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On August 31, 2017, NYSE Group, Inc., on behalf of the following parties to the National Market System Plan to Address Extraordinary Market Volatility (“the Plan”): [1] Bats BZX Exchange, Inc., Bats BYX Exchange, Inc., Bats EDGA Exchange, Inc., Bats EDGX Exchange, Inc., Chicago Stock Exchange, Inc., the Financial Industry Regulatory Authority, Inc. (“FINRA”), Investors Exchange LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock Market LLC (“Nasdaq”), New York Stock Exchange LLC (“NYSE”), NYSE Arca, Inc., NYSE American LLC, and NYSE National Inc. (collectively, the “Participants”) filed with the Securities and Exchange Commission (“Commission”) pursuant to Section 11A(a)(3) of the Securities Exchange Act of 1934 (“Exchange Act”) [2] and Rule 608 thereunder,[3] a proposal to amend the Plan (“Fifteenth Amendment”).[4] The proposal reflects changes unanimously approved by the Participants. The Fifteenth Amendment proposes to extend the implementation date for the twelfth amendment to the Plan (“Twelfth Amendment”) and related changes from the thirteenth amendment to the Plan (“Amendment 13 Changes”) set out in the fourteenth amendment to the Plan (“Fourteenth Amendment”), as discussed below.[5] The Participants are filing the Fifteenth Amendment for immediate effectiveness pursuant to ( printed page 45923) Rule 608(b)(3)(iii) of Regulation NMS (“Rule 608”) under the Exchange Act.[6] The Commission is publishing this notice to solicit comments from interested persons.[7]
Set forth in this Section II is the statement of the purpose and summary of the Fourteenth Amendment, along with the information required by Rule 608(a)(4) and (5) under the Exchange Act,[8] prepared and submitted by the Participants to the Commission.[9]
The Participants filed the Plan on April 5, 2011, to create a market-wide limit up-limit down mechanism intended to address extraordinary market volatility in NMS Stocks, as defined in Rule 600(b)(47) of Regulation NMS under the Exchange Act. The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would 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,[10] as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves. In particular, the Participants adopted this Plan to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010.
As set forth in more detail in the Plan, 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 the Plan. More specifically, the Processor responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act will be responsible for calculating and disseminating a lower price band and upper price band, as provided for in Section V of the Plan. Section VI of the Plan sets forth the limit up-limit down requirements of the Plan, and in particular, that 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, consistent with the Plan.
The changes approved by the Commission in the twelfth amendment to the Plan provide that a Trading Pause will continue until the Primary Listing Exchange has reopened trading using its established reopening procedures, and to require that trading centers not resume trading in an NMS Stock following a Trading Pause without Price Bands for such NMS Stock. In the Statement of Purpose filed with the twelfth amendment, the Participants stated that the changes described in the twelfth amendment would be implemented no later than six months after approval of that amendment. Based on the fourteenth amendment to the Plan, the twelfth amendment must be implemented no later than the end of the third quarter of 2017.
Because the SIP technology changes necessary to implement the twelfth amendment to the Plan and the Amendment 13 Changes will not be ready by September 30, 2017, the Participants are filing this proposal to change the implementation date for the changes to the Plan set forth in the twelfth amendment and the Amendment 13 Changes to no later than November 30, 2017. Specifically, the CQS and CTA SIPs are in the process of upgrading to binary message type formats over their multicast channels and the changes described in the twelfth and thirteenth amendments to the Plan are scheduled to be implemented together with these upgrades. SIAC has announced revised implementation dates for the implementation of the CQS and CTA new binary formats, which impacts the implementation dates for SIAC's implementation of the twelfth amendment to the Plan and the Amendment 13 Changes.[11]
Because of a dependency on certain SIP technology changes, certain Primary Listing Exchanges will not be ready to implement the changes to their automated reopening processes following a Trading Pause, which were made pursuant to exchange rule filings in conjunction with the twelfth amendment to the Plan, by September 30, 2017. To provide for a standardized approach that would allow for extensions of a Trading Pause by the Primary Listing Exchange if equilibrium cannot be met to establish a Reopening Price within specified parameters (“automated reopening changes”), the Primary Listing Exchanges amended their rules for automated reopenings.[12] The Primary Listing Exchanges anticipate implementing the automated reopening changes commensurate with implementation of the twelfth amendment to the Plan and the Amendment 13 Changes.[13]
Accordingly, both to provide time to support the technology changes for the twelfth amendment to the Plan and to align the implementation date of the twelfth amendment and the
Amendment 13 Changes with the implementation timeline for the automated reopening changes by the Primary Listing Exchanges, the Participants propose to change the implementation date for the changes in the twelfth amendment to the Plan and the Amendment 13 Changes to no later than November 30, 2017. This proposed change does not require any changes to the text of the Plan.
The Participants believe that the proposed modification to the implementation schedule is technical and ministerial in nature because it simply extends the implementation period for the twelfth amendment to the Plan and does not change any substantive elements of the Plan.[14] The Participants believe that the proposal to extend the implementation schedule is consistent with the goal of the twelfth amendment to the Plan, which is to reduce the potential for sequential Trading Pauses in an NMS Stock by centralizing the reopening process through the Primary Listing Exchanges, because it would align the implementation schedule for the twelfth amendment to the Plan with the implementation schedule for the automated reopening changes. The proposed amendment would therefore protect investors and the public interest ( printed page 45924) and is appropriate to the maintenance of fair and orderly markets.
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.
The initial date of the Plan operations was April 8, 2013.
The Plan was initially 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 was completed on February 24, 2014. The tenth amendment to the Plan was implemented on July 18, 2016. Pursuant to the proposed thirteenth amendment to the Plan, the Participants propose [sic] to extend the pilot period until April 16, 2018.[15] Currently, the Participants must implement the twelfth amendment to the Plan to no later than the end of the third quarter of 2017. Pursuant to this proposed amendment, the Participants propose to extend the time frame to implement the twelfth amendment to the Plan and the Amendment 13 Changes to no later than November 30, 2017.
