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Notice

Joint Industry Plan; Notice of Filing of the Third Amendment to the National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc.

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Start Preamble March 7, 2013.

Pursuant to Section 11A of the Securities Exchange Act of 1934 (“Act”) [1] and Rule 608 thereunder [2] , Start Printed Page 15758notice is hereby given that, on February 21, 2013, NYSE Euronext, on behalf of New York Stock Exchange LLC (“NYSE”), NYSE MKT LLC (“NYSE MKT”), and NYSE Arca, Inc. (“NYSE Arca”), and the following parties to the National Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc. (collectively with NYSE, NYSE MKT, and NYSE Arca, the “Participants”), filed with the Securities and Exchange Commission (the “Commission”) a proposal to amend the Plan to Address Extraordinary Market Volatility (“Plan”).[3] The proposal represents the third amendment to the Plan (“Third Amendment”), and reflects changes unanimously approved by the Participants. The Third Amendment to the Plan proposes to amend the Plan to provide that odd-lot sized transactions will not be exempt from the Plan and proposes to make a clarifying technical change. A copy of the Plan, as proposed to be amended, is attached as Exhibit A hereto. The Commission is publishing this notice to solicit comments from interested persons on the Third Amendment to the Plan.

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

The Participants filed the Plan in order to create a market-wide limit up-limit down mechanism that is intended to address extraordinary market volatility in “NMS Stocks,” as defined in Rule 600(b)(47) of Regulation NMS under the Act.[4] The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would be designed to prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands.[5] These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity).

As set forth in Section V of the Plan, the price bands would consist of a Lower Price Band and an Upper Price Band for each NMS Stock.[6] The price bands would be calculated by the Securities Information Processors (“SIPs” or “Processors”) responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act.[7] Those price bands would be based on a Reference Price [8] for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period. The price bands for an NMS Stock would be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter [9] below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. Between 9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price bands would be calculated by applying double the Percentage Parameters.

The Processors would also calculate a Pro-Forma Reference Price for each NMS Stock on a continuous basis during Regular Trading Hours. If a Pro-Forma Reference Price did not move by one percent or more from the Reference Price in effect, no new price bands would be disseminated, and the current Reference Price would remain the effective Reference Price. If the Pro-Forma Reference Price moved by one percent or more from the Reference Price in effect, the Pro-Forma Reference Price would become the Reference Price, and the Processors would disseminate new price bands based on the new Reference Price. Each new Reference Price would remain in effect for at least 30 seconds.

When one side of the market for an individual security is outside the applicable price band, the Processors would be required to disseminate such National Best Bid[10] or National Best Offer [11] with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable price band, the market for an individual security would enter a Limit State,[12] and the Processors would be required to disseminate such National Best Offer or National Best Bid with an appropriate flag identifying it as a Limit State Quotation.[13] All trading would immediately enter a Limit State if the National Best Offer equals the Lower Limit Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Limit Band and does not cross the National Best Offer. Trading for an NMS Stock would exit a Limit State if, within 15 seconds of entering the Limit State, all Limit State Quotations were executed or canceled in their entirety. If the market did not exit a Limit State within 15 seconds, then the Primary Listing Exchange would declare a five-minute trading pause, which would be applicable to all markets trading the security.

These limit up-limit down requirements would be coupled with trading pauses [14] to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the Plan, all trading centers [15] in NMS Stocks, including both those operated by Participants and those operated by members of Participants, would be required to establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down and trading pause requirements specified in the Plan.

Under the Plan, all trading centers would be required to establish, Start Printed Page 15759maintain, and enforce written policies and procedures reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processors would disseminate an offer below the Lower Price Band or bid above the Upper Price Band that nevertheless inadvertently may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; such bid or offer would not be included in National Best Bid or National Best Offer calculations. In addition, all trading centers would be required to develop, maintain, and enforce policies and procedures reasonably designed to prevent trades at prices outside the price bands, with the exception of single-priced opening, reopening, and closing transactions on the Primary Listing Exchange.

As stated by the Participants in the Plan, the limit up-limit down mechanism is intended to reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks,[16] thereby protecting investors and promoting a fair and orderly market.[17] In particular, the Plan is designed to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010.[18]

The following summarizes the Third Amendment to the Plan and the rationale behind those changes:

  • Amending Section VI.A.1 of the Plan to clarify that odd-lot sized transactions are not exempt from the Plan. The Participants believe that odd-lot sized transactions should benefit from the protections of the Plan.
  • Amending Section VIII.A.3 of the Plan to clarify that no Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours. The proposed change is designed to reduce confusion by correcting language in the Plan.

B. Governing or Constituent Documents

The governing documents of the Processor, as defined in Section I(P) of the Plan, will not be affected by the Plan, but once the Plan is implemented, the Processor's obligations will change, as set forth in detail in the Plan. In particular, as set forth in Section V of the Plan, the Processor will be responsible for calculating and disseminating Price Bands during Regular Trading Hours, as defined in Section I(R) of the Plan. Each Participant would take such actions as are necessary and appropriate as a party to the Market Data Plans, as defined in Section I(F) of the Plan, to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in the Plan.

C. Implementation of Plan

The initial date of the Plan operations will be April 8, 2013.

D. Development and Implementation Phases

The Plan will be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the Plan: Phase I of Plan implementation will begin on the initial date of Plan operations, in select symbols, with full Phase I of the Plan implementation completed three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice; Phase II of Plan will commence six months after the initial date of the Plan or such earlier date as may be announced by the Processor with at least 30 days notice. The Participants proposed that Phase II of the Plan will begin on the first Monday after the six months after the initial date of the Plan, or if an earlier date is determined, Phase II will begin on a Monday.

At the beginning of Phase I, the Plan shall apply to select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan. During full Phase I implementation, the Plan shall apply to all Tier 1 NMS Stocks, as defined in Appendix A of the Plan, and the first price bands shall be calculated and disseminated as specified in Section V(A) of the Plan. In Phase II, the Plan shall fully apply to all NMS Stocks.

Phase I and Phase II of the Plan may each be rolled out to applicable NMS Stocks over a period not to exceed two weeks. Any such roll-out period will be made available in advance of the implementation dates for Phases I and II of the Plan via the Participants' Web sites and trader updates, as applicable.

E. Analysis of Impact on Competition

The Participants do not believe that the Plan imposes any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants also do not believe that the Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.[19]

F. Written Understanding or Agreements Relating to Interpretation of, or Participation in, Plan

The Participants state that they have no written understandings or agreements relating to interpretation of the Plan. Section II(C) of the Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Participant.

G. Approval of Amendment of the Plan

Each of the Plan's Participants has executed a written amended Plan.

H. Terms and Conditions of Access

Section II(C) of the Plan provides that any entity registered as a national securities exchange or national securities association under the Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans, as defined in Section I(F) of the Plan; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan.

I. Method of Determination and Imposition, and Amount of, Fees and Charges

Not applicable.

J. Method and Frequency of Processor Evaluation

Not applicable.

