Order Making Fiscal Year 2016 Annual Adjustments to Transaction Fee Rates, 1458-1464 [2016-00406]
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1458
Federal Register / Vol. 81, No. 7 / Tuesday, January 12, 2016 / Notices
tkelley on DSK3SPTVN1PROD with NOTICES
proposed Rule 12.15 has been violated.3
On November 17, 2015, the Exchange
filed Amendment No. 1 to the
proposal.4 The proposed rule change, as
modified by Amendment No. 1, was
published for comment in the Federal
Register on November 24, 2015.5 The
Commission received four comments on
the proposal.6
Section 19(b)(2) of the Act 7 provides
that, within 45 days of the publication
of the notice of the filing of a proposed
rule change, or within such longer
period up to 90 days as the Commission
may designate if it finds such longer
period to be appropriate and publishes
its reasons for so finding, or as to which
the self-regulatory organization
consents, the Commission shall either
approve the proposed rule change,
disapprove the proposed rule change, or
institute proceedings to determine
whether the proposed rule change
should be disapproved. The 45th day for
this filing is January 8, 2016. The
Commission is extending this 45-day
time period.
The Commission finds that it is
appropriate to designate a longer period
within which to take action on the
proposed rule change so that it has
sufficient time to consider the proposed
rule change and the comments received.
Accordingly, the Commission, pursuant
to section 19(b)(2) of the Act,8
designates February 22, 2016 as the date
by which the Commission should either
approve or disapprove or institute
proceedings to determine whether to
disapprove the proposed rule change
(File Number SR–BATS–2015–101).
3 This proposed rule change is a revised version
of a prior filing, BATS–2015–57, which the
Exchange withdrew and revised in order to address
certain issues raised by comments submitted with
respect to BATS–2015–57. See Securities Exchange
Act Release No. 76393 (November 9, 2015), 80 FR
70851 (November 16, 2015) (BATS–2015–57)
(noticing the withdrawal of BATS–2015–57).
4 Amendment No. 1 amended and replaced the
original proposal in its entirety.
5 See Securities Exchange Act Release No. 76470
(November 18, 2015), 80 FR 73247 (‘‘Notice’’).
6 See letters from: R.T. Leuchtkafer to Brent J.
Fields, Secretary, Commission, dated December, 14,
2015; Rick A. Fleming, Investor Advocate,
Commission, to U.S. Securities and Exchange
Commission, dated December 15, 2015; Samuel F.
Lek, Chief Executive Officer, Lek Securities
Corporation, dated December 28, 2015; G.T.
Spaulding to Brent J. Fields, Secretary,
Commission, dated December, 28, 2015.
7 15 U.S.C. 78s(b)(2).
8 Id.
9 17 CFR 200.30–3(a)(31).
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For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.9
Robert W. Errett,
Deputy Secretary.
[FR Doc. 2016–00336 Filed 1–11–16; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–76848/January 7, 2016]
Order Making Fiscal Year 2016 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
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
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December 18, 2015, the President signed
the ‘‘Consolidated Appropriations Act,
2016’’, providing $1,605,000,000 in
funds to the SEC for fiscal year 2016.
II. Fiscal Year 2016 Annual Adjustment
to the Fee Rate
The new fee rate is determined by (1)
subtracting the sum of fees estimated to
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 2016 8 from an amount
equal to the regular appropriation to the
Commission for fiscal year 2016, and (2)
dividing by the estimated aggregate
dollar amount of sales for the remainder
of the fiscal year following the effective
date of the new fee rate.9
The regular appropriation to the
Commission for fiscal year 2016 is
$1,605,000,000. The Commission
estimates that it will collect
$502,582,684 in fees for the period prior
to the effective date of the new fee rate
and $35,649 in assessments on round
turn transactions in security futures
products during all of fiscal year 2016.
Using a new methodology described
below, the Commission estimates that
the aggregate dollar amount of covered
sales for the remainder of fiscal year
2016 to be $50,672,728,301,509.
The uniform adjusted rate is
computed by dividing the residual fees
to be collected of $1,102,381,667 by the
estimate of the aggregate dollar amount
of covered sales for the remainder of
fiscal year 2016 of $50,672,728,301,509;
this results in a uniform adjusted rate
for fiscal year 2016 of $21.80 per
million.10
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 November, 2015. To calculate the dollar
amount of covered sales from December, 2015 to the
effective date of the new fee rate, the Commission
is using the new methodology described in Section
IV of this order.
8 The Commission is using the same methodology
it has used previously to estimate assessments on
security futures transactions to be collected in fiscal
year 2016. An explanation of the methodology
appears in Appendix A.
9 To estimate the aggregate dollar amount of
covered sales for the remainder of fiscal year 2016
following the effective date of the new fee rate, the
Commission is using the new methodology
referenced above, and described in Section IV of
this order.
10 Appendix A shows the process of calculating
the fiscal year 2016 annual adjustment. The
appendix also includes the data used by the
Commission in making this adjustment.
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V. 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 $21.80 per
$1,000,000 effective on February 16,
2016.
By the Commission.
Brent J. Fields,
Secretary.
tkelley on DSK3SPTVN1PROD with NOTICES
Appendix A
This appendix provides the methodology
for determining the annual adjustment to the
fee rates applicable under Sections 31(b) and
(c) of the Exchange Act for fiscal year 2016.
Section 31 of the Exchange Act requires the
fee rates to be adjusted so that it is reasonably
11 15
12 15
U.S.C. 78ee(j)(4)(A).
U.S.C. 78ee(j)(1).
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A. Baseline estimate of the aggregate dollar
amount of covered sales for fiscal year 2016.
First, calculate the average daily dollar
amount of covered sales (ADS) for each
month in the sample (October, 2005–
November, 2015). The monthly total dollar
amount of covered sales (exchange plus
certain over-the-counter markets) is
presented in column C of Table A.
Next, model the monthly change in the
natural logarithm of ADS as a first order
autoregressive process (‘‘AR(1)’’), including
monthly indicator variables to control for
seasonality.
Use the estimated AR(1) model to forecast
the monthly change in the log level of ADS.
These percent changes can then be applied
to obtain forecasts of the total dollar volume
of covered sales. The following is a more
formal (mathematical) description of the
procedure:
1. Begin with the monthly data for total
dollar volume of covered sales (column C).