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.
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.
Each of the Plan's Participants has executed a written amended Plan.
Section II(C) of the Plan provides 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, 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.
Not applicable.
Not applicable.
Section III(C) of the Plan provides that each Participant shall designate an individual to represent the Participant as a member of an Operating Committee. 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.
On July 19, 2017, the Operating Committee, duly constituted and chaired by Mr. Robert Books of Bats, met and voted unanimously to amend the Plan as set forth herein in accordance with Section III(C) of the Plan. The Plan Advisory Committee was notified in connection with the Fifteenth Amendment and was in favor.
Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the amendment is consistent with the Exchange Act and the rules thereunder. Comments may be submitted by any of the following methods:
All submissions should refer to File Number 4-631.This file number should be included on the subject line if e-mail 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 proposed plan amendment that are filed with the Commission, and all written communications relating to the amendment 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 the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing also will be available for inspection and copying at the Participants' 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 October 23, 2017.
By the Commission.
Brent J. Fields,
Secretary.
Proposed new language is italicized; proposed deletions are in [brackets]. ( printed page 45925)
| Section | Page |
|---|---|
| Preamble | 1 |
| I. Definitions | 2 |
| II. Parties | 4 |
| III. Amendments to Plan | 7 |
| IV. Trading Center Policies and Procedures | 8 |
| V. Price Bands | 8 |
| VI. Limit Up—Limit Down Requirements | 11 |
| VII. Trading Pauses | 13 |
| VIII. Implementation | 15 |
| IX. Withdrawal from Plan | 16 |
| X. Counterparts and Signatures | 16 |
| Appendix A—Percentage Parameters | 18 |
| Appendix A—Schedule 1 | 20 |
| Appendix B—Data | 35 |
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.
(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 . If the Primary Listing Exchange opens with quotations, the “Opening Price” shall mean the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no such closing price exists, the last sale on the Primary Listing Exchange.
(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) “Reference Price” shall have the meaning provided in Section V of the Plan.
(S) “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.
(T) “Regulatory Halt” shall have the meaning specified in the Market Data Plans.
(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.
The parties to the Plan are as follows:
(1) Bats BZX Exchange, Inc.
8050 Marshall Drive
Lenexa, Kansas 66214
(2) Bats BYX Exchange, Inc.
8050 Marshall Drive
Lenexa, Kansas 66214
(3) Bats EDGA Exchange, Inc.
8050 Marshall Drive
Lenexa, Kansas 66214
(4) Bats EDGX Exchange, Inc.
8050 Marshall Drive
Lenexa, Kansas 66214
(5) Chicago Stock Exchange, Inc.
440 South LaSalle Street
Chicago, Illinois 60605
(6) Financial Industry Regulatory Authority, Inc.
1735 K Street, NW
Washington, DC 20006
(7) Investors Exchange LLC
4 World Trade Center, 44th Floor
New York, New York 10007
(8) NASDAQ BX, Inc.
One Liberty Plaza
New York, New York 10006
(9) NASDAQ PHLX LLC
1900 Market Street
Philadelphia, Pennsylvania 19103
(10) The Nasdaq Stock Market LLC
1 Liberty Plaza
165 Broadway
New York, NY 10006
(11) NYSE National, Inc.
11 Wall Street
New York, NY 10005
(12) New York Stock Exchange LLC
11 Wall Street
New York, New York 10005
(13) NYSE [MKT] American LLC
11 Wall Street
New York, New York 10005
(14) NYSE Arca, Inc.
11 Wall Street
New York, New York 10005
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.
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.
(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: ( printed page 45926)
(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.
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.
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.
(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.
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.
(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 the Processor has not yet disseminated Price Bands, but a Reference Price is available, a trading center may calculate and apply Price Bands based on the same Reference Price that the Processor would use for calculating such Price Bands until such trading center receives Price Bands from the Processor. If, under Section VII(B)(2), the Primary Listing Exchange notifies the Processor that it is unable to reopen an NMS Stock due to a systems or technology issue and it has not declared a Regulatory Halt, the Processor will calculate and disseminate Price Bands by applying triple the Percentage Parameters set forth in Appendix A for the first 30 seconds such Price Bands are disseminated.
(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.
(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.
(1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, if the Primary Listing Exchange reopens trading with a transaction or quotation that does not include a zero bid or zero offer, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange. Subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If the Primary Listing Exchange notifies the Processor that it is unable to reopen an NMS Stock due to a systems or technology issue, ( printed page 45927) or if the Primary Listing Exchange reopens trading with a quotation that has a zero bid or zero offer, or both, the next Reference Price shall be the last effective Price Band that was in a Limit State 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.
(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.
(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.
(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.
(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 Processor will publish the following information that the Primary Listing Exchange provides to the Processor in connection with such reopening: auction reference price; auction collars; and number of extensions to the reopening auction. 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 due to a systems or technology issue and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public.
(3) Trading centers may not resume trading in an NMS Stock following a Trading Pause without Price Bands in such NMS Stock.
(4) The Processor shall update the Price Bands as set forth in Section V(C)(1)-(2) of the Plan after receiving notification from the Primary Listing Exchange of a Reopening Price following a Trading Pause (or a resume message in the case of a reopening quote that has a zero bid or zero offer, or both) or that it is unable to reopen trading following a Trading Pause due to a systems or technology issue, provided that if the Primary Listing Exchange is unable to reopen due to a systems or technology issue, the update to the Price Bands will be no earlier than ten minutes after the beginning of the Trading Pause.
(1) If an NMS Stock is in a Trading Pause during 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.
The initial date of Plan operations shall be April 8, 2013.
The Plan shall be implemented on a pilot basis set to end on April 16, 2018.
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.
The Plan may be executed in any number of counterparts, no one of which need ( printed page 45928) 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 August 2017 [February 2017] by each of the parties hereto.
