * * * to be transacted on each national securities
exchange and by or through any member of each national securities
association (otherwise than on a national securities exchange) during
[fiscal year 2011] as determined by the Commission, after consultation
with the Congressional Budget Office and the Office of Management and
Budget * * *.''
To make the baseline estimate of the aggregate dollar amount of
sales for fiscal year 2011, the Commission is using the same
methodology it developed in consultation with the CBO and OMB to
project dollar volume for purposes of prior fee adjustments.\11\ Using
this methodology, the Commission calculates the baseline estimate of
the aggregate dollar amount of sales for fiscal year 2011 to be
$69,588,660,831,911. Based on this estimate, and an estimated
collection of $17,950 in assessments on security futures transactions
under Section 31(d) in fiscal year 2011, the uniform adjusted rate for
fiscal year 2011 is $19.20 per million.\12\
---------------------------------------------------------------------------
\11\ Appendix B explains how we determined the ``baseline
estimate of the aggregate dollar amount of sales'' for fiscal year
2011 using our methodology, and then shows the purely arithmetical
process of calculating the fiscal year 2011 annual adjustment based
on that estimate. The appendix also includes the data used by the
Commission in making its ``baseline estimate of the aggregate dollar
amount of sales'' for fiscal year 2011.
\12\ The calculation of the adjusted fee rate assumes that the
current fee rate of $16.90 per million will apply through October
31, 2011, due to the operation of the effective date provision
contained in Section 31(j)(4)(A) of the Exchange Act.
---------------------------------------------------------------------------
IV. Effective Dates of the Annual Adjustments
Section 6(b)(8)(A) of the Securities Act provides that the fiscal
year 2011 annual adjustment to the fee rate applicable under Section
6(b) of the Securities Act shall take effect on the later of October 1,
2010, or five days after the date on which a regular appropriation to
the Commission for fiscal year 2011 is enacted.\13\ Sections
13(e)(8)(A) and 14(g)(8)(A) of the Exchange Act provide for the same
effective date for the annual adjustments to the fee rates applicable
under Sections 13(e) and 14(g) of the Exchange Act.\14\
---------------------------------------------------------------------------
\13\ 15 U.S.C. 77f(b)(8)(A).
\14\ 15 U.S.C. 78m(e)(8)(A) and 78n(g)(8)(A).
---------------------------------------------------------------------------
Section 31(j)(4)(A) of the Exchange Act provides that the fiscal
year 2011 annual adjustments to the fee rates applicable under Sections
31(b) and (c) of the Exchange Act shall take effect on the later of
October 1, 2010, or 30 days after the date on which a regular
appropriation to the Commission for fiscal year 2011 is enacted.
V. Conclusion
Accordingly, pursuant to Section 6(b) of the Securities Act and
Sections 13(e), 14(g), and 31 of the Exchange Act,\15\
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\15\ 15 U.S.C. 77f(b), 78m(e), 78n(g), and 78ee(j).
---------------------------------------------------------------------------
It is hereby ordered that the fee rates applicable under Section
6(b) of the
[[Page 24759]]
Securities Act and Sections 13(e) and 14(g) of the Exchange Act shall
be $116.10 per million effective on the later of October 1, 2010, or
five days after the date on which a regular appropriation to the
Commission for fiscal year 2011 is enacted; and
It is further ordered that the fee rates applicable under Sections
31(b) and (c) of the Exchange Act shall be $19.20 per million effective
on the later of October 1, 2010, or 30 days after the date on which a
regular appropriation to the Commission for fiscal year 2011 is
enacted.
By the Commission.
Elizabeth M. Murphy,
Secretary.
Appendix A
With the passage of the Investor and Capital Markets Relief Act,
Congress has, among other things, established a target amount of
monies to be collected from fees charged to issuers based on the
value of their registrations. This appendix provides the formula for
determining such fees, which the Commission adjusts annually.
