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 Securities and Exchange Commission [Release Nos. 33-10407; 34-81476/August 24, 2017]
 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. By 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 $124.50 per million). Table A—Estimation of Baseline of Aggregate Maximum Offering Prices
Fee rate calculationa. Baseline estimate of the aggregate maximum offering prices, 10/1/17 to 9/30/18 ($Millions)
4,981,649b. Implied fee rate ($620 Million/a)
$124.50
 Month
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
23.468Aug-07
23
369,172
16,051
23.499
0.032Sep-07
19
241,059
12,687
23.264
−0.235Oct-07
23
239,652
10,420
23.067
−0.197Nov-07
21
458,654
21,841
23.807
0.740Dec-07
20
410,200
20,510
23.744
−0.063Jan-08
21
354,433
16,878
23.549
−0.195Feb-08
20
263,410
13,171
23.301
−0.248Mar-08
20
596,923
29,846
24.119
0.818Apr-08
22
292,534
13,297
23.311
−0.809May-08
21
456,077
21,718
23.801
0.491Jun-08
21
461,087
21,957
23.812
0.011Jul-08
22
232,896
10,586
23.083
−0.730Aug-08
21
395,440
18,830
23.659
0.576Sep-08
21
177,636
8,459
22.858
−0.800Oct-08
23
360,494
15,674
23.475
0.617Nov-08
19
288,911
15,206
23.445
−0.030( print page 41082)Dec-08
22
319,584
14,527
23.399
−0.046Jan-09
20
375,065
18,753
23.655
0.255Feb-09
19
249,666
13,140
23.299
−0.356Mar-09
22
739,931
33,633
24.239
0.940Apr-09
21
235,914
11,234
23.142
−1.097May-09
20
329,522
16,476
23.525
0.383Jun-09
22
357,524
16,251
23.511
−0.014Jul-09
22
185,187
8,418
22.854
−0.658Aug-09
21
192,726
9,177
22.940
0.086Sep-09
21
189,224
9,011
22.922
−0.018Oct-09
22
215,720
9,805
23.006
0.085Nov-09
20
248,353
12,418
23.242
0.236Dec-09
22
340,464
15,476
23.463
0.220Jan-10
19
173,235
9,118
22.933
−0.529Feb-10
19
209,963
11,051
23.126
0.192Mar-10
23
432,934
18,823
23.658
0.533Apr-10
21
280,188
13,342
23.314
−0.344May-10
20
278,611
13,931
23.357
0.043Jun-10
22
364,251
16,557
23.530
0.173Jul-10
21
171,191
8,152
22.822
−0.709Aug-10
22
240,793
10,945
23.116
0.295Sep-10
21
260,783
12,418
23.242
0.126Oct-10
21
214,988
10,238
23.049
−0.193Nov-10
21
340,112
16,196
23.508
0.459Dec-10
22
297,992
13,545
23.329
−0.179Jan-11
20
233,668
11,683
23.181
−0.148Feb-11
19
252,785
13,304
23.311
0.130Mar-11
23
595,198
25,878
23.977
0.665Apr-11
20
236,355
11,818
23.193
−0.784May-11
21
319,053
15,193
23.444
0.251Jun-11
22
359,727
16,351
23.518
0.073Jul-11
20
215,391
10,770
23.100
−0.418Aug-11
23
179,870
7,820
22.780
−0.320Sep-11
21
168,005
8,000
22.803
0.023Oct-11
21
181,452
8,641
22.880
0.077Nov-11
21
256,418
12,210
23.226
0.346Dec-11
21
237,652
11,317
23.150
−0.076Jan-12
20
276,965
13,848
23.351
0.202Feb-12
20
228,419
11,421
23.159
−0.193Mar-12
22
430,806
19,582
23.698
0.539Apr-12
20
173,626
8,681
22.884
−0.813May-12
22
414,122
18,824
23.658
0.774Jun-12
21
272,218
12,963
23.285
−0.373Jul-12
21
170,462
8,117
22.817
−0.468Aug-12
23
295,472
12,847
23.276
0.459Sep-12
19
331,295
17,437
23.582
0.305Oct-12
21
137,562
6,551
22.603
−0.979Nov-12
21
221,521
10,549
23.079
0.476Dec-12
20
321,602
16,080
23.501
0.422Jan-13
21
368,488
17,547
23.588
0.087Feb-13
19
252,148
13,271
23.309
−0.279Mar-13
20
533,440
26,672
24.007
0.698Apr-13
22
235,779
10,717
23.095
−0.912May-13
22
382,950
17,407
23.580
0.485Jun-13
20
480,624
24,031
23.903
0.322Jul-13
22
263,869
11,994
23.208
−0.695Aug-13
22
253,305
11,514
23.167
−0.041Sep-13
20
267,923
13,396
23.318
0.151Oct-13
23
293,847
12,776
23.271
−0.047Nov-13
20
326,257
16,313
23.515
0.244Dec-13
21
358,169
17,056
23.560
0.045Jan-14
21
369,067
17,575
23.590
0.030Feb-14
19
298,376
15,704
23.477
−0.113Mar-14
21
564,840
26,897
24.015
0.538Apr-14
21
263,401
12,543
23.252
−0.763May-14
21
403,700
19,224
23.679
0.427Jun-14
21
423,075
20,146
23.726
0.047Jul-14
22
373,811
16,991
23.556
−0.170Aug-14
21
405,017
19,287
23.683
0.127Sep-14
21
409,349
19,493
23.693
0.011Oct-14
23
338,832
14,732
23.413
−0.280Nov-14
19
386,898
20,363
23.737
0.324Dec-14
22
370,760
16,853
23.548
−0.189Jan-15
20
394,127
19,706
23.704
0.156( print page 41083)Feb-15
19
466,138
24,534
23.923
0.219Mar-15
22
753,747
34,261
24.257
0.334Apr-15
21
356,560
16,979
23.555
−0.702May-15
20
478,591
23,930
23.898
0.343Jun-15
22
446,102
20,277
23.733
−0.166Jul-15
22
402,062
18,276
23.629
−0.104Aug-15
21
334,746
15,940
23.492
−0.137Sep-15
21
289,872
13,803
23.348
−0.144Oct-15
22
300,276
13,649
23.337
−0.011Nov-15
20
409,690
20,485
23.743
0.406Dec-15
22
308,569
14,026
23.364
−0.379Jan-16
19
457,411
24,074
23.904
0.540Feb-16
20
554,343
27,717
24.045
0.141Mar-16
22
900,301
40,923
24.435
0.390Apr-16
21
250,716
11,939
23.203
−1.232May-16
21
409,992
19,523
23.695
0.492Jun-16
22
321,219
14,601
23.404
−0.291Jul-16
20
289,671
14,484
23.396
−0.008Aug-16
23
352,068
15,307
23.452
0.055Sep-16
21
326,116
15,529
23.466
0.014Oct-16
21
266,115
12,672
23.263
−0.203Nov-16
21
443,034
21,097
23.772
0.510Dec-16
21
310,614
14,791
23.417
−0.355Jan-17
20
503,030
25,152
23.948
0.531Feb-17
19
255,815
13,464
23.323
−0.625Mar-17
23
723,870
31,473
24.172
0.849Apr-17
19
255,275
13,436
23.321
−0.851May-17
22
569,965
25,908
23.978
0.657Jun-17
22
445,081
20,231
23.730
−0.247Jul-17
20
291,167
14,558
23.401
−0.329Aug-17
23




