Order Making Fiscal Year 2014 Annual Adjustments to Transaction Fee Rates, 9504-9510 [2014-03575]

Download as PDF EMCDONALD on DSK67QTVN1PROD with NOTICES 9504 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices ‘‘prospectuses’’ under Section 10(b) of the Securities Act.2 Rule 482 contains certain requirements regarding the disclosure that funds are required to provide in qualifying advertisements. These requirements are intended to encourage the provision to investors of information that is balanced and informative, particularly in the area of investment performance. For example, a fund is required to include disclosure advising investors to consider the fund’s investment objectives, risks, charges and expenses, and other information described in the fund’s prospectus, and highlighting the availability of the fund’s prospectus and, if applicable, its summary prospectus. In addition, rule 482 advertisements that include performance data of open-end funds or insurance company separate accounts offering variable annuity contracts are required to include certain standardized performance information, information about any sales loads or other nonrecurring fees, and a legend warning that past performance does not guarantee future results. Such funds including performance information in rule 482 advertisements are also required to make available to investors month-end performance figures via Web site disclosure or by a toll-free telephone number, and to disclose the availability of the month-end performance data in the advertisement. The rule also sets forth requirements regarding the prominence of certain disclosures, requirements regarding advertisements that make tax representations, requirements regarding advertisements used prior to the effectiveness of the fund’s registration statement, requirements regarding the timeliness of performance data, and certain required disclosures by money market funds. Rule 482 advertisements must be filed with the Commission or, in the alternative, with the Financial Industry Regulatory Authority (‘‘FINRA’’).3 This information collection differs from many other federal information collections that are primarily for the use and benefit of the collecting agency. Rule 482 contains requirements that are intended to encourage the provision to investors of information that is balanced and informative, particularly in the area of investment performance. The Commission is concerned that in the absence of such provisions fund investors may be misled by deceptive rule 482 advertisements and may rely on less-than-adequate information when determining in which funds they should invest money. As a result, the Commission believes it is beneficial for funds to provide investors with balanced information in fund advertisements in order to allow investors to make better-informed decisions. The Commission estimates that 59,245 responses to rule 482 are filed annually by 3,430 investment companies offering approximately 16,428 portfolios, or approximately 3.6 responses per portfolio annually. The burden associated with rule 482 is presently estimated to be 5.16 hours per response. The annual hourly burden is therefore approximately 305,704 hours.4 The estimate of average burden hours is made solely for the purposes of the Paperwork Reduction Act and is not derived from a comprehensive or even a representative survey or study of the costs of Commission rules and forms. The provision of information under rule 482 is necessary to obtain the benefits of the safe harbor offered by the rule. The information provided under rule 482 will not be kept confidential. An agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid OMB control number. The public may view the background documentation for this information collection at the following Web site: www.reginfo.gov. Comments should be directed to: (i) Desk Officer for the Securities and Exchange Commission, Office of Information and Regulatory Affairs, Office of Management and Budget, Room 10102, New Executive Office Building, Washington, DC 20503, or by sending an email to: Shagufta_ Ahmed@omb.eop.gov; and (ii) Thomas Bayer, Chief Information Officer, Securities and Exchange Commission, c/ o Remi Pavlik-Simon, 100 F St. NE., Washington, DC 20549; or send an email to: PRA_Mailbox@sec.gov. Comments must be submitted to OMB within 30 days of this notice. 2 15 Dated: February 12, 2014. Kevin M. O’Neill, Deputy Secretary. 3 See [FR Doc. 2014–03577 Filed 2–18–14; 8:45 am] U.S.C. 77j(b). rule 24b–3 under the Investment Company Act (17 CFR 270.24b–3), which provides that any sales material, including rule 482 advertisements, shall be deemed filed with the Commission for purposes of Section 24(b) of the Investment Company Act upon filing with FINRA. VerDate Mar<15>2010 16:15 Feb 18, 2014 Jkt 232001 BILLING CODE 8011–01–P 4 59,245 responses × 5.16 hours per response = 305,704 hours. PO 00000 Frm 00049 Fmt 4703 Sfmt 4703 SECURITIES AND EXCHANGE COMMISSION [Release No. 34–71550/February 12, 2014] Order Making Fiscal Year 2014 Annual Adjustments to Transaction Fee Rates 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 (‘‘covered sales’’) 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 covered sales transacted by or through any member of the association other than on an exchange.3 Section 31 of the Exchange Act requires the Commission to annually adjust the fee rates applicable under Sections 31(b) and (c) to a uniform adjusted rate.4 Specifically, the Commission must adjust the fee rates to a uniform adjusted rate that is reasonably likely to produce aggregate fee collections (including assessments on security futures transactions) equal to the regular appropriation to the Commission for the applicable fiscal year.5 The Commission is required to publish notice of the new fee rates under Section 31 not later than 30 days after the date on which an Act making a regular appropriation for the applicable fiscal year is enacted.6 On January 17, 2014, the President signed the Consolidated Appropriations Act of 2014, providing $1,350,000,000 in funds to the SEC for fiscal year 2014. II. Fiscal Year 2014 Annual Adjustment to the Fee Rate The new fee rate is determined by (1) subtracting the sum of fees estimated to 1 15 U.S.C. 78ee. U.S.C. 78ee(b). 3 15 U.S.C. 78ee(c). 4 In some circumstances, the SEC also must make a mid-year adjustment to the fee rates applicable under Sections 31(b) and (c). 5 15 U.S.C. 78ee(j)(1) (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 such fiscal year, is reasonably likely to produce aggregate fee collections under [Section 31] (including assessments collected under [Section 31(d)]) that are equal to the regular appropriation to the Commission by Congress for such fiscal year.’’). 6 15 U.S.C. § 78ee(g). 2 15 E:\FR\FM\19FEN1.SGM 19FEN1 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices be collected prior to the effective date of the new fee rate 7 and estimated assessments on security futures transactions to be collected under Section 31(d) of the Exchange Act for all of fiscal year 2014 8 from an amount equal to the regular appropriation to the Commission for fiscal year 2014, and (2) dividing the difference by the estimated aggregate dollar amount of sales for the remainder of the fiscal year following the effective date of the new fee rate. The regular appropriation to the Commission for fiscal year 2014 is $1,350,000,000. The Commission estimates that it will collect $513,805,098 in fees for the period prior to the effective date of the new fee rate and $58,854 in assessments on round turn transactions in security futures products during all of fiscal year 2014.9 Using a methodology for estimating the aggregate dollar amount of sales for the remainder of fiscal year 2014 (developed after consultation with the CBO and OMB), the Commission estimates that the aggregate dollar amount of covered sales for the remainder of fiscal year 2014 to be $37,881,618,779,245. As described above, the uniform adjusted rate is computed by dividing the residual fees to be collected of $836,136,049 by the estimate of the aggregate dollar amount of covered sales for the remainder of fiscal year 2014 of $37,881,618,779,245. This results in a uniform adjusted rate for fiscal year 2014 of $22.10 per million.10 EMCDONALD on DSK67QTVN1PROD with NOTICES III. Effective Date of the Uniform Adjusted Rate Under Section 31(j)(4)(A) of the Exchange Act, the fiscal year 2014 