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Notice

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

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Start Preamble March 5, 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 February 24, 2014, NYSE Euronext, on behalf of New York Stock Exchange LLC (“NYSE”), NYSE MKT LLC (“NYSE MKT”), and NYSE Arca, Inc. (“NYSE Arca”), and the following parties to the National Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc. (collectively with NYSE, NYSE MKT, and NYSE Arca, the “Participants”), filed with the Securities and Exchange Commission (the “Commission”) a proposal to amend the Plan to Address Extraordinary Market Volatility (“Plan”).[3] The proposal represents the seventh amendment to the Plan (“Seventh Amendment”), and reflects changes unanimously approved by the Participants. The Seventh Amendment to the Plan proposes to amend the Plan to extend the pilot period of the Plan to February 20, 2015 and makes changes to Appendix B of the Plan regarding when the Participants are required to submit specified summary data to the Commission. 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 Seventh Amendment to the Plan.

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

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

As set forth in Section V of the Plan, the price bands would consist of a Lower Price Band and an Upper Price Band for each NMS Stock.[6] The price bands would be calculated by the Securities Information Processors (“SIPs” or “Processors”) responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act.[7] Those price bands would be based on a Reference Price [8] for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period. The price bands for an NMS Stock would be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter [9] Start Printed Page 13697below 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 Seventh Amendment to the Plan and the rationale behind those changes:

Proposed Amendment

The Plan was initially approved for a one-year pilot, which began on April 8, 2013. Accordingly, the pilot period is currently scheduled to end on April 8, 2014. As initially contemplated, the Plan would have been fully implemented across all NMS Stocks within six months of initial Plan operations, which meant there would have been full implementation of the Plan for six months before the end of the pilot period. However, pursuant to the Fourth Amendment to the Plan, the Participants amended Section VIII.B of the Plan, which modified the implementation schedule of Phase II of the Plan to extend the time period when the Plan would fully apply to all NMS Stocks. Accordingly, the Plan was not implemented across all NMS Stocks until December 8, 2013.

In addition, pursuant to the Sixth Amendment to the Plan, which further modified the implementation schedule of Phase II of the Plan, the date for full implementation of the Plan was moved to February 24, 2014. Prior to February 24, 2014, the Plan will have only been in effect from 9:30 a.m. Eastern to 3:45 p.m. Eastern, and will not include the fifteen minutes of trading preceding the close. Accordingly, there will be less than two months of full operation of the Plan before the end of the pilot period.

The Participants do not believe that this short period of full implementation of the Plan will provide sufficient time for either the Participants or the Commission to assess the impact of the Plan and determine whether the Plan should be modified prior to approval on a permanent basis. Rather, the Participants believe that the pilot period should be extended to provide sufficient time to review data based on full implementation of the Plan and if necessary, propose modifications in connection with seeking to approve the Plan on a permanent basis.

Accordingly, the Participants propose to amend Section VIII.C of the Plan to extend the current one-year pilot, which is scheduled to end on April 8, 2014, to have the pilot set to end on February 20, 2015. The proposed new end date for the pilot would provide for a year of full implementation of the Plan before the pilot period ends. The Participants believe that this proposed pilot Start Printed Page 13698extension is appropriate in the public interest, for the protection of investors and the maintenance of a fair and orderly market because it provides additional time to assess the operation of the Plan. The Participants further believe that the proposed amendment is consistent with the approval order for the Plan, in which the Commission stated that having a pilot period would allow “the public, the Participants, and the Commission to assess the operation of the Plan and whether the Plan should be modified prior to approval on a permanent basis.” [19]

Because the goal of the pilot period is to provide an opportunity to assess whether the Plan should be modified prior to approval on a permanent basis, the Participants further propose to amend Section III to Appendix B of the Plan to move the time by which the Participants would be required to submit assessments of the Plan operations. Under the current Plan, the time to provide such assessments is scheduled for two months prior to the end of the pilot period. As originally contemplated, such reports would therefore have been based on approximately four months' worth of data from full implementation of the Plan.