The sample spans ten years, from October,
2005–November, 2015.14 Divide each
month’s total dollar volume by the number
of trading days in that month (column B) to
13 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 December 18, 2015. The first business
day after this date was December 21, 2015. Data for
November, 2015 were due from the exchanges on
December 14, 2015, so the Commission used
November 2015 and earlier data to forecast volume
for December, 2015 later months.
14 Because the model uses a one period lag in the
change in the log level of average daily sales, two
additional months of data are added to the table so
that the model is estimated with 120 observations.
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obtain the average daily dollar volume (ADS,
column D).
2. For each month t, calculate D LN ADS
(shown in column E) as the log growth rate
of ADS, that is, the difference between the
natural logarithm of ADS in month t and its
value in the prior month.
3. Estimate the AR(1) model
with Dmt representing monthly indicator
variables, Yt representing the log growth rate
in ADS (D LS ADS), and et representing the
error term for month t. The model can be
estimated using standard commercially
available software. The estimated parameter
√
√
√
values are b = ¥0.2671 and a ¥ a12 as
follows:
√
√
√
a1 (JAN) = 0.0854, a2 (FEB) = 0.0425, a3
√
√
(MAR) = 0.0124, a4 (APR) = ¥0.0466, a5
√
√
(MAY) = 0.0501, a6 (JUN) = 0.0031, a7
√
√
(JUL) = ¥0.0482, a8 (AUG) = ¥0.0004, a9
√
√
(SEP) = 0.0335, a10 (OCT) = 0.0614, a11
√
(NOV) = ¥0.0296, a12 (DEC) = ¥0.0801.
The root-mean squared error (RMSE) of
the regression is 0.1140.
4. For the first month calculate the
forecasted value of the log growth rate of
ADS as
For the next month use the forecasted
value of the log growth rate of the first month
to calculate the forecast of the next month.
This process iterates until a forecast is
generated for all remaining months in the
fiscal year. These data appear in column F.
5. Assuming that the regression error in the
AR(1) model is normally distributed, the
expected percentage change in average daily
dollar volume from month t – 1 to month t
is then given by the expression
where s denotes the root mean squared error
of the regression (RMSE).
6. For instance, for December 2015, using
√
√
the b parameter and the a12 parameter (for
December) above, and the change in the loglevel ADS from November, 2015, we can
estimate the change in the log growth in
√
√
average daily sales as b g Nov + a Dec =
((¥0.2671 ×¥0.02892) ¥0.0801) = ¥0.0724.
This represents the estimated change in log
average daily dollar volume for December
2015 relative to November 2015. To estimate
the percent change in average daily sales
from November, 2015 to December, 2015, use
the formula shown in Step 5, above: exp
(¥0.0724 + 1⁄2 0.11402) = ¥0.0638. Apply
this estimated percent change in ADS to the
ADS for November, 2015 to estimate the ADS
for December, 2015 as $291,167,469,596 ×
(1¥0.0638) = $272,602,991,941. Multiply
this by the 22 trading days in December 2015
to obtain a total dollar volume forecast of
$5,997,265,822,693.
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EN12JA16.001</GPH> EN12JA16.002</GPH>
IV. New Methodology for the Baseline
Estimate of the Aggregate Dollar
Volume of Covered Sales
The methodology used to generate the
baseline estimate of the aggregate dollar
amount of covered sales is required to
be developed by the Commission in
consultation with the Congressional
Budget Office (‘‘CBO’’) and the Office of
Management and Budget (‘‘OMB’’).12
The Commission recently completed a
comprehensive review of the
methodology and determined that
modifications to the methodology
would improve the accuracy of the
estimates. The Commission consulted
with CBO and OMB regarding the
modifications to the methodology, as
required under Section 31 of the
Exchange Act. Consequently, the
Commission has adopted the new
methodology to generate the baseline
estimate of the aggregate dollar volume
of covered sales, which is used to
determine the new fee rates. The
methodology is explained in Appendix
A attached to this order.
likely that the Commission will collect
aggregate fees equal to its regular
appropriation for fiscal year 2016.
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 2016
(less the sum of fees to be collected during
fiscal year 2016 prior to the effective date of
the new fee rate and aggregate assessments
on security futures transactions during all of
fiscal year 2016) 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 2016, 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
November 2015, the last month for which the
Commission has data on the dollar volume of
covered sales.13
The following sections describe this
process in detail.
EN12JA16.000</GPH>
III. Effective Date of the Uniform
Adjusted Rate
Under Section 31(j)(4)(A) of the
Exchange Act, the fiscal year 2016
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, 2015, or 60 days
after the date on which a regular
appropriation to the Commission for
fiscal year 2016 is enacted.11 The
regular appropriation to the
Commission for fiscal year 2016 was
enacted on December 18, 2015, and
accordingly, the new fee rates
applicable under Sections 31(b) and (c)
of the Exchange Act will take effect on
February 16, 2016.
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Federal Register / Vol. 81, No. 7 / Tuesday, January 12, 2016 / Notices
7. For January 2016, proceed in a similar
fashion. Using the estimates for December,
√
√
2015 along with the b parameter and the a 1
parameter (for January) to generate a forecast
for the one-month change in the log level of
average daily sales. Convert the estimated log
change in average daily sales to estimated
percent change in ADS as in step 6, above to
obtain a forecast ADS of $304,668,090,424.
Multiply this figure by the 19 trading days in
January 2016 to obtain a total dollar volume
forecast of $5,788,693,718,050.
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 10/1/15 through 2/15/16. The
projected aggregate dollar amount of covered
sales for this period is $27,314,276,282,567.
Actual and projected fee collections at the
current fee rate of $18.40 per million are
$502,582,684.
2. Estimate the amount of assessments on
security futures products collected from 10/
1/15 through 9/30/16. First, calculate the
average and the standard deviation of the
change in log average daily sales, in column
E. The average is 0.005148 and the standard
deviation is 0.12233. These are used to
estimate an average growth rate in ADS using
the formula exp (0.005148 + 1⁄2 0.122332)¥1.
This results in an average monthly increase
of 1.271%. Apply this monthly increase to
the last month for which single stock futures’
assessments are available, which was
$2,828.72, for November, 2015. Estimate all
subsequent months in fiscal year 2016 by
applying the growth rate to the previously
estimated monthly value, and sum the
results. This totals $35,649 for the entire
fiscal year.
