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Start Preamble
I. Background
The Commission collects fees under various provisions of the securities laws. Section 6(b) of the Securities Act of 1933 (“Securities Act”) requires the Commission to collect fees from issuers on the registration of securities.[1] Section 13(e) of the Securities Exchange Act of 1934 (“Exchange Act”) requires the Commission to collect fees on specified repurchases of securities.[2] Section 14(g) of the Exchange Act requires the Commission to collect fees on specified proxy solicitations and statements in corporate control transactions.[3] These provisions require the Commission to make annual adjustments to the applicable fee rates.
II. Fiscal Year 2018 Annual Adjustment to Fee Rates
Section 6(b)(2) of the Securities Act requires the Commission to make an annual adjustment to the fee rate applicable under Section 6(b).[4] The annual adjustment to the fee rate under Section 6(b) of the Securities Act also sets the annual adjustment to the fee rates under Sections 13(e) and 14(g) of the Exchange Act.[5]
Section 6(b)(2) sets forth the method for determining the annual adjustment to the fee rate under Section 6(b) for fiscal year 2018. Specifically, the Commission must adjust the fee rate under Section 6(b) to a “rate that, when applied to the baseline estimate of the aggregate maximum offering prices for [fiscal year 2018], is reasonably likely to produce aggregate fee collections under [Section 6(b)] that are equal to the target fee collection amount for [fiscal year 2018].” That is, the adjusted rate is determined by dividing the “target fee collection amount” for fiscal year 2018 by the “baseline estimate of the aggregate maximum offering prices” for fiscal year 2018.
Section 6(b)(6)(A) specifies that the “target fee collection amount” for fiscal year 2018 is $620,000,000. Section 6(b)(6)(B) defines the “baseline estimate of the aggregate maximum offering prices” for fiscal year 2018 as “the baseline estimate of the aggregate maximum offering price at which securities are proposed to be offered pursuant to registration statements filed with the Commission during [fiscal year 2018] as determined by the Commission, after consultation with the Congressional Budget Office and the Office of Management and Budget . . . .”
To make the baseline estimate of the aggregate maximum offering price for fiscal year 2018, the Commission is using a methodology that has been used in prior fiscal years and that was developed in consultation with the Congressional Budget Office (“CBO”) and Office of Management and Budget (“OMB”).[6] Using this methodology, the Commission determines the “baseline estimate of the aggregate maximum offering price” for fiscal year 2018 to be $4,981,648,951,511. Based on this estimate, the Commission calculates the fee rate for fiscal 2018 to be $124.50 per million. This adjusted fee rate applies to Section 6(b) of the Securities Act, as well as to Sections 13(e) and 14(g) of the Exchange Act.
III. Effective Dates of the Annual Adjustments
The fiscal year 2018 annual adjustments to the fee rates applicable under Section 6(b) of the Securities Act and Sections 13(e) and 14(g) of the Exchange Act will be effective on October 1, 2017.[7]
IV. Conclusion
Accordingly, pursuant to Section 6(b) of the Securities Act and Sections 13(e) and 14(g) of the Exchange Act,[8]
It is hereby ordered that the fee rates applicable under Section 6(b) of the Securities Act and Sections 13(e) and 14(g) of the Exchange Act shall be $124.50 per million effective on October 1, 2017.
Start SignatureStart Printed Page 41081End SignatureBy the Commission.
Brent J. Fields,
Secretary.
Appendix A
Congress has established a target amount of monies to be collected from fees charged to issuers based on the value of their registrations. This appendix provides the formula for determining such fees, which the Commission adjusts annually. Congress has mandated that the Commission determine these fees based on the “aggregate maximum offering prices,” which measures the aggregate dollar amount of securities registered with the Commission over the course of the year. In order to maximize the likelihood that the amount of monies targeted by Congress will be collected, the fee rate must be set to reflect projected aggregate maximum offering prices. As a percentage, the fee rate equals the ratio of the target amounts of monies to the projected aggregate maximum offering prices.
For 2018, the Commission has estimated the aggregate maximum offering prices by projecting forward the trend established in the previous decade. More specifically, an ARIMA model was used to forecast the value of the aggregate maximum offering prices for months subsequent to July 2017, the last month for which the Commission has data on the aggregate maximum offering prices.
The following sections describe this process in detail.