BATS BZX EXCHANGE, INC.
BY:
BATS EDGA EXCHANGE, INC.
BY:
CHICAGO STOCK EXCHANGE, INC.
BY:
INVESTORS EXCHANGE LLC
BY:
NASDAQ PHLX LLC
BY:
NYSE NATIONAL, INC.
BY:
NYSE [MKT] American LLC
BY:
BATS BYX EXCHANGE, INC.
BY:
BATS EDGX EXCHANGE, INC.
BY:
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:
NASDAQ BX, Inc.
BY:
THE NASDAQ STOCK MARKET LLC
BY:
NEW YORK STOCK EXCHANGE LLC
BY:
NYSE ARCA, INC.
BY:
(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”) identified as 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 websites.
(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.
(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 (as of January 3, 2017)
| Ticker | ETP name | Exchange |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | NYSE Arca |
| IWM | iShares Russell 2000 ETF | NYSE Arca |
| QQQ | Powershares QQQ Trust Series 1 | NASDAQ |
| EEM | iShares MSCI Emerging Markets ETF | NYSE Arca |
| GDX | VanEck Vectors Gold Miners ETF | NYSE Arca |
| XLF | Financial Select Sector SPDR Fund | NYSE Arca |
| GLD | SPDR Gold Shares | NYSE Arca |
| TLT | iShares 20+ Year Treasury Bond ETF | NASDAQ |
| VXX | iPATH S&P 500 VIX Short-Term Futures ETN | NYSE Arca |
| EFA | iShares MSCI EAFE ETF | NYSE Arca |
| XLE | Energy Select Sector SPDR Fund | NYSE Arca |
| HYG | iShares iBoxx $ High Yield Corporate Bond ETF | NYSE Arca |
| XIV | VelocityShares Daily Inverse VIX Short Term ETN | NASDAQ |
| IVV | iShares Core S&P 500 ETF | NYSE Arca |
| XLU | Utilities Select Sector SPDR Fund | NYSE Arca |
| GDXJ | VanEck Vectors Junior Gold Miners ETF | NYSE Arca |
| XLP | Consumer Staples Select Sector SPDR Fund | NYSE Arca |
| FXI | iShares China Large-Cap ETF | NYSE Arca |
| EWZ | iShares MSCI Brazil Capped ETF | NYSE Arca |
| XLV | Health Care Select Sector SPDR Fund | NYSE Arca |
| IYR | iShares U.S. Real Estate ETF | NYSE Arca |
| LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | NYSE Arca |
| XLI | Industrial Select Sector SPDR Fund | NYSE Arca |
| DIA | SPDR Dow Jones Industrial Average ETF Trust | NYSE Arca |
| XOP | SPDR S&P Oil & Gas Exploration & Production ETF | NYSE Arca |
| VWO | Vanguard FTSE Emerging Markets ETF | NYSE Arca |
| IBB | iShares Nasdaq Biotechnology ETF | NASDAQ |
| XLK | Technology Select Sector SPDR Fund | NYSE Arca |
| XLY | Consumer Discretionary Select Sector SPDR Fund | NYSE Arca |
| ( printed page 45929) | ||
| VOO | Vanguard S&P 500 ETF | NYSE Arca |
| USO | United States Oil Fund LP | NYSE Arca |
| JNK | SPDR Bloomberg Barclays High Yield Bond ETF | NYSE Arca |
| XBI | SPDR S&P Biotech ETF | NYSE Arca |
| MDY | SPDR S&P MidCap 400 ETF Trust | NYSE Arca |
| VNQ | Vanguard REIT ETF | NYSE Arca |
| EWJ | iShares MSCI Japan ETF | NYSE Arca |
| SVXY | ProShares Short VIX Short-Term Futures ETF | NYSE Arca |
| AGG | iShares Core U.S. Aggregate Bond ETF | NYSE Arca |
| IEMG | iShares Core MSCI Emerging Markets ETF | NYSE Arca |
| KRE | SPDR S&P Regional Banking ETF | NYSE Arca |
| EMB | iShares JP Morgan USD Emerging Markets Bond ETF | NYSE Arca |
| IWD | iShares Russell 1000 Value ETF | NYSE Arca |
| VEA | Vanguard FTSE Developed Markets ETF | NYSE Arca |
| VTI | Vanguard Total Stock Market ETF | NYSE Arca |
| DXJ | WisdomTree Japan Hedged Equity Fund | NYSE Arca |
| XLB | Materials Select Sector SPDR Fund | NYSE Arca |
| EWW | iShares MSCI Mexico Capped ETF | NYSE Arca |
| IEF | iShares 7-10 Year Treasury Bond ETF | NYSE Arca |
| IJH | iShares Core S&P Mid-Cap ETF | NYSE Arca |
| XRT | SPDR S&P Retail ETF | NYSE Arca |
| SLV | iShares Silver Trust | NYSE Arca |
| IWF | iShares Russell 1000 Growth ETF | NYSE Arca |
| VGK | Vanguard FTSE Europe ETF | NYSE Arca |
| SMH | VanEck Vectors Semiconductor ETF | NYSE Arca |
| IWN | iShares Russell 2000 Value ETF | NYSE Arca |
| BND | Vanguard Total Bond Market ETF | NYSE Arca |
| RSX | VanEck Vectors Russia ETF | NYSE Arca |
| USMV | iShares MSCI USA Minimum Volatility ETF | NYSE Arca |
| TIP | iShares TIPS Bond ETF | NYSE Arca |
| EZU | iShares MSCI Eurozone ETF | Bats |
| IJR | iShares Core S&P Small-Cap ETF | NYSE Arca |
| SHY | iShares 1-3 Year Treasury Bond ETF | NYSE Arca |
| OIH | VanEck Vectors Oil Service ETF | NYSE Arca |
| EWY | iShares MSCI South Korea Capped ETF | NYSE Arca |