The Participants continue to believe that they would be able to assess the Plan based on a similar data set. The Participants further believe that providing the Commission with such assessments earlier than two months before the end of the pilot period would provide additional time for the Commission to review such assessments and better inform any determination of whether the Plan should be modified prior to approval on a permanent basis. The Participants further believe that revising the time when such assessments would be provided to the Commission would provide the Participants with sufficient time to conduct such assessments. Accordingly, the Participants propose to amend Section III of Appendix B of the Plan to delete the requirement that the assessments be provided at least two months prior to the end of the pilot period, and replace it with a specified date when such assessments shall be provided. The Participants propose that the assessments be provided by September 30, 2014. The Participants believe that this proposed new date for submission of assessments is appropriate in the public interest, for the protection of investors, and the maintenance of a fair and orderly market because it will serve the goals of having sufficient amount of data to review, consistent with the current Plan, providing time for the Participants to complete their assessments of the data, and providing time for the Commission to review such assessments with enough time remaining within the proposed new pilot period to determine whether to modify the Plan prior to approval on a permanent basis.

The Participants note that the amended version of the Plan also includes the revised Appendix A—Schedule 1, which was updated for trading beginning January 3, 2014. As set forth in Appendix A—Percentage Parameters, the Primary Listing Exchange update Schedule 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.

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 and is scheduled to be completed on February 24, 2014. Pursuant to this proposed amendment, the Participants propose to extend the pilot period so that it is set to end February 20, 2015.

E. Analysis of Impact on Competition

The Participants state that the proposed Plan does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Exchange 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 Exchange Act.

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

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

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

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

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

Not applicable.

J. Method and Frequency of Processor Evaluation

Not applicable.

K. Dispute Resolution

The Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee.[20] No later than the initial date of the Plan, the Operating Committee would be required to designate one member of the Operating Committee to act as the Chair of the Operating Committee. The Operating Committee shall monitor the procedures established pursuant to the Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. Any recommendation for an amendment to the Plan from the Operating Committee 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.[21]

II. Solicitation of Comments

Interested persons are invited to submit written data, views, and Start Printed Page 13699arguments concerning the foregoing, including whether the Seventh 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 Seventh Amendment to the Plan that are filed with the Commission, and all written communications relating to the Seventh Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549 on official business days between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be available for inspection and copying at the Participants' principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4-631 and should be submitted on or before April 1, 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

SectionPage
Preamble1
I. Definitions2
II. Parties4
III. Amendments to Plan7
IV. Trading Center Policies and Procedures8
V. Price Bands9
VI. Limit Up-Limit Down Requirements11
VII. Trading Pauses13
VIII. Implementation15
IX. Withdrawal from Plan16
X. Counterparts and Signatures16
Appendix A—Percentage Parameters1[8]9
Appendix A—Schedule 121
Appendix B—Data34

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 Start Printed Page 13700to 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 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.Start Printed Page 13701

(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 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 Start Printed Page 13702Primary 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 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.Start Printed Page 13703

(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 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.

(C) Pilot

The Plan shall be implemented on a [one-year] pilot basis set to end on February 20, 2015.

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 February 2014 by each of the parties hereto.

BATS EXCHANGE, INC.

BY:

CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED

BY:

EDGA EXCHANGE, INC.

BY:

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.

BY:

NASDAQ OMX PHLX LLC

BY:

NATIONAL STOCK EXCHANGE, INC.

BY:

NYSE MKT LLC

BY:

BATS Y-EXCHANGE, INC.

BY:

CHICAGO STOCK EXCHANGE, INC.

BY:

EDGX EXCHANGE, INC.

BY:

NASDAQ OMX BX, INC.