A. Baseline Estimate of the Aggregate Maximum Offering Prices for Fiscal Year 2018
First, calculate the aggregate maximum offering prices (AMOP) for each month in the sample (July 2007-July 2017). Next, calculate the percentage change in the AMOP from month to month.
Model the monthly percentage change in AMOP as a first order moving average process. The moving average approach allows one to model the effect that an exceptionally high (or low) observation of AMOP tends to be followed by a more “typical” value of AMOP.
Use the estimated moving average model to forecast the monthly percent change in AMOP. These percent changes can then be applied to obtain forecasts of the total dollar value of registrations. The following is a more formal (mathematical) description of the procedure:
1. Begin with the monthly data for AMOP. The sample spans ten years, from July 2007 to July 2017.
2. Divide each month's AMOP (column C) by the number of trading days in that month (column B) to obtain the average daily AMOP (AAMOP, column D).
3. For each month t, the natural logarithm of AAMOP is reported in column E.
4. Calculate the change in log(AAMOP) from the previous month as Δt = log (AAMOPt) − log(AAMOPt−1). This approximates the percentage change.
5. Estimate the first order moving average model Δt = α + βet −1 + et, where et denotes the forecast error for month t. The forecast error is simply the difference between the one-month ahead forecast and the actual realization of Δt. The forecast error is expressed as et = Δt−α−βet−1. The model can be estimated using standard commercially available software. Using least squares, the estimated parameter values are α = 0.0014909132 and β = 0.8922530731.
6. For the month of August 2017 forecast Δt = 8/2017 = α + βet = 7/2017. For all subsequent months, forecast Δt = α.
7. Calculate forecasts of log(AAMOP). For example, the forecast of log(AAMOP) for October 2017 is given by FLAAMOPt = 10/2017 = log(AAMOPt = 7/2017) + Δt = 8/2017 + Δt = 9/2017 + Δt = 10/2017.
8. Under the assumption that et is normally distributed, the n-step ahead forecast of AAMOP is given by exp(FLAAMOPt + σn2/2), where σn denotes the standard error of the n-step ahead forecast.
9. For October 2017, this gives a forecast AAMOP of $19.617 billion (Column I), and a forecast AMOP of $431.6 billion (Column J).
10. Iterate this process through September 2018 to obtain a baseline estimate of the aggregate maximum offering prices for fiscal year 2018 of $4,981,648,951,511.
B. Using the Forecasts From A To Calculate the New Fee Rate
1. Using the data from Table A, estimate the aggregate maximum offering prices between 10/01/17 and 9/30/18 to be $4,981,648,951,511.
2. The rate necessary to collect the target $620,000,000 in fee revenues set by Congress is then calculated as: $620,000,000 ÷ $4,981,648,951,511 = 0.000124457.
3. Round the result to the seventh decimal point, yielding a rate of 0.0001245 (or $124.50 per million).
Table A—Estimation of Baseline of Aggregate Maximum Offering Prices