K. Dispute Resolution

The Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee.[20] No later than the initial date of the Plan, the Operating Committee would be required to designate one member of the Operating Committee to act as the Chair of the Operating Committee. The Operating Committee shall monitor the procedures established pursuant to the Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. Any recommendation for an amendment to the Plan from the Operating Committee Start Printed Page 15760that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS under the Act.[21]

II. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Third Amendment to the Plan is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

Paper Comments

  • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number 4-631. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/​rules/​sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Third Amendment to the Plan that are filed with the Commission, and all written communications relating to the Third Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549 on official business days between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be available for inspection and copying at the Participants' principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4-631 and should be submitted on or before April 2, 2013.

Start Signature

By the Commission.

Kevin M. O'Neill,

Deputy Secretary.

End Signature

Exhibit A

Proposed new language is italicized; proposed deletions are in [brackets].

Plan To Address Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934

Table of Contents

Section

Preamble
I. Definitions
II. Parties
III. Amendments to Plan
IV. Trading Center Policies and Procedures
V. Price Bands
VI. Limit Up-Limit Down Requirements
VII. Trading Pauses
VIII. Implementation
IX. Withdrawal from Plan
X. Counterparts and Signatures
Appendix A—Percentage Parameters
Appendix A—Schedule 1
Appendix B—Data

Preamble

The Participants submit to the SEC this Plan establishing procedures to address extraordinary volatility in NMS Stocks. The procedures provide for market-wide limit up-limit down requirements that prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. These limit up-limit down requirements are coupled with Trading Pauses to accommodate more fundamental price moves. The Plan procedures are designed, among other things, to protect investors and promote fair and orderly markets. The Participants developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under the Exchange Act, which authorizes the Participants to act jointly in preparing, filing, and implementing national market system plans.

I. Definitions

(A) “Eligible Reported Transactions” shall have the meaning prescribed by the Operating Committee and shall generally mean transactions that are eligible to update the last sale price of an NMS Stock.

(B) “Exchange Act” means the Securities Exchange Act of 1934, as amended.

(C) “Limit State” shall have the meaning provided in Section VI of the Plan.

(D) “Limit State Quotation” shall have the meaning provided in Section VI of the Plan.

(E) “Lower Price Band” shall have the meaning provided in Section V of the Plan.

(F) “Market Data Plans” shall mean the effective national market system plans through which the Participants act jointly to disseminate consolidated information in compliance with Rule 603(b) of Regulation NMS under the Exchange Act.

(G) “National Best Bid” and “National Best Offer” shall have the meaning provided in Rule 600(b)(42) of Regulation NMS under the Exchange Act.

(H) “NMS Stock” shall have the meaning provided in Rule 600(b)(47) of Regulation NMS under the Exchange Act.

(I) “Opening Price” shall mean the price of a transaction that opens trading on the Primary Listing Exchange, or, if the Primary Listing Exchange opens with quotations, the midpoint of those quotations.

(J) “Operating Committee” shall have the meaning provided in Section III(C) of the Plan.

(K) “Participant” means a party to the Plan.

(L) “Plan” means the plan set forth in this instrument, as amended from time to time in accordance with its provisions.

(M) “Percentage Parameter” shall mean the percentages for each tier of NMS Stocks set forth in Appendix A of the Plan.

(N) “Price Bands” shall have the meaning provided in Section V of the Plan.

(O) “Primary Listing Exchange” shall mean the Participant on which an NMS Stock is listed. If an NMS Stock is listed on more than one Participant, the Participant on which the NMS Stock has been listed the longest shall be the Primary Listing Exchange.

(P) “Processor” shall mean the single plan processor responsible for the consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act.

(Q) “Pro-Forma Reference Price” shall have the meaning provided in Section V(A)(2) of the Plan.

(R) “Regular Trading Hours” shall have the meaning provided in Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes of the Plan, Regular Trading Hours can end earlier Start Printed Page 15761than 4:00 p.m. ET in the case of an early scheduled close.

(S) “Regulatory Halt” shall have the meaning specified in the Market Data Plans.

(T) “Reference Price” shall have the meaning provided in Section V of the Plan.

(U) “Reopening Price” shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations.

(V) “SEC” shall mean the United States Securities and Exchange Commission.

(W) “Straddle State” shall have the meaning provided in Section VII(A)(2) of the Plan.

(X) “Trading center” shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act.

(Y) “Trading Pause” shall have the meaning provided in Section VII of the Plan.

(Z) “Upper Price Band” shall have the meaning provided in Section V of the Plan.

II. Parties

(A) List of Parties

The parties to the Plan are as follows:

(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214

(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214

(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle Street, Chicago, Illinois 60605

(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605

(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey City, NJ 07310

(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey City, NJ 07310

(7) Financial Industry Regulatory Authority, Inc., 1735 K Street NW., Washington, DC 20006

(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006

(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103

(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006

(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey City, NJ 07302

(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005

(13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005

(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 60606

(B) Compliance Undertaking

By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan.

(C) New Participants

The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan.

(D) Advisory Committee

(1) Formation. Notwithstanding other provisions of this Plan, an Advisory Committee to the Plan shall be formed and shall function in accordance with the provisions set forth in this section.

(2) Composition. Members of the Advisory Committee shall be selected for two-year terms as follows:

(A) Advisory Committee Selections. By affirmative vote of a majority of the Participants, the Participants shall select at least one representatives from each of the following categories to be members of the Advisory Committee: (1) A broker-dealer with a substantial retail investor customer base; (2) a broker-dealer with a substantial institutional investor customer base; (3) an alternative trading system; (4) a broker-dealer that primarily engages in trading for its own account; and (5) an investor.

(3) Function. Members of the Advisory Committee shall have the right to submit their views to the Operating Committee on Plan matters, prior to a decision by the Operating Committee on such matters. Such matters shall include, but not be limited to, proposed material amendments to the Plan.

(4) Meetings and Information. Members of the Advisory Committee shall have the right to attend meetings of the Operating Committee and to receive any information concerning Plan matters; provided, however, that the Operating Committee may meet in executive session if, by affirmative vote of a majority of the Participants, the Operating Committee determines that an item of Plan business requires confidential treatment.

III. Amendments to Plan

(A) General Amendments

Except with respect to the addition of new Participants to the Plan, any proposed change in, addition to, or deletion from the Plan shall be effected by means of a written amendment to the Plan that: (1) Sets forth the change, addition, or deletion; (2) is executed on behalf of each Participant; and, (3) is approved by the SEC pursuant to Rule 608 of Regulation NMS under the Exchange Act, or otherwise becomes effective under Rule 608 of Regulation NMS under the Exchange Act.

(B) New Participants

With respect to new Participants, an amendment to the Plan may be effected by the new national securities exchange or national securities association executing a copy of the Plan, as then in effect (with the only changes being the addition of the new Participant's name in Section II(A) of the Plan) and submitting such executed Plan to the SEC for approval. The amendment shall be effective when it is approved by the SEC in accordance with Rule 608 of Regulation NMS under the Exchange Act or otherwise becomes effective pursuant to Rule 608 of Regulation NMS under the Exchange Act.