BY:

THE NASDAQ STOCK MARKET LLC

BY:

NEW YORK STOCK EXCHANGE LLC

BY:

NYSE ARCA, INC.

BY:

Appendix A—Percentage Parameters

I. Tier 1 NMS Stocks

(1) Tier 1 NMS Stocks shall include all NMS Stocks included in the S&P 500 Index, the Russell 1000 Index, and the exchange-traded products (“ETP”) listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume (“CADV”). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS Stock. 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.Start Printed Page 13704

(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 ETFNASDAQ GM
ACWIiShares MSCI ACWI ETFNASDAQ GM
ACWViShares MSCI All Country World Minimum Volatility ETFNYSE Arca
ACWXiShares MSCI ACWI ex US ETFNASDAQ GM
AGGiShares Core Total US Bond Market ETFNYSE Arca
AGZiShares Agency Bond ETFNYSE Arca
ALDWisdomTree Asia Local Debt FundNYSE Arca
AMJJPMorgan Alerian MLP Index ETNNYSE Arca
AMLPAlerian MLP ETFNYSE Arca
ASHRdb X-trackers Harvest CSI 300 China A-Shares FundNYSE Arca
BABPowerShares Build America Bond PortfolioNYSE Arca
BBHMarket Vectors Biotech ETFNYSE Arca
BILSPDR Barclays 1-3 Month T-BillNYSE Arca
BIVVanguard Intermediate-Term Bond ETFNYSE Arca
BKFiShares MSCI BRIC ETFNYSE 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
BRFMarket Vectors Brazil Small-Cap ETFNYSE Arca
BSCEGuggenheim BulletShares 2014 Corporate Bond ETFNYSE Arca
BSCFGuggenheim BulletShares 2015 Corporate Bond ETFNYSE Arca
BSCGGuggenheim BulletShares 2016 Corporate Bond ETFNYSE Arca
BSCHGuggenheim BulletShares 2017 Corporate Bond ETFNYSE Arca
BSJEGuggenheim BulletShares 2014 High Yield Corporate Bond ETFNYSE Arca
BSJFGuggenheim BulletShares 2015 High Yield Corporate Bond ETFNYSE Arca
BSJGGuggenheim BulletShares 2016 High Yield Corporate Bond ETFNYSE Arca
BSVVanguard Short-Term Bond ETFNYSE Arca
BWXSPDR Barclays International Treasury Bond ETFNYSE Arca
BZFWisdomTree Brazilian Real FundNYSE Arca
CFTiShares Credit Bond ETFNYSE Arca
CIUiShares Intermediate Credit Bond ETFNYSE Arca
CLYiShares 10+ Year Credit Bond ETFNYSE Arca
CORNTeucrium Corn FundNYSE Arca
CSDGuggenheim Spin-Off ETFNYSE Arca
CSJiShares 1-3 Year Credit Bond ETFNYSE Arca
CVYGuggenheim Multi-Asset Income ETFNYSE Arca
CWBSPDR Barclays Convertible Securities ETFNYSE Arca
DBAPowerShares DB Agriculture FundNYSE Arca
DBBPowerShares DB Base Metals FundNYSE Arca
DBCPowerShares DB Commodity Index Tracking 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
DFEWisdomTree Europe SmallCap Dividend 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
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
DTYSiPath US Treasury 10-year Bear ETNNYSE Arca
DVYiShares Select Dividend ETFNYSE Arca
DWASPowerShares DWA SmallCap Momentum PortfolioNYSE 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 ETFNYSE Arca
ECONEGShares Emerging Markets Consumer ETFNYSE Arca
Start Printed Page 13705
EDIVSPDR S&P Emerging Markets Dividend ETFNYSE Arca
EDVVanguard Extended Duration Treasury ETFNYSE Arca
EEBGuggenheim BRIC ETFNYSE Arca