3. Subtract the amounts $502,582,684 and
$35,649 from the target offsetting collection
amount set by Congress of $1,605,000,000
leaving $1,102,381,667 to be collected on
dollar volume for the period 2/16/2016
through 9/30/2016.
4. Use Table A to estimate dollar volume
for the period 2/16/2016 through 9/30/2016.
The estimate is $50,672,728,301,509. Finally,
compute the fee rate required to produce the
additional $1,102,381,667 in revenue. This
rate is $1,102,381,667 divided by
$50,672,728,301,509 or 0.00002175493.
5. Round the result to the seventh decimal
point, yielding a rate of 0.0000218 (or $21.80
per million).
TABLE A—BASELINE ESTIMATE OF THE AGGREGATE DOLLAR AMOUNT OF SALES
Fee rate calculation
a. Baseline estimate of the aggregate dollar amount of sales, 10/01/2015 to 01/31/2016 ($Millions) ........................................
b. Baseline estimate of the aggregate dollar amount of sales, 02/01/2016 to 02/15/2016 ($Millions) ........................................
c. Baseline estimate of the aggregate dollar amount of sales, 02/16/2016 to 02/29/2016 ($Millions) ........................................
d. Baseline estimate of the aggregate dollar amount of sales, 03/01/2015 to 09/30/2016 ($Millions) ........................................
e. Estimated collections in assessments on security features products in fiscal year 2016 ($Millions) ......................................
f. Implied fee rate (($1,605,000,000¥$18.40 * (a + b)¥e) / (c + d) ............................................................................................
24,202,962
3,111,314
3,111,314
47,561,414
0.036
$21.80
(B)
(C)
(D)
(E)
(F)
(G)
(H)
Month
tkelley on DSK3SPTVN1PROD with NOTICES
(A)
# of
Trading
days in
month
Total dollar
amount of sales
Average daily
dollar amount
of sales
(ADS)
D LN
ADS
Forecast
D LN ADS
Forecast
average daily
dollar amount
of sales
Forecast total
dollar amount
of sales
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
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
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
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
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 .......
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 ......
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¥0.03613
¥0.02342
0.19406
¥0.02398
¥0.05219
0.03491
0.10906
¥0.05155
¥0.08389
¥0.11886
0.13895
0.06004
0.03474
¥0.00831
0.13779
¥0.02601
0.13778
¥0.10927
0.09535
0.12347
0.06110
0.17059
¥0.28214
0.11090
0.19001
¥0.21490
0.32322
¥0.21563
0.09751
¥0.19104
0.03510
0.13546
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¥0.23659
0.28959
¥0.03292
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(B)
(C)
(D)
(E)
(F)
(G)
(H)
Month
tkelley on DSK3SPTVN1PROD with NOTICES
(A)
# of
Trading
days in
month
Total dollar
amount of sales
Average daily
dollar amount
of sales
(ADS)
D LN
ADS
Forecast
D LN ADS
Forecast
average daily
dollar amount
of sales
Forecast total
dollar amount
of sales
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
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
5,265,282,994,173
5,808,700,114,288
6,018,926,931,054
6,068,617,342,988
6,013,948,953,528
5,265,594,447,318
5,159,506,989,669
5,364,099,567,460
5,075,332,147,677
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
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
250,727,761,627
276,604,767,347
316,785,627,950
288,981,778,238
286,378,521,597
250,742,592,729
245,690,809,032
243,822,707,612
241,682,483,223
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 ......
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Apr-10 ......
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Jul-10 .......
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Sep-10 ......
Oct-10 ......
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Mar-11 ......
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May-11 .....
Jun-11 ......
Jul-11 .......
Aug-11 ......
Sep-11 ......
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Feb-12 ......
Mar-12 ......
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May-12 .....
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Dec-12 ......
Jan-13 ......
Feb-13 ......
Mar-13 ......
Apr-13 ......
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 ......
VerDate Sep<11>2014
19
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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
22
20
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22
20
23
20
21
21
19
21
21
21
21
22
21
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¥0.22051
¥0.24793
¥0.00752
0.07274
0.06325
¥0.09212
0.04155
0.05958
¥0.12343
0.02975
0.07301
0.04657
¥0.03040
¥0.11273
0.14088
0.06399
¥0.07821
0.08790
0.31807
¥0.26541
¥0.14480
¥0.10607
0.01992
0.10187
0.02713
¥0.10124
0.10424
0.06532
0.04854
¥0.12732
0.09020
¥0.02881
¥0.01933
0.37925
¥0.22727
¥0.02884
¥0.11497
¥0.09063
¥0.01103
0.05862
0.02256
¥0.00822
0.00339
¥0.04480
¥0.11455
¥0.07920
0.18604
0.00248
¥0.11363
0.09120
0.01937
0.04360
¥0.02721
0.00771
0.04140
0.08501
0.19620
0.03162
0.10211
0.03882
0.00514
¥0.03285
0.09822
0.13564
¥0.09186
¥0.00905
¥0.13289
-0.02035
¥0.00763
¥0.00882
Sfmt 4703
E:\FR\FM\12JAN1.SGM
12JAN1
1462
Federal Register / Vol. 81, No. 7 / Tuesday, January 12, 2016 / Notices
(A)
(B)
(C)
(D)
(E)
(F)
(G)
(H)
Month
# of
Trading
days in
month
Total dollar
amount of sales
Average daily
dollar amount
of sales
(ADS)
D LN
ADS
Forecast
D LN ADS
Forecast
average daily
dollar amount
of sales
Forecast total
dollar amount
of sales
21
23
19
22
20
19
22
21
20
22
22
21
21
22
20
22
19
20
22
21
21
22
20
23
21
5,507,943,363,243
7,796,638,035,879
5,340,847,027,697
6,559,110,068,128
6,185,619,541,044
5,723,523,235,641
6,395,046,297,249
5,625,548,298,004
5,521,351,972,386
6,005,521,460,806
6,493,670,315,390
6,963,901,249,270
6,440,925,545,396
6,593,653,094,211
5,823,349,391,916
....................................
....................................
....................................
....................................
....................................
....................................
....................................
....................................
....................................
....................................