(C) Operating Committee

(1) Each Participant shall select from its staff one individual to represent the Participant as a member of an Operating Committee, together with a substitute for such individual. The substitute may participate in deliberations of the Operating Committee and shall be considered a voting member thereof only in the absence of the primary representative. Each Participant shall have one vote on all matters considered by the Operating Committee. No later than the initial date of Plan operations, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee.

(2) The Operating Committee shall monitor the procedures established Start Printed Page 15762pursuant to this Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. The Operating Committee shall establish specifications and procedures for the implementation and operation of the Plan that are consistent with the provisions of this Plan and the Appendixes thereto. With respect to matters in this paragraph, Operating Committee decisions shall be approved by a simple majority vote.

(3) Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the SEC as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS.

IV. Trading Center Policies and Procedures

All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down requirements specified in Sections VI of the Plan, and to comply with the Trading Pauses specified in Section VII of the Plan.

V. Price Bands

(A) Calculation and Dissemination of Price Bands

(1) The Processor for each NMS stock shall calculate and disseminate to the public a Lower Price Band and an Upper Price Band during Regular Trading Hours for such NMS Stock. The Price Bands shall be based on a Reference Price for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS stock over the immediately preceding five-minute period (except for periods following openings and reopenings, which are addressed below). If no Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding five-minute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. The Price Bands shall be calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before the early scheduled close, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If a Reopening Price does not occur within ten minutes after the beginning of a Trading Pause, the Price Band, for the first 30 seconds following the reopening after that Trading Pause, shall be calculated by applying triple the Percentage Parameters set forth in Appendix A.

(2) The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new Price Bands based on the new Reference Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds.

(B) Openings

(1) Except when a Regulatory Halt is in effect at the start of Regular Trading Hours, the first Reference Price for a trading day shall be the Opening Price on the Primary Listing Exchange in an NMS Stock if such Opening Price occurs less than five minutes after the start of Regular Trading Hours. During the period less than five minutes after the Opening Price, a Pro-Forma Reference Price shall be updated on a continuous basis to be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock during the period following the Opening Price (including the Opening Price), and if it differs from the current Reference Price by 1% or more shall become the new Reference Price, except that a new Reference Price shall remain in effect for at least 30 seconds. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.

(2) If the Opening Price on the Primary Listing Exchange in an NMS Stock does not occur within five minutes after the start of Regular Trading Hours, the first Reference Price for a trading day shall be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.

(C) Reopenings

(1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange if such Reopening Price occurs within ten minutes after the beginning of the Trading Pause, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Reopening Price does not occur within ten minutes after the beginning of the Trading Pause, the first Reference Price following the Trading Pause shall be equal to the last effective Reference Price before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.

(2) Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the Primary Listing Exchange if such Opening or Reopening Price occurs within five minutes after the end of the Regulatory Halt, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Opening or Reopening Price has not occurred within five minutes after the end of the Regulatory Halt, the Reference Price shall be equal to the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.

VI. Limit Up-Limit Down Requirements

(A) Limitations on Trades and Quotations Outside of Price Bands

(1) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent trades at prices that are below the Lower Price Band or above the Upper Price Band for an NMS Stock. Single-priced opening, reopening, and closing transactions on the Primary Listing Exchange, however, shall be excluded from this limitation. In addition, any transaction that both (i) does not update the last sale price (except if solely because the transaction was reported late or because the Start Printed Page 15763transaction was an odd-lot sized transaction), and (ii) is excepted or exempt from Rule 611 under Regulation NMS shall be excluded from this limitation.

(2) When a National Best Bid is below the Lower Price Band or a National Best Offer is above the Upper Price Band for an NMS Stock, the Processor shall disseminate such National Best Bid or National Best Offer with an appropriate flag identifying it as non-executable. When a National Best Offer is equal to the Lower Price Band or a National Best Bid is equal to the Upper Price Band for an NMS Stock, the Processor shall distribute such National Best Bid or National Best Offer with an appropriate flag identifying it as a “Limit State Quotation”.

(3) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processor shall disseminate an offer below the Lower Price Band or bid above the Upper Price Band that may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; provided, however, that any such bid or offer shall not be included in National Best Bid or National Best Offer calculations.

(B) Entering and Exiting a Limit State

(1) All trading for an NMS Stock shall immediately enter a Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer.

(2) When trading for an NMS Stock enters a Limit State, the Processor shall disseminate this information by identifying the relevant quotation (i.e., a National Best Offer that equals the Lower Price Band or a National Best Bid that equals the Upper Price Band) as a Limit State Quotation. At this point, the Processor shall cease calculating and disseminating updated Reference Prices and Price Bands for the NMS Stock until either trading exits the Limit State or trading resumes with an opening or re-opening as provided in Section V.

(3) Trading for an NMS Stock shall exit a Limit State if, within 15 seconds of entering the Limit State, the entire size of all Limit State Quotations are executed or cancelled.

(4) If trading for an NMS Stock exits a Limit State within 15 seconds of entry, the Processor shall immediately calculate and disseminate updated Price Bands based on a Reference Price that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period (including the period of the Limit State).

(5) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry, the Limit State will terminate when the Primary Listing Exchange declares a Trading Pause pursuant to Section VII of the Plan or at the end of Regular Trading Hours.

VII. Trading Pauses

(A) Declaration of Trading Pauses

(1) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry during Regular Trading Hours, then the Primary Listing Exchange shall declare a Trading Pause for such NMS Stock and shall notify the Processor.

(2) The Primary Listing Exchange may also declare a Trading Pause for an NMS Stock when an NMS Stock is in a Straddle State, which is when National Best Bid (Offer) is below (above) the Lower (Upper) Price Band and the NMS Stock is not in a Limit State, and trading in that NMS Stock deviates from normal trading characteristics such that declaring a Trading Pause would support the Plan's goal to address extraordinary market volatility. The Primary Listing Exchange shall develop policies and procedures for determining when it would declare a Trading Pause in such circumstances. If a Trading Pause is declared for an NMS Stock under this provision, the Primary Listing Exchange shall notify the Processor.

(3) The Processor shall disseminate Trading Pause information to the public. No trades in an NMS Stock shall occur during a Trading Pause, but all bids and offers may be displayed.

(B) Reopening of Trading During Regular Trading Hours

(1) Five minutes after declaring a Trading Pause for an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the Primary Listing Exchange shall attempt to reopen trading using its established reopening procedures. The Trading Pause shall end when the Primary Listing Exchange reports a Reopening Price.

(2) The Primary Listing Exchange shall notify the Processor if it is unable to reopen trading in an NMS Stock for any reason other than a significant order imbalance and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public, and all trading centers may begin trading the NMS Stock at this time.

(3) If the Primary Listing Exchange does not report a Reopening Price within ten minutes after the declaration of a Trading Pause in an NMS Stock, and has not declared a Regulatory Halt, all trading centers may begin trading the NMS Stock.

(4) When trading begins after a Trading Pause, the Processor shall update the Price Bands as set forth in Section V(C)(1) of the Plan.

