Skip to Content

Notice

Joint Industry Plan; Notice of Filing of the Sixth 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.

Document Details

Information about this document as published in the Federal Register.

Enhanced Content

Relevant information about this document from Regulations.gov provides additional context. This information is not part of the official Federal Register document.

Published Document

This document has been published in the Federal Register. Use the PDF linked in the document sidebar for the official electronic format.

Start Preamble January 7, 2014.

Pursuant to Section 11A of the Securities Exchange Act of 1934 (“Act”) [1] and Rule 608 thereunder [2] , notice is hereby given that, on December 3, 2013, The NASDAQ OMX Group, on behalf of NASDAQ OMX BX, Inc. (“BX”), NASDAQ OMX PHLX LLC (“Phlx”), and the Nasdaq Stock Market LLC (“Nasdaq”), 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., National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, NYSE Arca, Inc., (collectively with BX, Phlx, and Nasdaq, 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 sixth amendment to the Plan (“Sixth Amendment”), and reflects changes unanimously approved by the Participants. The Sixth 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. The Commission is publishing this notice to solicit comments from interested persons on the Sixth 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 Start Printed Page 2205Regulation 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, 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,[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 Sixth 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 eight months after the initial date of Plan operations, the Plan shall fully apply (A) to all NMS Stocks and (B) 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 December 8, 2013.

The Participants now propose to amend Section VIII.B to provide that Phase II shall be separated into two sub-phases. The first sub-phase (Phase II.A.) would apply the Plan to all NMS Stocks beginning at 9:30 a.m. ET, and ending at 3:45 p.m. ET each trading day, or earlier in the case of an early scheduled close by December 8, 2013 as planned. The second sub-phase (Phase II.B.) would cause the Plan to apply to all NMS Stocks 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 by February 24, 2014. The Participants propose to make this Start Printed Page 2206change to accommodate a longer implementation period for Phase II.B. of the Plan, which is currently scheduled to be complete on December 8, 2013.

The Participants believe that this proposed amendment is technical and ministerial in nature because it simply extends the implementation period of the Plan with respect to Phase II.B. of the Plan, and it does not change any substantive elements of the Plan. The Participants note that at least two Participants plan to file proposed changes to their exchange rules to revise the manner by which they will interact with the Plan near the close. Specifically, the Participants will be proposing that if a Trading Pause is declared for an NMS Stock within the last ten minutes of trading, the Primary Listing Exchange will attempt to close the NMS Stock using a modified version of its established closing procedures. The Participants believe that the proposal to extend the implementation period is necessary to provide additional time for the amendment their exchange rules to go through the notice and comment period and approval process.

In addition, 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 to test with proposed Exchange rule and system modifications around the close.[19] 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.

The Participants believe it is important to implement all elements of the Plan in a prudent and cautious manner; however this interest is heightened where the Plan impacts the close of trading. A significant volume of trading occurs at the close, including in closing crosses on multiple exchanges. Additionally, the closing prices reached and disseminated by the Exchanges are used to price billions of dollars of mutual funds and other investments held by millions of individual investors and institutions. Accordingly, the need for thorough testing by all Participants and members is critical. The Participants believe that the proposed implementation date of February 24, 2014, for Phase II.B. provides sufficient time to perform this thorough testing.

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.

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. Implementation of Phase II of the Plan began on August 5, 2013. Pursuant to this proposed amendment, Phase II.A. of the implementation, which applies the Plan to all NMS Stocks beginning at 9:30 a.m. ET, and ending at 3:45 p.m. ET each trading day, or earlier in the case of an early scheduled close will be completed by December 8, 2013 as planned. Phase II.B. of the implementation, which causes the Plan to apply to all NMS Stocks 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, will be completed by February 24, 2014. The Participants are hereby filing to extend the completion date for Phase II.B. to February 24, 2014, at which time the Plan will apply to all NMS Stocks until 4:00 p.m. ET, or earlier in the case of an early scheduled close.

E. Analysis of Impact on Competition

The proposed Plan does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants do not believe that the proposed Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.[20]

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

The Participants 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

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.[21] No later than the initial date of the Plan, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee. 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.[22]

On October 13, 2013, the Operating Committee, duly constituted and chaired by Mr. Burke Cook of NASDAQ OMX, met and voted to amend the Plan as set forth herein in accordance with Section III(C) of the Plan.

II. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Sixth Amendment to the Plan is consistent with the Act. Comments may be Start Printed Page 2207submitted 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 Sixth Amendment to the Plan that are filed with the Commission, and all written communications relating to the Sixth 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 February 3, 2014.

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 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 Start Printed Page 2208Listing 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 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.Start Printed Page 2209

(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 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 Start Printed Page 2210Bid 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 Ten Minutes of the End of Regular Trading Hours

(1) If a Trading Pause for an NMS Stock is declared in the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen trading and 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.

(B) Phase II—Full Implementation

Phase II.A.: 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 3:45 [4:00] p.m. ET each trading day, or earlier in the case of an early scheduled close.

Phase II.B.: By February 24, 2014, 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. Start Printed Page 2211

(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 November 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:

EDGA 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. 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.
Start Printed Page 2212
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.
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.
Start Printed Page 2213
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.
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.
Start Printed Page 2214
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.
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.
Start Printed Page 2215
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.
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 FunNASDAQ 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.
Start Printed Page 2216
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.
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.
Start Printed Page 2217
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.
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.
Start Printed Page 2218
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.
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)Start Printed Page 2219

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 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 Jeffrey S. Davis, Vice President & Deputy General Counsel, The NASDAQ OMX Group, to Elizabeth M. Murphy, Secretary, Commission, dated December 3, 2013 (“Transmittal Letter”).

Back to Citation

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

Back to Citation

5.  See Section V of the Plan.

Back to Citation

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

Back to Citation

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

Back to Citation

8.  See Section I(T) of the Plan.

Back to Citation

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”).

Back to Citation

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

Back to Citation

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.

Back to Citation

13.  See Section I(D) of the Plan.

Back to Citation

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.

Back to Citation

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.

Back to Citation

17.  See Transmittal Letter, supra note 3.

Back to Citation

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).

Back to Citation

19.  See Letter from T.R. Lazo, Managing Director and Associate General Counsel, SIFMA to John Ramsey, Acting Director, Division of Trading and Markets, Securities and Exchange Commission, dated July 10, 2013. The Participants note that SIFMA supports the proposed adjustment to the implementation schedule of Phase II of the Plan.

Back to Citation

20.  15 U.S.C. 78k-1(c)(1)(D).

Back to Citation

21.  See Section I(J) of the Plan.

Back to Citation

[FR Doc. 2014-00346 Filed 1-10-14; 8:45 am]

BILLING CODE 8011-01-P