EEMiShares MSCI Emerging Markets ETFNYSE Arca
EEMViShares MSCI Emerging Markets Minimum Volatility ETFNYSE Arca
EESWisdomTree SmallCap Earnings FundNYSE Arca
EFAiShares MSCI EAFE ETFNYSE Arca
EFAViShares MSCI EAFE Minimum Volatility ETFNYSE Arca
EFGiShares MSCI EAFE Growth ETFNYSE Arca
EFViShares MSCI EAFE Value ETFNYSE Arca
EFZProShares Short MSCI EAFENYSE Arca
EIDOiShares MSCI Indonesia ETFNYSE Arca
ELDWisdomTree Emerging Markets Local Debt FundNYSE Arca
EMBiShares JP Morgan USD Emerging Markets Bond ETFNYSE Arca
EMLCMarket Vectors Emerging Markets Local Currency Bond ETFNYSE Arca
EMLPFirst Trust North American Energy Infrastructure FundNYSE Arca
EPHEiShares MSCI Philippines ETFNYSE Arca
EPIWisdomTree India Earnings FundNYSE Arca
EPOLiShares MSCI Poland Capped ETFNYSE Arca
EPPiShares MSCI Pacific ex Japan ETFNYSE Arca
EPUiShares MSCI All Peru Capped ETFNYSE Arca
ERUSiShares MSCI Russia Capped ETFNYSE Arca
EUFNiShares MSCI Europe Financials ETFNASDAQ GM
EUMProShares Short MSCI Emerging MarketsNYSE Arca
EWAiShares MSCI Australia ETFNYSE Arca
EWCiShares MSCI Canada ETFNYSE Arca
EWDiShares MSCI Sweden ETFNYSE Arca
EWGiShares MSCI Germany ETFNYSE Arca
EWHiShares MSCI Hong Kong ETFNYSE Arca
EWIiShares MSCI Italy Capped ETFNYSE Arca
EWJiShares MSCI Japan ETFNYSE Arca
EWLiShares MSCI Switzerland Capped ETFNYSE Arca
EWMiShares MSCI Malaysia ETFNYSE Arca
EWNiShares MSCI Netherlands ETFNYSE Arca
EWPiShares MSCI Spain Capped ETFNYSE Arca
EWQiShares MSCI France ETFNYSE Arca
EWSiShares MSCI Singapore ETFNYSE Arca
EWTiShares MSCI Taiwan ETFNYSE Arca
EWUiShares MSCI United Kingdom ETFNYSE Arca
EWWiShares MSCI Mexico Capped ETFNYSE Arca
EWXSPDR S&P Emerging Markets SmallCap ETFNYSE Arca
EWYiShares MSCI South Korea Capped ETFNYSE Arca
EWZiShares MSCI Brazil Capped ETFNYSE Arca
EXIiShares Global Industrials ETFNYSE Arca
EZAiShares MSCI South Africa ETFNYSE Arca
EZMWisdomTree MidCap Earnings FundNYSE Arca
EZUiShares MSCI EMU ETFNYSE 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
FEPFirst Trust Europe 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 Bond ETFNYSE Arca
FLRNSPDR Barclays Investment Grade Floating Rate ETFNYSE Arca
FMiShares MSCI Frontier 100 ETFNYSE Arca
FNXFirst Trust Mid Cap Core AlphaDEX FundNYSE Arca
FPXFirst Trust US IPO Index 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 China Large-Cap ETFNYSE Arca
Start Printed Page 13706
FXLFirst Trust Technology AlphaDEX FundNYSE Arca
FXNFirst Trust Energy AlphaDEX FundNYSE Arca
FXOFirst Trust Financial AlphaDEX FundNYSE Arca
FXRFirst Trust Industrials/Producer Durables AlphaDEX FundNYSE Arca
FXUFirst Trust Utilities AlphaDEX FundNYSE Arca
FXYCurrencyShares Japanese Yen TrustNYSE Arca
FXZFirst Trust Materials AlphaDEX FundNYSE Arca
FYXFirst Trust Small Cap Core AlphaDEX FundNYSE Arca
GCCGreenHaven Continuous Commodity Index FundNYSE Arca
GDXMarket Vectors Gold Miners ETFNYSE Arca
GDXJMarket Vectors Junior Gold Miners ETFNYSE Arca
GLDSPDR Gold SharesNYSE Arca
