Order Making Fiscal Year 2019 Annual Adjustments to Transaction Fee Rates, 9576-9582 [2019-04800]
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Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
instruments (‘‘Deposit Instruments’’),
and shareholders redeeming their shares
will receive specified instruments
(‘‘Redemption Instruments’’). The
Deposit Instruments and the
Redemption Instruments will each
correspond pro rata to the positions in
the Fund’s portfolio (including cash
positions) except as specified in the
application.
4. Because shares will not be
individually redeemable, applicants
request an exemption from section
5(a)(1) and section 2(a)(32) of the Act
that would permit the Funds to register
as open-end management investment
companies and issue shares that are
redeemable in Creation Units.
5. Applicants also request an
exemption from section 22(d) of the Act
and rule 22c–1 under the Act as
secondary market trading in shares will
take place at negotiated prices, not at a
current offering price described in a
Fund’s prospectus, and not at a price
based on NAV. Applicants state that (a)
secondary market trading in shares does
not involve a Fund as a party and will
not result in dilution of an investment
in shares, and (b) to the extent different
prices exist during a given trading day,
or from day to day, such variances occur
as a result of third-party market forces,
such as supply and demand. Therefore,
applicants assert that secondary market
transactions in shares will not lead to
discrimination or preferential treatment
among purchasers. Finally, applicants
represent that share market prices will
be disciplined by arbitrage
opportunities, which should prevent
shares from trading at a material
discount or premium from NAV.
6. With respect to Funds that effect
creations and redemptions of Creation
Units in kind and that are based on
certain Underlying Indexes that include
foreign securities, applicants request
relief from the requirement imposed by
section 22(c) in order to allow such
Funds to pay redemption proceeds
within fifteen calendar days following
the tender of Creation Units for
redemption. Applicants assert that the
requested relief would not be
inconsistent with the spirit and intent of
section 22(c) to prevent unreasonable,
undisclosed or unforeseen delays in the
actual payment of redemption proceeds.
7. Applicants request an exemption to
permit Funds of Funds to acquire Fund
shares beyond the limits of section
12(d)(1)(A) of the Act; and the Funds,
and any principal underwriter for the
Funds, and/or any broker or dealer
registered under the Exchange Act, to
sell shares to Funds of Funds beyond
the limits of section 12(d)(1)(B) of the
Act. The application’s terms and
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conditions are designed to, among other
things, help prevent any potential (i)
undue influence over a Fund through
control or voting power, or in
connection with certain services,
transactions, and underwritings, (ii)
excessive layering of fees, and (iii)
overly complex fund structures, which
are the concerns underlying the limits
in sections 12(d)(1)(A) and (B) of the
Act.
8. Applicants request an exemption
from sections 17(a)(1) and 17(a)(2) of the
Act to permit persons that are Affiliated
Persons, or Second-Tier Affiliates, of the
Funds, solely by virtue of certain
ownership interests, to effectuate
purchases and redemptions in-kind. The
deposit procedures for in-kind
purchases of Creation Units and the
redemption procedures for in-kind
redemptions of Creation Units will be
the same for all purchases and
redemptions, and Deposit Instruments
and Redemption Instruments will be
valued in the same manner as those
investment positions currently held by
the Funds. Applicants also seek relief
from the prohibitions on affiliated
transactions in section 17(a) to permit a
Fund to sell its shares to and redeem its
shares from a Fund of Funds, and to
engage in the accompanying in-kind
transactions with the Fund of Funds.3
The purchase of Creation Units by a
Fund of Funds directly from a Fund will
be accomplished in accordance with the
policies of the Fund of Funds and will
be based on the NAVs of the Funds.
9. Section 6(c) of the Act permits the
Commission to exempt any persons or
transactions from any provision of the
Act if such exemption is necessary or
appropriate in the public interest and
consistent with the protection of
investors and the purposes fairly
intended by the policy and provisions of
the Act. Section 12(d)(1)(J) of the Act
provides that the Commission may
exempt any person, security, or
transaction, or any class or classes of
persons, securities, or transactions, from
any provision of section 12(d)(1) if the
exemption is consistent with the public
interest and the protection of investors.
Section 17(b) of the Act authorizes the
Commission to grant an order
permitting a transaction otherwise
prohibited by section 17(a) if it finds
that (a) the terms of the proposed
transaction are fair and reasonable and
do not involve overreaching on the part
of any person concerned; (b) the
proposed transaction is consistent with
the policies of each registered
investment company involved; and (c)
the proposed transaction is consistent
with the general purposes of the Act.
For the Commission, by the Division of
Investment Management, under delegated
authority.
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2019–04804 Filed 3–14–19; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–85287/March 11, 2019]
Order Making Fiscal Year 2019 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
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
2 15
3 The requested relief would apply to direct sales
of shares in Creation Units by a Fund to a Fund of
Funds and redemptions of those shares. Applicants
are not seeking relief from section 17(a) for, and the
requested relief will not apply to, transactions
where a Fund could be deemed an Affiliated
Person, or a Second-Tier Affiliate, of a Fund of
Funds because an Adviser or an entity controlling,
controlled by or under common control with an
Adviser provides investment advisory services to
that Fund of Funds.