(C) Trading Pauses Within Five Minutes of the End of Regular Trading Hours

(1) If a Trading Pause for an NMS Stock is declared less than five minutes before the end of Regular Trading Hours, the Primary Listing Exchange shall attempt to execute a closing transaction using its established closing procedures. All trading centers may begin trading the NMS Stock when the Primary Listing Exchange executes a closing transaction.

(2) If the Primary Listing Exchange does not execute a closing transaction within five minutes after the end of Regular Trading Hours, all trading centers may begin trading the NMS Stock.

VIII. Implementation

The initial date of Plan operations shall be April 8, 2013.

(A) Phase I

(1) On the initial date of Plan operations, Phase I of Plan implementation shall begin in select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan.

(2) Three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified in Appendix A of the Plan.

(3) During Phase I, the first Price Bands for a trading day shall be calculated and disseminated 15 minutes after the start of Regular Trading Hours as specified in Section (V)(A) of the Plan. No Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours[, and trading shall not enter a Limit State less than 25 minutes before the end of Regular Trading Hours].

(B) Phase II—Full Implementation

Six months after the initial date of Plan operations, or such earlier date as Start Printed Page 15764may be announced by the Processor with at least 30 days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close.

(C) Pilot

The Plan shall be implemented on a one-year pilot basis.

IX. Withdrawal From Plan

If a Participant obtains SEC approval to withdraw from the Plan, such Participant may withdraw from the Plan at any time on not less than 30 days' prior written notice to each of the other Participants. At such time, the withdrawing Participant shall have no further rights or obligations under the Plan.

X. Counterparts and Signatures

The Plan may be executed in any number of counterparts, no one of which need contain all signatures of all Participants, and as many of such counterparts as shall together contain all such signatures shall constitute one and the same instrument.

IN WITNESS THEREOF, this Plan has been executed as of the __ day of ____ 2013 by each of the parties hereto.

BATS EXCHANGE, INC.

BY:

CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED

BY:

EDGA EXCHANGE, INC.

BY:

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.

BY:

NASDAQ OMX PHLX LLC

BY:

NATIONAL STOCK EXCHANGE, INC.

BY:

NYSE MKT LLC

BY:

BATS Y-EXCHANGE, INC.

BY:

CHICAGO STOCK EXCHANGE, INC.

BY:

EDGX EXCHANGE, INC.

BY:

NASDAQ OMX BX, INC.

BY:

THE NASDAQ STOCK MARKET LLC

BY:

NEW YORK STOCK EXCHANGE LLC

BY:

NYSE ARCA, INC.

BY:

Appendix A—Percentage Parameters

I. Tier 1 NMS Stocks

(1) Tier 1 NMS Stocks shall include all NMS Stocks included in the S&P 500 Index, the Russell 1000 Index, and the exchange-traded products (“ETP”) listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume (“CADV”). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS Stock. To ensure that ETPs that track similar benchmarks but that do not meet this volume criterion do not become subject to pricing volatility when a component security is the subject of a trading pause, non-leveraged ETPs that have traded below this volume criterion, but that track the same benchmark as an ETP that does meet the volume criterion, will be deemed eligible to be included as a Tier 1 NMS Stock. The semi-annual updates to Schedule 1 do not require an amendment to the Plan. The Primary Listing Exchanges will maintain the updated Schedule 1 on their respective Web sites.

(2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than $3.00 shall be 5%.

(3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.

(4) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.

(5) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.

II. Tier 2 NMS Stocks

(1) Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1, provided, however, that all rights and warrants are excluded from the Plan.

(2) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price more than $3.00 shall be 10%.

(3) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.

(4) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.

(5) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or (4) above, multiplied by the leverage ratio of such product.

(6) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.