23.641896
0.327
19,535
449,296Sep-17
20




23.643387
0.329
19,576
391,518Oct-17
22




23.644878
0.331
19,617
431,581Nov-17
21




23.646369
0.333
19,659
412,835Dec-17
20




23.647860
0.335
19,700
394,008Jan-18
21




23.649351
0.337
19,742
414,583Feb-18
19




23.650841
0.338
19,784
375,892Mar-18
21




23.652332
0.340
19,826
416,338Apr-18
21




23.653823
0.342
19,868
417,219May-18
22




23.655314
0.344
19,910
438,011Jun-18
21




23.656805
0.346
19,952
418,986Jul-18
21




23.658296
0.348
19,994
419,872Aug-18
23




23.659787
0.349
20,036
460,832Sep-18
19




23.661278
0.351
20,079
381,492


# Footnotes

1.
    
                         15 U.S.C. 77f(b). Back to Citation
 2.
    
                         15 U.S.C. 78m(e). Back to Citation
 3.
    
                         15 U.S.C. 78n(g). Back to Citation
 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 Citation
 5.
    
                         15 U.S.C. 78m(e)(4) and 15 U.S.C. 78n(g)(4). Back to Citation
 6.
    
                         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 Citation
 7.
    
                         15 U.S.C. 77f(b)(4), 15 U.S.C. 78m(e)(6) and 15 U.S.C. 78n(g)(6). Back to Citation
 8.
    
                         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