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Notice

Joint Industry Plan; Notice of Filing and Immediate Effectiveness of the Fourth 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 Start Printed Page 54321 August 27, 2013.

Pursuant to Section 11A of the Securities Exchange Act of 1934 (“Act”) [1] and Rule 608 thereunder,[2] notice is hereby given that, on July 18, 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”) for a proposal to amend the Plan to Address Extraordinary Market Volatility (“Plan”).[3] The proposal represents the fourth amendment to the Plan (“Fourth Amendment”), and reflects changes unanimously approved by the Participants. The Fourth Amendment to the Plan proposes to make technical changes to the implementation schedule of the Plan. A copy of the Plan, as proposed to be amended, is attached as Exhibit A hereto. Pursuant to Rule 608(b)(3)(iii) under Regulation NMS,[4] the Participants designate the amendment as involving solely technical or ministerial matters. As a result, the amendment becomes effective upon filing with the Commission. The Commission is publishing this notice to solicit comments from interested persons on the Fourth 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.[5] 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.[6] 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.[7] 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.[8] Those price bands would be based on a Reference Price [9] 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 [10] 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 [11] or National Best Offer [12] 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,[13] 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.[14] 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 Start Printed Page 54322Quotations 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 [15] 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 [16] 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, maintain, 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,[17] thereby protecting investors and promoting a fair and orderly market.[18] 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.[19]

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

The Participants propose to amend Section VIII.B of the Plan to establish a new implementation schedule for Phase II of the Plan. The Plan currently provides that six months after the initial date of Plan operations, 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. Because the initial date of Plan operations was April 8, 2013, the Plan currently provides that it shall be fully implemented by October 8, 2013. The Participants propose to amend Section VIII.B to provide that 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, eight months after the initial date of Plan operations. This will extend the time to fully implement the Plan to December 8, 2013.

The Participants propose to make this change to accommodate a longer implementation period for Phase II of the Plan, which is currently scheduled to begin on August 5, 2013, that will separate the implementation of Phase II into two stages. During the first stage of Phase II, the Plan will be rolled out to all NMS Stocks beginning at 9:30 a.m. E.T. and ending at 3:45 p.m. ET each trading day, or fifteen minutes before the close in the case of an early scheduled close. Once this stage is complete, the Participants will extend the time of Plan operations to 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close.

The Participants believe that this proposed amendment is technical and ministerial in nature because it simply extends the implementation period of the Plan and does not change any substantive elements of the Plan. The proposed modification to the implementation schedule is in response to requests by the securities industry for additional time for systems testing by Participants and the securities industry, particularly around the close.[20] The Participants believe that providing additional time for the Participants and the securities industry to test the manner by which the Plan operates around the close, particularly when there is a trading pause less than five minutes before the scheduled close of trading, is necessary and appropriate in the public interest and for the protection of investors. In addition, the Participants note that they plan to file an additional amendment to the Plan [21] to revise the manner by which the Plan would operate near the close. Specifically, the Participants will be proposing to provide that if a Trading Pause is declared for an NMS Stock within the last ten minutes of trading, the Primary Listing Exchange will not reopen the NMS Stock and will instead attempt to close the NMS Stock using established closing procedures. The Participants believe that the proposal to extend the implementation period is necessary to provide additional time for the amendment to the Plan to go through an appropriate notice and comment period and approval process.

The Participants also propose a technical, non-substantive amendment to Section VIII(A)(3) to fix a typographical error. The amended version of the Plan also includes the revised Appendix A—Schedule 1, which was updated for trading beginning on July 1, 2013. As set forth in Appendix A—Percentage Parameters, the Primary Listing Exchanges update Scheduled 1 to Appendix A semi-annually based on the fiscal year and such updates do not require a Plan amendment.

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.

C. Implementation of Plan

The initial date of the Plan operations was April 8, 2013.Start Printed Page 54323

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 began on April 8, 2013 and was completed on May 3, 2013 The Participants currently anticipate that Phase II of Plan implementation will begin on August 5, 2013. Phase II of the Plan may be rolled out to applicable NMS Stocks over a period not to exceed four months and will be in two stages: (1) Applying the Plan to all NMS Stocks beginning at 9:30 a.m. ET and ending at 3:45 p.m. ET, or fifteen minutes before the close in the case of an early scheduled close; and (2) extending Plan operations to 4:00 p.m. ET, or earlier in the case of an early scheduled close. Any such roll-out period will be made available in advance of the implementation dates for Phase 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.[22]

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.[23] 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 that 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.[24]

II. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Fourth 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 Fourth Amendment to the Plan that are filed with the Commission, and all written communications relating to the Fourth 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 September 24, 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

SectionPage
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
Start Printed Page 54324
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 than 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 Start Printed Page 54325Data 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 pursuant 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 Start Printed Page 54326Price; 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 transaction 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 Start Printed Page 54327declaring 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 [disseminated] and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours.

(B) Phase II—Full Implementation

[Six] Eight 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 (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 July 2013 by each of the parties hereto.

BATS EXCHANGE, INC.

BY:

BATS Y-EXCHANGE, INC.

BY:

CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED

BY:

CHICAGO STOCK EXCHANGE, INC.

BY:

EDGA EXCHANGE, INC.

BY:

EDGX EXCHANGE, INC.

BY:

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.

BY:

NASDAQ OMX BX, INC.

BY:

NASDAQ OMX PHLX LLC

BY:

THE NASDAQ STOCK MARKET LLC

BY:

NATIONAL STOCK EXCHANGE, INC.