262,283,017,297
338,984,262,430
281,097,211,984
298,141,366,733
309,280,977,052
301,238,065,034
290,683,922,602
267,883,252,286
276,067,598,619
272,978,248,218
295,166,832,518
331,614,345,203
306,710,740,257
299,711,504,282
291,167,469,596
................................
................................
................................
................................
................................
................................
................................
................................
................................
................................
0.08180
0.25653
¥0.18725
0.05887
0.03668
¥0.02635
¥0.03566
¥0.08169
0.03009
¥0.01125
0.07815
0.11643
¥0.07807
¥0.02308
¥0.02892
..................
..................
..................
..................
..................
..................
..................
..................
..................
..................
272,602,991,941
304,668,090,424
311,131,425,570
315,842,407,146
302,748,113,304
324,581,761,754
322,226,038,253
310,203,769,953
315,832,901,491
327,702,320,832
5,997,265,822,693
5,788,693,718,050
6,222,628,511,396
6,948,532,957,222
6,357,710,379,390
6,816,216,996,826
7,088,972,841,563
6,204,075,399,062
7,264,156,734,284
6,881,748,737,465
20:14 Jan 11, 2016
Jkt 238001
Sep-14 ......
Oct-14 ......
Nov-14 ......
Dec-14 ......
Jan-15 ......
Feb-15 ......
Mar-15 ......
Apr-15 ......
May-15 .....
Jun-15 ......
Jul-15 .......
Aug-15 ......
Sep-15 ......
Oct-15 ......
Nov-15 ......
Dec-15 ......
Jan-16 ......
Feb-16 ......
Mar-16 ......
Apr-16 ......
May-16 .....
Jun-16 ......
Jul-16 .......
Aug-16 ......
Sep-16 ......
¥0.0724
0.1047
0.0145
0.0085
¥0.0488
0.0631
¥0.0138
¥0.0445
0.0115
0.0304
tkelley on DSK3SPTVN1PROD with NOTICES
BILLING CODE 8011–01–P
VerDate Sep<11>2014
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VerDate Sep<11>2014
Dollar Value,
$Billions
(Dashed Line Indicates Forecast Values)
Jkt 238001
$10,000
$9,000
PO 00000
$8,000
Frm 00078
$7,000
Fmt 4703
$6,000
I,
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~
It I
I II
A 1\
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$2,000
(.)
Q)
0
12JAN1
$1,000
$
Federal Register / Vol. 81, No. 7 / Tuesday, January 12, 2016 / Notices
20:14 Jan 11, 2016
Figure A.
Aggregate Dollar Amount of Sales Subject to Exchange Act Sections 31 (b) and 31 ( c) 1
Methodology Developed in Consultation With OMB and CBO
+---~~--~--~--~--~--~--~--~~--~--~--~--~--~--~~--~--~---r--~~
"" ~
"b ~
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1Forecasted line is not smooth because the number of trading days varies by month.
1463
EN12JA16.003</GPH>
1464
Federal Register / Vol. 81, No. 7 / Tuesday, January 12, 2016 / Notices
(Catalog of Federal Domestic Assistance
Numbers 59008)
[FR Doc. 2016–00406 Filed 1–11–16; 8:45 am]
BILLING CODE 8011–01–C
SMALL BUSINESS ADMINISTRATION
Jerome Edwards,
Acting Associate Administrator for Disaster
Assistance.
[Disaster Declaration #14579 and #14580]
[FR Doc. 2016–00357 Filed 1–11–16; 8:45 am]
Idaho Disaster #ID–00060
BILLING CODE 8025–01–P
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
20:14 Jan 11, 2016
2.625
Oklahoma Disaster #OK–00098
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008)
U.S. Small Business
Administration.
ACTION: Notice.
Jerome Edwards,
Acting Associate Administrator for Disaster
Assistance.
AGENCY:
This is a Notice of the
Presidential declaration of a major
disaster for Public Assistance Only for
the State of Oklahoma (FEMA–4247–
DR), dated 12/29/2015.
Incident: Severe winter storms and
flooding.
Incident Period: 11/27/2015 through
11/29/2015.
EFFECTIVE DATE: 12/29/2015.
Physical Loan Application Deadline
Date: 02/29/2016.
Economic Injury (EIDL) Loan
Application Deadline Date: 09/29/2016.
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
12/29/2015, 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.
The following areas have been
determined to be adversely affected by
Percent
the disaster:
Primary Counties:
Alfalfa, Beckham, Blaine, Caddo,
2.625
Canadian, Custer, Dewey, Ellis,
Grady, Grant, Kingfisher, Kiowa,
Logan, Major, Oklahoma, Roger
2.625
Mills, Washita, Woods.
The Interest Rates are:
SUMMARY:
2.625
The number assigned to this disaster
for physical damage is 14579B and for
economic injury is 14580B.
VerDate Sep<11>2014
2.625
[Disaster Declaration #14585 and #14586]
This is a Notice of the
Presidential declaration of a major
disaster for Public Assistance Only for
the State of Idaho (FEMA–4246–DR),
dated 12/23/2015.
Incident: Severe storms and straightline winds.
Incident Period: 11/17/2015.
Effective Date: 12/23/2015.
Physical Loan Application Deadline
Date: 02/22/2016.
Economic Injury (EIDL) Loan
Application Deadline Date: 09/23/2016.
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
12/23/2015, 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.
The following areas have been
determined to be adversely affected by
the disaster:
Primary Counties:
Benewah Bonner Boundary, Kootenai,
and the Coeur D’Alene Tribe.
The Interest Rates are:
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 ...................................
Non-Profit Organizations Without Credit Available Elsewhere .....................................
For Economic Injury:
Non-Profit
Organizations
Without Credit Available
Elsewhere ..........................
The number assigned to this disaster
for physical damage is 14585B and for
economic injury is 14586B.
SMALL BUSINESS ADMINISTRATION
SUMMARY:
tkelley on DSK3SPTVN1PROD with NOTICES
Percent
Jkt 238001
Percent
For Physical Damage:
Non-Profit Organizations With
Credit Available Elsewhere ...