GLTRETFS Physical Precious Metal Basket SharesNYSE Arca
GMFSPDR S&P Emerging Asia Pacific ETFNYSE Arca
GMMSPDR S&P Emerging Markets ETFNYSE Arca
GNRSPDR S&P Global Natural Resources ETFNYSE Arca
GSGiShares S&P GSCI Commodity Indexed TrustNYSE Arca
GSYGuggenheim Enhanced Short Duration ETFNYSE Arca
GUNRFlexShares Global Upstream Natural Resources Index FundNYSE Arca
GURUGlobal X Guru Index ETFNYSE Arca
GVIiShares Intermediate Government/Credit Bond ETFNYSE 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 ETFNYSE Arca
HEDJWisdomTree Europe Hedged Equity FundNYSE Arca
HYDMarket Vectors High Yield Municipal Index ETFNYSE Arca
HYEMMarket Vectors Emerging High Yield Bond ETFNYSE Arca
HYGiShares iBoxx $ High Yield Corporate Bond ETFNYSE 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 U.S. Broker-Dealers ETFNYSE Arca
IATiShares US Regional Banks ETFNYSE Arca
IAUiShares Gold TrustNYSE Arca
IBBiShares Nasdaq Biotechnology ETFNASDAQ GM
IBNDSPDR Barclays International Corporate Bond ETFNYSE Arca
ICFiShares Cohen & Steers REIT ETFNYSE Arca
IDUiShares US Utilities ETFNYSE Arca
IDViShares International Select Dividend ETFNYSE Arca
IDXMarket Vectors Indonesia Index ETFNYSE Arca
IEFiShares 7-10 Year Treasury Bond ETFNYSE Arca
IEFAiShares Core MSCI EAFE ETFNYSE Arca
IEIiShares 3-7 Year Treasury Bond ETFNYSE Arca
IEMGiShares Core MSCI Emerging Markets ETFNYSE Arca
IEOiShares U.S. Oil & Gas Exploration & Production ETFNYSE Arca
IEViShares Europe ETFNYSE Arca
IEZiShares U.S. Oil Equipment & Services ETFNYSE Arca
IFGLiShares International Developed Real Estate ETFNASDAQ GM
IGEiShares North American Natural Resources ETFNYSE Arca
IGFiShares Global Infrastructure ETFNYSE Arca
IGMiShares North American Tech ETFNYSE Arca
IGOViShares International Treasury Bond ETFNASDAQ GM
IGViShares North American Tech-Software ETFNYSE Arca
IHEiShares US Pharmaceuticals ETFNYSE Arca
IHFiShares U.S. Healthcare Providers ETFNYSE Arca
IHIiShares U.S. Medical Devices ETFNYSE Arca
IHYMarket Vectors International High Yield Bond ETFNYSE Arca
IJHiShares Core S&P Mid-Cap ETFNYSE Arca
IJJiShares S&P Mid-Cap 400 Value ETFNYSE Arca
IJKiShares S&P Mid-Cap 400 Growth ETFNYSE Arca
IJRiShares Core S&P Small-Cap ETFNYSE Arca
IJSiShares S&P Small-Cap 600 Value ETFNYSE Arca
IJTiShares S&P Small-Cap 600 Growth ETFNYSE Arca
ILFiShares Latin America 40 ETFNYSE Arca
INDAiShares MSCI India ETFBATS
INDYiShares India 50 ETFNASDAQ GM
INPiPath MSCI India Index ETNNYSE Arca
IOOiShares Global 100 ETFNYSE Arca
IPESPDR Barclays TIPS ETFNYSE Arca
Start Printed Page 13707
ITAiShares U.S. Aerospace & Defense ETFNYSE Arca
ITBiShares U.S. Home Construction ETFNYSE 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 ETFNYSE Arca
IVViShares Core S&P 500 ETFNYSE Arca
IVWiShares S&P 500 Growth ETFNYSE Arca
IWBiShares Russell 1000 ETFNYSE Arca
IWCiShares Micro-Cap ETFNYSE Arca
IWDiShares Russell 1000 Value ETFNYSE Arca
IWFiShares Russell 1000 Growth ETFNYSE Arca
IWMiShares Russell 2000 ETFNYSE Arca