BY:

NEW YORK STOCK EXCHANGE LLC

BY:

NYSE MKT 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, Start Printed Page 54328will 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

TickerNamePrimary exchange
AAXJiShares MSCI All Country Asia ex Japan Index FundNASDAQ GM
ACWIiShares MSCI ACWI Index FundNASDAQ GM
ACWViShares MSCI All Country World Minimum Volatility Index FundNYSE Arca
ACWXiShares MSCI ACWI ex US Index FundNASDAQ GM
AGGiShares Core Total US Bond Market ETFNYSE Arca
AGOLETFS Asian Gold TrustNYSE Arca
AGZiShares Barclays Agency Bond FundNYSE Arca
ALDWisdomTree Asia Local Debt FundNYSE Arca
AMJJPMorgan Alerian MLP Index ETNNYSE Arca
AMLPAlerian MLP ETFNYSE Arca
AMUETRACS Alerian MLP Index ETNNYSE Arca
BABPowerShares Build America Bond PortfolioNYSE Arca
BALiPath Dow Jones-UBS Cotton Subindex Total Return Callable ETNNYSE Arca
BBHMarket Vectors Biotech ETFNYSE Arca
BDGPowerShares DB Base Metals Long ETNNYSE Arca
BFORBarron's 400 ETFNYSE Arca
BIKSPDR S&P BRIC 40 ETFNYSE Arca
BILSPDR Barclays 1-3 Month T-BillNYSE Arca
BIVVanguard Intermediate-Term Bond ETFNYSE Arca
BKFiShares MSCI BRIC Index FundNYSE Arca
BKLNPowerShares Senior Loan PortfolioNYSE Arca
BLVVanguard Long-Term Bond ETFNYSE Arca
BNDVanguard Total Bond Market ETFNYSE Arca
BNDXVanguard Total International Bond ETFNASDAQ GM
BNOUnited States Brent Oil Fund LPNYSE Arca
BONDPimco Total Return ETFNYSE Arca
BOSPowerShares DB Base Metals Short ETNNYSE Arca
BRFMarket Vectors Brazil Small-Cap ETFNYSE Arca
BSJEGuggenheim BulletShares 2014 High Yield Corporate Bond ETFNYSE Arca
BSJFGuggenheim BulletShares 2015 High Yield Corporate Bond ETFNYSE Arca
BSVVanguard Short-Term Bond ETFNYSE Arca
BWViPath CBOE S&P 500 BuyWrite Index ETNNYSE Arca
BWXSPDR Barclays International Treasury Bond ETFNYSE Arca
CEWWisdomTree Emerging Currency FundNYSE Arca
CFTiShares Barclays Credit Bond FundNYSE Arca
CHIQGlobal X China Consumer ETFNYSE Arca
CIUiShares Barclays Intermediate Credit Bond FundNYSE Arca
CLYiShares 10+ Year Credit Bond FundNYSE Arca
CMFiShares S&P California AMT-Free Municipal Bond FundNYSE Arca
CORNTeucrium Corn FundNYSE Arca
CSDGuggenheim Spin-Off ETFNYSE Arca
CSJiShares Barclays 1-3 Year Credit Bond FundNYSE Arca
CUTGuggenheim Timber ETFNYSE Arca
CVYGuggenheim Multi-Asset Income ETFNYSE Arca
CWBSPDR Barclays Convertible Securities ETFNYSE Arca
CWISPDR MSCI ACWI ex-US ETFNYSE Arca
DBAPowerShares DB Agriculture FundNYSE Arca
DBBPowerShares DB Base Metals FundNYSE Arca
Start Printed Page 54329
DBCPowerShares DB Commodity Index Tracking FundNYSE Arca
DBEPowerShares DB Energy FundNYSE Arca
DBJPdb X-trackers MSCI Japan Hedged Equity FundNYSE Arca
DBOPowerShares DB Oil FundNYSE Arca
DBPPowerShares DB Precious Metals FundNYSE Arca
DBVPowerShares DB G10 Currency Harvest FundNYSE Arca
DEMWisdomTree Emerging Markets Equity Income FundNYSE Arca
DESWisdomTree SmallCap Dividend FundNYSE Arca
DFJWisdomTree Japan SmallCap Dividend FundNYSE Arca
DGLPowerShares DB Gold FundNYSE Arca
DGSWisdomTree Emerging Markets SmallCap Dividend FundNYSE Arca
DGZPowerShares DB Gold Short ETNNYSE Arca
DHSWisdomTree Equity Income FundNYSE Arca
DIASPDR Dow Jones Industrial Average ETF TrustNYSE Arca
DJCIETRACS DJ-UBS Commodity Index Total Return ETNNYSE Arca
DJPiPath Dow Jones-UBS Commodity Index Total Return ETNNYSE Arca
DLNWisdomTree LargeCap Dividend FundNYSE Arca
DLSWisdomTree International SmallCap Dividend FundNYSE Arca
DOGProShares Short Dow30NYSE Arca
DONWisdomTree MidCap Dividend FundNYSE Arca
DTNWisdomTree Dividend Ex-Financials FundNYSE Arca
DVYiShares Dow Jones Select Dividend Index FundNYSE Arca
DWXSPDR S&P International Dividend ETFNYSE Arca
DXJWisdomTree Japan Hedged Equity FundNYSE Arca
EBNDSPDR Barclays Emerging Markets Local Bond ETFNYSE Arca
ECHiShares MSCI Chile Capped Investable Market Index FundNYSE Arca
ECONEGShares Emerging Markets Consumer ETFNYSE Arca
EDIVSPDR S&P Emerging Markets Dividend ETFNYSE Arca
EDVVanguard Extended Duration Treasury ETFNYSE Arca
EEMiShares MSCI Emerging Markets Index FundNYSE Arca
EEMAiShares MSCI Emerging Markets Asia IndexNASDAQ GM
EEMViShares MSCI Emerging Markets Minimum Volatility Index FundNYSE Arca
EFAiShares MSCI EAFE Index FundNYSE Arca
EFAViShares MSCI EAFE Minimum Volatility Index FundNYSE Arca