| PFF | iShares US Preferred Stock ETF | NYSE Arca |
| XME | SPDR S&P Metals & Mining ETF | NYSE Arca |
| IEFA | iShares Core MSCI EAFE ETF | NYSE Arca |
| IWB | iShares Russell 1000 ETF | NYSE Arca |
| KBE | SPDR S&P Bank ETF | NYSE Arca |
| BSV | Vanguard Short-Term Bond ETF | NYSE Arca |
| IWO | iShares Russell 2000 Growth ETF | NYSE Arca |
| HEDJ | WisdomTree Europe Hedged Equity Fund | NYSE Arca |
| EWT | iShares MSCI Taiwan ETF | NYSE Arca |
| SH | ProShares Short S&P 500 | NYSE Arca |
| ACWI | iShares MSCI ACWI ETF | NASDAQ |
| VCSH | Vanguard Short-Term Corporate Bond ETF | NASDAQ |
| SPLV | PowerShares S&P 500 Low Volatility Portfolio | NYSE Arca |
| EWG | iShares MSCI Germany ETF | NYSE Arca |
| VTV | Vanguard Value ETF | NYSE Arca |
| AMLP | Alerian MLP ETF | NYSE Arca |
| DBEF | Deutsche X-trackers MSCI EAFE Hedged Equity ETF | NYSE Arca |
| IAU | iShares Gold Trust | NYSE Arca |
| UNG | United States Natural Gas Fund LP | NYSE Arca |
| DVY | iShares Select Dividend ETF | NYSE Arca |
| BKLN | PowerShares Senior Loan Portfolio | NYSE Arca |
| VB | Vanguard Small-Cap ETF | NYSE Arca |
| VEU | Vanguard FTSE All-World ex-US ETF | NYSE Arca |
| IVE | iShares S&P 500 Value ETF | NYSE Arca |
| RSP | Guggenheim S&P 500 Equal Weight ETF | NYSE Arca |
| SHV | iShares Short Treasury Bond ETF | NYSE Arca |
| VIXY | ProShares VIX Short-Term Futures ETF | NYSE Arca |
| XHB | SPDR S&P Homebuilders ETF | NYSE Arca |
| IVW | iShares S&P 500 Growth ETF | NYSE Arca |
| VCIT | Vanguard Intermediate-Term Corporate Bond ETF | NASDAQ |
| EPI | WisdomTree India Earnings Fund | NYSE Arca |
| EFAV | iShares MSCI EAFE Minimum Volatility ETF | NYSE Arca |
| ITB | iShares U.S. Home Construction ETF | NYSE Arca |
| SDY | SPDR S&P Dividend ETF | NYSE Arca |
| MUB | iShares National Muni Bond ETF | NYSE Arca |
| VUG | Vanguard Growth ETF | NYSE Arca |
| VYM | Vanguard High Dividend Yield ETF | NYSE Arca |
| INDA | iShares MSCI India ETF | Bats |
| BIV | Vanguard Intermediate-Term Bond ETF | NYSE Arca |
| ( printed page 45930) | ||
| FEZ | SPDR EURO STOXX 50 ETF | NYSE Arca |
| AAXJ | iShares MSCI All Country Asia ex Japan ETF | NASDAQ |
| VIG | Vanguard Dividend Appreciation ETF | NYSE Arca |
| MCHI | iShares MSCI China ETF | NASDAQ |
| AMJ | JPMorgan Alerian MLP Index ETN | NYSE Arca |
| EWH | iShares MSCI Hong Kong ETF | NYSE Arca |
| EWU | iShares MSCI United Kingdom ETF | NYSE Arca |
| SOXX | iShares PHLX Semiconductor ETF | NASDAQ |
| FXE | CurrencyShares Euro Trust | NYSE Arca |
| MBB | iShares MBS ETF | NYSE Arca |
| CIU | iShares Intermediate Credit Bond ETF | NYSE Arca |
| VO | Vanguard Mid-Cap ETF | NYSE Arca |
| EWC | iShares MSCI Canada ETF | NYSE Arca |
| IEI | iShares 3-7 Year Treasury Bond ETF | NYSE Arca |
| CSJ | iShares 1-3 Year Credit Bond ETF | NYSE Arca |
| OEF | iShares S&P 100 ETF | NYSE Arca |
| ILF | iShares Latin America 40 ETF | NYSE Arca |
| IYE | iShares U.S. Energy ETF | NYSE Arca |
| VGT | Vanguard Information Technology ETF | NYSE Arca |
| XLRE | Real Estate Select Sector SPDR Fund | NYSE Arca |
| IYT | iShares Transportation Average ETF | NYSE Arca |
| PCY | PowerShares Emerging Markets Sovereign Debt Portfolio | NYSE Arca |
| IWS | iShares Russell Mid-Cap Value ETF | NYSE Arca |
| EEMV | iShares MSCI Emerging Markets Minimum Volatility ETF/Dup | NYSE Arca |
| IYF | iShares US Financials ETF | NYSE Arca |
| VBR | Vanguard Small-Cap Value ETF | NYSE Arca |
| UUP | PowerShares DB US Dollar Index Bullish Fund | NYSE Arca |
| BNDX | Vanguard Total International Bond ETF | NASDAQ |
| SJNK | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | NYSE Arca |
| EWA | iShares MSCI Australia ETF | NYSE Arca |
| MINT | PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | NYSE Arca |
| HDV | iShares High Dividend ETF | NYSE Arca |
| SCHF | Schwab International Equity ETF | NYSE Arca |
| BIL | SPDR Bloomberg Barclays 1-3 Month T-Bill | NYSE Arca |
| CWB | SPDR Bloomberg Barclays Convertible Securities ETF | NYSE Arca |
| FDN | First Trust Dow Jones Internet Index Fund | NYSE Arca |
| PGX | PowerShares Preferred Portfolio | NYSE Arca |
| VFH | Vanguard Financials ETF | NYSE Arca |
| IWR | iShares Russell Mid-Cap ETF | NYSE Arca |