PO 00000
Frm 00079
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2.625
[FR Doc. 2016–00360 Filed 1–11–16; 8:45 am]
BILLING CODE 8025–01–P
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #14587 and #14588]
Mississippi Disaster #MS–00082
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
This is a Notice of the
Presidential declaration of a major
disaster for the State of Mississippi
(FEMA—4248—DR), dated 01/04/2016.
Incident: Severe storms, tornadoes,
straight-line winds, and flooding.
Incident Period: 12/23/2015 through
12/28/2015.
Effective Date: 01/04/2016.
Physical Loan Application Deadline
Date: 03/04/2016.
Economic Injury (EIDL) Loan
Application Deadline Date: 10/04/2016.
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
01/04/2016, applications for disaster
loans may be filed at the address listed
above or other locally announced
locations.
The following areas have been
determined to be adversely affected by
the disaster:
Primary Counties (Physical Damage and
Economic Injury Loans): Benton,
Coahoma, Marshall. Quitman,
Tippah,
SUMMARY:
E:\FR\FM\12JAN1.SGM
12JAN1
]]>Agencies
[Federal Register Volume 81, Number 7 (Tuesday, January 12, 2016)]
[Notices]
[Pages 1458-1464]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-00406]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-76848/January 7, 2016]
Order Making Fiscal Year 2016 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 December 18, 2015, the President signed the
``Consolidated Appropriations Act, 2016'', providing $1,605,000,000 in
funds to the SEC for fiscal year 2016.
---------------------------------------------------------------------------
\6\ 15 U.S.C. 78ee(g).
---------------------------------------------------------------------------
II. Fiscal Year 2016 Annual Adjustment to the Fee Rate
The new fee rate is determined by (1) subtracting the sum of fees
estimated to 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 2016 \8\ from an amount equal to the regular appropriation to the
Commission for fiscal year 2016, and (2) dividing by the estimated
aggregate dollar amount of sales for the remainder of the fiscal year
following the effective date of the new fee rate.\9\
---------------------------------------------------------------------------
\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 November, 2015. To calculate
the dollar amount of covered sales from December, 2015 to the
effective date of the new fee rate, the Commission is using the new
methodology described in Section IV of this order.
\8\ The Commission is using the same methodology it has used
previously to estimate assessments on security futures transactions
to be collected in fiscal year 2016. An explanation of the
methodology appears in Appendix A.
\9\ To estimate the aggregate dollar amount of covered sales for
the remainder of fiscal year 2016 following the effective date of
the new fee rate, the Commission is using the new methodology
referenced above, and described in Section IV of this order.
---------------------------------------------------------------------------
The regular appropriation to the Commission for fiscal year 2016 is
$1,605,000,000. The Commission estimates that it will collect
$502,582,684 in fees for the period prior to the effective date of the
new fee rate and $35,649 in assessments on round turn transactions in
security futures products during all of fiscal year 2016. Using a new
methodology described below, the Commission estimates that the
aggregate dollar amount of covered sales for the remainder of fiscal
year 2016 to be $50,672,728,301,509.
The uniform adjusted rate is computed by dividing the residual fees
to be collected of $1,102,381,667 by the estimate of the aggregate
dollar amount of covered sales for the remainder of fiscal year 2016 of
$50,672,728,301,509; this results in a uniform adjusted rate for fiscal
year 2016 of $21.80 per million.\10\
---------------------------------------------------------------------------
\10\ Appendix A shows the process of calculating the fiscal year
2016 annual adjustment. The appendix also includes the data used by
the Commission in making this adjustment.
---------------------------------------------------------------------------
[[Page 1459]]
III. Effective Date of the Uniform Adjusted Rate
Under Section 31(j)(4)(A) of the Exchange Act, the fiscal year 2016
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,
2015, or 60 days after the date on which a regular appropriation to the
Commission for fiscal year 2016 is enacted.\11\ The regular
appropriation to the Commission for fiscal year 2016 was enacted on
December 18, 2015, and accordingly, the new fee rates applicable under
Sections 31(b) and (c) of the Exchange Act will take effect on February
16, 2016.
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78ee(j)(4)(A).
---------------------------------------------------------------------------
IV. New Methodology for the Baseline Estimate of the Aggregate Dollar
Volume of Covered Sales
The methodology used to generate the baseline estimate of the
aggregate dollar amount of covered sales is required to be developed by
the Commission in consultation with the Congressional Budget Office
(``CBO'') and the Office of Management and Budget (``OMB'').\12\ The
Commission recently completed a comprehensive review of the methodology
and determined that modifications to the methodology would improve the
accuracy of the estimates. The Commission consulted with CBO and OMB
regarding the modifications to the methodology, as required under
Section 31 of the Exchange Act. Consequently, the Commission has
adopted the new methodology to generate the baseline estimate of the
aggregate dollar volume of covered sales, which is used to determine
the new fee rates. The methodology is explained in Appendix A attached
to this order.
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78ee(j)(1).
---------------------------------------------------------------------------
V. 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 $21.80 per $1,000,000
effective on February 16, 2016.
By the Commission.
Brent J. Fields,
Secretary.
Appendix A
This appendix provides the methodology for determining the
annual adjustment to the fee rates applicable under Sections 31(b)
and (c) of the Exchange Act for fiscal year 2016. 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 2016.
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 2016 (less the
sum of fees to be collected during fiscal year 2016 prior to the
effective date of the new fee rate and aggregate assessments on
security futures transactions during all of fiscal year 2016) 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 2016, 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 November 2015,
the last month for which the Commission has data on the dollar
volume of covered sales.\13\
---------------------------------------------------------------------------
\13\ 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 December 18, 2015. The first business
day after this date was December 21, 2015. Data for November, 2015
were due from the exchanges on December 14, 2015, so the Commission
used November 2015 and earlier data to forecast volume for December,
2015 later months.
---------------------------------------------------------------------------
The following sections describe this process in detail.
A. Baseline estimate of the aggregate dollar amount of covered sales
for fiscal year 2016.
First, calculate the average daily dollar amount of covered
sales (ADS) for each month in the sample (October, 2005-November,
2015). The monthly total dollar amount of covered sales (exchange
plus certain over-the-counter markets) is presented in column C of
Table A.
Next, model the monthly change in the natural logarithm of ADS
as a first order autoregressive process (``AR(1)''), including
monthly indicator variables to control for seasonality.