EFGiShares MSCI EAFE Growth IndexNYSE Arca
EFViShares MSCI EAFE Value IndexNYSE Arca
EFZProShares Short MSCI EAFENYSE Arca
EIDOiSHARES MSCI Indonesia Investable Market Index FundNYSE Arca
ELDWisdomTree Emerging Markets Local Debt FundNYSE Arca
ELRSPDR Dow Jones Large Cap ETFNYSE Arca
EMBiShares JPMorgan USD Emerging Markets Bond FundNYSE Arca
EMLCMarket Vectors Emerging Markets Local Currency Bond ETFNYSE Arca
EMMSPDR Dow Jones Mid Cap ETFNYSE Arca
ENZLiShares MSCI New Zealand Capped Investable Market Index FundNYSE Arca
EPHEiShares MSCI Philippines Investable Market Index FundNYSE Arca
EPIWisdomTree India Earnings FundNYSE Arca
EPOLiShares MSCI Poland Capped Investable Market Index FundNYSE Arca
EPPiShares MSCI Pacific ex-Japan Index FundNYSE Arca
EPUiShares MSCI All Peru Capped Index FundNYSE Arca
ERUSiShares MSCI Russia Capped Index FundNYSE Arca
EUMProShares Short MSCI Emerging MarketsNYSE Arca
EWAiShares MSCI Australia Index FundNYSE Arca
EWCiShares MSCI Canada Index FundNYSE Arca
EWDiShares MSCI Sweden Index FundNYSE Arca
EWGiShares MSCI Germany Index FundNYSE Arca
EWHiShares MSCI Hong Kong Index FundNYSE Arca
EWIiShares MSCI Italy Capped Index FundNYSE Arca
EWJiShares MSCI Japan Index FundNYSE Arca
EWLiShares MSCI Switzerland Capped Index FundNYSE Arca
EWMiShares MSCI Malaysia Index FundNYSE Arca
EWNiShares MSCI Netherlands Investable Market Index FundNYSE Arca
EWOiShares MSCI Austria Capped Investable Market Index FundNYSE Arca
EWPiShares MSCI Spain Capped Index FundNYSE Arca
EWQiShares MSCI France Index FundNYSE Arca
EWSiShares MSCI Singapore Index FundNYSE Arca
EWTiShares MSCI Taiwan Index FundNYSE Arca
EWUiShares MSCI United Kingdom Index FundNYSE Arca
EWWiShares MSCI Mexico Capped Investable Market Index FundNYSE Arca
EWXSPDR S&P Emerging Markets SmallCap ETFNYSE Arca
EWYiShares MSCI South Korea Capped Index FundNYSE Arca
EWZiShares MSCI Brazil Capped Index FundNYSE Arca
Start Printed Page 54330
EXIiShares S&P Global Industrials Sector Index FundNYSE Arca
EZAiShares MSCI South Africa Index FundNYSE Arca
EZUiShares MSCI EMU Index FundNYSE Arca
FBTFirst Trust NYSE Arca Biotechnology Index FundNYSE Arca
FCGFirst Trust ISE-Revere Natural Gas Index FundNYSE Arca
FDLFirst Trust Morningstar Dividend Leaders IndexNYSE Arca
FDNFirst Trust Dow Jones Internet Index FundNYSE Arca
FEMFirst Trust Emerging Markets AlphaDEX FundNYSE Arca
FEXFirst Trust Large Cap Core AlphaDEX FundNYSE Arca
FEZSPDR EURO STOXX 50 ETFNYSE Arca
FGDFirst Trust DJ Global Select Dividend Index FundNYSE Arca
FLOTiShares Floating Rate Note FundNYSE Arca
FLRNSPDR Barclays Investment Grade Floating Rate ETFNYSE Arca
FMiShares MSCI Frontier 100 ETFNYSE Arca
FNXFirst Trust Mid Cap Core AlphaDEX FundNYSE Arca
FRIFirst Trust S&P REIT Index FundNYSE Arca
FTAFirst Trust Large Cap Value AlphaDEX FundNYSE Arca
FVDFirst Trust Value Line Dividend Index FundNYSE Arca
FXACurrencyShares Australian Dollar TrustNYSE Arca
FXBCurrencyShares British Pound Sterling TrustNYSE Arca
FXCCurrencyShares Canadian Dollar TrustNYSE Arca
FXDFirst Trust Consumer Discretionary AlphaDEX FundNYSE Arca
FXECurrencyShares Euro TrustNYSE Arca
FXFCurrencyShares Swiss Franc TrustNYSE Arca
FXGFirst Trust Consumer Staples AlphaDEX FundNYSE Arca
FXHFirst Trust Health Care AlphaDEX FundNYSE Arca
FXIiShares FTSE China 25 Index FundNYSE Arca
FXLFirst Trust Technology AlphaDEX FundNYSE Arca
FXOFirst Trust Financial AlphaDEX FundNYSE Arca
FXYCurrencyShares Japanese Yen TrustNYSE Arca
FXZFirst Trust Materials AlphaDEX FundNYSE Arca
GCCGreenHaven Continuous Commodity Index FundNYSE Arca
GDXMarket Vectors Gold Miners ETFNYSE Arca
GDXJMarket Vectors Junior Gold Miners ETFNYSE Arca
GIISPDR S&P Global Infrastructure ETFNYSE Arca
GIYGuggenheim Enhanced Core Bond ETFNYSE Arca
GLDSPDR Gold SharesNYSE Arca
GMFSPDR S&P Emerging Asia Pacific ETFNYSE Arca
GMMSPDR S&P Emerging Markets ETFNYSE Arca
GMTBColumbia Core Bond ETFNYSE Arca
GNRSPDR S&P Global Natural Resources ETFNYSE Arca
GOVTiShares Barclays U.S. Treasury Bond FundNYSE Arca
GSGiShares S&P GSCI Commodity Indexed TrustNYSE Arca
GSPiPath GSCI Total Return Index ETNNYSE Arca
GSYGuggenheim Enhanced Short Duration Bond ETFNYSE Arca
GUNRFlexShares Global Upstream Natural Resources Index FundNYSE Arca