Congress has mandated that the Commission determine these fees based
on the ``aggregate maximum offering prices,'' which measures the
aggregate dollar amount of securities registered with the Commission
over the course of the year. In order to maximize the likelihood
that the amount of monies targeted by Congress will be collected,
the fee rate must be set to reflect projected aggregate maximum
offering prices. As a percentage, the fee rate equals the ratio of
the target amounts of monies to the projected aggregate maximum
offering prices.
For 2011, the Commission has estimated the aggregate maximum
offering prices by projecting forward the trend established in the
previous decade. More specifically, an ARIMA model was used to
forecast the value of the aggregate maximum offering prices for
months subsequent to March 2010, the last month for which the
Commission has data on the aggregate maximum offering prices.
The following sections describe this process in detail.
A. Baseline Estimate of the Aggregate Maximum Offering Prices for
Fiscal Year 2011
First, calculate the aggregate maximum offering prices (AMOP)
for each month in the sample (March 2000-March 2010). Next,
calculate the percentage change in the AMOP from month to month.
Model the monthly percentage change in AMOP as a first order
moving average process. The moving average approach allows one to
model the effect that an exceptionally high (or low) observation of
AMOP tends to be followed by a more ``typical'' value of AMOP.
Use the estimated moving average model to forecast the monthly
percent change in AMOP. These percent changes can then be applied to
obtain forecasts of the total dollar value of registrations. The
following is a more formal (mathematical) description of the
procedure:
1. Begin with the monthly data for AMOP. The sample spans ten
years, from March 2000 to March 2010.
2. Divide each month's AMOP (column C) by the number of trading
days in that month (column B) to obtain the average daily AMOP
(AAMOP, column D).
3. For each month t, the natural logarithm of AAMOP is reported
in column E.
4. Calculate the change in log(AAMOP) from the previous month as
[Delta]t = log (AAMOPt)--
log(AAMOPt-1). This approximates the percentage change.
5. Estimate the first order moving average model
[Delta]t = [alpha] + [beta]et-1 +
et, where et denotes the forecast error for
month t. The forecast error is simply the difference between the
one-month ahead forecast and the actual realization of
[Delta]t. The forecast error is expressed as
et = [Delta]t-[alpha]-[beta]et-1.
The model can be estimated using standard commercially available
software such as SAS or Eviews. Using least squares, the estimated
parameter values are [alpha] =-0.0034456 and [beta] =-0.78509.
6. For the month of April 2010 forecast
[Delta]t = 4/10 = [alpha] + [beta]et = 3/10.
For all subsequent months, forecast [Delta]t = [alpha].
7. Calculate forecasts of log(AAMOP). For example, the forecast
of log(AAMOP) for June 2010 is given by FLAAMOP t = 6/10
= log(AAMOPt = 3/10) + [Delta]t = 4/10 +
[Delta]t = 5/10 + [Delta]t = 6/10.
8. Under the assumption that et is normally
distributed, the n-step ahead forecast of AAMOP is given by
exp(FLAAMOPt + [sigma]n\2\/2), where
[sigma]n denotes the standard error of the n-step ahead
forecast.
9. For June 2010, this gives a forecast AAMOP of $13.4 Billion
(Column I), and a forecast AMOP of $295.9 Billion (Column J).
10. Iterate this process through September 2011 to obtain a
baseline estimate of the aggregate maximum offering prices for
fiscal year 2011 of $3,394,310,932,374.
B. Using the Forecasts From A to Calculate the New Fee Rate
1. Using the data from Table A, estimate the aggregate maximum
offering prices between 10/1/10 and 9/30/11 to be
$3,394,310,932,374.
2. The rate necessary to collect the target $394,000,000 in fee
revenues set by Congress is then calculated as: $394,000,000 /
$3,394,310,932,374 = 0.00011608.
3. Round the result to the seventh decimal point, yielding a
rate of 0.0001161 (or $116.10 per million).