Fee rate calculation a. Baseline estimate of the aggregate maximum offering prices, 10/1/17 to 9/30/18 ($Millions) 4,981,649 b. Implied fee rate ($620 Million/a) $124.50 Start Printed Page 41084 Start Printed Page 41085 End PreambleMonth Number of trading days in month Aggregate maximum offering prices, in $millions Average daily aggregate max. offering prices (AAMOP) in $millions Log (AAMOP) Log (change in AAMOP) Forecast log (AAMOP) Standard error Forecast AAMOP, in $millions Forecast aggregate maximum offering prices, in $millions (A) (B) (C) (D) (E) (F) (G) (H) (I) (J) Data Jul-07 21 326,612 15,553 23.468 Aug-07 23 369,172 16,051 23.499 0.032 Sep-07 19 241,059 12,687 23.264 −0.235 Oct-07 23 239,652 10,420 23.067 −0.197 Nov-07 21 458,654 21,841 23.807 0.740 Dec-07 20 410,200 20,510 23.744 −0.063 Jan-08 21 354,433 16,878 23.549 −0.195 Feb-08 20 263,410 13,171 23.301 −0.248 Mar-08 20 596,923 29,846 24.119 0.818 Apr-08 22 292,534 13,297 23.311 −0.809 May-08 21 456,077 21,718 23.801 0.491 Jun-08 21 461,087 21,957 23.812 0.011 Jul-08 22 232,896 10,586 23.083 −0.730 Aug-08 21 395,440 18,830 23.659 0.576 Sep-08 21 177,636 8,459 22.858 −0.800 Oct-08 23 360,494 15,674 23.475 0.617 Nov-08 19 288,911 15,206 23.445 −0.030 Start Printed Page 41082 Dec-08 22 319,584 14,527 23.399 −0.046 Jan-09 20 375,065 18,753 23.655 0.255 Feb-09 19 249,666 13,140 23.299 −0.356 Mar-09 22 739,931 33,633 24.239 0.940 Apr-09 21 235,914 11,234 23.142 −1.097 May-09 20 329,522 16,476 23.525 0.383 Jun-09 22 357,524 16,251 23.511 −0.014 Jul-09 22 185,187 8,418 22.854 −0.658 Aug-09 21 192,726 9,177 22.940 0.086 Sep-09 21 189,224 9,011 22.922 −0.018 Oct-09 22 215,720 9,805 23.006 0.085 Nov-09 20 248,353 12,418 23.242 0.236 Dec-09 22 340,464 15,476 23.463 0.220 Jan-10 19 173,235 9,118 22.933 −0.529 Feb-10 19 209,963 11,051 23.126 0.192 Mar-10 23 432,934 18,823 23.658 0.533 Apr-10 21 280,188 13,342 23.314 −0.344 May-10 20 278,611 13,931 23.357 0.043 Jun-10 22 364,251 16,557 23.530 0.173 Jul-10 21 171,191 8,152 22.822 −0.709 Aug-10 22 240,793 10,945 23.116 0.295 Sep-10 21 260,783 12,418 23.242 0.126 Oct-10 21 214,988 10,238 23.049 −0.193 Nov-10 21 340,112 16,196 23.508 0.459 Dec-10 22 297,992 13,545 23.329 −0.179 Jan-11 20 233,668 11,683 23.181 −0.148 Feb-11 19 252,785 13,304 23.311 0.130 Mar-11 23 595,198 25,878 23.977 0.665 Apr-11 20 236,355 11,818 23.193 −0.784 May-11 21 319,053 15,193 23.444 0.251 Jun-11 22 359,727 16,351 23.518 0.073 Jul-11 20 215,391 10,770 23.100 −0.418 Aug-11 23 179,870 7,820 22.780 −0.320 Sep-11 21 168,005 8,000 22.803 0.023 Oct-11 21 181,452 8,641 22.880 0.077 Nov-11 21 256,418 12,210 23.226 0.346 Dec-11 21 237,652 11,317 23.150 −0.076 Jan-12 20 276,965 13,848 23.351 0.202 Feb-12 20 228,419 11,421 23.159 −0.193 Mar-12 22 430,806 19,582 23.698 0.539 Apr-12 20 173,626 8,681 22.884 −0.813 May-12 22 414,122 18,824 23.658 0.774 Jun-12 21 272,218 12,963 23.285 −0.373 Jul-12 21 170,462 8,117 22.817 −0.468 Aug-12 23 295,472 12,847 23.276 0.459 Sep-12 19 331,295 17,437 23.582 0.305 Oct-12 21 137,562 6,551 22.603 −0.979 Nov-12 21 221,521 10,549 23.079 0.476 Dec-12 20 321,602 16,080 23.501 0.422 Jan-13 21 368,488 17,547 23.588 0.087 Feb-13 19 252,148 13,271 23.309 −0.279 Mar-13 20 533,440 26,672 24.007 0.698 Apr-13 22 235,779 10,717 23.095 −0.912 May-13 22 382,950 17,407 23.580 0.485 Jun-13 20 480,624 24,031 23.903 0.322 Jul-13 22 263,869 11,994 23.208 −0.695 Aug-13 22 253,305 11,514 23.167 −0.041 Sep-13 20 267,923 13,396 23.318 0.151 Oct-13 23 293,847 12,776 23.271 −0.047 Nov-13 20 326,257 16,313 23.515 0.244 Dec-13 21 358,169 17,056 23.560 0.045 Jan-14 21 369,067 17,575 23.590 0.030 Feb-14 19 298,376 15,704 23.477 −0.113 Mar-14 21 564,840 26,897 24.015 0.538 Apr-14 21 263,401 12,543 