7 The sum of fees to be collected prior to the effective date of the new fee rate is determined by applying the current fee rate to the dollar amount of covered sales prior to the effective date of the new fee rate. The exchanges and FINRA have provided data on the dollar amount of covered sales through December 31, 2013. To calculate the dollar amount of covered sales from that date to the effective date of the new fee rate, the Division is using the same methodology it developed in consultation with the Congressional Budget Office (‘‘CBO’’) and the Office of Management and Budget (‘‘OMB’’) to estimate the dollar amount of covered sales in prior fiscal years. An explanation of the methodology appears in Appendix A. 8 The Division is using the same methodology it has used previously to estimate assessments on security futures transactions to be collected in fiscal year 2014. An explanation of the methodology appears in Appendix A. 9 The estimate of fees to be collected prior to the effective date of the new fee rate is determined by applying the current fee rate to the dollar amount of covered sales prior to the effective date of the new fee rate. 10 Appendix A shows the purely arithmetic process of calculating the fiscal year 2014 annual adjustment. The appendix also includes the data used by the Commission in making this adjustment. VerDate Mar<15>2010 16:15 Feb 18, 2014 Jkt 232001 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, 2013, or 60 days after the date on which a regular appropriation to the Commission for fiscal year 2014 is enacted.11 The regular appropriation to the Commission for fiscal year 2014 was enacted on January 17, 2014, and accordingly, the new fee rates applicable under Sections 31(b) and (c) of the Exchange Act will take effect on March 18, 2014. IV. Conclusion Accordingly, pursuant to Section 31 of the Exchange Act, It is hereby ordered that the fee rates applicable under Sections 31(b) and (c) of the Exchange Act shall be $22.10 per $1,000,000 effective on March 18, 2014. By the Commission. Kevin M. O’Neill, Deputy Secretary. Appendix A This appendix provides the formula for determining the annual adjustment to the fee rates applicable under Sections 31(b) and (c) of the Exchange Act for fiscal year 2014. Section 31 of the Exchange Act requires the fee rates to be adjusted so that it is reasonably likely that the Commission will collect aggregate fees equal to its regular appropriation for fiscal year 2014. To make the adjustment, the Commission must project the aggregate dollar amount of covered sales of securities on the securities exchanges and certain over-the-counter markets over the course of the year. The fee rate equals the ratio of the Commission’s regular appropriation for fiscal year 2014 (less the sum of fees to be collected during fiscal year 2014 prior to the effective date of the new fee rate and aggregate assessments on security futures transactions during all of fiscal year 2014) to the estimated aggregate dollar amount of covered sales for the remainder of the fiscal year following the effective date of the new fee rate. For 2014, the Commission has estimated the aggregate dollar amount of covered sales by projecting forward the trend established in the previous decade. More specifically, the dollar amount of covered sales was forecasted for months subsequent to December 2013, the last month for which the Commission has data on the dollar volume of covered sales.12 11 15 U.S.C. 78ee(j)(4)(A). determine the availability of data, the Commission compares the date of the appropriation with the date the transaction data are due from the exchanges (10 business days after the end of the month). If the business day following the date of the appropriation is equal to or subsequent to the date the data are due from the exchanges, the Commission uses these data. The appropriation was signed on January 17, 2014. The first business day after this date was January 21, 2014. Data for December were due from the exchanges on January 15. So the Commission used December 2013 and 12 To PO 00000 Frm 00050 Fmt 4703 Sfmt 4703 9505 The following sections describe this process in detail. A. Baseline Estimate of the Aggregate Dollar Amount of Covered Sales for Fiscal Year 2014 First, calculate the average daily dollar amount of covered sales (ADS) for each month in the sample (December 2003– December 2013). The monthly total dollar amount of covered sales (exchange plus certain over-the-counter markets) is presented in column C of Table A. 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 0.0082 and the standard deviation is 0.122. 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 1.57%. Now, use the expected monthly percentage growth rate to forecast total dollar volume. For example, one can use the ADS for December 2013 ($250,727,781,285) to forecast ADS for January 2014 ($254,668,736,673 = $250,727,781,285 × 1.0157).13 Multiply by the number of trading days in January 2014 (21) to obtain a forecast of the total dollar volume for the month ($5,348,043,470,127). Repeat the method to generate forecasts for subsequent months. The forecasts for total dollar volume of covered sales 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 m = 0.0082 and s = 0.122, 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 (m + s2/2), or on average ADSt = 1.0157 × ADSt-1. 6. For January 2014, this gives a forecast ADS of 1.0157 × $250,727,781,285 = $254,668,736,673. Multiply this figure by the 21 trading days in January 2014 to obtain a total dollar volume forecast of $5,348,043,470,127. 7. For February 2014, multiply the January 2014 ADS forecast by 1.0157 to obtain a forecast ADS of $258,671,636,250. Multiply this figure by the 19 trading days in February 2014 to obtain a total dollar volume forecast of $4,914,761,088,752. earlier data to forecast volume for January 2014 and later months. 13 The value 1.0157 has been rounded. All computations are done with the unrounded value. E:\FR\FM\19FEN1.SGM 19FEN1 9506 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices 8. Repeat this procedure for subsequent months. B. Using the Forecasts From A To Calculate the New Fee Rate 1. Use Table A to estimate fees collected for the period 10/1/13 through 3/17/14. The projected aggregate dollar amount of covered sales for this period is $29,529,028,597,158. Actual and projected fee collections at the current fee rate of 0.0000174 are $513,805,098. 2. Estimate the amount of assessments on security futures products collected from 10/ 1/13 through 9/30/14 to be $58,854 by projecting a 1.57% monthly increase from a base of $4,940 in December 2013. 3. Subtract the amounts $513,805,098 and $58,854 from the target offsetting collection amount set by Congress of $1,350,000,000 leaving $836,136,049 to be collected on dollar volume for the period 3/18/14 through 9/30/14. 4. Use Table A to estimate dollar volume for the period 3/18/14 through 9/30/14. The estimate is $37,881,618,779,245. Finally, compute the fee rate required to produce the additional $836,136,049 in revenue. This rate is $836,136,049 divided by $37,881,618,779,245 or 0.00002207234. 5. Round the result to the seventh decimal point, yielding a rate of .0000221 (or $22.10 per million). TABLE A—BASELINE ESTIMATE OF THE AGGREGATE DOLLAR AMOUNT OF SALES Fee rate calculation a. Baseline estimate of the aggregate dollar amount of sales, 10/01/2013 to 02/28/2014 ($Millions) .............................................. b. Baseline estimate of the aggregate dollar amount of sales, 03/01/2014 to 03/17/2014 ($Millions) .............................................. c. Baseline estimate of the aggregate dollar amount of sales, 03/18/2014 to 03/31/2014 ($Millions) .............................................. d. Baseline estimate of the aggregate dollar amount of sales, 04/01/2014 to 09/30/2014 ($Millions) .............................................. e. Estimated collections in assessments on security futures products in fiscal year 2014 ($Millions) .............................................. f. Implied fee rate (($1,350,000,000¥$17.40*(a+b) ¥ e) / (c+d) ....................................................................................................... Month Number of trading days in month Total dollar amount of sales 26,638,917 2,890,112 2,627,375 35,254,244 0.059 $22.10 Change in natural logarithm of ADS Forecast ADS Forecast total dollar amount of sales (E) Average daily dollar amount of sales (ADS) (F) (G) ........................ 