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Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
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
February 15, 2019, the President signed
into law the Consolidated
Appropriations Act, 2019, which
includes total appropriations of
$1,712,091,000 to the SEC for fiscal year
2019.
amozie on DSK9F9SC42PROD with NOTICES
II. Fiscal Year 2019 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 2019 8 from an amount
equal to the regular appropriation to the
Commission for fiscal year 2019, and (2)
dividing by the estimated aggregate
dollar amount of covered sales for the
remainder of the fiscal year following
the effective date of the new fee rate.9
As noted above, the Consolidated
Appropriations Act, 2019, includes total
appropriations of $1,712,091,000 to the
Commission for fiscal year 2019.10 The
Commission estimates that it will
collect $740,970,262 in fees for the
period prior to the effective date of the
new fee rate and $23,127 in assessments
on round turn transactions in security
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).
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 January, 2019. To calculate the dollar
amount of covered sales from February, 2019 to the
effective date of the new fee rate, the Commission
is using the methodology described in the
Appendix A 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 2019. 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 2019
following the effective date of the new fee rate, the
Commission is using the methodology described in
Appendix A of this order.
10 The Consolidated Appropriations Act, 2019
includes an appropriation of $1,674,902,000 for
necessary expenses for the Commission and an
appropriation of $37,189,000 for costs associated
with relocation under a replacement lease for the
Commission’s New York regional office facilities.
The act provides that ‘‘for purposes of calculating
the fee rate under section 31(j) of the [Exchange
Act] for fiscal year 2019, all amounts appropriated
[to the Commission in the act] shall be deemed to
be the regular appropriation to the Commission for
fiscal year 2019.’’
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futures products during all of fiscal year
2019. Using the methodology described
in Appendix A, the Commission
estimates that the aggregate dollar
amount of covered sales for the
remainder of fiscal year 2019 to be
$46,958,135,950,927.
The uniform adjusted rate is
computed by dividing the residual fees
to be collected of $971,097,612 by the
estimated aggregate dollar amount of
covered sales for the remainder of fiscal
year 2019 of $46,958,135,950,927; this
results in a uniform adjusted rate for
fiscal year 2019 of $20.70 per million.11
III. Effective Date of the Uniform
Adjusted Rate
Under Section 31(j)(4)(A) of the
Exchange Act, the fiscal year 2019
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, 2018, or 60 days
after the date on which a regular
appropriation to the Commission for
fiscal year 2019 is enacted.12 The
regular appropriation to the
Commission for fiscal year 2019 was
enacted on February 15, 2019, and
accordingly, the new fee rates
applicable under Sections 31(b) and (c)
of the Exchange Act will take effect on
April 16, 2019.
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 $20.70 per
$1,000,000 effective on April 16, 2019.
By the Commission.
Eduardo A. Aleman,
Deputy 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 2019.
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 2019.
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
(‘‘OTC’’) markets over the course of the year.
The fee rate equals the ratio of the
Commission’s regular appropriation for fiscal
year 2019 (less the sum of fees to be collected
during fiscal year 2019 prior to the effective
11 Appendix A shows the process of calculating
the fiscal year 2019 annual adjustment and includes
the data used by the Commission in making this
adjustment.
12 15 U.S.C. 78ee(j)(4)(A).
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date of the new fee rate and aggregate
assessments on security futures transactions
during all of fiscal year 2019) 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 2019, 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 January
2019, 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.
A. Baseline Estimate of the Aggregate Dollar
Amount of Covered Sales for Fiscal Year
2019
First, calculate the average daily dollar
amount of covered sales (‘‘ADS’’) for each
month in the sample (December 2008–
January 2019). The monthly total dollar
amount of covered sales (exchange plus
certain OTC 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 December
2008–January 2019.14 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).
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
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 February 15, 2019. The first business day
after this date was February 19, 2019. Data for
January 2019 were due from the exchanges on
February 14, 2019. As a result, the Commission
used January 2019 and earlier data to forecast
volume for February 2019 and 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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with Dtm representing monthly indicator
variables, yt representing the log growth rate
in ADS (D LN ADS), and e t representing the
error term for month t. The model can be
estimated using standard commercially
available software. The estimated parameter
values are b√ = ¥0.2692 and a√1 – a√12 as
follows:
a√1 (JAN) = 0.0386, a√2 (FEB) = 0.0773, a√3
(MAR) =¥0.0251, a√4 (APR) =¥0.0565, a√5
(MAY) = 0.0279, a√6 (JUN) = 0.0042, a√7
(JUL) =¥0.0918, a√8 (AUG) =¥0.0039, a√9
(SEP) = 0.0560, a√10 (OCT) = 1.0594, a√11
(NOV) =¥0.0117, a√12 (DEC) =¥0.0069.
The root-mean squared error (RMSE) of
the regression is 0.1037.
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 exp (b√yt¥1 + c
s2) ¥1, where denotes the root mean squared
error of the regression (RMSE).
6. For instance, for February 2019, using
the b√ parameter and the a√ parameter (for
February) above, and the change in the loglevel ADS from January, 2019, we can
estimate the change in the log growth in
average daily sales as b√yJan + a√Feb =
((¥0.2692 × ¥0.2311) + 0.0773) = +0.1395
This represents the estimated change in log
average daily dollar volume for February
2019 relative to January 2019. To estimate the
percent change in average daily sales from
January 2019 to February 2019, use the
formula shown in Step 5, above: exp
(+0.1395 + c 0.10372)¥1 = +0.1559. Apply
this estimated percent change in ADS to the
ADS for January 2019 to estimate the ADS for
February 2019 as $379,079,268,750 × (1 +
0.1559) = $438,192,488,788. Multiply this by
the 19 trading days in February 2019 to
obtain a total dollar volume forecast of
$8,325,657,286,963.