GVIiShares Barclays Intermediate Government/Credit Bond FundNYSE Arca
GWLSPDR S&P World ex-US ETFNYSE Arca
GWXSPDR S&P International Small Cap ETFNYSE Arca
GXCSPDR S&P China ETFNYSE Arca
GXGGlobal X FTSE Colombia 20 ETFNYSE Arca
HAOGuggenheim China Small Cap ETFNYSE Arca
HDGERanger Equity Bear ETFNYSE Arca
HDViShares High Dividend Equity FundNYSE Arca
HEDJWisdomTree Europe Hedged Equity FundNYSE Arca
HUSEHuntington US Equity Rotation Strategy ETFNYSE Arca
HYDMarket Vectors High Yield Municipal Index ETFNYSE Arca
HYGiShares iBoxx $ High Yield Corporate Bond FundNYSE Arca
HYLDPeritus High Yield ETFNYSE Arca
HYMBSPDR Nuveen S&P High Yield Municipal Bond ETFNYSE Arca
HYSPIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded FundNYSE Arca
IAIiShares Dow Jones US Broker Dealers Index FundNYSE Arca
IATiShares Dow Jones US Regional Banks Index FundNYSE Arca
IAUiShares Gold TrustNYSE Arca
IBBiShares Nasdaq Biotechnology Index FundNASDAQ GM
IBNDSPDR Barclays International Corporate Bond ETFNYSE Arca
ICFiShares Cohen & Steers Realty Majors Index FundNYSE Arca
IDUiShares Dow Jones US Utilities Sector Index FundNYSE Arca
IDViShares Dow Jones International Select Dividend Index FundNYSE Arca
IDXMarket Vectors Indonesia Index ETFNYSE Arca
IEFiShares Barclays 7-10 Year Treasury Bond FundNYSE Arca
Start Printed Page 54331
IEFAiShares Core MSCI EAFE ETFNYSE Arca
IEIiShares Barclays 3-7 Year Treasury Bond FundNYSE Arca
IELGiShares Enhanced U.S. Large-Cap ETFNYSE Arca
IEMGiShares Core MSCI Emerging Markets ETFNYSE Arca
IEOiShares Dow Jones US Oil & Gas Exploration & Production Index FundNYSE Arca
IESMiShares Enhanced U.S. Small-Cap ETFNYSE Arca
IEViShares S&P Europe 350 Index FundNYSE Arca
IEZiShares Dow Jones US Oil Equipment & Services Index FundNYSE Arca
IFGLiShares FTSE EPRA/NAREIT Developed Real Estate ex-US Index FundNASDAQ GM
IGEiShares S&P North American Natural Resources Sector Index FundNYSE Arca
IGFiShares S&P Global Infrastructure Index FundNYSE Arca
IGMiShares S&P North American Technology Sector Index FundNYSE Arca
IGNiShares S&P North American Technology-Multimedia Networking Index FundNYSE Arca
IGOViShares S&P/Citigroup International Treasury Bond FundNASDAQ GM
IGSProShares Short Investment Grade CorporateNYSE Arca
IGViShares S&P North American Technology-Software Index FundNYSE Arca
IHEiShares Dow Jones US Pharmaceuticals Index FundNYSE Arca
IHFiShares Dow Jones US Healthcare Providers Index FundNYSE Arca
IHIiShares Dow Jones US Medical Devices Index FundNYSE Arca
IHYMarket Vectors International High Yield Bond ETFNYSE Arca
IJHiShares Core S&P Mid-Cap ETFNYSE Arca
IJJiShares S&P MidCap 400/BARRA Value Index FundNYSE Arca
IJKiShares S&P MidCap 400 Growth Index FundNYSE Arca
IJRiShares Core S&P Small-Cap ETFNYSE Arca
IJSiShares S&P SmallCap 600 Value Index FundNYSE Arca
IJTiShares S&P SmallCap 600/BARRA Growth Index FundNYSE Arca
ILFiShares S&P Latin America 40 Index FundNYSE Arca
ILTBiShares Core Long-Term US Bond ETFNYSE Arca
INDAiShares MSCI India Index FundBATS
INDYiShares India 50 ETFNASDAQ GM
INPiPath MSCI India Index ETNNYSE Arca
IOOiShares S&P Global 100 Index FundNYSE Arca
IPESPDR Barclays TIPS ETFNYSE Arca
ISHGiShares S&P/Citigroup 1-3 Year International Treasury Bond FundNASDAQ GM
ITBiShares Dow Jones US Home Construction Index FundNYSE Arca
ITMMarket Vectors Intermediate Municipal ETFNYSE Arca
ITOTiShares Core S&P Total US Stock Market ETFNYSE Arca
ITRSPDR Barclays Intermediate Term Corporate Bond ETFNYSE Arca
IVEiShares S&P 500 Value Index FundNYSE Arca
IVOOVanguard S&P Mid-Cap 400 ETFNYSE Arca
IVViShares Core S&P 500 ETFNYSE Arca
IVWiShares S&P 500 Growth Index FundNYSE Arca
IWBiShares Russell 1000 Index FundNYSE Arca
IWCiShares Russell Microcap Index FundNYSE Arca
IWDiShares Russell 1000 Value Index FundNYSE Arca
IWFiShares Russell 1000 Growth Index FundNYSE Arca
IWMiShares Russell 2000 Index FundNYSE Arca
IWNiShares Russell 2000 Value Index FundNYSE Arca
IWOiShares Russell 2000 Growth Index FundNYSE Arca
IWPiShares Russell Midcap Growth Index FundNYSE Arca
IWRiShares Russell Midcap Index FundNYSE Arca
IWSiShares Russell Midcap Value Index FundNYSE Arca
IWViShares Russell 3000 Index FundNYSE Arca
IXCiShares S&P Global Energy Sector Index FundNYSE Arca
IXGiShares S&P Global Financials Sector Index FundNYSE Arca