0.241 ¥0.042 ¥0.009 0.013 ¥0.019 ¥0.116 0.045 ¥0.130 0.027 0.191 0.065 ¥0.010 0.060 0.032 0.033 0.005 ¥0.075 0.000 0.014 ¥0.051 0.147 0.086 ¥0.036 ¥0.023 0.194 ¥0.024 ¥0.052 0.035 0.109 ¥0.052 ¥0.084 ¥0.119 0.139 0.060 0.035 ¥0.008 0.138 ¥0.026 0.138 ¥0.109 0.095 0.123 0.061 ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... Data EMCDONALD on DSK67QTVN1PROD with NOTICES (A) Dec–03 ......... Jan–04 ......... Feb–04 ......... Mar–04 ......... Apr–04 .......... May–04 ........ Jun–04 ......... Jul–04 ........... Aug–04 ......... Sep–04 ......... Oct–04 .......... Nov–04 ......... Dec–04 ......... Jan–05 ......... Feb–05 ......... Mar–05 ......... Apr–05 .......... May–05 ........ Jun–05 ......... Jul–05 ........... Aug–05 ......... Sep–05 ......... Oct–05 .......... Nov–05 ......... Dec–05 ......... Jan–06 ......... Feb–06 ......... Mar–06 ......... Apr–06 .......... May–06 ........ Jun–06 ......... Jul–06 ........... Aug–06 ......... Sep–06 ......... Oct–06 .......... Nov–06 ......... Dec–06 ......... Jan–07 ......... Feb–07 ......... Mar–07 ......... Apr–07 .......... May–07 ........ Jun–07 ......... Jul–07 ........... VerDate Mar<15>2010 (B) (C) 22 20 19 23 21 20 21 21 22 21 21 21 22 20 19 22 21 21 22 20 23 21 21 21 21 20 19 23 19 22 22 20 23 20 22 21 20 20 19 22 20 22 21 21 18:36 Feb 18, 2014 (D) 2,066,530,151,383 2,390,942,905,678 2,177,765,594,701 2,613,808,754,550 2,418,663,760,191 2,259,243,404,459 2,112,826,072,876 2,209,808,376,565 2,033,343,354,640 1,993,803,487,749 2,414,599,088,108 2,577,513,374,160 2,673,532,981,863 2,581,847,200,448 2,532,202,408,589 3,030,474,897,226 2,906,386,944,434 2,697,414,503,460 2,825,962,273,624 2,604,021,263,875 2,846,115,585,965 3,009,640,645,370 3,279,847,331,057 3,163,453,821,548 3,090,212,715,561 3,573,372,724,766 3,314,259,849,456 3,807,974,821,564 3,257,478,138,851 4,206,447,844,451 3,995,113,357,316 3,339,658,009,357 3,410,187,280,845 3,407,409,863,673 3,980,070,216,912 3,933,474,986,969 3,715,146,848,695 4,263,986,570,973 3,946,799,860,532 5,245,051,744,090 4,274,665,072,437 5,172,568,357,522 5,586,337,010,802 5,938,330,480,139 Jkt 232001 PO 00000 Frm 00051 93,933,188,699 119,547,145,284 114,619,241,826 113,643,858,893 115,174,464,771 112,962,170,223 100,610,765,375 105,228,970,313 92,424,697,938 94,943,023,226 114,980,908,958 122,738,732,103 121,524,226,448 129,092,360,022 133,273,810,978 137,748,858,965 138,399,378,306 128,448,309,689 128,452,830,619 130,201,063,194 123,744,155,912 143,316,221,208 156,183,206,241 150,640,658,169 147,152,986,455 178,668,636,238 174,434,728,919 165,564,122,677 171,446,217,834 191,202,174,748 181,596,061,696 166,982,900,468 148,269,012,211 170,370,493,184 180,912,282,587 187,308,332,713 185,757,342,435 213,199,328,549 207,726,308,449 238,411,442,913 213,733,253,622 235,116,743,524 266,016,048,133 282,777,641,911 Fmt 4703 Sfmt 4703 E:\FR\FM\19FEN1.SGM 19FEN1 9507 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices Number of trading days in month Total dollar amount of sales Average daily dollar amount of sales (ADS) Change in natural logarithm of ADS Forecast ADS Forecast total dollar amount of sales (A) EMCDONALD on DSK67QTVN1PROD with NOTICES Month (B) (C) (D) (E) (F) (G) ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ 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Aug–07 ......... Sep–07 ......... Oct–07 .......... Nov–07 ......... Dec–07 ......... Jan–08 ......... Feb–08 ......... Mar–08 ......... Apr–08 .......... May–08 ........ Jun–08 ......... Jul–08 ........... Aug–08 ......... Sep–08 ......... Oct–08 .......... Nov–08 ......... Dec–08 ......... Jan–09 ......... Feb–09 ......... Mar–09 ......... Apr–09 .......... May–09 ........ Jun–09 ......... Jul–09 ........... Aug–09 ......... Sep–09 ......... Oct–09 .......... Nov–09 ......... Dec–09 ......... Jan–10 ......... Feb–10 ......... Mar–10 ......... Apr–10 .......... May–10 ........ Jun–10 ......... Jul–10 ........... Aug–10 ......... Sep–10 ......... Oct–10 .......... Nov–10 ......... Dec–10 ......... Jan–11 ......... Feb–11 ......... Mar–11 ......... Apr–11 .......... May–11 ........ Jun–11 ......... Jul–11 ........... Aug–11 ......... Sep–11 ......... Oct–11 .......... Nov–11 ......... Dec–11 ......... Jan–12 ......... Feb–12 ......... Mar–12 ......... Apr–12 .......... May–12 ........ Jun–12 ......... Jul–12 ........... Aug–12 ......... Sep–12 ......... Oct–12 .......... Nov–12 ......... Dec–12 ......... Jan–13 ......... Feb–13 ......... Mar–13 ......... Apr–13 .......... VerDate Mar<15>2010 23 19 23 21 20 21 20 20 22 21 21 22 21 21 23 19 22 20 19 22 21 20 22 22 21 21 22 20 22 19 19 23 21 20 22 21 22 21 21 21 22 20 19 23 20 21 22 20 23 21 21 21 21 20 20 22 20 22 21 21 23 19 21 21 20 21 19 20 22 18:36 Feb 18, 2014 7,713,644,229,032 4,805,676,596,099 6,499,651,716,225 7,176,290,763,989 5,512,903,594,564 7,997,242,071,529 6,139,080,448,887 6,767,852,332,381 6,150,017,772,735 6,080,169,766,807 6,962,199,302,412 8,104,256,787,805 6,106,057,711,009 8,156,991,919,103 8,644,538,213,244 5,727,998,341,833 5,176,041,317,640 4,670,249,433,806 4,771,470,184,048 5,885,594,284,780 5,123,665,205,517 5,086,717,129,965 5,271,742,782,609 4,659,599,245,583 4,582,102,295,783 4,929,155,364,888 5,410,025,301,030 4,770,928,103,032 4,688,555,303,171 4,661,793,708,648 4,969,848,578,023 5,563,529,823,621 5,546,445,874,917 7,260,430,376,294 6,124,776,349,285 5,058,242,097,334 4,765,828,263,463 4,640,722,344,586 5,138,411,712,272 5,279,700,881,901 4,998,574,681,208 5,043,391,121,345 5,114,631,590,581 6,499,355,385,307 4,975,954,868,765 5,717,905,621,053 5,820,079,494,414 5,189,681,899,635 8,720,566,877,109 6,343,578,147,811 6,163,272,963,688 5,493,906,473,584 5,017,867,255,600 4,726,522,206,487 5,011,862,514,132 5,638,847,967,025 5,084,239,396,560 5,611,638,053,374 5,121,896,896,362 4,567,519,314,374 4,621,597,884,730 4,598,499,962,682 5,095,175,588,310 4,547,882,974,292 4,744,922,754,360 5,079,603,817,496 4,800,663,527,089 4,917,701,839,870 5,451,358,637,079 Jkt 232001 PO 00000 Frm 00052 335,375,836,045 252,930,347,163 282,593,552,879 341,728,131,619 275,645,179,728 380,821,051,025 306,954,022,444 338,392,616,619 279,546,262,397 289,531,893,657 331,533,300,115 368,375,308,537 290,764,652,905 388,428,186,624 375,849,487,532 301,473,596,939 235,274,605,347 233,512,471,690 251,130,009,687 267,527,012,945 243,984,057,406 254,335,856,498 239,624,671,937 211,799,965,708 218,195,347,418 234,721,684,042 245,910,240,956 238,546,405,152 213,116,150,144 245,357,563,613 261,570,977,791 241,892,601,027 264,116,470,234 363,021,518,815 278,398,924,967 240,868,671,302 216,628,557,430 220,986,778,314 244,686,272,013 251,414,327,710 227,207,940,055 252,169,556,067 269,191,136,346 282,580,668,926 248,797,743,438 272,281,220,050 264,549,067,928 259,484,094,982 379,155,081,613 302,075,149,896 293,489,188,747 261,614,593,980 238,946,059,790 236,326,110,324 250,593,125,707 256,311,271,228 254,211,969,828 255,074,456,972 243,899,852,208 217,500,919,732 200,939,038,467 242,026,313,825 242,627,408,967 216,565,855,919 237,246,137,718 241,885,896,071 252,666,501,426 245,885,091,993 247,789,028,958 Fmt 4703 Sfmt 4703 0.171 ¥0.282 0.111 0.190 ¥0.215 0.323 ¥0.216 0.098 ¥0.191 0.035 0.135 0.105 ¥0.237 0.290 ¥0.033 ¥0.221 ¥0.248 ¥0.008 0.073 0.063 ¥0.092 0.042 ¥0.060 ¥0.123 0.030 0.073 0.047 ¥0.030 ¥0.113 0.141 0.064 ¥0.078 0.088 0.318 ¥0.265 ¥0.145 ¥0.106 0.020 0.102 0.027 ¥0.101 0.104 0.065 0.049 ¥0.127 0.090 ¥0.029 ¥0.019 0.379 ¥0.227 ¥0.029 ¥0.115 ¥0.091 ¥0.011 0.059 0.023 ¥0.008 0.003 ¥0.045 ¥0.115 ¥0.079 0.186 0.002 ¥0.114 0.091 0.019 0.044 ¥0.027 0.008 E:\FR\FM\19FEN1.SGM 19FEN1 9508 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices Month Number of trading days in month Total dollar amount of sales Average daily dollar amount of sales (ADS) Change in natural logarithm of ADS Forecast ADS Forecast total dollar amount of sales (A) (B) (C) (D) (E) (F) (G) 5,681,788,831,869 5,623,545,462,226 5,083,861,509,754 4,925,611,193,095 4,959,197,626,713 5,928,804,028,970 5,182,024,612,049 5,265,283,406,995 .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... 258,263,128,721 281,177,273,111 231,084,614,080 223,891,417,868 247,959,881,336 257,774,088,216 259,101,230,602 250,727,781,285 .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... 0.041 0.085 ¥0.196 ¥0.032 0.102 0.039 0.005 ¥0.033 ........................ ........................ ........................ ........................ ........................ ........................ ........................ ........................ ........................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ ................................ 254,668,736,673 258,671,636,250 262,737,453,660 266,867,177,850 271,061,813,310 275,322,380,320 279,649,915,197 284,045,470,544 288,510,115,513 .................................... .................................... .................................... .................................... .................................... .................................... .................................... .................................... 5,348,043,470,127 4,914,761,088,752 5,517,486,526,869 5,604,210,734,855 5,692,298,079,518 5,781,769,986,729 6,152,298,134,326 5,964,954,881,430 6,058,712,425,783 May–13 ........ Jun–13 ......... Jul–13 ........... Aug–13 ......... Sep–13 ......... Oct–13 .......... Nov–13 ......... Dec–13 ......... Jan–14 ......... Feb–14 ......... Mar–14 ......... Apr–14 .......... May–14 ........ Jun–14 ......... Jul–14 ........... Aug–14 ......... Sep–14 ......... 22 20 22 22 20 23 20 21 21 19 21 21 21 21 22 21 21 EMCDONALD on DSK67QTVN1PROD with NOTICES BILLING CODE 8011–01–P VerDate Mar<15>2010 18:36 Feb 18, 2014 Jkt 232001 PO 00000 Frm 00053 Fmt 4703 Sfmt 4703 E:\FR\FM\19FEN1.SGM 19FEN1 VerDate Mar<15>2010 16:15 Feb 18, 2014 Jkt 232001 PO 00000 Frm 00054 Fmt 4703 Sfmt 9990 E:\FR\FM\19FEN1.SGM 19FEN1 9509 EN19FE14.000</GPH> EMCDONALD on DSK67QTVN1PROD with NOTICES Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices 9510 Federal Register / Vol. 79, No. 33 / Wednesday, February 19, 2014 / Notices [FR Doc. 2014–03575 Filed 2–18–14; 8:45 am] BILLING CODE 8011–01–C SECURITIES AND EXCHANGE COMMISSION [Release No. 34–71524; File No. PCAOB– 2013–01] Public Company Accounting Oversight Board; Order Granting Approval of Proposed Rules, Standards for Attestation Engagements Related to Broker and Dealer Compliance or Exemption Reports Required by the U.S. Securities and Exchange Commission and Related Amendments to PCAOB Standards February 12, 2014. I. Introduction On October 30, 2013, the Public Company Accounting Oversight Board (the ‘‘Board’’ or the ‘‘PCAOB’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’), pursuant to Section 107(b) 1 of the Sarbanes-Oxley Act of 2002 (the ‘‘Sarbanes-Oxley Act’’) and Section 19(b) 2 of the Securities Exchange Act of 1934 (the ‘‘Exchange Act’’), proposed rules to adopt standards for attestation engagements related to broker and dealer compliance or exemption reports required by the U.S. Securities and Exchange Commission and related amendments to PCAOB standards (collectively, the ‘‘Proposed Rules’’). The Proposed Rules were published for comment in the Federal Register on November 15, 2013.3 At the time the notice was issued, the Commission designated a longer period to act on the Proposed Rules, until February 13, 2014.4 The Commission received two comment letters in response to the notice.5 This order approves the Proposed Rules. EMCDONALD on DSK67QTVN1PROD with NOTICES II. Description of the Proposed Rules Attestation Standard No. 1, Examination Engagements Regarding Compliance Reports of Brokers and Dealers, establishes requirements for the auditor with respect to the auditor’s examination regarding a broker’s or dealer’s compliance report and establishes requirements that are designed specifically for the 1 15 U.S.C. 7217(b). U.S.C. 78s(b). 3 See Release No. 34–70842 (November 8, 2013), 78 FR 68911 (November 15, 2013). 4 Ibid. 5 See letters to the Commission from Deloitte & Touche LLP, dated December 5, 2013 (‘‘Deloitte Letter’’) and Suzanne H. Shatto, dated December 17, 2013 (‘‘Shatto Letter’’). 2 15 VerDate Mar<15>2010 16:15 Feb 18, 2014 Jkt 232001 examination required by Exchange Act Rule 17a–5 (‘‘Rule 17a–5’’).6 Consistent with Rule 17a–5, Attestation Standard No. 1 requires auditors to obtain sufficient appropriate evidence to opine on a broker’s or dealer’s statements in its compliance report as to whether: • The Internal Control Over Compliance of the broker or dealer was effective during the most recent fiscal year; • The Internal Control Over Compliance of the broker or dealer was effective as of the end of the most recent fiscal year; • The broker or dealer was in compliance with Exchange Act Rule 15c3–1 7 (the ‘‘net capital rule’’) and Exchange Act Rule 15c3–3(e) 8 (the ‘‘reserve requirements rule’’) as of the end of the most recent fiscal year; and • The information the broker or dealer used to state whether it was in compliance with the net capital rule and reserve requirements rule was derived from the books and records of the broker or dealer.9 Attestation Standard No. 1 provides requirements for auditors that: • Focus the auditor on the matters that are most important to the auditor’s conclusions regarding the broker’s or dealer’s assertions; • Incorporate consideration of fraud risks, including the risk of misappropriation of customer assets; • Are designed to be scalable based on the broker’s or dealer’s size and complexity; • Coordinate the examination engagement with the audit of the financial statements and the audit procedures performed on supplemental information; and • Describe how to report on an examination engagement in connection with the requirements of Rule 17a–5. Attestation Standard No. 1 reflects the requirement in Rule 17a–5 that the auditor must obtain reasonable assurance to support the auditor’s opinion. In particular, Attestation Standard No. 1 requires the auditor to obtain reasonable assurance in order to opine on whether the broker’s or dealer’s assertions are fairly stated, in all material respects. Attestation Standard No. 2 establishes requirements for the auditor with respect to the auditor’s review regarding the broker’s or dealer’s exemption report and establishes requirements that are designed specifically for the review 6 17 CFR 240.17a–5. CFR 240.15c3–1. 8 17 CFR 240.15c3–3(e). 9 See paragraphs (d)(3)(i)(A)(2)–(5) of SEC Rule 17a–5. 7 17 PO 00000 Frm 00055 Fmt 4703 Sfmt 4703 required by Rule 17a–5.10 Attestation Standard No. 2 establishes requirements for making inquiries and performing other procedures that are commensurate with the auditor’s responsibility to obtain moderate assurance regarding whether one or more conditions exist that would cause one or more of the broker’s or dealer’s assertions not to be fairly stated, in all material respects. The broker’s or dealer’s exemption report includes the following assertions: • A statement that identifies the provisions in paragraph (k) of Exchange Act Rule 15c3–3 (the ‘‘exemption provisions’’) under which the broker or dealer claimed an exemption from Exchange Act Rule 15c3–3 (the ‘‘identified exemption provisions’’); • A statement that the broker or dealer (1) met the identified exemption provisions throughout the most recent fiscal year without exception or (2) met the identified exemption provisions throughout the most recent fiscal year except as described in the exemption report; and • If applicable, a statement that identifies each exception during the most recent fiscal year in meeting the identified exemption provisions (an ‘‘exception’’) and that briefly describes the nature of each exception and the approximate date(s) on which the exceptions existed.11 The procedures required by Attestation Standard No. 2 include evaluating relevant evidence obtained from the audit of the financial statements and the audit procedures performed on supplemental information and are designed to enable the auditor to scale the review engagement based on the broker’s or dealer’s size and complexity. Attestation Standard No. 2 also establishes requirements for the content of the review report. As part of the Proposed Rules, the Board adopted conforming amendments to several PCAOB auditing and attestation standards, including Auditing Standard No. 3, Audit Documentation, Auditing Standard No. 7, Engagement Quality Review, and interim attestation standards AT sec. 101 and AT sec. 601. The Proposed Rules would be effective for examination engagements and review engagements for fiscal years ending on or after June 1, 2014. III. Comment Letters As noted above, the Commission received two comment letters concerning the Proposed Rules. The commenters expressed support for the 10 See 11 See E:\FR\FM\19FEN1.SGM 17 CFR 240.17a–5(g)(2)(ii). SEC Rule 17a–5(d)(4). 19FEN1