7. For March 2019, proceed in a similar
fashion. Using the estimates for February
2019 along with the b√ parameter and the a√3
parameter (for March) 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 $413,789,951,878.
Multiply this figure by the 21 trading days in
March 2019 to obtain a total dollar volume
forecast of $8,689,588,989,442.
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 October 1, 2018 through April
15, 2019. The projected aggregate dollar
amount of covered sales for this period is
$56,997,712,431,458. Actual and projected
fee collections at the current fee rate of
$13.00 per million are $740,970,262.
2. Estimate the amount of assessments on
security futures products collected from
October 1, 2018 through September 30, 2019.
First, calculate the average and the standard
deviation of the change in log average daily
sales, in column E, for the 120 months
ending January 2019. The average is 0.004038
and the standard deviation is 0.111345.
These are used to estimate an average growth
rate in ADS using the formula (0.004038 + c
0.1113452)¥1. This results in an average
monthly increase of 1.029%. Apply this
monthly increase to the last month for which
single stock futures’ assessments are
available, which was $1,701.13, for January
2019. Estimate all subsequent months in
fiscal year 2019 by applying the growth rate
to the previously estimated monthly value,
and sum the results. This totals $23,126.73
for the entire fiscal year.
3. Subtract the amounts $740,970,262 and
$23,127 from the target off-setting collection
amount set by Congress of $1,712,091,000,
leaving $971,097,612 to be collected on
dollar volume for the period April 16, 2019
through September 30, 2019.
4. Use Table A to estimate dollar volume
for the period April 16, 2019 through
September 30, 2019. The estimate is
$46,958,135,950,927. Finally, compute the
fee rate required to produce the additional
$971,097,612 in revenue. This rate is
$971,097,612 divided by
$46,958,135,950,927 or 0.00002068007.
5. Round the result to the seventh decimal
point, yielding a rate of 0.0000207 (or $20.70
per million).
This table summarizes the estimates of the
aggregate dollar amount of covered sales, by
time period. The figures in this table can be
used to determine the new fee rate.
TABLE A—BASELINE ESTIMATE OF THE AGGREGATE DOLLAR AMOUNT OF SALES
[Fee rate calculation]
Month
Number 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
(A)
(B)
(C)
(D)
(E)
(F)
(G)
(H)
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 ....................
22
20
19
22
21
20
22
22
21
21
22
20
22
19
19
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
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..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
VerDate Sep<11>2014
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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
Jkt 247001
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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
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#N/A
¥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
Sfmt 4703
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52,599,495
4,398,217
3,998,379
42,959,756
0.023
$20.70
EN15MR19.002</GPH>
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a. Baseline estimate of the aggregate dollar amount of sales, 10/01/2018 to 03/31/2019 ($Millions) ..........................................
b. Baseline estimate of the aggregate dollar amount of sales, 04/01/2019 to 04/15/2019 ($Millions) ..........................................
c. Baseline estimate of the aggregate dollar amount of sales, 04/16/2019 to 04/30/2019 ($Millions) ...........................................
d. Baseline estimate of the aggregate dollar amount of sales, 05/01/2019 to 09/30/2019 ($Millions) ..........................................
e. Estimated collections in assements on security futures products in fiscal year 2019 ($Millions) ..............................................
f. Implied fee rate (($1,712,091,000 ¥ $13.00 * (a + b) ¥ e)/(c + d) ..............................................................................................
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Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
Month
Number 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
(A)
(B)
(C)
(D)
(E)
(F)
(G)
(H)
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 .....................
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 ....................
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 ......................
23
21
20
22
21
22
21
21
21
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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
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21
21
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20
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VerDate Sep<11>2014
16:53 Mar 14, 2019
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
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
6,434,496,770,897
6,592,594,708,082
5,822,824,015,945
6,384,337,478,801
6,696,059,796,055
6,659,878,908,747
6,161,943,754,542
5,541,076,988,322
5,693,520,415,112
6,317,212,852,759
5,331,797,261,269
Jkt 247001
PO 00000
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
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
306,404,608,138
299,663,395,822
291,141,200,797
290,197,158,127
352,424,199,792
332,993,945,437
280,088,352,479
263,860,808,968
271,120,019,767
287,146,038,762
266,589,863,063
Frm 00104
Fmt 4703
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0.08790
0.31807
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0.01992
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0.10424
0.06532
0.04854
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0.09020
¥0.02881
¥0.01933
0.37925
¥0.22727
¥0.02884
¥0.11497
¥0.09063
¥0.01103
0.05862
0.02256
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¥0.03162
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0.03882
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¥0.09186
¥0.00905
¥0.13289
¥0.02035
¥0.00763
¥0.00882
0.08180
0.25653
¥0.18725
0.05887
0.03668
¥0.02635
¥0.03566
¥0.08169
0.03009
¥0.01125
0.07815
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¥0.07907
¥0.02225
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¥0.05671
¥0.17302
¥0.05968
0.02714
0.05743
¥0.07428
Sfmt 4703
E:\FR\FM\15MRN1.SGM
15MRN1
9580
Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
Month
Number 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
(A)
(B)
(C)
(D)
(E)
(F)
(G)
(H)
Aug–16 ....................