Use the estimated AR(1) model to forecast the monthly change in
the log level of ADS. These percent changes can then be applied to
obtain forecasts of the total dollar volume of covered sales. The
following is a more formal (mathematical) description of the
procedure:
1. Begin with the monthly data for total dollar volume of
covered sales (column C). The sample spans ten years, from October,
2005-November, 2015.\14\ Divide each month's total dollar volume by
the number of trading days in that month (column B) to obtain the
average daily dollar volume (ADS, column D).
---------------------------------------------------------------------------
\14\ Because the model uses a one period lag in the change in
the log level of average daily sales, two additional months of data
are added to the table so that the model is estimated with 120
observations.
---------------------------------------------------------------------------
2. For each month t, calculate [Delta] LN ADS (shown in column
E) as the log growth rate of ADS, that is, the difference between
the natural logarithm of ADS in month t and its value in the prior
month.
3. Estimate the AR(1) model
[GRAPHIC] [TIFF OMITTED] TN12JA16.000
with Dmt representing monthly indicator variables, Yt representing
the log growth rate in ADS ([Delta] LS ADS), and [egr]t
representing the error term for month t. The model can be estimated
using standard commercially available software. The estimated
parameter values are [beta] = -0.2671 and [alpha] -
[alpha]12 as follows:
[alpha]1 (JAN) = 0.0854, [alpha]2 (FEB) =
0.0425, [alpha]3 (MAR) = 0.0124, [alpha]4
(APR) = -0.0466, [alpha]5 (MAY) = 0.0501,
[alpha]6 (JUN) = 0.0031, [alpha]7 (JUL) =
-0.0482, [alpha]8 (AUG) = -0.0004,
[alpha]9 (SEP) = 0.0335, [alpha]10 (OCT) =
0.0614, [alpha]11 (NOV) = -0.0296,
[alpha]12 (DEC) = -0.0801. The root-mean
squared error (RMSE) of the regression is 0.1140.
4. For the first month calculate the forecasted value of the log
growth rate of ADS as
[GRAPHIC] [TIFF OMITTED] TN12JA16.001
For the next month use the forecasted value of the log growth
rate of the first month to calculate the forecast of the next month.
This process iterates until a forecast is generated for all
remaining months in the fiscal year. These data appear in column F.
5. Assuming that the regression error in the AR(1) model is
normally distributed, the expected percentage change in average
daily dollar volume from month t - 1 to month t is then given by the
expression
[GRAPHIC] [TIFF OMITTED] TN12JA16.002
where [sgr] denotes the root mean squared error of the regression
(RMSE).
6. For instance, for December 2015, using the [beta] parameter
and the [alpha]12 parameter (for December) above, and the
change in the log-level ADS from November, 2015, we can estimate the
change in the log growth in average daily sales as
[beta][hairsp][gamma][hairsp]Nov +
[alpha][hairsp]Dec = ((-0.2671 x-0.02892) -0.0801) = -
0.0724. This represents the estimated change in log average daily
dollar volume for December 2015 relative to November 2015. To
estimate the percent change in average daily sales from November,
2015 to December, 2015, use the formula shown in Step 5, above: exp
(-0.0724 + \1/2\[hairsp]0.11402) = -0.0638. Apply this
estimated percent change in ADS to the ADS for November, 2015 to
estimate the ADS for December, 2015 as $291,167,469,596 x (1-0.0638)
= $272,602,991,941. Multiply this by the 22 trading days in December
2015 to obtain a total dollar volume forecast of $5,997,265,822,693.
[[Page 1460]]
7. For January 2016, proceed in a similar fashion. Using the
estimates for December, 2015 along with the [beta] parameter and the
[alpha][hairsp]1 parameter (for January) to generate a
forecast for the one-month change in the log level of average daily
sales. Convert the estimated log change in average daily sales to
estimated percent change in ADS as in step 6, above to obtain a
forecast ADS of $304,668,090,424. Multiply this figure by the 19
trading days in January 2016 to obtain a total dollar volume
forecast of $5,788,693,718,050.
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 10/1/15
through 2/15/16. The projected aggregate dollar amount of covered
sales for this period is $27,314,276,282,567. Actual and projected
fee collections at the current fee rate of $18.40 per million are
$502,582,684.
2. Estimate the amount of assessments on security futures
products collected from 10/1/15 through 9/30/16. First, calculate
the average and the standard deviation of the change in log average
daily sales, in column E. The average is 0.005148 and the standard
deviation is 0.12233. These are used to estimate an average growth
rate in ADS using the formula exp (0.005148 + \1/
2\[hairsp]0.122332)-1. This results in an average monthly
increase of 1.271%. Apply this monthly increase to the last month
for which single stock futures' assessments are available, which was
$2,828.72, for November, 2015. Estimate all subsequent months in
fiscal year 2016 by applying the growth rate to the previously
estimated monthly value, and sum the results. This totals $35,649
for the entire fiscal year.
3. Subtract the amounts $502,582,684 and $35,649 from the target
offsetting collection amount set by Congress of $1,605,000,000
leaving $1,102,381,667 to be collected on dollar volume for the
period 2/16/2016 through 9/30/2016.
4. Use Table A to estimate dollar volume for the period 2/16/
2016 through 9/30/2016. The estimate is $50,672,728,301,509.
Finally, compute the fee rate required to produce the additional
$1,102,381,667 in revenue. This rate is $1,102,381,667 divided by
$50,672,728,301,509 or 0.00002175493.
5. Round the result to the seventh decimal point, yielding a
rate of 0.0000218 (or $21.80 per million).
Table A--Baseline Estimate of the Aggregate Dollar Amount of Sales
------------------------------------------------------------------------
Fee rate calculation
------------------------------------------------------------------------
a. Baseline estimate of the aggregate dollar amount 24,202,962
of sales, 10/01/2015 to 01/31/2016 ($Millions)......
b. Baseline estimate of the aggregate dollar amount 3,111,314
of sales, 02/01/2016 to 02/15/2016 ($Millions)......
c. Baseline estimate of the aggregate dollar amount 3,111,314
of sales, 02/16/2016 to 02/29/2016 ($Millions)......
d. Baseline estimate of the aggregate dollar amount 47,561,414
of sales, 03/01/2015 to 09/30/2016 ($Millions)......
e. Estimated collections in assessments on security 0.036
features products in fiscal year 2016 ($Millions)...
f. Implied fee rate (($1,605,000,000-$18.40 * (a + b)- $21.80
e) / (c + d)........................................