Agencies

[Federal Register Volume 79, Number 33 (Wednesday, February 19, 2014)]
[Notices]
[Pages 9504-9510]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-03575]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-71550/February 12, 2014]


Order Making Fiscal Year 2014 Annual Adjustments to Transaction 
Fee Rates

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 (``covered sales'') 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 covered sales 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).
---------------------------------------------------------------------------

    Section 31 of the Exchange Act requires the Commission to annually 
adjust the fee rates applicable under Sections 31(b) and (c) to a 
uniform adjusted rate.\4\ Specifically, the Commission must adjust the 
fee rates to a uniform adjusted rate that is reasonably likely to 
produce aggregate fee collections (including assessments on security 
futures transactions) equal to the regular appropriation to the 
Commission for the applicable fiscal year.\5\
---------------------------------------------------------------------------

    \4\ In some circumstances, the SEC also must make a mid-year 
adjustment to the fee rates applicable under Sections 31(b) and (c).
    \5\ 15 U.S.C. 78ee(j)(1) (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 such fiscal year, is reasonably likely to produce 
aggregate fee collections under [Section 31] (including assessments 
collected under [Section 31(d)]) that are equal to the regular 
appropriation to the Commission by Congress for such fiscal 
year.'').
---------------------------------------------------------------------------

    The Commission is required to publish notice of the new fee rates 
under Section 31 not later than 30 days after the date on which an Act 
making a regular appropriation for the applicable fiscal year is 
enacted.\6\ On January 17, 2014, the President signed the Consolidated 
Appropriations Act of 2014, providing $1,350,000,000 in funds to the 
SEC for fiscal year 2014.
---------------------------------------------------------------------------

    \6\ 15 U.S.C. Sec.  78ee(g).
---------------------------------------------------------------------------

II. Fiscal Year 2014 Annual Adjustment to the Fee Rate

    The new fee rate is determined by (1) subtracting the sum of fees 
estimated to

[[Page 9505]]

be collected prior to the effective date of the new fee rate \7\ and 
estimated assessments on security futures transactions to be collected 
under Section 31(d) of the Exchange Act for all of fiscal year 2014 \8\ 
from an amount equal to the regular appropriation to the Commission for 
fiscal year 2014, and (2) dividing the difference by the estimated 
aggregate dollar amount of sales for the remainder of the fiscal year 
following the effective date of the new fee rate.
---------------------------------------------------------------------------

    \7\ The sum of fees to be collected prior to the effective date 
of the new fee rate is determined by applying the current fee rate 
to the dollar amount of covered sales prior to the effective date of 
the new fee rate. The exchanges and FINRA have provided data on the 
dollar amount of covered sales through December 31, 2013. To 
calculate the dollar amount of covered sales from that date to the 
effective date of the new fee rate, the Division is using the same 
methodology it developed in consultation with the Congressional 
Budget Office (``CBO'') and the Office of Management and Budget 
(``OMB'') to estimate the dollar amount of covered sales in prior 
fiscal years. An explanation of the methodology appears in Appendix 
A.
    \8\ The Division is using the same methodology it has used 
previously to estimate assessments on security futures transactions 
to be collected in fiscal year 2014. An explanation of the 
methodology appears in Appendix A.
---------------------------------------------------------------------------