IXJiShares S&P Global Healthcare Sector Index FundNYSE Arca
IXNiShares S&P Global Technology Sector Index FundNYSE Arca
IXPiShares S&P Global Telecommunications Sector Index FundNYSE Arca
IYCiShares Dow Jones US Consumer Services Sector Index FundNYSE Arca
IYEiShares Dow Jones US Energy Sector Index FundNYSE Arca
IYFiShares Dow Jones US Financial Sector Index FundNYSE Arca
IYGiShares Dow Jones US Financial Services Index FundNYSE Arca
IYHiShares Dow Jones US Healthcare Sector Index FundNYSE Arca
IYJiShares Dow Jones US Industrial Sector Index FundNYSE Arca
IYKiShares Dow Jones US Consumer Goods Sector Index FundNYSE Arca
IYMiShares Dow Jones US Basic Materials Sector Index FundNYSE Arca
IYRiShares Dow Jones US Real Estate Index FundNYSE Arca
IYTiShares Dow Jones Transportation Average Index FundNYSE Arca
IYWiShares Dow Jones US Technology Sector Index FundNYSE Arca
IYYiShares Dow Jones US Index FundNYSE Arca
IYZiShares Dow Jones US Telecommunications Sector Index FundNYSE Arca
Start Printed Page 54332
JJCiPath Dow Jones-UBS Copper Subindex Total Return ETNNYSE Arca
JJGiPath Dow Jones-UBS Grains Subindex Total Return ETNNYSE Arca
JKFiShares Morningstar Large Value Index FundNYSE Arca
JKLiShares Morningstar Small Value Index FundNYSE Arca
JNKSPDR Barclays High Yield Bond ETFNYSE Arca
JOiPath Dow Jones-UBS Coffee Subindex Total Return ETNNYSE Arca
JXIiShares S&P Global Utilities Sector Index FundNYSE Arca
KBESPDR S&P Bank ETFNYSE Arca
KBWBPowerShares KBW Bank PortfolioNYSE Arca
KBWDPowerShares KBW High Dividend Yield Financial PortfolioNYSE Arca
KIESPDR S&P Insurance ETFNYSE Arca
KOLMarket Vectors Coal ETFNYSE Arca
KRESPDR S&P Regional Banking ETFNYSE Arca
KXIiShares S&P Global Consumer Staples Sector Index FundNYSE Arca
LAGSPDR Barclays Aggregate Bond ETFNYSE Arca
LEMBiShares Emerging Markets Local Currency Bond FundNYSE Arca
LQDiShares iBoxx Investment Grade Corporate Bond FundNYSE Arca
LTPZPIMCO 15+ Year U.S. TIPS Index Exchange-Traded FundNYSE Arca
LWCSPDR Barclays Long Term Corporate Bond ETFNYSE Arca
MBBiShares Barclays MBS Bond FundNYSE Arca
MBGSPDR Barclays Mortgage Backed Bond ETFNYSE Arca
MCHIiShares MSCI China Index FundNYSE Arca
MDIVFirst Trust NASDAQ US Multi-Asset Diversified Income Index FundNASDAQ GM
MDYSPDR S&P MidCap 400 ETF TrustNYSE Arca
MGCVanguard Mega Cap ETFNYSE Arca
MGKVanguard Mega Cap Growth ETFNYSE Arca
MGVVanguard Mega Cap Value ETFNYSE Arca
MINTPIMCO Enhanced Short Maturity Exchange-Traded FundNYSE Arca
MLPIETRACS Alerian MLP Infrastructure Index ETNNYSE Arca
MLPNCredit Suisse Cushing 30 MLP Index ETNNYSE Arca
MOOMarket Vectors Agribusiness ETFNYSE Arca
MUBiShares S&P National Municipal Bond FundNYSE Arca
MXIiShares S&P Global Materials Sector Index FundNYSE Arca
MYYProShares Short MidCap 400NYSE Arca
NKYMAXIS Nikkei 225 Index Fund ETFNYSE Arca
OEFiShares S&P 100 Index FundNYSE Arca
OIHMarket Vectors Oil Service ETFNYSE Arca
OILiPath Goldman Sachs Crude Oil Total Return Index ETNNYSE Arca
PALLETFS Physical Palladium SharesNYSE Arca
PBJPowershares Dynamic Food & Beverage PortfolioNYSE Arca
PBPPowerShares S&P 500 BuyWrite PortfolioNYSE Arca
PBSPowershares Dynamic Media PortfolioNYSE Arca
PCEFPowerShares CEF Income Composite PortfolioNYSE Arca
PCYPowerShares Emerging Markets Sovereign Debt PortfolioNYSE Arca
PDPPowershares DWA Technical Leaders PortfolioNYSE Arca
PFFiShares S&P US Preferred Stock Index FundNYSE Arca
PGFPowerShares Financial Preferred PortfolioNYSE Arca
PGXPowerShares Preferred PortfolioNYSE Arca
PHBPowerShares Fundamental High Yield Corporate Bond PortfolioNYSE Arca
PHDGPS S&P Downside HdgdNYSE Arca
PHOPowerShares Water Resources PortfolioNYSE Arca
PHYSSprott Physical Gold TrustNYSE Arca
PIDPowerShares International Dividend Achievers PortfolioNYSE Arca
PIEPowerShares DWA Emerging Markets Technical Leaders PortfolioNYSE Arca
PINPowerShares India PortfolioNYSE Arca
PIZPowerShares DWA Developed Markets Technical Leaders PortfolioNYSE Arca
PJPPowershares Dynamic Pharmaceuticals PortfolioNYSE Arca
PKWPowerShares Buyback Achievers PortfolioNYSE Arca
PPHMarket Vectors Pharmaceutical ETFNYSE Arca
PPLTETFS Platinum TrustNYSE Arca
PRFPowershares FTSE RAFI US 1000 PortfolioNYSE Arca
PRFZPowerShares FTSE RAFI US 1500 Small-Mid PortfolioNASDAQ GM