Sep–16 ....................
Oct–16 .....................
Nov–16 ....................
Dec–16 ....................
Jan–17 .....................
Feb–17 ....................
Mar–17 ....................
Apr–17 .....................
May–17 ....................
Jun–17 .....................
Jul–17 ......................
Aug–17 ....................
Sep–17 ....................
Oct–17 .....................
Nov–17 ....................
Dec–17 ....................
Jan–18 .....................
Feb–18 ....................
Mar–18 ....................
Apr–18 .....................
May–18 ....................
Jun–18 .....................
Jul–18 ......................
Aug–18 ....................
Sep–18 ....................
Oct–18 .....................
Nov–18 ....................
Dec–18 ....................
Jan–19 .....................
Feb–19 ....................
Mar–19 ....................
Apr–19 .....................
May–19 ....................
Jun–19 .....................
Jul–19 ......................
Aug–19 ....................
Sep–19 ....................
23
21
21
21
21
20
19
23
19
22
22
20
23
20
22
21
20
21
19
21
21
22
21
21
23
19
23
21
19
21
19
21
21
22
20
22
22
20
5,635,976,607,786
5,942,072,286,976
5,460,906,573,682
6,845,287,809,886
6,208,579,880,985
5,598,200,907,603
5,443,426,609,533
6,661,861,914,530
5,116,714,033,499
6,305,822,460,672
6,854,993,097,601
5,394,333,070,522
6,206,204,906,864
5,939,886,169,525
6,134,529,538,894
6,289,748,560,897
6,672,181,323,001
7,672,288,677,308
8,725,420,462,639
8,264,755,011,030
7,490,308,402,446
7,242,077,467,179
7,936,783,802,579
6,807,593,326,456
7,363,115,444,274
6,781,988,459,996
10,133,514,480,998
8,414,847,862,204
9,075,221,733,736
7,960,664,643,749
..................................
..................................
..................................
..................................
..................................
..................................
..................................
..................................
245,042,461,208
282,955,823,189
260,043,170,175
325,966,086,185
295,646,660,999
279,910,045,380
286,496,137,344
289,646,170,197
269,300,738,605
286,628,293,667
311,590,595,346
269,716,653,526
269,834,995,951
296,994,308,476
278,842,251,768
299,511,836,233
333,609,066,150
365,347,079,872
459,232,655,928
393,559,762,430
356,681,352,497
329,185,339,417
377,942,085,837
324,171,110,784
320,135,454,099
356,946,761,052
440,587,586,130
400,707,041,057
477,643,249,144
379,079,268,750
..................................
..................................
..................................
..................................
..................................
..................................
..................................
..................................
¥0.08428
0.14386
¥0.08444
0.22595
¥0.09763
¥0.05470
0.02326
0.01094
¥0.07283
0.06236
0.08350
¥0.14432
0.00044
0.09590
¥0.06307
0.07151
0.10782
0.09088
0.22871
¥0.15432
¥0.09839
¥0.08022
0.13812
¥0.15347
¥0.01253
0.10884
0.21052
¥0.09488
0.17563
¥0.23112
........................
........................
........................
........................
........................
........................
........................
........................
..............................
..............................
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..............................
..............................
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..............................
..............................
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0.1395
¥0.0627
¥0.0397
0.0386
¥0.0062
¥0.0901
0.0204
0.0505
..............................
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..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
438,192,488,788
413,789,951,878
399,837,948,579
417,801,508,030
417,455,061,409
383,542,454,021
393,541,847,373
416,158,371,481
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
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..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
..............................
8,325,657,286,963
8,689,588,989,442
8,396,596,920,153
9,191,633,176,654
8,349,101,228,188
8,437,933,988,469
8,657,920,642,210
8,323,167,429,618
amozie on DSK9F9SC42PROD with NOTICES
BILLING CODE 8011–01–P
VerDate Sep<11>2014
16:53 Mar 14, 2019
Jkt 247001
PO 00000
Frm 00105
Fmt 4703
Sfmt 4703
E:\FR\FM\15MRN1.SGM
15MRN1
amozie on DSK9F9SC42PROD with NOTICES
VerDate Sep<11>2014
(Dashed Line Indicates Forecast Values)
Dollar Value,
$Billions
$12,000
Jkt 247001
PO 00000
$10,000
Frm 00106
,,"•
l\} \,,''\
I
$8,000
Fmt 4703
Sfmt 9990
$6,000
E:\FR\FM\15MRN1.SGM
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15MRN1
$2,000
$
Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
16:53 Mar 14, 2019
Figure A.
Aggregate Dollar Amount of Sales Subject to Exchange Act Sections 3l(b) and 3l(c) 1
Methodology Developed in Consultation With OMB and CBO
+---~--~~~~--~--~--~--~--~--~--~--~--~--~--~--~--~~--~--~~~~
~
~
~
~
~
~
~
~
~
9
9
~
~
~
~
~
~
~
~
~
~
~
~~~~~~~~~~~~~~~~~~~~~~
1 Forecasted
line is not smooth because the number of trading days varies by month.
9581
EN15MR19.004</GPH>
9582
Federal Register / Vol. 84, No. 51 / Friday, March 15, 2019 / Notices
[FR Doc. 2019–04800 Filed 3–14–19; 8:45 am]
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #15890 and #15891;
Alabama Disaster Number AL–00094]
Presidential Declaration of a Major
Disaster for the State of Alabama
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
This is a Notice of the
Presidential declaration of a major
disaster for the State of Alabama
(FEMA–4419–DR), dated 03/05/2019.