IWNiShares Russell 2000 Value ETFNYSE Arca
IWOiShares Russell 2000 Growth ETFNYSE Arca
IWPiShares Russell Mid-Cap Growth ETFNYSE Arca
IWRiShares Russell Mid-Cap ETFNYSE Arca
IWSiShares Russell Mid-Cap Value ETFNYSE Arca
IWViShares Russell 3000 ETFNYSE Arca
IWWiShares Russell 3000 Value ETFNYSE Arca
IXCiShares Global Energy ETFNYSE Arca
IXGiShares Global Financials ETFNYSE Arca
IXJiShares Global Healthcare ETFNYSE Arca
IXNiShares Global Tech ETFNYSE Arca
IXPiShares Global Telecom ETFNYSE Arca
IXUSiShares Core MSCI Total International Stock ETFNYSE Arca
IYCiShares U.S. Consumer Services ETFNYSE Arca
IYEiShares U.S. Energy ETFNYSE Arca
IYFiShares US Financials ETFNYSE Arca
IYGiShares U.S. Financial Services ETFNYSE Arca
IYHiShares U.S. Healthcare ETFNYSE Arca
IYJiShares U.S. Industrials ETFNYSE Arca
IYMiShares U.S. Basic Materials ETFNYSE Arca
IYRiShares US Real Estate ETFNYSE Arca
IYTiShares Transportation Average ETFNYSE Arca
IYWiShares US Technology ETFNYSE Arca
IYYiShares Dow Jones U.S. ETFNYSE Arca
IYZiShares US Telecommunications ETFNYSE Arca
JKEiShares Morningstar Large-Cap Growth ETFNYSE Arca
JKFiShares Morningstar Large-Cap Value ETFNYSE Arca
JNKSPDR Barclays High Yield Bond ETFNYSE Arca
JOiPath Dow Jones-UBS Coffee Subindex Total Return ETNNYSE Arca
KBESPDR S&P Bank ETFNYSE Arca
KBWBPowerShares KBW Bank PortfolioNYSE Arca
KIESPDR S&P Insurance ETFNYSE Arca
KOLMarket Vectors Coal ETFNYSE Arca
KRESPDR S&P Regional Banking ETFNYSE Arca
KXIiShares Global Consumer Staples ETFNYSE Arca
LAGSPDR Barclays Aggregate Bond ETFNYSE Arca
LEMBiShares Emerging Markets Local Currency Bond ETFNYSE Arca
LQDiShares iBoxx $ Investment Grade Corporate Bond ETFNYSE Arca
MBBiShares MBS ETFNYSE Arca
MCHIiShares MSCI China ETFNYSE 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 MLP Equal Weight Index ETNNYSE Arca
MOATMarket Vectors Wide Moat ETFNYSE Arca
MOOMarket Vectors Agribusiness ETFNYSE Arca
MUBiShares National AMT-Free Muni Bond ETFNYSE Arca
MUNIPIMCO Intermediate Municipal Bond Exchange-Traded FundNYSE Arca
MXIiShares Global Materials ETFNYSE Arca
NEARiShares Short Maturity Bond ETFBATS
NKYMAXIS Nikkei 225 Index Fund ETFNYSE Arca
NOBLProShares S&P 500 Aristocrats ETFNYSE Arca
OEFiShares S&P 100 ETFNYSE Arca
OIHMarket Vectors Oil Service ETFNYSE Arca
OILiPath Goldman Sachs Crude Oil Total Return Index ETNNYSE Arca
ONEQFidelity NASDAQ Composite Index Tracking Stock ETFNASDAQ GM
Start Printed Page 13708
PALLETFS Physical Palladium SharesNYSE Arca
PBEPowershares Dynamic Biotechnology & Genome PortfolioNYSE Arca
PBSPowershares Dynamic Media PortfolioNYSE Arca
PBWPowershares WilderHill Clean Energy PortfolioNYSE Arca
PCEFPowerShares CEF Income Composite PortfolioNYSE Arca
PCYPowerShares Emerging Markets Sovereign Debt PortfolioNYSE Arca
PDPPowerShares DWA Momentum PortfolioNYSE Arca
PFFiShares US Preferred Stock ETFNYSE Arca
PGFPowerShares Financial Preferred PortfolioNYSE Arca
PGJPowershares Golden Dragon China PortfolioNYSE Arca