| HEFA | iShares Currency Hedged MSCI EAFE ETF | NYSE Arca |
| VT | Vanguard Total World Stock ETF | NYSE Arca |
| SCZ | iShares MSCI EAFE Small-Cap ETF | NASDAQ |
| VXF | Vanguard Extended Market ETF | NYSE Arca |
| HYS | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | NYSE Arca |
| FLOT | iShares Floating Rate Bond ETF | NYSE Arca |
| DBC | PowerShares DB Commodity Index Tracking Fund | NYSE Arca |
| ICF | iShares Cohen & Steers REIT ETF | NYSE Arca |
| ITOT | iShares Core S&P Total US Stock Market ETF | NYSE Arca |
| RWM | ProShares Short Russell2000 | NYSE Arca |
| SCHB | Schwab US Broad Market ETF | NYSE Arca |
| VHT | Vanguard Health Care ETF | NYSE Arca |
| RWR | SPDR Dow Jones REIT ETF | NYSE Arca |
| IWV | iShares Russell 3000 ETF | NYSE Arca |
| IYW | iShares US Technology ETF | NYSE Arca |
| VXUS | Vanguard Total International Stock ETF | NASDAQ |
| EWP | iShares MSCI Spain Capped ETF | NYSE Arca |
| DBEU | Deutsche X-trackers MSCI Europe Hedged Equity ETF | NYSE Arca |
| EZA | iShares MSCI South Africa ETF | NYSE Arca |
| DBJP | Deutsche X-trackers MSCI Japan Hedged Equity ETF | NYSE Arca |
| SCHX | Schwab US Large-Cap ETF | NYSE Arca |
| IJJ | iShares S&P Mid-Cap 400 Value ETF | NYSE Arca |
| ACWX | iShares MSCI ACWI ex US ETF | NASDAQ |
| RWX | SPDR Dow Jones International Real Estate ETF | NYSE Arca |
| IEV | iShares Europe ETF | NYSE Arca |
| VBK | Vanguard Small-Cap Growth ETF | NYSE Arca |
| VOE | Vanguard Mid-Cap Value ETF | NYSE Arca |
| IWP | iShares Russell Mid-Cap Growth ETF | NYSE Arca |
| PSQ | ProShares Short QQQ | NYSE Arca |
| SCHD | Schwab US Dividend Equity ETF | NYSE Arca |
| QUAL | iShares MSCI USA Quality Factor ETF | NYSE Arca |
| SPHD | PowerShares S&P 500 High Dividend Low Volatility Portfolio | NYSE Arca |
| FXG | First Trust Consumer Staples AlphaDEX Fund | NYSE Arca |
| BLV | Vanguard Long-Term Bond ETF | NYSE Arca |
| IJS | iShares S&P Small-Cap 600 Value ETF | NYSE Arca |
| ( printed page 45931) | ||
| VPU | Vanguard Utilities ETF | NYSE Arca |
| VDE | Vanguard Energy ETF | NYSE Arca |
| EPP | iShares MSCI Pacific ex Japan ETF | NYSE Arca |
| FXD | First Trust Consumer Discretionary AlphaDEX Fund | NYSE Arca |
| IGV | iShares North American Tech-Software ETF | NYSE Arca |
| NEAR | iShares Short Maturity Bond ETF | Bats |
| HEWJ | iShares Currency Hedged MSCI Japan ETF | NYSE Arca |
| EWI | iShares MSCI Italy Capped ETF | NYSE Arca |
| EIDO | iShares MSCI Indonesia ETF | NYSE Arca |
| HYD | VanEck Vectors High Yield Municipal Index ETF | NYSE Arca |
| SCPB | SPDR Bloomberg Barclays Short Term Corporate Bond ETF | NYSE Arca |
| SCHH | Schwab U.S. REIT ETF | NYSE Arca |
| EWL | iShares MSCI Switzerland Capped ETF | NYSE Arca |
| IJK | iShares S&P Mid-Cap 400 Growth ETF | NYSE Arca |
| EFV | iShares MSCI EAFE Value ETF | NYSE Arca |
| IJT | iShares S&P Small-Cap 600 Growth ETF | NYSE Arca |
| EMLC | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | NYSE Arca |
| SCHA | Schwab US Small-Cap ETF | NYSE Arca |
| IDU | iShares US Utilities ETF | NYSE Arca |
| HEZU | iShares Currency Hedged MSCI Eurozone ETF | NYSE Arca |
| SHM | SPDR Nuveen Barclays Short Term Municipal Bond ETF | NYSE Arca |
| IYH | iShares U.S. Healthcare ETF | NYSE Arca |
| FV | First Trust Dorsey Wright Focus 5 ETF | NASDAQ |
| IHI | iShares U.S. Medical Devices ETF | NYSE Arca |
| ITA | iShares US Aerospace & Defense ETF | NYSE Arca |
| GOVT | iShares Core US Treasury Bond ETF | NYSE Arca |
| GUNR | FlexShares Global Upstream Natural Resources Index Fund | NYSE Arca |
| VV | Vanguard Large-Cap ETF | NYSE Arca |
| ASHR | Deutsche X-trackers Harvest CSI 300 China A-Shares ETF | NYSE Arca |
| IYZ | iShares US Telecommunications ETF | NYSE Arca |
| BWX | SPDR Bloomberg Barclays International Treasury Bond ETF | NYSE Arca |
| TFI | SPDR Nuveen Barclays Municipal Bond ETF | NYSE Arca |
| SCHZ | Schwab U.S. Aggregate Bond ETF | NYSE Arca |
| VCLT | Vanguard Long-Term Corporate Bond ETF | NASDAQ |
| VNQI | Vanguard Global ex-U.S. Real Estate ETF | NASDAQ |
| KBWB | PowerShares KBW Bank Portfolio | NASDAQ |
| IDV | iShares International Select Dividend ETF | NYSE Arca |
| IXUS | iShares Core MSCI Total International Stock ETF | NASDAQ |
| ACWV | iShares MSCI All Country World Minimum Volatility ETF | NYSE Arca |