    The regular appropriation to the Commission for fiscal year 2014 is 
$1,350,000,000. The Commission estimates that it will collect 
$513,805,098 in fees for the period prior to the effective date of the 
new fee rate and $58,854 in assessments on round turn transactions in 
security futures products during all of fiscal year 2014.\9\ Using a 
methodology for estimating the aggregate dollar amount of sales for the 
remainder of fiscal year 2014 (developed after consultation with the 
CBO and OMB), the Commission estimates that the aggregate dollar amount 
of covered sales for the remainder of fiscal year 2014 to be 
$37,881,618,779,245.
---------------------------------------------------------------------------

    \9\ The estimate of fees to be collected prior to the effective 
date of the new fee rate is determined by applying the current fee 
rate to the dollar amount of covered sales prior to the effective 
date of the new fee rate.
---------------------------------------------------------------------------

    As described above, the uniform adjusted rate is computed by 
dividing the residual fees to be collected of $836,136,049 by the 
estimate of the aggregate dollar amount of covered sales for the 
remainder of fiscal year 2014 of $37,881,618,779,245. This results in a 
uniform adjusted rate for fiscal year 2014 of $22.10 per million.\10\
---------------------------------------------------------------------------

    \10\ Appendix A shows the purely arithmetic process of 
calculating the fiscal year 2014 annual adjustment. The appendix 
also includes the data used by the Commission in making this 
adjustment.
---------------------------------------------------------------------------

III. Effective Date of the Uniform Adjusted Rate

    Under Section 31(j)(4)(A) of the Exchange Act, the fiscal year 2014 
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, 
2013, or 60 days after the date on which a regular appropriation to the 
Commission for fiscal year 2014 is enacted.\11\ The regular 
appropriation to the Commission for fiscal year 2014 was enacted on 
January 17, 2014, and accordingly, the new fee rates applicable under 
Sections 31(b) and (c) of the Exchange Act will take effect on March 
18, 2014.
---------------------------------------------------------------------------

    \11\ 15 U.S.C. 78ee(j)(4)(A).
---------------------------------------------------------------------------

IV. Conclusion

    Accordingly, pursuant to Section 31 of the Exchange Act,
    It is hereby ordered that the fee rates applicable under Sections 
31(b) and (c) of the Exchange Act shall be $22.10 per $1,000,000 
effective on March 18, 2014.

    By the Commission.
Kevin M. O'Neill,
Deputy Secretary.

Appendix A

    This appendix provides the formula for determining the annual 
adjustment to the fee rates applicable under Sections 31(b) and (c) 
of the Exchange Act for fiscal year 2014. Section 31 of the Exchange 
Act requires the fee rates to be adjusted so that it is reasonably 
likely that the Commission will collect aggregate fees equal to its 
regular appropriation for fiscal year 2014.
    To make the adjustment, the Commission must project the 
aggregate dollar amount of covered sales of securities on the 
securities exchanges and certain over-the-counter markets over the 
course of the year. The fee rate equals the ratio of the 
Commission's regular appropriation for fiscal year 2014 (less the 
sum of fees to be collected during fiscal year 2014 prior to the 
effective date of the new fee rate and aggregate assessments on 
security futures transactions during all of fiscal year 2014) to the 
estimated aggregate dollar amount of covered sales for the remainder 
of the fiscal year following the effective date of the new fee rate.
    For 2014, the Commission has estimated the aggregate dollar 
amount of covered sales by projecting forward the trend established 
in the previous decade. More specifically, the dollar amount of 
covered sales was forecasted for months subsequent to December 2013, 
the last month for which the Commission has data on the dollar 
volume of covered sales.\12\
---------------------------------------------------------------------------

    \12\ To determine the availability of data, the Commission 
compares the date of the appropriation with the date the transaction 
data are due from the exchanges (10 business days after the end of 
the month). If the business day following the date of the 
appropriation is equal to or subsequent to the date the data are due 
from the exchanges, the Commission uses these data. The 
appropriation was signed on January 17, 2014. The first business day 
after this date was January 21, 2014. Data for December were due 
from the exchanges on January 15. So the Commission used December 
2013 and earlier data to forecast volume for January 2014 and later 
months.
---------------------------------------------------------------------------

    The following sections describe this process in detail.

A. Baseline Estimate of the Aggregate Dollar Amount of Covered 
Sales for Fiscal Year 2014

    First, calculate the average daily dollar amount of covered 
sales (ADS) for each month in the sample (December 2003-December 
2013). The monthly total dollar amount of covered sales (exchange 
plus certain over-the-counter markets) is presented in column C of 
Table A.
    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 0.0082 and the standard deviation is 0.122. 
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 1.57%.
    Now, use the expected monthly percentage growth rate to forecast 
total dollar volume. For example, one can use the ADS for December 
2013 ($250,727,781,285) to forecast ADS for January 2014 
($254,668,736,673 = $250,727,781,285 x 1.0157).\13\ Multiply by the 
number of trading days in January 2014 (21) to obtain a forecast of 
the total dollar volume for the month ($5,348,043,470,127). Repeat 
the method to generate forecasts for subsequent months.
---------------------------------------------------------------------------

    \13\ The value 1.0157 has been rounded. All computations are 
done with the unrounded value.
---------------------------------------------------------------------------

    The forecasts for total dollar volume of covered sales 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] = 0.0082 and 
[sigma] = 0.122, 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 
= 1.0157 x ADSt-1.
    6. For January 2014, this gives a forecast ADS of 1.0157 x 
$250,727,781,285 = $254,668,736,673. Multiply this figure by the 21 
trading days in January 2014 to obtain a total dollar volume 
forecast of $5,348,043,470,127.
    7. For February 2014, multiply the January 2014 ADS forecast by 
1.0157 to obtain a forecast ADS of $258,671,636,250. Multiply this 
figure by the 19 trading days in February 2014 to obtain a total 
dollar volume forecast of $4,914,761,088,752.

[[Page 9506]]

    8. Repeat this procedure for subsequent months.

B. Using the Forecasts From A To Calculate the New Fee Rate

    1. Use Table A to estimate fees collected for the period 10/1/13 
through 3/17/14. The projected aggregate dollar amount of covered 
sales for this period is $29,529,028,597,158. Actual and projected 
fee collections at the current fee rate of 0.0000174 are 
$513,805,098.
    2. Estimate the amount of assessments on security futures 
products collected from 10/1/13 through 9/30/14 to be $58,854 by 
projecting a 1.57% monthly increase from a base of $4,940 in 
December 2013.
    3. Subtract the amounts $513,805,098 and $58,854 from the target 
offsetting collection amount set by Congress of $1,350,000,000 
leaving $836,136,049 to be collected on dollar volume for the period 
3/18/14 through 9/30/14.
    4. Use Table A to estimate dollar volume for the period 3/18/14 
through 9/30/14. The estimate is $37,881,618,779,245. Finally, 
compute the fee rate required to produce the additional $836,136,049 
in revenue. This rate is $836,136,049 divided by $37,881,618,779,245 
or 0.00002207234.
    5. Round the result to the seventh decimal point, yielding a 
rate of .0000221 (or $22.10 per million).