Incident: Severe Storms, Straight-line
Winds, and Tornadoes.
Incident Period: 03/03/2019.
DATES: Issued on 03/05/2019.
Physical Loan Application Deadline
Date: 05/06/2019.
Economic Injury (EIDL) Loan
Application Deadline Date: 12/05/2019.
ADDRESS: 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, (202) 205–6734.
SUPPLEMENTARY INFORMATION: Notice is
hereby given that as a result of the
President’s major disaster declaration on
03/05/2019, 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): Lee
Contiguous Counties (Economic Injury
Loans Only):
Alabama: Chambers, Macon, Russell,
Tallapoosa.
Georgia: Harris, Muscogee.
The Interest Rates are:
SUMMARY:
amozie on DSK9F9SC42PROD with NOTICES
Percent
For Physical Damage:
Homeowners with Credit Available Elsewhere ......................
Homeowners without Credit
Available Elsewhere ..............
Businesses with Credit Available Elsewhere ......................
Businesses
without
Credit
Available Elsewhere ..............
Non-Profit Organizations with
Credit Available Elsewhere ...
VerDate Sep<11>2014
16:53 Mar 14, 2019
security income, and special veterans
benefits programs. We may base SSRs
Non-Profit Organizations withon determinations or decisions made at
out Credit Available Elseall levels of administrative adjudication,
where .....................................
2.750 Federal court decisions, Commissioner’s
For Economic Injury:
decisions, opinions of the Office of the
Businesses & Small Agricultural
General Counsel, or other
Cooperatives without Credit
Available Elsewhere ..............
4.000 interpretations of the law and
regulations.
Non-Profit Organizations withAlthough SSRs do not have the same
out Credit Available Elsewhere .....................................
2.750 force and effect as statutes or
regulations, they are binding on all
The number assigned to this disaster
components of the Social Security
for physical damage is 15890C and for
Administration. 20 CFR 402.35(b)(1).
economic injury is 158910.
This SSR will remain in effect until
we publish a notice in the Federal
(Catalog of Federal Domestic Assistance
Register that rescinds it, or we publish
Number 59008)
a new SSR that replaces or modifies it.
Percent
BILLING CODE 8011–01–C
4.125
Rafaela Monchek,
Acting Associate Administrator for Disaster
Assistance.
[FR Doc. 2019–04939 Filed 3–14–19; 8:45 am]
BILLING CODE 8025–01–P
SOCIAL SECURITY ADMINISTRATION
[Docket No. SSA–2019–0001]
Social Security Administration.
Notice of Social Security Ruling
AGENCY:
(SSR).
We are giving notice of SSR
19–1p. This ruling explains how we will
adjudicate cases pending at the Appeals
Council in which the claimant has
raised a timely challenge to the
appointment of an administrative law
judge (ALJ) under the Appointments
Clause of the United States Constitution
in light of the Supreme Court’s recent
2018 decision in Lucia v. SEC.
DATES: We will apply this notice on
March 15, 2019.
FOR FURTHER INFORMATION CONTACT:
Nancy Chung, Office of Appellate
Operations, 5107 Leesburg Pike, Falls
Church, Virginia, (703) 605–7100. For
information on eligibility or filing for
benefits, call our national toll-free
number 1–800–772–1213, or TTY
1–800–325–0778, or visit our internet
site, Social Security online, at https://
www.socialsecurity.gov.
SUMMARY:
Although
5 U.S.C. 552(a)(1) and (a)(2) do not
2.063
require us to publish this SSR, we are
8.000 doing so under 20 CFR 402.35(b)(1).
Through SSRs, we make available to
4.000 the public precedential decisions
relating to the Federal old-age,
2.750 survivors, disability, supplemental
Jkt 247001
SUPPLEMENTARY INFORMATION:
PO 00000
Frm 00107
Fmt 4703
Sfmt 4703
Nancy Berryhill,
Acting Commissioner of Social Security.
Policy Interpretation Ruling
Social Security Ruling 19–1p; Titles II
and XVI: Effect of the Decision in Lucia
v. Securities and Exchange
Commission (SEC) On Cases Pending
at the Appeals Council
ACTION:
(Catalog of Federal Domestic Assistance,
Program Nos. 96.001, Social Security—
Disability Insurance; 96.002, Social
Security—Retirement Insurance; 96.004—
Social Security—Survivors Insurance; 96.006
Supplemental Security Income.)
Social Security Ruling (SSR) 19–1p
Titles II and XVI: Effect of the Decision
in Lucia V. Securities and Exchange
Commission (SEC) on Cases Pending at
the Appeals Council
Purpose: This ruling explains how we
will adjudicate cases pending at the
Appeals Council in which the claimant
has raised a timely challenge to the
appointment of an administrative law
judge (ALJ) under the Appointments
Clause of the United States Constitution
in light of the Supreme Court’s decision
in Lucia v. SEC, 138 S. Ct. 2044 (2018).
Citations: 20 CFR 404.970, 404.976(b),
416.1470, and 416.1476(b).