| FXY | CurrencyShares Japanese Yen Trust | NYSE Arca |
| NOBL | ProShares S&P 500 Dividend Aristocrats ETF | Bats |
| VPL | Vanguard FTSE Pacific ETF | NYSE Arca |
| THD | iShares MSCI Thailand Capped ETF | NYSE Arca |
| TOTL | SPDR Doubleline Total Return Tactical ETF | NYSE Arca |
| VDC | Vanguard Consumer Staples ETF | NYSE Arca |
| VOX | Vanguard Telecommunication Services ETF | NYSE Arca |
| VTIP | Vanguard Short-Term Inflation-Protected Securities ETF | NASDAQ |
| MTUM | iShares MSCI USA Momentum Factor ETF | NYSE Arca |
| QTEC | First Trust NASDAQ-100 Technology Index Fund | NASDAQ |
| EWM | iShares MSCI Malaysia ETF | NYSE Arca |
| FXN | First Trust Energy AlphaDEX Fund | NYSE Arca |
| OIL | iPath Goldman Sachs Crude Oil Total Return Index ETN | NYSE Arca |
| REM | iShares Mortgage Real Estate Capped ETF | NYSE Arca |
| TBF | ProShares Short 20+ Year Treasury | NYSE Arca |
| FCG | First Trust Natural Gas ETF | NYSE Arca |
| FXR | First Trust Industrials/Producer Durables AlphaDEX Fund | NYSE Arca |
| PIN | PowerShares India Portfolio | NYSE Arca |
| VIS | Vanguard Industrials ETF | NYSE Arca |
| TUR | iShares MSCI Turkey ETF | NYSE Arca |
| VMBS | Vanguard Mortgage-Backed Securities ETF | NASDAQ |
| FVD | First Trust Value Line Dividend Index Fund | NYSE Arca |
| FXB | CurrencyShares British Pound Sterling Trust | NYSE Arca |
| PHB | PowerShares Fundamental High Yield Corporate Bond Portfolio | NYSE Arca |
| DOG | ProShares Short Dow30 | NYSE Arca |
| EFG | iShares MSCI EAFE Growth ETF | NYSE Arca |
| EWQ | iShares MSCI France ETF | NYSE Arca |
| IYJ | iShares U.S. Industrials ETF | NYSE Arca |
| IYG | iShares U.S. Financial Services ETF | NYSE Arca |
| BOND | PIMCO Total Return Active Exchange-Traded Fund | NYSE Arca |
| HEWG | iShares Currency Hedged MSCI Germany ETF | NYSE Arca |
| SHYG | iShares 0-5 Year High Yield Corporate Bond ETF | NYSE Arca |
| VLUE | iShares MSCI USA Value Factor ETF | NYSE Arca |
| SCHE | Schwab Emerging Markets Equity ETF | NYSE Arca |
| ECH | iShares MSCI Chile Capped ETF | NYSE Arca |
| ( printed page 45932) | ||
| FXU | First Trust Utilities AlphaDEX Fund | NYSE Arca |
| RWO | SPDR Dow Jones Global Real Estate ETF | NYSE Arca |
| PRF | Powershares FTSE RAFI US 1000 Portfolio | NYSE Arca |
| VGLT | Vanguard Long-Term Government Bond ETF | NASDAQ |
| VOT | Vanguard Mid-Cap Growth ETF | NYSE Arca |
| SCHM | Schwab U.S. Mid-Cap ETF | NYSE Arca |
| EUFN | iShares MSCI Europe Financials ETF | NASDAQ |
| EWS | iShares MSCI Singapore ETF | NYSE Arca |
| GVI | iShares Intermediate Government/Credit Bond ETF | NYSE Arca |
| SCHV | Schwab U.S. Large-Cap Value ETF | NYSE Arca |
| SCHP | Schwab US TIPs ETF | NYSE Arca |
| DEM | WisdomTree Emerging Markets High Dividend Fund | NYSE Arca |
| IYM | iShares U.S. Basic Materials ETF | NYSE Arca |
| DBA | PowerShares DB Agriculture Fund | NYSE Arca |
| SCHG | Schwab U.S. Large-Cap Growth ETF | NYSE Arca |
| IGOV | iShares International Treasury Bond ETF | NASDAQ |
| IGF | iShares Global Infrastructure ETF | NASDAQ |
| TLH | iShares 10-20 Year Treasury Bond ETF | NYSE Arca |
| EPHE | iShares MSCI Philippines ETF | NYSE Arca |
| SCHO | Schwab Short-Term U.S. Treasury ETF | NYSE Arca |
| EUM | ProShares Short MSCI Emerging Markets | NYSE Arca |
| PGF | PowerShares Financial Preferred Portfolio | NYSE Arca |
| IHF | iShares U.S. Healthcare Providers ETF | NYSE Arca |
| VSS | Vanguard FTSE All World ex-US Small-Cap ETF | NYSE Arca |
| KIE | SPDR S&P Insurance ETF | NYSE Arca |
| SPHB | PowerShares S&P 500 High Beta Port ETF | NYSE Arca |
| SDOG | ALPS Sector Dividend Dogs ETF | NYSE Arca |
| VAW | Vanguard Materials ETF | NYSE Arca |
| FPE | First Trust Preferred Securities and Income ETF | NYSE Arca |
| ITR | SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF | NYSE Arca |
| VCR | Vanguard Consumer Discretionary ETF | NYSE Arca |
| IGE | iShares North American Natural Resources ETF | NYSE Arca |
| SIL | Global X Silver Miners ETF | NYSE Arca |
| EDV | Vanguard Extended Duration Treasury ETF | NYSE Arca |
| DLN | WisdomTree LargeCap Dividend Fund | NYSE Arca |
| DON | WisdomTree MidCap Dividend Fund | NYSE Arca |
| MLPI | ETRACS Alerian MLP Infrastructure Index ETN | NYSE Arca |