PSKSPDR Wells Fargo Preferred Stock ETFNYSE Arca
PSLVSprott Physical Silver TrustNYSE Arca
PSPPowerShares Global Listed Private Equity PortfolioNYSE Arca
PSQProShares Short QQQNYSE Arca
PWVPowerShares Dynamic Large Cap Value PortfolioNYSE Arca
PXFPowerShares FTSE RAFI Developed Markets ex-U.S. PortfolioNYSE Arca
PXHPowerShares FTSE RAFI Emerging Markets PortfolioNYSE Arca
PZAPowerShares Insured National Municipal Bond PortfolioNYSE Arca
QAIIndexIQ ETF Trust—IQ Hedge Multi-Strategy Tracker ETFNYSE Arca
Start Printed Page 54333
QQQPowershares QQQ Trust Series 1NASDAQ GM
REMiShares FTSE NAREIT Mortgage Plus Capped Index FundNYSE Arca
REZiShares FTSE NAREIT Residential Plus Capped Index FundNYSE Arca
RFGGuggenheim S&P Midcap 400 Pure Growth ETFNYSE Arca
RJAELEMENTS Linked to the Rogers International Commodity Index—Agri Tot ReturnNYSE Arca
RJIELEMENTS Linked to the Rogers International Commodity Index—Total ReturnNYSE Arca
RPGGuggenheim S&P 500 Pure Growth ETFNYSE Arca
RPVGuggenheim S&P 500 Pure Value ETFNYSE Arca
RSPGuggenheim S&P 500 Equal Weight ETFNYSE Arca
RSXMarket Vectors Russia ETFNYSE Arca
RTHMarket Vectors Retail ETFNYSE Arca
RWMProShares Short Russell2000NYSE Arca
RWOSPDR Dow Jones Global Real Estate ETFNYSE Arca
RWRSPDR Dow Jones REIT ETFNYSE Arca
RWXSPDR Dow Jones International Real Estate ETFNYSE Arca
RXIiShares S&P Global Consumer Discretionary Sector Index FundNYSE Arca
SAGGDirexion Daily Total Bond Market Bear 1x SharesNYSE Arca
SBBProShares Short SmallCap600NYSE Arca
SCHASchwab US Small-Cap ETFNYSE Arca
SCHBSchwab US Broad Market ETFNYSE Arca
SCHDSchwab US Dividend Equity ETFNYSE Arca
SCHESchwab Emerging Markets Equity ETFNYSE Arca
SCHFSchwab International Equity ETFNYSE Arca
SCHGSchwab U.S. Large-Cap Growth ETFNYSE Arca
SCHHSchwab U.S. REIT ETFNYSE Arca
SCHMSchwab U.S. Mid-Cap ETFNYSE Arca
SCHOSchwab Short-Term U.S. Treasury ETFNYSE Arca
SCHPSchwab U.S. TIPs ETFNYSE Arca
SCHRSchwab Intermediate-Term U.S. Treasury ETFNYSE Arca
SCHVSchwab U.S. Large-Cap Value ETFNYSE Arca
SCHXSchwab US Large-Cap ETFNYSE Arca
SCHZSchwab U.S. Aggregate Bond ETFNYSE Arca
SCIFMarket Vectors India Small-Cap Index ETFNYSE Arca
SCPBSPDR Barclays Short Term Corporate Bond ETFNYSE Arca
SCZiShares MSCI EAFE Small Cap Index FundNYSE Arca
SDIVGlobal X SuperDividend ETFNYSE Arca
SDYSPDR S&P Dividend ETFNYSE Arca
SGOLETFS Gold TrustNYSE Arca
SHProShares Short S&P500NYSE Arca
SHMSPDR Nuveen Barclays Short Term Municipal Bond ETFNYSE Arca
SHViShares Barclays Short Treasury Bond FundNYSE Arca
SHYiShares Barclays 1-3 Year Treasury Bond FundNYSE Arca
SILGlobal X Silver Miners ETFNYSE Arca
SIVRETFS Physical Silver SharesNYSE Arca
SJBProShares Short High YieldNYSE Arca
SJNKSPDR Barclays Short Term High Yield Bond ETFNYSE Arca
SLViShares Silver TrustNYSE Arca
SLXMarket Vectors Steel Index FundNYSE Arca
SLYSPDR S&P 600 Small CapETFNYSE Arca
SMHMarket Vectors Semiconductor ETFNYSE Arca
SNLNHighland/iBoxx Senior Loan ETFNYSE Arca
SOXXiShares PHLX SOX Semiconductor Sector Index FundNASDAQ GM
SPHBPowerShares S&P 500 High Beta Port ETFNYSE Arca
SPHDPowerShares S&P 500 High Dividend PortfolioNYSE Arca
SPLVPowerShares S&P 500 Low Volatility PortfolioNYSE Arca
SPPPSprott Physical Platinum & Palladium TrustNYSE Arca
SPYSPDR S&P 500 ETF TrustNYSE Arca
SPYGSPDR S&P 500 Growth ETFNYSE Arca
SPYVSPDR S&P 500 Value ETFNYSE Arca
SRLNSPDR Blackstone/GSO Senior Loan ETFNYSE Arca
STIPiShares Barclays 0-5 Year TIPS Bond FundNYSE Arca
STPZPIMCO 1-5 Year U.S. TIPS Index Exchange-Traded FundNYSE Arca
SUBiShares S&P Short Term National AMT-Free Municipal Bond FundNYSE Arca
SVXYProShares Short VIX Short-Term Futures ETFNYSE Arca
SYLDCambria Shareholder Yield ETFNYSE Arca
TANGuggenheim Solar ETFNYSE Arca
TAOGuggenheim China Real Estate ETFNYSE Arca
TBFProShares Short 20+ Year TreasuryNYSE Arca
TBXProShares Short 7-10 TreasuryNYSE Arca
TDTTFlexShares iBoxx 3-Year Target Duration TIPS Index FundNYSE Arca
TFISPDR Nuveen Barclays Municipal Bond ETFNYSE Arca
Start Printed Page 54334
THDiShares MSCI Thailand Capped Investable Market Index FundNYSE Arca
TIPiShares Barclays TIPS Bond FundNYSE Arca
TLHiShares Barclays 10-20 Year Treasury Bond FundNYSE Arca
TLTiShares Barclays 20+ Year Treasury Bond FundNYSE Arca