   Table A--Baseline Estimate of the Aggregate Dollar Amount of Sales
------------------------------------------------------------------------
 
------------------------------------------------------------------------
                          Fee rate calculation
------------------------------------------------------------------------
a. Baseline estimate of the aggregate dollar amount of        26,638,917
 sales, 10/01/2013 to 02/28/2014 ($Millions)............
b. Baseline estimate of the aggregate dollar amount of         2,890,112
 sales, 03/01/2014 to 03/17/2014 ($Millions)............
c. Baseline estimate of the aggregate dollar amount of         2,627,375
 sales, 03/18/2014 to 03/31/2014 ($Millions)............
d. Baseline estimate of the aggregate dollar amount of        35,254,244
 sales, 04/01/2014 to 09/30/2014 ($Millions)............
e. Estimated collections in assessments on security                0.059
 futures products in fiscal year 2014 ($Millions).......
f. Implied fee rate (($1,350,000,000-$17.40*(a+b) - e) /          $22.10
 (c+d)..................................................
------------------------------------------------------------------------


--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                                                   Change in
                                       Number of     Total dollar amount  Average daily dollar      natural                            Forecast total
               Month                 trading days         of sales           amount of sales     logarithm of      Forecast ADS       dollar amount of
                                       in month                                   (ADS)               ADS                                   sales
--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                                          Data
--------------------------------------------------------------------------------------------------------------------------------------------------------
(A)                                            (B)                   (C)                   (D)             (E)                 (F)                   (G)
--------------------------------------------------------------------------------------------------------------------------------------------------------
Dec-03............................              22     2,066,530,151,383        93,933,188,699  ..............  ..................  ....................
Jan-04............................              20     2,390,942,905,678       119,547,145,284           0.241  ..................  ....................
Feb-04............................              19     2,177,765,594,701       114,619,241,826          -0.042  ..................  ....................
Mar-04............................              23     2,613,808,754,550       113,643,858,893          -0.009  ..................  ....................
Apr-04............................              21     2,418,663,760,191       115,174,464,771           0.013  ..................  ....................
May-04............................              20     2,259,243,404,459       112,962,170,223          -0.019  ..................  ....................
Jun-04............................              21     2,112,826,072,876       100,610,765,375          -0.116  ..................  ....................
Jul-04............................              21     2,209,808,376,565       105,228,970,313           0.045  ..................  ....................
Aug-04............................              22     2,033,343,354,640        92,424,697,938          -0.130  ..................  ....................
Sep-04............................              21     1,993,803,487,749        94,943,023,226           0.027  ..................  ....................
Oct-04............................              21     2,414,599,088,108       114,980,908,958           0.191  ..................  ....................
Nov-04............................              21     2,577,513,374,160       122,738,732,103           0.065  ..................  ....................
Dec-04............................              22     2,673,532,981,863       121,524,226,448          -0.010  ..................  ....................
Jan-05............................              20     2,581,847,200,448       129,092,360,022           0.060  ..................  ....................
Feb-05............................              19     2,532,202,408,589       133,273,810,978           0.032  ..................  ....................
Mar-05............................              22     3,030,474,897,226       137,748,858,965           0.033  ..................  ....................
Apr-05............................              21     2,906,386,944,434       138,399,378,306           0.005  ..................  ....................
May-05............................              21     2,697,414,503,460       128,448,309,689          -0.075  ..................  ....................
Jun-05............................              22     2,825,962,273,624       128,452,830,619           0.000  ..................  ....................
Jul-05............................              20     2,604,021,263,875       130,201,063,194           0.014  ..................  ....................
Aug-05............................              23     2,846,115,585,965       123,744,155,912          -0.051  ..................  ....................
Sep-05............................              21     3,009,640,645,370       143,316,221,208           0.147  ..................  ....................
Oct-05............................              21     3,279,847,331,057       156,183,206,241           0.086  ..................  ....................
Nov-05............................              21     3,163,453,821,548       150,640,658,169          -0.036  ..................  ....................
Dec-05............................              21     3,090,212,715,561       147,152,986,455          -0.023  ..................  ....................
Jan-06............................              20     3,573,372,724,766       178,668,636,238           0.194  ..................  ....................
Feb-06............................              19     3,314,259,849,456       174,434,728,919          -0.024  ..................  ....................
Mar-06............................              23     3,807,974,821,564       165,564,122,677          -0.052  ..................  ....................
Apr-06............................              19     3,257,478,138,851       171,446,217,834           0.035  ..................  ....................
May-06............................              22     4,206,447,844,451       191,202,174,748           0.109  ..................  ....................
Jun-06............................              22     3,995,113,357,316       181,596,061,696          -0.052  ..................  ....................
Jul-06............................              20     3,339,658,009,357       166,982,900,468          -0.084  ..................  ....................
Aug-06............................              23     3,410,187,280,845       148,269,012,211          -0.119  ..................  ....................
Sep-06............................              20     3,407,409,863,673       170,370,493,184           0.139  ..................  ....................
Oct-06............................              22     3,980,070,216,912       180,912,282,587           0.060  ..................  ....................
Nov-06............................              21     3,933,474,986,969       187,308,332,713           0.035  ..................  ....................
Dec-06............................              20     3,715,146,848,695       185,757,342,435          -0.008  ..................  ....................
Jan-07............................              20     4,263,986,570,973       213,199,328,549           0.138  ..................  ....................
Feb-07............................              19     3,946,799,860,532       207,726,308,449          -0.026  ..................  ....................
Mar-07............................              22     5,245,051,744,090       238,411,442,913           0.138  ..................  ....................
Apr-07............................              20     4,274,665,072,437       213,733,253,622          -0.109  ..................  ....................
May-07............................              22     5,172,568,357,522       235,116,743,524           0.095  ..................  ....................
Jun-07............................              21     5,586,337,010,802       266,016,048,133           0.123  ..................  ....................
Jul-07............................              21     5,938,330,480,139       282,777,641,911           0.061  ..................  ....................

[[Page 9507]]