------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------------------------------
(A) (B) (C) (D) (E) (F) (G) (H)
--------------------------------------------------------------------------------------------------------------------------------------------------------
# of
Trading Total dollar amount Average daily [Delta] LN Forecast Forecast average Forecast total
Month days in of sales dollar amount of ADS [Delta] LN daily dollar dollar amount of
month sales (ADS) ADS amount of sales sales
--------------------------------------------------------------------------------------------------------------------------------------------------------
Oct-05........................... 21 3,279,847,331,057 156,183,206,241 #N/A
Nov-05........................... 21 3,163,453,821,548 150,640,658,169 -0.03613
Dec-05........................... 21 3,090,212,715,561 147,152,986,455 -0.02342
Jan-06........................... 20 3,573,372,724,766 178,668,636,238 0.19406
Feb-06........................... 19 3,314,259,849,456 174,434,728,919 -0.02398
Mar-06........................... 23 3,807,974,821,564 165,564,122,677 -0.05219
Apr-06........................... 19 3,257,478,138,851 171,446,217,834 0.03491
May-06........................... 22 4,206,447,844,451 191,202,174,748 0.10906
Jun-06........................... 22 3,995,113,357,316 181,596,061,696 -0.05155
Jul-06........................... 20 3,339,658,009,357 166,982,900,468 -0.08389
Aug-06........................... 23 3,410,187,280,845 148,269,012,211 -0.11886
Sep-06........................... 20 3,407,409,863,673 170,370,493,184 0.13895
Oct-06........................... 22 3,980,070,216,912 180,912,282,587 0.06004
Nov-06........................... 21 3,933,474,986,969 187,308,332,713 0.03474
Dec-06........................... 20 3,715,146,848,695 185,757,342,435 -0.00831
Jan-07........................... 20 4,263,986,570,973 213,199,328,549 0.13779
Feb-07........................... 19 3,946,799,860,532 207,726,308,449 -0.02601
Mar-07........................... 22 5,245,051,744,090 238,411,442,913 0.13778
Apr-07........................... 20 4,274,665,072,437 213,733,253,622 -0.10927
May-07........................... 22 5,172,568,357,522 235,116,743,524 0.09535
Jun-07........................... 21 5,586,337,010,802 266,016,048,133 0.12347
Jul-07........................... 21 5,938,330,480,139 282,777,641,911 0.06110
Aug-07........................... 23 7,713,644,229,032 335,375,836,045 0.17059
Sep-07........................... 19 4,805,676,596,099 252,930,347,163 -0.28214
Oct-07........................... 23 6,499,651,716,225 282,593,552,879 0.11090
Nov-07........................... 21 7,176,290,763,989 341,728,131,619 0.19001
Dec-07........................... 20 5,512,903,594,564 275,645,179,728 -0.21490
Jan-08........................... 21 7,997,242,071,529 380,821,051,025 0.32322
Feb-08........................... 20 6,139,080,448,887 306,954,022,444 -0.21563
Mar-08........................... 20 6,767,852,332,381 338,392,616,619 0.09751
Apr-08........................... 22 6,150,017,772,735 279,546,262,397 -0.19104
May-08........................... 21 6,080,169,766,807 289,531,893,657 0.03510
Jun-08........................... 21 6,962,199,302,412 331,533,300,115 0.13546
Jul-08........................... 22 8,104,256,787,805 368,375,308,537 0.10537
Aug-08........................... 21 6,106,057,711,009 290,764,652,905 -0.23659
Sep-08........................... 21 8,156,991,919,103 388,428,186,624 0.28959
Oct-08........................... 23 8,644,538,213,244 375,849,487,532 -0.03292
[[Page 1461]]
Nov-08........................... 19 5,727,998,341,833 301,473,596,939 -0.22051
Dec-08........................... 22 5,176,041,317,640 235,274,605,347 -0.24793
Jan-09........................... 20 4,670,249,433,806 233,512,471,690 -0.00752
Feb-09........................... 19 4,771,470,184,048 251,130,009,687 0.07274
Mar-09........................... 22 5,885,594,284,780 267,527,012,945 0.06325
Apr-09........................... 21 5,123,665,205,517 243,984,057,406 -0.09212
May-09........................... 20 5,086,717,129,965 254,335,856,498 0.04155
Jun-09........................... 22 5,271,742,782,609 239,624,671,937 0.05958
Jul-09........................... 22 4,659,599,245,583 211,799,965,708 -0.12343
Aug-09........................... 21 4,582,102,295,783 218,195,347,418 0.02975
Sep-09........................... 21 4,929,155,364,888 234,721,684,042 0.07301
Oct-09........................... 22 5,410,025,301,030 245,910,240,956 0.04657
Nov-09........................... 20 4,770,928,103,032 238,546,405,152 -0.03040
Dec-09........................... 22 4,688,555,303,171 213,116,150,144 -0.11273
Jan-10........................... 19 4,661,793,708,648 245,357,563,613 0.14088
Feb-10........................... 19 4,969,848,578,023 261,570,977,791 0.06399
Mar-10........................... 23 5,563,529,823,621 241,892,601,027 -0.07821
Apr-10........................... 21 5,546,445,874,917 264,116,470,234 0.08790
May-10........................... 20 7,260,430,376,294 363,021,518,815 0.31807
Jun-10........................... 22 6,124,776,349,285 278,398,924,967 -0.26541
Jul-10........................... 21 5,058,242,097,334 240,868,671,302 -0.14480
Aug-10........................... 22 4,765,828,263,463 216,628,557,430 -0.10607
Sep-10........................... 21 4,640,722,344,586 220,986,778,314 0.01992
Oct-10........................... 21 5,138,411,712,272 244,686,272,013 0.10187
Nov-10........................... 21 5,279,700,881,901 251,414,327,710 0.02713
Dec-10........................... 22 4,998,574,681,208 227,207,940,055 -0.10124
Jan-11........................... 20 5,043,391,121,345 252,169,556,067 0.10424
Feb-11........................... 19 5,114,631,590,581 269,191,136,346 0.06532
Mar-11........................... 23 6,499,355,385,307 282,580,668,926 0.04854
Apr-11........................... 20 4,975,954,868,765 248,797,743,438 -0.12732