| CLY | iShares 10+ Year Credit Bond ETF | NYSE Arca |
| IUSG | iShares Core US Growth ETF | NYSE Arca |
| ITM | VanEck Vectors AMT-Free Intermediate Municipal Index ETF | NYSE Arca |
| RPG | Guggenheim S&P 500 Pure Growth ETF | NYSE Arca |
| VGIT | Vanguard Intermediate-Term Government Bond ETF | NASDAQ |
| CRED | iShares Core US Credit Bond ETF | NYSE Arca |
| XES | SPDR S&P Oil & Gas Equipment & Services ETF | NYSE Arca |
| PHYS | Sprott Physical Gold Trust | NYSE Arca |
| TLO | SPDR Bloomberg Barclays Long Term Treasury ETF | NYSE Arca |
| BBH | VanEck Vectors Biotech ETF | NASDAQ |
| RYT | Guggenheim S&P 500 Equal Weight Technology ETF | NYSE Arca |
| FXO | First Trust Financial AlphaDEX Fund | NYSE Arca |
| CWI | SPDR MSCI ACWI ex-US ETF | NYSE Arca |
| FXH | First Trust Health Care AlphaDEX Fund | NYSE Arca |
| FDL | First Trust Morningstar Dividend Leaders Index | NYSE Arca |
| PJP | Powershares Dynamic Pharmaceuticals Portfolio | NYSE Arca |
| PZA | PowerShares National AMT-Free Municipal Bond Portfolio | NYSE Arca |
| RPV | Guggenheim S&P 500 Pure Value ETF | NYSE Arca |
| GSLC | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | NYSE Arca |
| SUB | iShares Short-Term National Muni Bond ETF | NYSE Arca |
| IXC | iShares Global Energy ETF | NYSE Arca |
| IAT | iShares US Regional Banks ETF | NYSE Arca |
| GSY | Guggenheim Enhanced Short Duration ETF | NYSE Arca |
| ERUS | iShares MSCI Russia Capped ETF | NYSE Arca |
| IXJ | iShares Global Healthcare ETF | NYSE Arca |
| DES | WisdomTree SmallCap Dividend Fund | NYSE Arca |
| DJP | iPath Bloomberg Commodity Index Total Return ETN | NYSE Arca |
| FTSM | First Trust Enhanced Short Maturity ETF | NASDAQ |
| XPH | SPDR S&P Pharmaceuticals ETF | NYSE Arca |
| VTEB | Vanguard Tax-Exempt Bond Index ETF | NYSE Arca |
| VWOB | Vanguard Emerging Markets Government Bond ETF | NASDAQ |
| IUSV | iShares Core US Value ETF | NYSE Arca |
| PDP | PowerShares DWA Momentum Portfolio | NASDAQ |
| MGK | Vanguard Mega Cap Growth ETF | NYSE Arca |
| HYLS | First Trust Exchange-Traded Fund IV First Trust Tactical High Yield ETF | NASDAQ |
| FEX | First Trust Large Cap Core AlphaDEX Fund | NASDAQ |
| HYMB | SPDR Nuveen S&P High Yield Municipal Bond ETF | NYSE Arca |
| ( printed page 45933) | ||
| DGRO | iShares Core Dividend Growth ETF | NYSE Arca |
| VGSH | Vanguard Short-Term Government Bond ETF | NASDAQ |
| RHS | Guggenheim S&P 500 Equal Weight Consumer Staples ETF | NYSE Arca |
| LEMB | iShares Emerging Markets Local Currency Bond ETF | NYSE Arca |
| FBT | First Trust NYSE Arca Biotechnology Index Fund | NYSE Arca |
| IYK | iShares US Consumer Goods ETF | NYSE Arca |
| FNDX | Schwab Fundamental U.S. Large Company Index | NYSE Arca |
| BNDS | SPDR Bloomberg Barclays Aggregate Bond ETF | NYSE Arca |
| PEY | PowerShares High Yield Equity Dividend Achievers Portfolio | NASDAQ |
| VRP | PowerShares Variable Rate Preferred Portfolio | NYSE Arca |
| SPHQ | PowerShares S&P 500 Quality Portfolio | NYSE Arca |
| GNR | SPDR S&P Global Natural Resources ETF | NYSE Arca |
| ANGL | VanEck Vectors Fallen Angel High Yield Bond ETF | NYSE Arca |
| EMLP | First Trust North American Energy Infrastructure Fund | NYSE Arca |
| VTWO | Vanguard Russell 2000 | NASDAQ |
| SRLN | SPDR Blackstone/GSO Senior Loan ETF | NYSE Arca |
| EWD | iShares MSCI Sweden ETF | NYSE Arca |
| RING | iShares MSCI Global Gold Miners ETF | NYSE Arca |
| BAB | PowerShares Build America Bond Portfolio | NYSE Arca |
| XMLV | PowerShares S&P MidCap Low Volatility Portfolio | NYSE Arca |
| KWEB | KraneShares CSI China Internet ETF | NASDAQ |
| IEO | iShares U.S. Oil & Gas Exploration & Production ETF | NYSE Arca |
| XSLV | PowerShares S&P SmallCap Low Volatility Portfolio | NYSE Arca |
| IEUR | iShares Core MSCI Europe ETF | NYSE Arca |
| IFGL | iShares International Developed Real Estate ETF | NASDAQ |
| ZROZ | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | NYSE Arca |
| XSD | SPDR S&P Semiconductor ETF | NYSE Arca |
| DFE | WisdomTree Europe SmallCap Dividend Fund | NYSE Arca |
| FTSL | First Trust Senior Loan ETF | NASDAQ |
| FXZ | First Trust Materials AlphaDEX Fund | NYSE Arca |
| BLHY | Virtus Newfleet Dynamic Credit ETF | NYSE Arca |