 
Aug-07............................              23     7,713,644,229,032       335,375,836,045           0.171  ..................  ....................
Sep-07............................              19     4,805,676,596,099       252,930,347,163          -0.282  ..................  ....................
Oct-07............................              23     6,499,651,716,225       282,593,552,879           0.111  ..................  ....................
Nov-07............................              21     7,176,290,763,989       341,728,131,619           0.190  ..................  ....................
Dec-07............................              20     5,512,903,594,564       275,645,179,728          -0.215  ..................  ....................
Jan-08............................              21     7,997,242,071,529       380,821,051,025           0.323  ..................  ....................
Feb-08............................              20     6,139,080,448,887       306,954,022,444          -0.216  ..................  ....................
Mar-08............................              20     6,767,852,332,381       338,392,616,619           0.098  ..................  ....................
Apr-08............................              22     6,150,017,772,735       279,546,262,397          -0.191  ..................  ....................
May-08............................              21     6,080,169,766,807       289,531,893,657           0.035  ..................  ....................
Jun-08............................              21     6,962,199,302,412       331,533,300,115           0.135  ..................  ....................
Jul-08............................              22     8,104,256,787,805       368,375,308,537           0.105  ..................  ....................
Aug-08............................              21     6,106,057,711,009       290,764,652,905          -0.237  ..................  ....................
Sep-08............................              21     8,156,991,919,103       388,428,186,624           0.290  ..................  ....................
Oct-08............................              23     8,644,538,213,244       375,849,487,532          -0.033  ..................  ....................
Nov-08............................              19     5,727,998,341,833       301,473,596,939          -0.221  ..................  ....................
Dec-08............................              22     5,176,041,317,640       235,274,605,347          -0.248  ..................  ....................
Jan-09............................              20     4,670,249,433,806       233,512,471,690          -0.008  ..................  ....................
Feb-09............................              19     4,771,470,184,048       251,130,009,687           0.073  ..................  ....................
Mar-09............................              22     5,885,594,284,780       267,527,012,945           0.063  ..................  ....................
Apr-09............................              21     5,123,665,205,517       243,984,057,406          -0.092  ..................  ....................
May-09............................              20     5,086,717,129,965       254,335,856,498           0.042  ..................  ....................
Jun-09............................              22     5,271,742,782,609       239,624,671,937          -0.060  ..................  ....................
Jul-09............................              22     4,659,599,245,583       211,799,965,708          -0.123  ..................  ....................
Aug-09............................              21     4,582,102,295,783       218,195,347,418           0.030  ..................  ....................
Sep-09............................              21     4,929,155,364,888       234,721,684,042           0.073  ..................  ....................
Oct-09............................              22     5,410,025,301,030       245,910,240,956           0.047  ..................  ....................
Nov-09............................              20     4,770,928,103,032       238,546,405,152          -0.030  ..................  ....................
Dec-09............................              22     4,688,555,303,171       213,116,150,144          -0.113  ..................  ....................
Jan-10............................              19     4,661,793,708,648       245,357,563,613           0.141  ..................  ....................
Feb-10............................              19     4,969,848,578,023       261,570,977,791           0.064  ..................  ....................
Mar-10............................              23     5,563,529,823,621       241,892,601,027          -0.078  ..................  ....................
Apr-10............................              21     5,546,445,874,917       264,116,470,234           0.088  ..................  ....................
May-10............................              20     7,260,430,376,294       363,021,518,815           0.318  ..................  ....................
Jun-10............................              22     6,124,776,349,285       278,398,924,967          -0.265  ..................  ....................
Jul-10............................              21     5,058,242,097,334       240,868,671,302          -0.145  ..................  ....................
Aug-10............................              22     4,765,828,263,463       216,628,557,430          -0.106  ..................  ....................
Sep-10............................              21     4,640,722,344,586       220,986,778,314           0.020  ..................  ....................
Oct-10............................              21     5,138,411,712,272       244,686,272,013           0.102  ..................  ....................
Nov-10............................              21     5,279,700,881,901       251,414,327,710           0.027  ..................  ....................
Dec-10............................              22     4,998,574,681,208       227,207,940,055          -0.101  ..................  ....................
Jan-11............................              20     5,043,391,121,345       252,169,556,067           0.104  ..................  ....................
Feb-11............................              19     5,114,631,590,581       269,191,136,346           0.065  ..................  ....................
Mar-11............................              23     6,499,355,385,307       282,580,668,926           0.049  ..................  ....................
Apr-11............................              20     4,975,954,868,765       248,797,743,438          -0.127  ..................  ....................
May-11............................              21     5,717,905,621,053       272,281,220,050           0.090  ..................  ....................
Jun-11............................              22     5,820,079,494,414       264,549,067,928          -0.029  ..................  ....................
Jul-11............................              20     5,189,681,899,635       259,484,094,982          -0.019  ..................  ....................
Aug-11............................              23     8,720,566,877,109       379,155,081,613           0.379  ..................  ....................
Sep-11............................              21     6,343,578,147,811       302,075,149,896          -0.227  ..................  ....................
Oct-11............................              21     6,163,272,963,688       293,489,188,747          -0.029  ..................  ....................
Nov-11............................              21     5,493,906,473,584       261,614,593,980          -0.115  ..................  ....................
Dec-11............................              21     5,017,867,255,600       238,946,059,790          -0.091  ..................  ....................
Jan-12............................              20     4,726,522,206,487       236,326,110,324          -0.011  ..................  ....................
Feb-12............................              20     5,011,862,514,132       250,593,125,707           0.059  ..................  ....................
Mar-12............................              22     5,638,847,967,025       256,311,271,228           0.023  ..................  ....................
Apr-12............................              20     5,084,239,396,560       254,211,969,828          -0.008  ..................  ....................
May-12............................              22     5,611,638,053,374       255,074,456,972           0.003  ..................  ....................
Jun-12............................              21     5,121,896,896,362       243,899,852,208          -0.045  ..................  ....................
Jul-12............................              21     4,567,519,314,374       217,500,919,732          -0.115  ..................  ....................
Aug-12............................              23     4,621,597,884,730       200,939,038,467          -0.079  ..................  ....................
Sep-12............................              19     4,598,499,962,682       242,026,313,825           0.186  ..................  ....................
Oct-12............................              21     5,095,175,588,310       242,627,408,967           0.002  ..................  ....................
Nov-12............................              21     4,547,882,974,292       216,565,855,919          -0.114  ..................  ....................
Dec-12............................              20     4,744,922,754,360       237,246,137,718           0.091  ..................  ....................
Jan-13............................              21     5,079,603,817,496       241,885,896,071           0.019  ..................  ....................
Feb-13............................              19     4,800,663,527,089       252,666,501,426           0.044  ..................  ....................
Mar-13............................              20     4,917,701,839,870       245,885,091,993          -0.027  ..................  ....................
Apr-13............................              22     5,451,358,637,079       247,789,028,958           0.008  ..................  ....................

[[Page 9508]]

 
May-13............................              22     5,681,788,831,869       258,263,128,721           0.041  ..................  ....................
Jun-13............................              20     5,623,545,462,226       281,177,273,111           0.085  ..................  ....................
Jul-13............................              22     5,083,861,509,754       231,084,614,080          -0.196  ..................  ....................
Aug-13............................              22     4,925,611,193,095       223,891,417,868          -0.032  ..................  ....................
Sep-13............................              20     4,959,197,626,713       247,959,881,336           0.102  ..................  ....................
Oct-13............................              23     5,928,804,028,970       257,774,088,216           0.039  ..................  ....................
Nov-13............................              20     5,182,024,612,049       259,101,230,602           0.005  ..................  ....................
Dec-13............................              21     5,265,283,406,995       250,727,781,285          -0.033  ..................  ....................
Jan-14............................              21  ....................  ....................  ..............     254,668,736,673     5,348,043,470,127
Feb-14............................              19  ....................  ....................  ..............     258,671,636,250     4,914,761,088,752
Mar-14............................              21  ....................  ....................  ..............     262,737,453,660     5,517,486,526,869
Apr-14............................              21  ....................  ....................  ..............     266,867,177,850     5,604,210,734,855
May-14............................              21  ....................  ....................  ..............     271,061,813,310     5,692,298,079,518
Jun-14............................              21  ....................  ....................  ..............     275,322,380,320     5,781,769,986,729
Jul-14............................              22  ....................  ....................  ..............     279,649,915,197     6,152,298,134,326
Aug-14............................              21  ....................  ....................  ..............     284,045,470,544     5,964,954,881,430
Sep-14............................              21  ....................  ....................  ..............     288,510,115,513     6,058,712,425,783
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BILLING CODE 8011-01-P

[[Page 9509]]

[GRAPHIC] [TIFF OMITTED] TN19FE14.000


[[Page 9510]]


[FR Doc. 2014-03575 Filed 2-18-14; 8:45 am]
BILLING CODE 8011-01-C
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