Background: In Lucia, the Supreme
Court considered a challenge to the
manner in which the SEC appointed its
ALJs. The Supreme Court held that the
SEC’s ALJs are ‘‘Officers of the United
States’’ within the meaning of the
Appointments Clause of the United
States Constitution, Art. II, § 2, cl. 2.1 As
a result, the SEC’s ALJs should have
been (but were not) appointed to their
positions by either the President, a court
of law, or the Department head. The
Supreme Court reversed the lower
court’s decision finding that the SEC’s
ALJs were not inferior officers. Having
determined that Lucia had raised a
timely challenge to the ALJ’s
1 The Supreme Court explained in Lucia that
‘‘[t]he Appointments Clause prescribes the
exclusive means of appointing ‘Officers.’ Only the
President, a court of law, or a head of department
can do so. See Art. II, § 2, cl. 2.’’ Lucia v. SEC, 138
S. Ct. 2044, 2051 (2018).
E:\FR\FM\15MRN1.SGM
15MRN1
]]>Agencies
[Federal Register Volume 84, Number 51 (Friday, March 15, 2019)]
[Notices]
[Pages 9576-9582]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2019-04800]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-85287/March 11, 2019]
Order Making Fiscal Year 2019 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.'').
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[[Page 9577]]
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 February 15, 2019, the President signed into law the
Consolidated Appropriations Act, 2019, which includes total
appropriations of $1,712,091,000 to the SEC for fiscal year 2019.
---------------------------------------------------------------------------
\6\ 15 U.S.C. 78ee(g).
---------------------------------------------------------------------------
II. Fiscal Year 2019 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 2019 \8\ from an amount equal to the regular appropriation to the
Commission for fiscal year 2019, and (2) dividing by the estimated
aggregate dollar amount of covered 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 January, 2019. To calculate
the dollar amount of covered sales from February, 2019 to the
effective date of the new fee rate, the Commission is using the
methodology described in the Appendix A 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 2019. 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 2019 following the effective date of
the new fee rate, the Commission is using the methodology described
in Appendix A of this order.
---------------------------------------------------------------------------
As noted above, the Consolidated Appropriations Act, 2019, includes
total appropriations of $1,712,091,000 to the Commission for fiscal
year 2019.\10\ The Commission estimates that it will collect
$740,970,262 in fees for the period prior to the effective date of the
new fee rate and $23,127 in assessments on round turn transactions in
security futures products during all of fiscal year 2019. Using the
methodology described in Appendix A, the Commission estimates that the
aggregate dollar amount of covered sales for the remainder of fiscal
year 2019 to be $46,958,135,950,927.
---------------------------------------------------------------------------
\10\ The Consolidated Appropriations Act, 2019 includes an
appropriation of $1,674,902,000 for necessary expenses for the
Commission and an appropriation of $37,189,000 for costs associated
with relocation under a replacement lease for the Commission's New
York regional office facilities. The act provides that ``for
purposes of calculating the fee rate under section 31(j) of the
[Exchange Act] for fiscal year 2019, all amounts appropriated [to
the Commission in the act] shall be deemed to be the regular
appropriation to the Commission for fiscal year 2019.''
---------------------------------------------------------------------------
The uniform adjusted rate is computed by dividing the residual fees
to be collected of $971,097,612 by the estimated aggregate dollar
amount of covered sales for the remainder of fiscal year 2019 of
$46,958,135,950,927; this results in a uniform adjusted rate for fiscal
year 2019 of $20.70 per million.\11\
---------------------------------------------------------------------------
\11\ Appendix A shows the process of calculating the fiscal year
2019 annual adjustment and 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 2019
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,
2018, or 60 days after the date on which a regular appropriation to the
Commission for fiscal year 2019 is enacted.\12\ The regular
appropriation to the Commission for fiscal year 2019 was enacted on
February 15, 2019, and accordingly, the new fee rates applicable under
Sections 31(b) and (c) of the Exchange Act will take effect on April
16, 2019.
---------------------------------------------------------------------------
\12\ 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 $20.70 per $1,000,000
effective on April 16, 2019.
By the Commission.
Eduardo A. Aleman,
Deputy 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 2019. 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 2019.
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 (``OTC'') markets
over the course of the year. The fee rate equals the ratio of the
Commission's regular appropriation for fiscal year 2019 (less the
sum of fees to be collected during fiscal year 2019 prior to the
effective date of the new fee rate and aggregate assessments on
security futures transactions during all of fiscal year 2019) 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 2019, 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 January 2019,
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 February 15, 2019. The first business
day after this date was February 19, 2019. Data for January 2019
were due from the exchanges on February 14, 2019. As a result, the
Commission used January 2019 and earlier data to forecast volume for
February 2019 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 2019
First, calculate the average daily dollar amount of covered
sales (``ADS'') for each month in the sample (December 2008-January
2019). The monthly total dollar amount of covered sales (exchange
plus certain OTC 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 December
2008-January 2019.\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
[[Page 9578]]
[GRAPHIC] [TIFF OMITTED] TN15MR19.002
with Dtm representing monthly indicator variables, yt representing
the log growth rate in ADS ([Delta] LN 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] = -0.2692 and [alpha]1 -
[alpha]12 as follows:
[alpha]1 (JAN) = 0.0386, [alpha]2 (FEB) =
0.0773, [alpha]3 (MAR) =-0.0251, [alpha]4
(APR) =-0.0565, [alpha]5 (MAY) = 0.0279,
[alpha]6 (JUN) = 0.0042, [alpha]7 (JUL) =-
0.0918, [alpha]8 (AUG) =-0.0039, [alpha]9
(SEP) = 0.0560, [alpha]10 (OCT) = 1.0594,
[alpha]11 (NOV) =-0.0117, [alpha]12 (DEC) =-
0.0069. The root-mean squared error (RMSE) of the regression is
0.1037.