TURiShares MSCI Turkey Index FundNYSE Arca
UNGUnited States Natural Gas Fund LPNYSE Arca
USCIUnited States Commodity Index FundNYSE Arca
USMViShares MSCI USA Minimum Volatility Index FundNYSE Arca
USOUnited States Oil Fund LPNYSE Arca
UUPPowerShares DB US Dollar Index Bullish FundNYSE Arca
VAWVanguard Materials ETFNYSE Arca
VBVanguard Small-Cap ETFNYSE Arca
VBKVanguard Small-Cap Growth ETFNYSE Arca
VBRVanguard Small-Cap Value ETFNYSE Arca
VCITVanguard Intermediate-Term Corporate Bond ETFNASDAQ GM
VCLTVanguard Long-Term Corporate Bond ETFNASDAQ GM
VCRVanguard Consumer Discretionary ETFNYSE Arca
VCSHVanguard Short-Term Corporate Bond ETFNASDAQ GM
VDCVanguard Consumer Staples ETFNYSE Arca
VDEVanguard Energy ETFNYSE Arca
VEAVanguard FTSE Developed Markets ETFNYSE Arca
VEUVanguard FTSE All-World ex-US ETFNYSE Arca
VFHVanguard Financials ETFNYSE Arca
VGITVanguard Intermediate-Term Government Bond ETFNASDAQ GM
VGKVanguard FTSE Europe ETFNYSE Arca
VGLTVanguard Long-Term Government Bond ETFNASDAQ GM
VGSHVanguard Short-Term Government Bond ETFNASDAQ GM
VGTVanguard Information Technology ETFNYSE Arca
VHTVanguard Health Care ETFNYSE Arca
VIGVanguard Dividend Appreciation ETFNYSE Arca
VIIXVelocityShares VIX Short Term ETNNYSE Arca
VIIZVelocityShares VIX Medium Term ETNNYSE Arca
VIOOVanguard S&P Small-Cap 600 ETFNYSE Arca
VISVanguard Industrials ETFNYSE Arca
VIXMProShares VIX Mid-Term Futures ETFNYSE Arca
VIXYProShares VIX Short-Term Futures ETFNYSE Arca
VMBSVanguard Mortgage-Backed Securities ETFNASDAQ GM
VNMMarket Vectors Vietnam ETFNYSE Arca
VNQVanguard REIT ETFNYSE Arca
VNQIVanguard Global ex-U.S. Real Estate ETFNASDAQ GM
VOVanguard Mid-Cap ETFNYSE Arca
VOEVanguard Mid-Cap Value ETFNYSE Arca
VONEVanguard Russell 1000NASDAQ GM
VONGVanguard Russell 1000 Growth ETFNASDAQ GM
VONVVanguard Russell 1000 ValueNASDAQ GM
VOOVanguard S&P 500 ETFNYSE Arca
VOOGVanguard S&P 500 Growth ETFNYSE Arca
VOOVVanguard S&P 500 Value ETFNYSE Arca
VOTVanguard Mid-Cap Growth ETFNYSE Arca
VOXVanguard Telecommunication Services ETFNYSE Arca
VPLVanguard FTSE Pacific ETFNYSE Arca
VPUVanguard Utilities ETFNYSE Arca
VQTBarclays ETN+ ETNs Linked to the S&P 500 Dynamic VEQTORTM TotaL Return IndexNYSE Arca
VSSVanguard FTSE All World ex-US Small-Cap ETFNYSE Arca
VTVanguard Total World Stock ETFNYSE Arca
VTHRVanguard Russell 3000NASDAQ GM
VTIVanguard Total Stock Market ETFNYSE Arca
VTIPVanguard Short-Term Inflation-Protected Securities ETFNASDAQ GM
VTVVanguard Value ETFNYSE Arca
VTWGVanguard Russell 2000 GrowthNASDAQ GM
VTWOVanguard Russell 2000NASDAQ GM
VTWVVanguard Russell 2000 ValueNASDAQ GM
VUGVanguard Growth ETFNYSE Arca
VVVanguard Large-Cap ETFNYSE Arca
VWOVanguard FTSE Emerging Markets ETFNYSE Arca
VWOBVanguard Emerging Markets Government Bond ETFNASDAQ GM
VXFVanguard Extended Market ETFNYSE Arca
VXUSVanguard Total International Stock ETFNASDAQ GM
VXXiPATH S&P 500 VIX Short-Term Futures ETNNYSE Arca
VXZiPATH S&P 500 VIX Mid-Term Futures ETNNYSE Arca
VYMVanguard High Dividend Yield ETFNYSE Arca
Start Printed Page 54335
WIPSPDR DB International Government Inflation-Protected Bond ETFNYSE Arca
WOODiShares S&P Global Timber & Forestry Index FundNASDAQ GM
XBISPDR S&P Biotech ETFNYSE Arca
XESSPDR S&P Oil & Gas Equipment & Services ETFNYSE Arca
XHBSPDR S&P Homebuilders ETFNYSE Arca
XIVVelocityShares Daily Inverse VIX Short Term ETNNYSE Arca
XLBMaterials Select Sector SPDR FundNYSE Arca
XLEEnergy Select Sector SPDR FundNYSE Arca
XLFFinancial Select Sector SPDR FundNYSE Arca
XLGGuggenheim Russell Top 50 Mega Cap ETFNYSE Arca
XLIIndustrial Select Sector SPDR FundNYSE Arca
XLKTechnology Select Sector SPDR FundNYSE Arca
XLPConsumer Staples Select Sector SPDR FundNYSE Arca
XLUUtilities Select Sector SPDR FundNYSE Arca
XLVHealth Care Select Sector SPDR FundNYSE Arca
XLYConsumer Discretionary Select Sector SPDR FundNYSE Arca
XMESPDR S&P Metals & Mining ETFNYSE Arca
XOPSPDR S&P Oil & Gas Exploration & Production ETFNYSE Arca
XPHSPDR S&P Pharmaceuticals ETFNYSE Arca
XRTSPDR S&P Retail ETFNYSE Arca
XSDSPDR S&P Semiconductor ETFNYSE Arca
XVZiPath S&P 500 Dynamic VIX ETNNYSE Arca
YMLPYorkville High Income MLPNYSE Arca
ZIVVelocityShares Daily Inverse VIX Medium Term ETNNYSE Arca
ZROZPIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded FundNYSE Arca