23.252 −0.763 May-14 21 403,700 19,224 23.679 0.427 Jun-14 21 423,075 20,146 23.726 0.047 Jul-14 22 373,811 16,991 23.556 −0.170 Aug-14 21 405,017 19,287 23.683 0.127 Sep-14 21 409,349 19,493 23.693 0.011 Oct-14 23 338,832 14,732 23.413 −0.280 Nov-14 19 386,898 20,363 23.737 0.324 Dec-14 22 370,760 16,853 23.548 −0.189 Jan-15 20 394,127 19,706 23.704 0.156 Start Printed Page 41083 Feb-15 19 466,138 24,534 23.923 0.219 Mar-15 22 753,747 34,261 24.257 0.334 Apr-15 21 356,560 16,979 23.555 −0.702 May-15 20 478,591 23,930 23.898 0.343 Jun-15 22 446,102 20,277 23.733 −0.166 Jul-15 22 402,062 18,276 23.629 −0.104 Aug-15 21 334,746 15,940 23.492 −0.137 Sep-15 21 289,872 13,803 23.348 −0.144 Oct-15 22 300,276 13,649 23.337 −0.011 Nov-15 20 409,690 20,485 23.743 0.406 Dec-15 22 308,569 14,026 23.364 −0.379 Jan-16 19 457,411 24,074 23.904 0.540 Feb-16 20 554,343 27,717 24.045 0.141 Mar-16 22 900,301 40,923 24.435 0.390 Apr-16 21 250,716 11,939 23.203 −1.232 May-16 21 409,992 19,523 23.695 0.492 Jun-16 22 321,219 14,601 23.404 −0.291 Jul-16 20 289,671 14,484 23.396 −0.008 Aug-16 23 352,068 15,307 23.452 0.055 Sep-16 21 326,116 15,529 23.466 0.014 Oct-16 21 266,115 12,672 23.263 −0.203 Nov-16 21 443,034 21,097 23.772 0.510 Dec-16 21 310,614 14,791 23.417 −0.355 Jan-17 20 503,030 25,152 23.948 0.531 Feb-17 19 255,815 13,464 23.323 −0.625 Mar-17 23 723,870 31,473 24.172 0.849 Apr-17 19 255,275 13,436 23.321 −0.851 May-17 22 569,965 25,908 23.978 0.657 Jun-17 22 445,081 20,231 23.730 −0.247 Jul-17 20 291,167 14,558 23.401 −0.329 Aug-17 23 23.641896 0.327 19,535 449,296 Sep-17 20 23.643387 0.329 19,576 391,518 Oct-17 22 23.644878 0.331 19,617 431,581 Nov-17 21 23.646369 0.333 19,659 412,835 Dec-17 20 23.647860 0.335 19,700 394,008 Jan-18 21 23.649351 0.337 19,742 414,583 Feb-18 19 23.650841 0.338 19,784 375,892 Mar-18 21 23.652332 0.340 19,826 416,338 Apr-18 21 23.653823 0.342 19,868 417,219 May-18 22 23.655314 0.344 19,910 438,011 Jun-18 21 23.656805 0.346 19,952 418,986 Jul-18 21 23.658296 0.348 19,994 419,872 Aug-18 23 23.659787 0.349 20,036 460,832 Sep-18 19 23.661278 0.351 20,079 381,492 Footnotes
4. 15 U.S.C. 77f(b)(2). The annual adjustments are designed to adjust the fee rate in a given fiscal year so that, when applied to the aggregate maximum offering price at which securities are proposed to be offered for the fiscal year, it is reasonably likely to produce total fee collections under Section 6(b) equal to the “target fee collection amount” specified in Section 6(b)(6)(A) for that fiscal year.
Back to Citation6. Appendix A explains how we determined the “baseline estimate of the aggregate maximum offering price” for fiscal year 2018 using our methodology, and then shows the arithmetical process of calculating the fiscal year 2018 annual adjustment based on that estimate. The appendix includes the data used by the Commission in making its “baseline estimate of the aggregate maximum offering price” for fiscal year 2018.
Back to Citation8. 15 U.S.C. 77f(b), 78m(e) and 78n(g).
Back to Citation[FR Doc. 2017-18308 Filed 8-28-17; 8:45 am]
BILLING CODE 8011-01-P
Document Information
- Published:
- 08/29/2017
- Department:
- Securities and Exchange Commission
- Entry Type:
- Notice
- Document Number:
- 2017-18308
- Pages:
- 41080-41085 (6 pages)
- Docket Numbers:
- Release Nos. 33-10407, 34-81476/August 24, 2017
- PDF File:
- 2017-18308.pdf