4. For the first month calculate the forecasted value of the log
growth rate of ADS as
[GRAPHIC] [TIFF OMITTED] TN15MR19.003
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 exp ([beta]yt-1 + [frac12]
[sigma]2) -1, where denotes the root mean squared error
of the regression (RMSE).
6. For instance, for February 2019, using the [beta] parameter
and the [alpha] parameter (for February) above, and the change in
the log-level ADS from January, 2019, we can estimate the change in
the log growth in average daily sales as [beta]yJan + [alpha]Feb =
((-0.2692 x -0.2311) + 0.0773) = +0.1395 This represents the
estimated change in log average daily dollar volume for February
2019 relative to January 2019. To estimate the percent change in
average daily sales from January 2019 to February 2019, use the
formula shown in Step 5, above: exp (+0.1395 + [frac12]
0.10372)-1 = +0.1559. Apply this estimated percent change
in ADS to the ADS for January 2019 to estimate the ADS for February
2019 as $379,079,268,750 x (1 + 0.1559) = $438,192,488,788. Multiply
this by the 19 trading days in February 2019 to obtain a total
dollar volume forecast of $8,325,657,286,963.
7. For March 2019, proceed in a similar fashion. Using the
estimates for February 2019 along with the [beta] parameter and the
[alpha]3 parameter (for March) 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 $413,789,951,878. Multiply this figure by the 21 trading days in
March 2019 to obtain a total dollar volume forecast of
$8,689,588,989,442.
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 October
1, 2018 through April 15, 2019. The projected aggregate dollar
amount of covered sales for this period is $56,997,712,431,458.
Actual and projected fee collections at the current fee rate of
$13.00 per million are $740,970,262.
2. Estimate the amount of assessments on security futures
products collected from October 1, 2018 through September 30, 2019.
First, calculate the average and the standard deviation of the
change in log average daily sales, in column E, for the 120 months
ending January 2019. The average is 0.004038 and the standard
deviation is 0.111345. These are used to estimate an average growth
rate in ADS using the formula (0.004038 + [frac12] 0.111345\2\)-1.
This results in an average monthly increase of 1.029%. Apply this
monthly increase to the last month for which single stock futures'
assessments are available, which was $1,701.13, for January 2019.
Estimate all subsequent months in fiscal year 2019 by applying the
growth rate to the previously estimated monthly value, and sum the
results. This totals $23,126.73 for the entire fiscal year.
3. Subtract the amounts $740,970,262 and $23,127 from the target
off-setting collection amount set by Congress of $1,712,091,000,
leaving $971,097,612 to be collected on dollar volume for the period
April 16, 2019 through September 30, 2019.
4. Use Table A to estimate dollar volume for the period April
16, 2019 through September 30, 2019. The estimate is
$46,958,135,950,927. Finally, compute the fee rate required to
produce the additional $971,097,612 in revenue. This rate is
$971,097,612 divided by $46,958,135,950,927 or 0.00002068007.
5. Round the result to the seventh decimal point, yielding a
rate of 0.0000207 (or $20.70 per million).
This table summarizes the estimates of the aggregate dollar
amount of covered sales, by time period. The figures in this table
can be used to determine the new fee rate.
Table A--Baseline Estimate of the Aggregate Dollar Amount of Sales
[Fee rate calculation]
------------------------------------------------------------------------
------------------------------------------------------------------------
a. Baseline estimate of the aggregate dollar amount of 52,599,495
sales, 10/01/2018 to 03/31/2019 ($Millions)............
b. Baseline estimate of the aggregate dollar amount of 4,398,217
sales, 04/01/2019 to 04/15/2019 ($Millions)............
c. Baseline estimate of the aggregate dollar amount of 3,998,379
sales, 04/16/2019 to 04/30/2019 ($Millions)............
d. Baseline estimate of the aggregate dollar amount of 42,959,756
sales, 05/01/2019 to 09/30/2019 ($Millions)............
e. Estimated collections in assements on security 0.023
futures products in fiscal year 2019 ($Millions).......
f. Implied fee rate (($1,712,091,000 - $13.00 * (a + b) - $20.70
e)/(c + d)............................................
------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Number of Average daily Forecast average Forecast total
Month trading days Total dollar dollar amount of [Delta] LN ADS Forecast [Delta] daily dollar dollar amount of
in month amount of sales sales (ADS) LN ADS amount of sales sales
(A) (B) (C) (D) (E) (F) (G) (H)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Dec-08...................................................... 22 5,176,041,317,640 235,274,605,347 #N/A ................. ................. .................
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 ................. ................. .................
[[Page 9579]]
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 ................. ................. .................
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 6,434,496,770,897 306,404,608,138 -0.07907 ................. ................. .................
Oct-15...................................................... 22 6,592,594,708,082 299,663,395,822 -0.02225 ................. ................. .................
Nov-15...................................................... 20 5,822,824,015,945 291,141,200,797 -0.02885 ................. ................. .................
Dec-15...................................................... 22 6,384,337,478,801 290,197,158,127 -0.00325 ................. ................. .................