Appendix A—Schedule 1

SymbolName
AAVXETRACS Daily Short 1-Month S&P 500 VIX Futures ETN.
AAXJiShares MSCI All Country Asia ex Japan Index Fund.
ACWIiShares MSCI ACWI Index Fund.
ACWXiShares MSCI ACWI ex US Index Fund.
AGGiShares Barclays Aggregate Bond Fund.
AGZiShares Barclays Agency Bond Fund.
ALDWisdomTree Asia Local Debt Fund.
AMJJPMorgan Alerian MLP Index ETN.
AMLPAlerian MLP ETF.
BABPowerShares Build America Bond Portfolio.
BDGPowerShares DB Base Metals Long ETN.
BIKSPDR S&P BRIC 40 ETF.
BILSPDR Barclays Capital 1-3 Month T-Bill ETF.
BIVVanguard Intermediate-Term Bond ETF.
BKFiShares MSCI BRIC Index Fund.
Start Printed Page 15765
BKLNPowerShares Senior Loan Portfolio.
BLVVanguard Long-Term Bond ETF.
BNDVanguard Total Bond Market ETF.
BNOUnited States Brent Oil Fund LP.
BONDPimco Total Return ETF.
BOSPowerShares DB Base Metals Short ETN.
BRFMarket Vectors Brazil Small-Cap ETF.
BSVVanguard Short-Term Bond ETF.
BWXSPDR Barclays Capital International Treasury Bond ETF.
BXDBBarclays ETN+short B Leveraged ETN Linked to S&P 500.
CEWWisdomTree Dreyfus Emerging Currency Fund.
CFTiShares Barclays Credit Bond Fund.
CIUiShares Barclays Intermediate Credit Bond Fund.
CLYiShares 10+ Year Credit Bond Fund.
CORNTeucrium Corn Fund.
CSJiShares Barclays 1-3 Year Credit Bond Fund.
CVYGuggenheim Multi-Asset Income ETF.
CWBSPDR Barclays Capital Convertible Securities ETF.
CWISPDR MSCI ACWI ex-US ETF.
CYBWisdomTree Dreyfus Chinese Yuan Fund.
DBAPowerShares DB Agriculture Fund.
DBBPowerShares DB Base Metals Fund.
DBCPowerShares DB Commodity Index Tracking Fund.
DBEPowerShares DB Energy Fund.
DBOPowerShares DB Oil Fund.
DBPPowerShares DB Precious Metals Fund.
DBVPowerShares DB G10 Currency Harvest Fund.
DEMWisdomTree Emerging Markets Equity Income Fund.
DGLPowerShares DB Gold Fund.
DGSWisdomTree Emerging Markets SmallCap Dividend Fund.
DGZPowerShares DB Gold Short ETN.
DHSWisdomTree Equity Income Fund.
DIASPDR Dow Jones Industrial Average ETF Trust.
DJCIE-TRACS UBS AG Dow Jones-UBS Commodity Index Total Return ETN.
DJPiPath Dow Jones-UBS Commodity Index Total Return ETN.
DLNWisdomTree LargeCap Dividend Fund.
DOGProShares Short Dow30.
DONWisdomTree MidCap Dividend Fund.
DOOWisdomTree International Dividend Ex-Financials Fund.
DTNWisdomTree Dividend Ex-Financials Fund.
DVYiShares Dow Jones Select Dividend Index Fund.
DWMWisdomTree DEFA Fund.
DWXSPDR S&P International Dividend ETF.
DXJWisdomTree Japan Hedged Equity Fund.
ECHiShares MSCI Chile Investable Market Index Fund.
ECONEGShares Emerging Markets Consumer ETF.
EDIVSPDR S&P Emerging Markets Dividend ETF.
EDVVanguard Extended Duration Treasury ETF.
EEBGuggenheim BRIC ETF.
EEMiShares MSCI Emerging Markets Index Fund.
EFAiShares MSCI EAFE Index Fund.
EFGiShares MSCI EAFE Growth Index.
EFViShares MSCI EAFE Value Index.
EFZProShares Short MSCI EAFE.
EIDOiSHARES MSCI Indonesia Investable Market Index Fund.
ELDWisdomTree Emerging Markets Local Debt Fund.
ELRSPDR Dow Jones Large Cap ETF.
EMBiShares JPMorgan USD Emerging Markets Bond Fund.
EMLCMarket Vectors Emerging Markets Local Currency Bond ETF.
EMMSPDR Dow Jones Mid Cap ETF.
EPHEiShares MSCI Philippines Investable Market Index Fund.
EPIWisdomTree India Earnings Fund.
EPPiShares MSCI Pacific ex-Japan Index Fund.
EPUiShares MSCI All Peru Capped Index Fund.
ERUSiShares MSCI Russia Capped Index Fund.
EUMProShares Short MSCI Emerging Markets.
EWAiShares MSCI Australia Index Fund.
EWCiShares MSCI Canada Index Fund.
EWDiShares MSCI Sweden Index Fund.
EWGiShares MSCI Germany Index Fund.
EWHiShares MSCI Hong Kong Index Fund.
EWIiShares MSCI Italy Index Fund.
Start Printed Page 15766
EWJiShares MSCI Japan Index Fund.
EWLiShares MSCI Switzerland Index Fund.
EWMiShares MSCI Malaysia Index Fund.
EWPiShares MSCI Spain Index Fund.
EWQiShares MSCI France Index Fund.
EWSiShares MSCI Singapore Index Fund.
EWTiShares MSCI Taiwan Index Fund.
EWUiShares MSCI United Kingdom Index Fund.
EWWiShares MSCI Mexico Investable Market Index Fund.
EWXSPDR S&P Emerging Markets SmallCap ETF.
EWYiShares MSCI South Korea Index Fund.
EWZiShares MSCI Brazil Index Fund.
EZAiShares MSCI South Africa Index Fund.
EZUiShares MSCI EMU Index Fund.
FBTFirst Trust NYSE Arca Biotechnology Index Fund.
FCGFirst Trust ISE-Revere Natural Gas Index Fund.
FDLFirst Trust Morningstar Dividend Leaders Index.
FDNFirst Trust Dow Jones Internet Index Fund.
FEXFirst Trust Large Cap Core AlphaDEX Fund.
FEZSPDR EURO STOXX 50 ETF.
FGDFirst Trust DJ Global Select Dividend Index Fund.
FLATiPath US Treasury Flattener ETN.
FNXFirst Trust Mid Cap Core AlphaDEX Fund.
FRIFirst Trust S&P REIT Index Fund.
FVDFirst Trust Value Line Dividend Index Fund.
FXACurrencyShares Australian Dollar Trust.
FXBCurrencyShares British Pound Sterling Trust.
FXCCurrencyShares Canadian Dollar Trust.
FXDFirst Trust Consumer Discretionary AlphaDEX Fund.
FXECurrencyShares Euro Trust.
FXFCurrencyShares Swiss Franc Trust.
FXGFirst Trust Consumer Staples AlphaDEX Fund.
FXHFirst Trust Health Care AlphaDEX Fund.
FXIiShares FTSE China 25 Index Fund.
FXLFirst Trust Technology AlphaDEX Fund.
FXUFirst Trust Utilities AlphaDEX Fund.
FXYCurrencyShares Japanese Yen Trust.
FXZFirst Trust Materials AlphaDEX Fund.
GAZiPath Dow Jones-UBS Natural Gas Subindex Total Return ETN.
GCCGreenHaven Continuous Commodity Index Fund.
GDXMarket Vectors Gold Miners ETF.
GDXJMarket Vectors Junior Gold Miners ETF.
GIYGuggenheim Enhanced Core Bond ETF.
GLDSPDR Gold Shares.
GMFSPDR S&P Emerging Asia Pacific ETF.
GNRSPDR S&P Global Natural Resources ETF.
GOVTiShares Barclays U.S. Treasury Bond Fund.
GSGiShares S&P GSCI Commodity Indexed Trust.
GSPiPath GSCI Total Return Index ETN.
GSYGuggenheim Enhanced Short Duration Bond ETF.
GVIiShares Barclays Intermediate Government/Credit Bond Fund.
GWXSPDR S&P International Small Cap ETF.
GXCSPDR S&P China ETF.
GXGGlobal X FTSE Colombia 20 ETF.
HAOGuggenheim China Small Cap ETF.
HDGEActive Bear ETF/The.
HDViShares High Dividend Equity Fund.
HYDMarket Vectors High Yield Municipal Index ETF.
HYGiShares iBoxx $ High Yield Corporate Bond Fund.
HYSPIMCO 0-5 Year High Yield Corporate Bond Index Fund.
IAUiShares Gold Trust.