[[Page 24760]]
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Appendix B
With the passage of the Investor and Capital Markets Relief Act,
Congress has, among other things, established a target amount of
monies to be collected from fees charged to investors based on the
value of their transactions. This appendix provides the formula for
determining such fees, which the Commission adjusts annually, and
may adjust semi-annually.\16\ In order to maximize the likelihood
that the amount of monies targeted by Congress will be collected,
the fee rate must be set to reflect projected dollar transaction
volume on the securities exchanges and certain over-the-counter
markets over the course of the year. As a percentage, the fee rate
equals the ratio of the target amounts of monies to the projected
dollar transaction volume.
---------------------------------------------------------------------------
\16\ Congress requires that the Commission make a mid-year
adjustment to the fee rate if four months into the fiscal year it
determines that its forecasts of aggregate dollar volume are
reasonably likely to be off by 10% or more.
---------------------------------------------------------------------------
For 2011, the Commission has estimated dollar transaction volume
by projecting forward the trend established in the previous decade.
More specifically, dollar transaction volume was forecasted for
months subsequent to March 2010, the last month for which the
Commission has data on transaction volume.
The following sections describe this process in detail.
A. Baseline Estimate of the Aggregate Dollar Amount of Sales for Fiscal
Year 2011
First, calculate the average daily dollar amount of sales (ADS)
for each month in the sample (March 2000-March 2010). The monthly
aggregate dollar amount of sales (exchange plus certain over-the-
counter markets) is presented in column C of Table B.
Next, calculate the change in the natural logarithm of ADS from
month to month. The average monthly percentage growth of ADS over
the entire sample is 0.0025 and the standard deviation is 0.124.
Assuming the monthly percentage change in ADS follows a random walk,
calculating the expected monthly percentage growth rate for the full
sample is straightforward. The expected monthly percentage growth
rate of ADS is 1.0%.
Now, use the expected monthly percentage growth rate to forecast
total dollar volume. For example, one can use the ADS for March 2010
($241,886,611,540) to forecast ADS for April 2010 ($244,367,079,739
= $241,886,611,540 x 1.010) \17\ Multiply by the number of trading
days in April 2010 (21) to obtain a forecast of the total dollar
volume for the month ($5,131,708,674,527). Repeat the method to
generate forecasts for subsequent months.
---------------------------------------------------------------------------
\17\ The value 1.010 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
B. 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] = 0.0025 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\/2), or on average ADSt
= 1.010 x ADSt-1.
6. For April 2010, this gives a forecast ADS of 1.010 x
$241,886,611,540 = $244,367,079,739. Multiply this figure by the 21
trading days in April 2010 to obtain a total dollar volume forecast
of $5,131,708,674,527.
7. For May 2010, multiply the April 2010 ADS forecast by 1.010
to obtain a forecast ADS of $246,872,984,330. Multiply this figure
by the 20 trading days in May 2010 to obtain a total dollar volume
forecast of $4,937,459,686,603.
8. Repeat this procedure for subsequent months.
B. Using the Forecasts From A To Calculate the New Fee Rate
1. Use Table B to estimate fees collected for the period 10/1/10
through 10/31/10. The projected aggregate dollar amount of sales for
this period is $5,455,658,813,145. Projected fee collections at the
current fee rate of 0.0000161 are $92,200,634.
2. Estimate the amount of assessments on securities futures
products collected during 10/1/10 and 9/30/11 to be $17,950 by
projecting a 1.0% monthly increase from a base of $1,316 in March
2010.
3. Subtract the amounts $92,200,634 and $17,950 from the target
offsetting collection
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amount set by Congress of $1,321,000,000 leaving $1,228,781,416 to
be collected on dollar volume for the period 11/1/10 through 9/30/
11.
4. Use Table B to estimate dollar volume for the period 11/1/10
through 9/30/11. The estimate is $64,133,002,018,766. Finally,
compute the fee rate required to produce the additional
$1,228,781,416 in revenue. This rate is $1,228,781,416 divided by
$64,133,002,018,766 or 0.0000191599.
5. Round the result to the seventh decimal point, yielding a
rate of .0000192 (or $19.20 per million).
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[FR Doc. 2010-10491 Filed 5-4-10; 8:45 am]
BILLING CODE 8011-01-P