May-11........................... 21 5,717,905,621,053 272,281,220,050 0.09020
Jun-11........................... 22 5,820,079,494,414 264,549,067,928 -0.02881
Jul-11........................... 20 5,189,681,899,635 259,484,094,982 -0.01933
Aug-11........................... 23 8,720,566,877,109 379,155,081,613 0.37925
Sep-11........................... 21 6,343,578,147,811 302,075,149,896 -0.22727
Oct-11........................... 21 6,163,272,963,688 293,489,188,747 -0.02884
Nov-11........................... 21 5,493,906,473,584 261,614,593,980 -0.11497
Dec-11........................... 21 5,017,867,255,600 238,946,059,790 -0.09063
Jan-12........................... 20 4,726,522,206,487 236,326,110,324 -0.01103
Feb-12........................... 20 5,011,862,514,132 250,593,125,707 0.05862
Mar-12........................... 22 5,638,847,967,025 256,311,271,228 0.02256
Apr-12........................... 20 5,084,239,396,560 254,211,969,828 -0.00822
May-12........................... 22 5,611,638,053,374 255,074,456,972 0.00339
Jun-12........................... 21 5,121,896,896,362 243,899,852,208 -0.04480
Jul-12........................... 21 4,567,519,314,374 217,500,919,732 -0.11455
Aug-12........................... 23 4,621,597,884,730 200,939,038,467 -0.07920
Sep-12........................... 19 4,598,499,962,682 242,026,313,825 0.18604
Oct-12........................... 21 5,095,175,588,310 242,627,408,967 0.00248
Nov-12........................... 21 4,547,882,974,292 216,565,855,919 -0.11363
Dec-12........................... 20 4,744,922,754,360 237,246,137,718 0.09120
Jan-13........................... 21 5,079,603,817,496 241,885,896,071 0.01937
Feb-13........................... 19 4,800,663,527,089 252,666,501,426 0.04360
Mar-13........................... 20 4,917,701,839,870 245,885,091,993 -0.02721
Apr-13........................... 22 5,451,358,637,079 247,789,028,958 0.00771
May-13........................... 22 5,681,788,831,869 258,263,128,721 0.04140
Jun-13........................... 20 5,623,545,462,226 281,177,273,111 0.08501
Jul-13........................... 22 5,083,861,509,754 231,084,614,080 0.19620
Aug-13........................... 22 4,925,611,193,095 223,891,417,868 0.03162
Sep-13........................... 20 4,959,197,626,713 247,959,881,336 0.10211
Oct-13........................... 23 5,928,804,028,970 257,774,088,216 0.03882
Nov-13........................... 20 5,182,024,612,049 259,101,230,602 0.00514
Dec-13........................... 21 5,265,282,994,173 250,727,761,627 -0.03285
Jan-14........................... 21 5,808,700,114,288 276,604,767,347 0.09822
Feb-14........................... 19 6,018,926,931,054 316,785,627,950 0.13564
Mar-14........................... 21 6,068,617,342,988 288,981,778,238 -0.09186
Apr-14........................... 21 6,013,948,953,528 286,378,521,597 -0.00905
May-14........................... 21 5,265,594,447,318 250,742,592,729 -0.13289
Jun-14........................... 21 5,159,506,989,669 245,690,809,032 -0.02035
Jul-14........................... 22 5,364,099,567,460 243,822,707,612 -0.00763
Aug-14........................... 21 5,075,332,147,677 241,682,483,223 -0.00882
[[Page 1462]]
Sep-14........................... 21 5,507,943,363,243 262,283,017,297 0.08180
Oct-14........................... 23 7,796,638,035,879 338,984,262,430 0.25653
Nov-14........................... 19 5,340,847,027,697 281,097,211,984 -0.18725
Dec-14........................... 22 6,559,110,068,128 298,141,366,733 0.05887
Jan-15........................... 20 6,185,619,541,044 309,280,977,052 0.03668
Feb-15........................... 19 5,723,523,235,641 301,238,065,034 -0.02635
Mar-15........................... 22 6,395,046,297,249 290,683,922,602 -0.03566
Apr-15........................... 21 5,625,548,298,004 267,883,252,286 -0.08169
May-15........................... 20 5,521,351,972,386 276,067,598,619 0.03009
Jun-15........................... 22 6,005,521,460,806 272,978,248,218 -0.01125
Jul-15........................... 22 6,493,670,315,390 295,166,832,518 0.07815
Aug-15........................... 21 6,963,901,249,270 331,614,345,203 0.11643
Sep-15........................... 21 6,440,925,545,396 306,710,740,257 -0.07807
Oct-15........................... 22 6,593,653,094,211 299,711,504,282 -0.02308
Nov-15........................... 20 5,823,349,391,916 291,167,469,596 -0.02892
Dec-15........................... 22 .................... .................. .......... -0.0724 272,602,991,941 5,997,265,822,693
Jan-16........................... 19 .................... .................. .......... 0.1047 304,668,090,424 5,788,693,718,050
Feb-16........................... 20 .................... .................. .......... 0.0145 311,131,425,570 6,222,628,511,396
Mar-16........................... 22 .................... .................. .......... 0.0085 315,842,407,146 6,948,532,957,222
Apr-16........................... 21 .................... .................. .......... -0.0488 302,748,113,304 6,357,710,379,390
May-16........................... 21 .................... .................. .......... 0.0631 324,581,761,754 6,816,216,996,826
Jun-16........................... 22 .................... .................. .......... -0.0138 322,226,038,253 7,088,972,841,563
Jul-16........................... 20 .................... .................. .......... -0.0445 310,203,769,953 6,204,075,399,062
Aug-16........................... 23 .................... .................. .......... 0.0115 315,832,901,491 7,264,156,734,284
Sep-16........................... 21 .................... .................. .......... 0.0304 327,702,320,832 6,881,748,737,465
--------------------------------------------------------------------------------------------------------------------------------------------------------
BILLING CODE 8011-01-P
[[Page 1463]]
[GRAPHIC] [TIFF OMITTED] TN12JA16.003
[[Page 1464]]
[FR Doc. 2016-00406 Filed 1-11-16; 8:45 am]
BILLING CODE 8011-01-C