IBBiShares Nasdaq Biotechnology Index Fund.
ICFiShares Cohen & Steers Realty Majors Index Fund.
ICIiPath Optimized Currency Carry ETN.
IDUiShares Dow Jones US Utilities Sector Index Fund.
IDViShares Dow Jones International Select Dividend Index Fund.
IDXMarket Vectors Indonesia Index ETF.
IEFiShares Barclays 7-10 Year Treasury Bond Fund.
IEIiShares Barclays 3-7 Year Treasury Bond Fund.
IEOiShares Dow Jones US Oil & Gas Exploration & Production Index Fund.
IEViShares S&P Europe 350 Index Fund.
IEZiShares Dow Jones US Oil Equipment & Services Index Fund.
Start Printed Page 15767
IGEiShares S&P North American Natural Resources Sector Index Fund.
IGFiShares S&P Global Infrastructure Index Fund.
IGOViShares S&P/Citigroup International Treasury Bond Fund.
IGSProShares Short Investment Grade Corporate.
IGViShares S&P North American Technology-Software Index Fund.
IHEiShares Dow Jones US Pharmaceuticals Index Fund.
IHFiShares Dow Jones US Healthcare Providers Index Fund.
IHIiShares Dow Jones US Medical Devices Index Fund.
IJHiShares S&P MidCap 400 Index Fund.
IJJiShares S&P MidCap 400/BARRA Value Index Fund.
IJKiShares S&P MidCap 400 Growth Index Fund.
IJRiShares S&P SmallCap 600 Index Fund.
IJSiShares S&P SmallCap 600 Value Index Fund.
IJTiShares S&P SmallCap 600/BARRA Growth Index Fund.
ILFiShares S&P Latin America 40 Index Fund.
INDAiShares MSCI India Index Fund.
INDYiShares S&P India Nifty 50 Index Fund.
INPiPath MSCI India Index ETN.
IOOiShares S&P Global 100 Index Fund.
IPESPDR Barclays Capital TIPS ETF.
ITBiShares Dow Jones US Home Construction Index Fund.
ITMMarket Vectors Intermediate Municipal ETF.
IVEiShares S&P 500 Value Index Fund.
IVOOVanguard S&P Mid-Cap 400 ETF.
IVOPiPath Inverse S&P 500 VIX Short-Term FuturesTM ETN II.
IVViShares S&P 500 Index Fund/US.
IVWiShares S&P 500 Growth Index Fund.
IWBiShares Russell 1000 Index Fund.
IWCiShares Russell Microcap Index Fund.
IWDiShares Russell 1000 Value Index Fund.
IWFiShares Russell 1000 Growth Index Fund.
IWMiShares Russell 2000 Index Fund.
IWNiShares Russell 2000 Value Index Fund.
IWOiShares Russell 2000 Growth Index Fund.
IWPiShares Russell Midcap Growth Index Fund.
IWRiShares Russell Midcap Index Fund.
IWSiShares Russell Midcap Value Index Fund.
IWViShares Russell 3000 Index Fund.
IWWiShares Russell 3000 Value Index Fund.
IWYiShares Russell Top 200 Growth Index Fund.
IWZiShares Russell 3000 Growth Index Fund.
IXCiShares S&P Global Energy Sector Index Fund.
IXGiShares S&P Global Financials Sector Index Fund.
IXJiShares S&P Global Healthcare Sector Index Fund.
IXNiShares S&P Global Technology Sector Index Fund.
IXPiShares S&P Global Telecommunications Sector Index Fund.
IYCiShares Dow Jones US Consumer Services Sector Index Fund.
IYEiShares Dow Jones US Energy Sector Index Fund.
IYFiShares Dow Jones US Financial Sector Index Fund.
IYGiShares Dow Jones US Financial Services Index Fund.
IYHiShares Dow Jones US Healthcare Sector Index Fund.
IYJiShares Dow Jones US Industrial Sector Index Fund.
IYKiShares Dow Jones US Consumer Goods Sector Index Fund.
IYMiShares Dow Jones US Basic Materials Sector Index Fund.
IYRiShares Dow Jones US Real Estate Index Fund.
IYTiShares Dow Jones Transportation Average Index Fund.
IYWiShares Dow Jones US Technology Sector Index Fund.
IYYiShares Dow Jones US Index Fund.
IYZiShares Dow Jones US Telecommunications Sector Index Fund.
JJCiPath Dow Jones-UBS Copper Subindex Total Return ETN.
JJGiPath Dow Jones-UBS Grains Subindex Total Return ETN.
JNKSPDR Barclays Capital High Yield Bond ETF.
JXIiShares S&P Global Utilities Sector Index Fund.
JYNiPath JPY/USD Exchange Rate ETN.
KBESPDR S&P Bank ETF.
KBWBPowerShares KBW Bank Portfolio.
KIESPDR S&P Insurance ETF.
KOLMarket Vectors Coal ETF.
KRESPDR S&P Regional Banking ETF.
KXIiShares S&P Global Consumer Staples Sector Index Fund.
LAGSPDR Barclays Capital Aggregate Bond ETF.
LQDiShares iBoxx Investment Grade Corporate Bond Fund.
Start Printed Page 15768
LTPZPIMCO 15+ Year US TIPS Index Fund.
LWCSPDR Barclays Capital Long Term Corporate BondETF.
MBBiShares Barclays MBS Bond Fund.
MBGSPDR Barclays Capital Mortgage Backed Bond ETF.
MCHIiShares MSCI China Index Fund.
MDYSPDR S&P MidCap 400 ETF Trust.
MGCVanguard Mega Cap 300 ETF.
MGKVanguard Mega Cap 300 Growth ETF.
MINTPIMCO Enhanced Short Maturity Strategy Fund.
MLPIUBS E-TRACS Alerian MLP Infrastructure ETN.
MLPNCredit Suisse Cushing 30 MLP Index ETN.
MOOMarket Vectors Agribusiness ETF.
MUBiShares S&P National Municipal Bond Fund.
MXIiShares S&P Global Materials Sector Index Fund.
MYYProShares Short MidCap 400.
NKYMAXIS Nikkei 225 Index Fund ETF.
OEFiShares S&P 100 Index Fund.
OIHMarket Vectors Oil Service ETF.
OILiPath Goldman Sachs Crude Oil Total Return Index ETN.
PALLETFS Physical Palladium Shares.
PBJPowershares Dynamic Food & Beverage Portfolio.
PCEFPowerShares CEF Income Composite Portfolio.
PCYPowerShares Emerging Markets Sovereign Debt Portfolio.
PDPPowershares DWA Technical Leaders Portfolio.
PEYPowerShares High Yield Equity Dividend Achievers Portfolio.
PFFiShares S&P US Preferred Stock Index Fund.
PFMPowerShares Dividend Achievers Portfolio.
PGFPowerShares Financial Preferred Portfolio.
PGXPowerShares Preferred Portfolio.
PHBPowerShares Fundamental High Yield Corporate Bond Portfolio.
PHOPowerShares Water Resources Portfolio.
PHYSSprott Physical Gold Trust.
PIDPowerShares International Dividend Achievers Portfolio.
PIEPowerShares DWA Emerging Markets Technical Leaders Portfolio.
PINPowerShares India Portfolio.
PJPPowershares Dynamic Pharmaceuticals Portfolio.
PLWPowerShares 1-30 Laddered Treasury Portfolio.
PPHMarket Vectors Pharmaceutical ETF.
PPLTETFS Platinum Trust.
PRFPowershares FTSE RAFI US 1000 Portfolio.
PRFZPowerShares FTSE RAFI US 1500 Small-Mid Portfolio.
PSLVSprott Physical Silver Trust.
PSPPowerShares Global Listed Private Equity Portfolio.
PSQProShares Short QQQ.
PVIPowerShares VRDO Tax Free Weekly Portfolio.
PXHPowerShares FTSE RAFI Emerging Markets Portfolio.
PZAPowerShares Insured National Municipal Bond Portfolio.
QQQPowershares QQQ Trust Series 1.
REMiShares FTSE NAREIT Mortgage Plus Capped Index Fund.
REMXMarket Vectors Rare Earth/Strategic Metals ETF.