PGXPowerShares Preferred PortfolioNYSE Arca
PHBPowerShares Fundamental High Yield Corporate Bond PortfolioNYSE Arca
PHOPowerShares Water Resources PortfolioNYSE Arca
PHYSSprott Physical Gold TrustNYSE Arca
PIDPowerShares International Dividend Achievers PortfolioNYSE Arca
PIEPowerShares DWA Emerging Markets Momentum PortfolioNYSE Arca
PINPowerShares India PortfolioNYSE Arca
PIZPowerShares DWA Developed Markets Momentum PortfolioNYSE Arca
PJPPowershares Dynamic Pharmaceuticals PortfolioNYSE Arca
PKWPowerShares Buyback Achievers PortfolioNYSE Arca
PNQIPowerShares NASDAQ Internet PortfolioNASDAQ GM
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
PZAPowerShares Insured National Municipal Bond PortfolioNYSE Arca
QAIIndexIQ ETF Trust—IQ Hedge Multi-Strategy Tracker ETFNYSE Arca
QQEWFirst Trust NASDAQ-100 Equal Weighted Index FundNASDAQ GM
QQQPowershares QQQ Trust Series 1NASDAQ GM
REMiShares Mortgage Real Estate Capped ETFNYSE Arca
REZiShares Residential Real Estate Capped ETFNYSE Arca
RFGGuggenheim S&P Midcap 400 Pure Growth ETFNYSE Arca
RIGSRiverfront Strategic Income FundNYSE 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 Global Consumer Discretionary ETFNYSE Arca
RYHGuggenheim S&P 500 Equal Weight Healthcare ETFNYSE Arca
RYTGuggenheim S&P 500 Equal Weight Technology ETFNYSE 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 ETFNYSE Arca
SDIVGlobal X SuperDividend ETFNYSE Arca
SDOGALPS Sector Dividend Dogs ETFNYSE Arca
SDYSPDR S&P Dividend ETFNYSE Arca
SGOLETFS Gold TrustNYSE Arca
Start Printed Page 13709
SHProShares Short S&P500NYSE Arca
SHMSPDR Nuveen Barclays Short Term Municipal Bond ETFNYSE Arca
SHViShares Short Treasury Bond ETFNYSE Arca
SHYiShares 1-3 Year Treasury Bond ETFNYSE Arca
SILGlobal X Silver Miners ETFNYSE Arca
SIVRETFS Physical Silver SharesNYSE 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
SOCLGlobal X Social Media Index ETFNASDAQ GM
SOXXiShares PHLX Semiconductor ETFNASDAQ GM
SPHBPowerShares S&P 500 High Beta Port ETFNYSE Arca
SPLVPowerShares S&P 500 Low Volatility PortfolioNYSE Arca
SPYSPDR S&P 500 ETF TrustNYSE Arca
SRLNSPDR Blackstone/GSO Senior Loan ETFNYSE Arca
STIPiShares 0-5 Year TIPS Bond ETFNYSE Arca
STPZPIMCO 1-5 Year U.S. TIPS Index Exchange-Traded FundNYSE Arca
SUBiShares Short-Term National AMT-Free Muni Bond ETFNYSE Arca
SVXYProShares Short VIX Short-Term Futures ETFNYSE Arca
TANGuggenheim Solar ETFNYSE Arca
TBFProShares Short 20+ Year TreasuryNYSE Arca
TDTFFlexShares iBoxx 5-Year Target Duration TIPS Index FundNYSE Arca
TDTTFlexShares iBoxx 3-Year Target Duration TIPS Index FundNYSE Arca
TFISPDR Nuveen Barclays Municipal Bond ETFNYSE Arca
THDiShares MSCI Thailand Capped ETFNYSE Arca
TIPiShares TIPS Bond ETFNYSE Arca
TLHiShares 10-20 Year Treasury Bond ETFNYSE Arca
TLTiShares 20+ Year Treasury Bond ETFNYSE Arca
TLTDFlexShares Morningstar Developed Markets ex-US Factor Tilt Index FundNYSE Arca
TOKiShares MSCI Kokusai ETFNYSE Arca
TURiShares MSCI Turkey ETFNYSE Arca