Jan-16...................................................... 19 6,696,059,796,055 352,424,199,792 0.19428 ................. ................. .................
Feb-16...................................................... 20 6,659,878,908,747 332,993,945,437 -0.05671 ................. ................. .................
Mar-16...................................................... 22 6,161,943,754,542 280,088,352,479 -0.17302 ................. ................. .................
Apr-16...................................................... 21 5,541,076,988,322 263,860,808,968 -0.05968 ................. ................. .................
May-16...................................................... 21 5,693,520,415,112 271,120,019,767 0.02714 ................. ................. .................
Jun-16...................................................... 22 6,317,212,852,759 287,146,038,762 0.05743 ................. ................. .................
Jul-16...................................................... 20 5,331,797,261,269 266,589,863,063 -0.07428 ................. ................. .................
[[Page 9580]]
Aug-16...................................................... 23 5,635,976,607,786 245,042,461,208 -0.08428 ................. ................. .................
Sep-16...................................................... 21 5,942,072,286,976 282,955,823,189 0.14386 ................. ................. .................
Oct-16...................................................... 21 5,460,906,573,682 260,043,170,175 -0.08444 ................. ................. .................
Nov-16...................................................... 21 6,845,287,809,886 325,966,086,185 0.22595 ................. ................. .................
Dec-16...................................................... 21 6,208,579,880,985 295,646,660,999 -0.09763 ................. ................. .................
Jan-17...................................................... 20 5,598,200,907,603 279,910,045,380 -0.05470 ................. ................. .................
Feb-17...................................................... 19 5,443,426,609,533 286,496,137,344 0.02326 ................. ................. .................
Mar-17...................................................... 23 6,661,861,914,530 289,646,170,197 0.01094 ................. ................. .................
Apr-17...................................................... 19 5,116,714,033,499 269,300,738,605 -0.07283 ................. ................. .................
May-17...................................................... 22 6,305,822,460,672 286,628,293,667 0.06236 ................. ................. .................
Jun-17...................................................... 22 6,854,993,097,601 311,590,595,346 0.08350 ................. ................. .................
Jul-17...................................................... 20 5,394,333,070,522 269,716,653,526 -0.14432 ................. ................. .................
Aug-17...................................................... 23 6,206,204,906,864 269,834,995,951 0.00044 ................. ................. .................
Sep-17...................................................... 20 5,939,886,169,525 296,994,308,476 0.09590 ................. ................. .................
Oct-17...................................................... 22 6,134,529,538,894 278,842,251,768 -0.06307 ................. ................. .................
Nov-17...................................................... 21 6,289,748,560,897 299,511,836,233 0.07151 ................. ................. .................
Dec-17...................................................... 20 6,672,181,323,001 333,609,066,150 0.10782 ................. ................. .................
Jan-18...................................................... 21 7,672,288,677,308 365,347,079,872 0.09088 ................. ................. .................
Feb-18...................................................... 19 8,725,420,462,639 459,232,655,928 0.22871 ................. ................. .................
Mar-18...................................................... 21 8,264,755,011,030 393,559,762,430 -0.15432 ................. ................. .................
Apr-18...................................................... 21 7,490,308,402,446 356,681,352,497 -0.09839 ................. ................. .................
May-18...................................................... 22 7,242,077,467,179 329,185,339,417 -0.08022 ................. ................. .................
Jun-18...................................................... 21 7,936,783,802,579 377,942,085,837 0.13812 ................. ................. .................
Jul-18...................................................... 21 6,807,593,326,456 324,171,110,784 -0.15347 ................. ................. .................
Aug-18...................................................... 23 7,363,115,444,274 320,135,454,099 -0.01253 ................. ................. .................
Sep-18...................................................... 19 6,781,988,459,996 356,946,761,052 0.10884 ................. ................. .................
Oct-18...................................................... 23 10,133,514,480,998 440,587,586,130 0.21052 ................. ................. .................
Nov-18...................................................... 21 8,414,847,862,204 400,707,041,057 -0.09488 ................. ................. .................
Dec-18...................................................... 19 9,075,221,733,736 477,643,249,144 0.17563 ................. ................. .................
Jan-19...................................................... 21 7,960,664,643,749 379,079,268,750 -0.23112 ................. ................. .................
Feb-19...................................................... 19 ................... ................... .............. 0.1395 438,192,488,788 8,325,657,286,963
Mar-19...................................................... 21 ................... ................... .............. -0.0627 413,789,951,878 8,689,588,989,442
Apr-19...................................................... 21 ................... ................... .............. -0.0397 399,837,948,579 8,396,596,920,153
May-19...................................................... 22 ................... ................... .............. 0.0386 417,801,508,030 9,191,633,176,654
Jun-19...................................................... 20 ................... ................... .............. -0.0062 417,455,061,409 8,349,101,228,188
Jul-19...................................................... 22 ................... ................... .............. -0.0901 383,542,454,021 8,437,933,988,469
Aug-19...................................................... 22 ................... ................... .............. 0.0204 393,541,847,373 8,657,920,642,210
Sep-19...................................................... 20 ................... ................... .............. 0.0505 416,158,371,481 8,323,167,429,618
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BILLING CODE 8011-01-P
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[GRAPHIC] [TIFF OMITTED] TN15MR19.004
[[Page 9582]]
[FR Doc. 2019-04800 Filed 3-14-19; 8:45 am]
BILLING CODE 8011-01-C