REZiShares FTSE NAREIT Residential Plus Capped Index Fund.
RFGGuggenheim S&P Midcap 400 Pure Growth ETF.
RJAELEMENTS Linked to the Rogers International Commodity Index—Agri Tot Return.
RJIELEMENTS Linked to the Rogers International Commodity Index—Total Return.
RJNELEMENTS Linked to the Rogers International Commodity Index—Energy To Return.
RJZELEMENTS Linked to the Rogers International Commodity Index—Metals Tot Return.
RPGGuggenheim S&P 500 Pure Growth ETF.
RSPGuggenheim S&P 500 Equal Weight ETF.
RSXMarket Vectors Russia ETF.
RTHMarket Vectors Retail ETF.
RWMProShares Short Russell2000.
RWOSPDR Dow Jones Global Real Estate ETF.
RWRSPDR Dow Jones REIT ETF.
RWXSPDR Dow Jones International Real Estate ETF.
RYHGuggenheim S&P 500 Equal Weight Healthcare ETF.
SAGGDirexion Daily Total Bond Market Bear 1x Shares.
SCHASchwab US Small-Cap ETF.
SCHBSchwab US Broad Market ETF.
SCHDSchwab US Dividend Equity ETF.
SCHESchwab Emerging Markets Equity ETF.
SCHFSchwab International Equity ETF.
SCHGSchwab U.S. Large-Cap Growth ETF.
Start Printed Page 15769
SCHHSchwab U.S. REIT ETF.
SCHMSchwab U.S. Mid-Cap ETF.
SCHOSchwab Short-Term U.S. Treasury ETF.
SCHPSchwab U.S. TIPs ETF.
SCHRSchwab Intermediate-Term U.S. Treasury ETF.
SCHVSchwab U.S. Large-Cap Value ETF.
SCHXSchwab US Large-Cap ETF.
SCHZSchwab U.S. Aggregate Bond ETF.
SCPBSPDR Barclays Capital Short Term Corporate Bond ETF.
SCZiShares MSCI EAFE Small Cap Index Fund.
SDYSPDR S&P Dividend ETF.
SEFProShares Short Financials.
SGGiPath Dow Jones-UBS Sugar Subindex Total Return ETN.
SGOLETFS Gold Trust.
SHProShares Short S&P500.
SHMSPDR Nuveen Barclays Capital Short Term Municipal Bond ETF.
SHViShares Barclays Short Treasury Bond Fund.
SHYiShares Barclays 1-3 Year Treasury Bond Fund.
SILGlobal X Silver Miners ETF.
SIVRETFS Physical Silver Shares.
SJBProShares Short High Yield.
SJNKSPDR Barclays Capital Short Term High Yield Bond ETF.
SLViShares Silver Trust.
SLXMarket Vectors Steel Index Fund.
SMHMarket Vectors Semiconductor ETF.
SOXXiShares PHLX SOX Semiconductor Sector Index Fund.
SPLVPowerShares S&P 500 Low Volatility Portfolio.
SPYSPDR S&P 500 ETF Trust.
SPYGSPDR S&P 500 Growth ETF.
SPYVSPDR S&P 500 Value ETF.
STIPiShares Barclays 0-5 Year TIPS Bond Fund.
STPPiPath US Treasury Steepener ETN.
STPZPIMCO 1-5 Year US TIPS Index Fund.
SUBiShares S&P Short Term National AMT-Free Municipal Bond Fund.
SVXYProShares Short VIX Short-Term Futures ETF.
TANGuggenheim Solar ETF.
TBFProShares Short 20+ Year Treasury.
TBXProShares Short 7-10 Treasury.
TFISPDR Nuveen Barclays Capital Municipal Bond ETF.
THDiShares MSCI Thailand Index Fund.
TIPiShares Barclays TIPS Bond Fund.
TLHiShares Barclays 10-20 Year Treasury Bond Fund.
TLTiShares Barclays 20+ Year Treasury Bond Fund.
TURiShares MSCI Turkey Index Fund.
UDNPowerShares DB US Dollar Index Bearish Fund.
UGAUnited States Gasoline Fund LP.
UNGUnited States Natural Gas Fund LP.
URAGlobal X Uranium ETF.
USCIUnited States Commodity Index Fund.
USLUnited States 12 Month Oil Fund LP.
USOUnited States Oil Fund LP.
UUPPowerShares DB US Dollar Index Bullish Fund.
VAWVanguard Materials ETF.
VBVanguard Small-Cap ETF.
VBKVanguard Small-Cap Growth ETF.
VBRVanguard Small-Cap Value ETF.
VCITVanguard Intermediate-Term Corporate Bond ETF.
VCLTVanguard Long-Term Corporate Bond ETF.
VCRVanguard Consumer Discretionary ETF.
VCSHVanguard Short-Term Corporate Bond ETF.
VDCVanguard Consumer Staples ETF.
VDEVanguard Energy ETF.
VEAVanguard MSCI EAFE ETF.
VEUVanguard FTSE All-World ex-US ETF.
VFHVanguard Financials ETF.
VGKVanguard MSCI European ETF.
VGTVanguard Information Technology ETF.
VHTVanguard Health Care ETF.
VIGVanguard Dividend Appreciation ETF.
VIIXVelocityShares VIX Short Term ETN.
VIOOVanguard S&P Small-Cap 600 ETF.
VISVanguard Industrials ETF.
Start Printed Page 15770
VIXMProShares VIX Mid-Term Futures ETF.
VIXYProShares VIX Short-Term Futures ETF.
VMBSVanguard Mortgage-Backed Securities ETF.
VNMMarket Vectors Vietnam ETF.
VNQVanguard REIT ETF.
VOVanguard Mid-Cap ETF.
VOEVanguard Mid-Cap Value Index Fund/Closed-end.
VONEVanguard Russell 1000.
VONGVanguard Russell 1000 Growth ETF.
VONVVanguard Russell 1000 Value.
VOOVanguard S&P 500 ETF.
VOOGVanguard S&P 500 Growth ETF.
VOOVVanguard S&P 500 Value ETF.
VOTVanguard Mid-Cap Growth Index Fund/Closed-end.
VOXVanguard Telecommunication Services ETF.
VPLVanguard MSCI Pacific ETF.
VPUVanguard Utilities ETF.
VQTBarclays ETN+ ETNs Linked to the S&P 500 Dynamic VEQTORTM TotaL Return Index.
VSSVanguard FTSE All World ex-US Small-Cap ETF.
VTVanguard Total World Stock Index Fund ETF.
VTHRVanguard Russell 3000.
VTIVanguard Total Stock Market ETF.
VTVVanguard Value ETF.
VTWGVanguard Russell 2000 Growth.
VTWOVanguard Russell 2000.
VTWVVanguard Russell 2000 Value.
VUGVanguard Growth ETF.
VVVanguard Large-Cap ETF.
VWOVanguard MSCI Emerging Markets ETF.
VXAAETRACS 1-Month S&P 500 VIX Futures ETN.
VXEEETRACS 5-Month S&P 500 VIX Futures ETN.
VXFVanguard Extended Market ETF.
VXUSVanguard Total International Stock ETF.
VXXiPATH S&P 500 VIX Short-Term Futures ETN.
VXZiPATH S&P 500 VIX Mid-Term Futures ETN.
VYMVanguard High Dividend Yield ETF.
VZZBiPath Long Enhanced S&P 500 VIX Mid-Term FuturesTM ETN II.
WDTIWisdomTree Managed Futures Strategy Fund.
WIPSPDR DB International Government Inflation-Protected Bond ETF.
XBISPDR S&P Biotech ETF.
XESSPDR S&P Oil & Gas Equipment & Services ETF.
XHBSPDR S&P Homebuilders ETF.
XIVVelocityShares Daily Inverse VIX Short Term ETN.
XLBMaterials Select Sector SPDR Fund.
XLEEnergy Select Sector SPDR Fund.
XLFFinancial Select Sector SPDR Fund.
XLGGuggenheim Russell Top 50 ETF.
XLIIndustrial Select Sector SPDR Fund.
XLKTechnology Select Sector SPDR Fund.
XLPConsumer Staples Select Sector SPDR Fund.
XLUUtilities Select Sector SPDR Fund.
XLVHealth Care Select Sector SPDR Fund.
XLYConsumer Discretionary Select Sector SPDR Fund.
XMESPDR S&P Metals & Mining ETF.
XOPSPDR S&P Oil & Gas Exploration & Production ETF.
XPHSPDR S&P Pharmaceuticals ETF.
XRTSPDR S&P Retail ETF.
XSDSPDR S&P Semiconductor ETF.
XXViPath Inverse S&P 500 VIX Short-Term Futures ETN.
ZROZPIMCO 25+ Year Zero Coupon US Treasury Index Fund.