UNGUnited States Natural Gas Fund LPNYSE Arca
USCIUnited States Commodity Index FundNYSE Arca
USDUWisdomTree Bloomberg U.S. Dollar Bullish FundNYSE Arca
USMViShares MSCI USA Minimum Volatility ETFNYSE 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
VGKVanguard FTSE Europe ETFNYSE Arca
VGSHVanguard Short-Term Government Bond ETFNASDAQ GM
VGTVanguard Information Technology ETFNYSE Arca
VHTVanguard Health Care ETFNYSE Arca
VIDIVident International Equity FundNASDAQ GM
VIGVanguard Dividend Appreciation ETFNYSE Arca
VIIXVelocityShares VIX Short Term ETNNASDAQ GM
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
VOOVanguard S&P 500 ETFNYSE Arca
VOTVanguard Mid-Cap Growth ETFNYSE Arca
VOXVanguard Telecommunication Services ETFNYSE Arca
VPLVanguard FTSE Pacific ETFNYSE Arca
VPUVanguard Utilities ETFNYSE Arca
Start Printed Page 13710
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
VTIVanguard Total Stock Market ETFNYSE Arca
VTIPVanguard Short-Term Inflation-Protected Securities ETFNASDAQ GM
VTVVanguard Value ETFNYSE Arca
VTWOVanguard Russell 2000NASDAQ GM
VUGVanguard Growth ETFNYSE Arca
VVVanguard Large-Cap ETFNYSE Arca
VWOVanguard FTSE Emerging Markets ETFNYSE Arca
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
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 ETNNASDAQ GM
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
ZIVVelocityShares Daily Inverse VIX Medium Term ETNNASDAQ GM
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 sideStart Printed Page 13711

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,] By September 30, 2014, 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 Martha Redding, Chief Counsel, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated February 21, 2014 (“Transmittal Letter”).

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

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5.  See Section V of the Plan.

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

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

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8.  See Section I(T) of the Plan.

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

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

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

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13.  See Section I(D) of the Plan.

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

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

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17.  See Transmittal Letter, supra note 3.

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

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19.  See Securities Exchange Act Release No. 67091 (May 31, 2012), 77 FR 33498, 33508 (June 6, 2012).

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20.  See Section I(J) of the Plan.

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[FR Doc. 2014-05175 Filed 3-10-14; 8:45 am]

BILLING CODE 8011-01-P