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 <= $3.00

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 S t ate, all data item fields in 1, last Start Printed Page 54336sale 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 July 17, 2013 (“Transmittal Letter”).

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5.  17 CFR 242.600(b)(47). See also Section I(H) of the Plan.

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6.  See Section V of the Plan.

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7.  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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8.  17 CFR 242.603(b). The Plan refers to this entity as the Processor.

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9.  See Section I(T) of the Plan.

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10.  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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11.  17 CFR 242.600(b)(42). See also Section I(G) of the Plan.

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13.  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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14.  See Section I(D) of the Plan.

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15.  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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16.  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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18.  See Transmittal Letter, supra note 3.

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19.  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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20.  See Letter from T.R. Lazo, Managing Director and Associate General Counsel, SIFMA to John Ramsey, Acting Director, Division of Trading and Markets, Commission, dated July 10, 2013. The Participants noted that SIFMA supports the proposed adjustment to the implementation schedule of Phase II of the Plan. See also Letter from Kimberly Unger, Chief Executive Office and Executive Director, STANY, to Elizabeth M. Murphy, Secretary, Commission, dated July 10, 2013.

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21.  See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated July 17, 2013 (“Fifth Amendment”). See also Securities Exchange Act Release No. XXXX (July X, 2013).

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22.  15 U.S.C. 78k-1(c)(1)(D).

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23.  See Section I(J) of the Plan.

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[FR Doc. 2013-21301 Filed 8-30-13; 8:45 am]

BILLING CODE 8011-01-P