Appendix B—Data

Unless otherwise specified, the following data shall be collected and transmitted to the SEC in an agreed-upon format on a monthly basis, to be provided 30 calendar days following month end. Unless otherwise specified, the Primary Listing Exchanges shall be responsible for collecting and transmitting the data to the SEC. Data collected in connection with Sections II(E)—(G) below shall be transmitted to the SEC with a request for confidential treatment under the Freedom of Information Act. 5 U.S.C. 552, and the SEC's rules and regulations thereunder.

I. Summary Statistics

A. Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows:

1. Partition stocks by category

a. Tier 1 non-ETP issues > $3.00

b. Tier 1 non-ETP issues >= $0.75 and <= $3.00Start Printed Page 15771

c. Tier 1 non-ETP issues < $0.75

d. Tier 1 non-leveraged ETPs in each of above categories

e. Tier 1 leveraged ETPs in each of above categories

f. Tier 2 non-ETPs in each of above categories

g. Tier 2 non-leveraged ETPs in each of above categories

h. Tier 2 leveraged ETPs in each of above categories

2. Partition by time of day

a. Opening (prior to 9:45 a.m. ET)

b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET)

c. Closing (after 3:35 p.m. ET)

d. Within five minutes of a Trading Pause re-open or IPO open

3. Track reasons for entering a Limit State, such as:

a. Liquidity gap—price reverts from a Limit State Quotation and returns to trading within the Price Bands

b. Broken trades

c. Primary Listing Exchange manually declares a Trading Pause pursuant to Section (VII)(2) of the Plan

d. Other

B. Determine (1), (2) and (3) for when a Trading Pause has been declared for an NMS Stock pursuant to the Plan.

II. Raw Data (All Participants, Except A-E, Which Are for the Primary Listing Exchanges Only)

A. Record of every Straddle State

1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for ending with manual override.

2. Pipe delimited with field names as first record.

B. Record of every Price Band

1. Ticker, date, time at beginning of Price Band, Upper Price Band, Lower Price Band

2. Pipe delimited with field names as first record

C. Record of every Limit State

1. Ticker, date, time entered, time exited, flag for halt

2. Pipe delimited with field names as first record

D. Record of every Trading Pause or halt

1. Ticker, date, time entered, time exited, type of halt (i.e., regulatory halt, non-regulatory halt, Trading Pause pursuant to the Plan, other)

2. Pipe delimited with field names as first record

E. Data set or orders entered into reopening auctions during halts or Trading Pauses

1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side

2. Pipe delimited with field name as first record

F. Data set of order events received during Limit States

G. Summary data on order flow of arrivals and cancellations for each 15-second period for discrete time periods and sample stocks to be determined by the SEC in subsequent data requests. Must indicate side(s) of Limit State.

1. Market/marketable sell orders arrivals and executions

a. Count

b. Shares

c. Shares executed

2. Market/marketable buy orders arrivals and executions

a. Count

b. Shares

c. Shares executed

3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point

4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable)

5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable)

6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point

7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05

8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05

9. Count and volume of (3-8) for cancels

10. Include: Ticker, date, time at start, time of Limit State, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period

III. At least two months prior to the end of the Pilot Period, all Participants shall provide to the SEC assessments relating to the impact of the Plan and calibration of the Percentage Parameters as follows:

A. Assess the statistical and economic impact on liquidity of approaching Price Bands.

B. Assess the statistical and economic impact of the Price Bands on erroneous trades.

C. Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands.

D. Assess whether the Limit State is the appropriate length to allow for liquidity replenishment when a Limit State is reached because of a temporary liquidity gap.

E. Evaluate concerns from the options markets regarding the statistical and economic impact of Limit States on liquidity and market quality in the options markets. (Participants that operate options exchange should also prepare such assessment reports.)

F. Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic.

G. Assess whether the process for exiting a Limit State should be adjusted.

H. Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted.

End Preamble

Footnotes

3.  See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated February 19, 2013 (“Transmittal Letter”).

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4.  17 CFR 242.600(b)(47). See also Section I(H) of the Plan.

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5.  See Section V of the Plan.

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6.  Capitalized terms used herein but not otherwise defined shall have the meaning ascribed to such terms in the Plan. See Exhibit A, infra.

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7.  17 CFR 242.603(b). The Plan refers to this entity as the Processor.

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8.  See Section I(T) of the Plan.

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9.  As initially proposed by the Participants, the Percentage Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index or Russell 1000 Index and certain ETPs) with a Reference Price of $1.00 or more would be five percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for Tier 2 NMS Stocks (i.e., all NMS Stocks other than those in Tier 1) with a Reference Price of $1.00 or more would be 10 percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP would be the applicable Percentage Parameter set forth above multiplied by the leverage ratio of such product. On May 24, 2012, the Participants amended the Plan to create a 20% price band for Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and up to and including $3.00. The Percentage Parameter for stocks with a Reference Price below $0.75 would be the lesser of (a) $0.15 or (b) 75 percent. See Letter from Janet M. McGinness, Senior Vice President, Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012 (“First Amendment”).

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10.  17 CFR 242.600(b)(42). See also Section I(G) of the Plan.

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12.  A stock enters the Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer. See Section VI(B) of the Plan.

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13.  See Section I(D) of the Plan.

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14.  The primary listing market would declare a trading pause in an NMS Stock; upon notification by the primary listing market, the Processor would disseminate this information to the public. No trades in that NMS Stock could occur during the trading pause, but all bids and offers may be displayed. See Section VII(A) of the Plan.

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15.  As defined in Section I(X) of the Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Act.

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17.  See Transmittal Letter, supra note 3.

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18.  The limit up-limit down mechanism set forth in the Plan would replace the existing single-stock circuit breaker pilot. See e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033).

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19.  15 U.S.C. 78k-1(c)(1)(D).

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20.  See Section I(J) of the Plan.

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[FR Doc. 2013-05635 Filed 3-11-13; 8:45 am]

BILLING CODE 8011-01-P