| SCHR | Schwab Intermediate-Term U.S. Treasury ETF | NYSE Arca |
| EPOL | iShares MSCI Poland Capped ETF | NYSE Arca |
| CMF | iShares California Muni Bond ETF | NYSE Arca |
| GXC | SPDR S&P China ETF | NYSE Arca |
| XAR | SPDR S&P Aerospace & Defense ETF | NYSE Arca |
| IYC | iShares U.S. Consumer Services ETF | NYSE Arca |
| FNDF | Schwab Fundamental International Large Company Index | NYSE Arca |
| DWX | SPDR S&P International Dividend ETF | NYSE Arca |
| SGOL | ETFS Physical Swiss Gold Shares | NYSE Arca |
| EWN | iShares MSCI Netherlands ETF | NYSE Arca |
| PKW | PowerShares Buyback Achievers Portfolio | NASDAQ |
| PSLV | Sprott Physical Silver Trust | NYSE Arca |
| IGM | iShares North American Tech ETF | NYSE Arca |
| FNCL | Fidelity MSCI Financials Index ETF | NYSE Arca |
| PPLT | ETFS Physical Platinum Shares | NYSE Arca |
| ISTB | iShares Core 1-5 Year USD Bond ETF | NYSE Arca |
| DGRW | WisdomTree U.S. Quality Dividend Growth Fund | NASDAQ |
| IHE | iShares US Pharmaceuticals ETF | NYSE Arca |
| SLYV | SPDR S&P 600 Small CapValue ETF | NYSE Arca |
| HACK | PureFunds ISE Cyber Security ETF | NYSE Arca |
| FNDA | Schwab Fundamental U.S. Small Company Index | NYSE Arca |
| CORP | PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | NYSE Arca |
| BSJI | Guggenheim BulletShares 2018 High Yield Corporate Bond ETF | NYSE Arca |
| ECON | Columbia Emerging Markets Consumer ETF | NYSE Arca |
| PSK | SPDR Wells Fargo Preferred Stock ETF | NYSE Arca |
| GSG | iShares S&P GSCI Commodity Indexed Trust | NYSE Arca |
| VOOG | Vanguard S&P 500 Growth ETF | NYSE Arca |
| VXZ | iPATH S&P 500 VIX Mid-Term Futures ETN | NYSE Arca |
| ONEQ | Fidelity NASDAQ Composite Index Tracking Stock ETF | NASDAQ |
| SLYG | SPDR S&P 600 Small Cap Growth ETF | NYSE Arca |
| STIP | iShares 0-5 Year TIPS Bond ETF | NYSE Arca |
| PDBC | PowerShares DB Optimum Yield Diversified Commodity Strategy Portfolio | NASDAQ |
| FXL | First Trust Technology AlphaDEX Fund | NYSE Arca |
| IXN | iShares Global Tech ETF | NYSE Arca |
| MOO | VanEck Vectors Agribusiness ETF | NYSE Arca |
| EPU | iShares MSCI All Peru Capped ETF | NYSE Arca |
| SNLN | Highland/iBoxx Senior Loan ETF | NASDAQ |
| DHS | WisdomTree High Dividend Fund | NYSE Arca |
| AOR | iShares Core Growth Allocation ETF | NYSE Arca |
| QAI | IndexIQ ETF Trust—IQ Hedge Multi-Strategy Tracker ETF | NYSE Arca |
| PPH | VanEck Vectors Pharmaceutical ETF | NASDAQ |
| FTEC | Fidelity MSCI Information Technology Index ETF | NYSE Arca |
| DGS | WisdomTree Emerging Markets SmallCap Dividend Fund | NYSE Arca |
| ( printed page 45934) | ||
| FHLC | Fidelity MSCI Health Care Index ETF | NYSE Arca |
| FNDE | Schwab Fundamental Emerging Markets Large Company Index ETF | NYSE Arca |
| LMBS | First Trust Low Duration Opportunities ETF | NASDAQ |
| IPAC | iShares Core MSCI Pacific ETF | NYSE Arca |
| MGV | Vanguard Mega Cap Value ETF | NYSE Arca |
| FRI | First Trust S&P REIT Index Fund | NYSE Arca |
| JO | iPath Bloomberg Coffee Subindex Total Return ETN | NYSE Arca |
| PXH | PowerShares FTSE RAFI Emerging Markets Portfolio | NYSE Arca |
| WIP | SPDR Citi International Government Inflation-Protected Bond ETF | NYSE Arca |
| AOM | iShares Core Moderate Allocation ETF | NYSE Arca |
| EWK | iShares MSCI Belgium Capped ETF | NYSE Arca |
| VIIX | VelocityShares VIX Short Term ETN | NASDAQ |
| SCJ | iShares MSCI Japan Small-Cap ETF | NYSE Arca |
| DVYE | iShares Emerging Markets Dividend ETF | NYSE Arca |
| PXF | PowerShares FTSE RAFI Developed Markets ex-U.S. Portfolio | NYSE Arca |
| DBB | PowerShares DB Base Metals Fund | NYSE Arca |
| HYEM | VanEck Vectors Emerging High Yield Bond ETF | NYSE Arca |
| PPA | PowerShares Aerospace & Defense Portfolio | NYSE Arca |
| FTGC | First Trust Global Tactical Commodity Strategy Fund | NASDAQ |
| DLS | WisdomTree International SmallCap Dividend Fund | NYSE Arca |
| JHMD | John Hancock Multifactor Developed International ETF | NYSE Arca |
| SDIV | Global X SuperDividend ETF | NYSE Arca |
| PICK | iShares MSCI Global Metals & Mining Producers ETF | NYSE Arca |
| INDY | iShares India 50 ETF | NASDAQ |
| SPYG | SPDR S&P 500 Growth ETF | NYSE Arca |
| STPZ | PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | NYSE Arca |
| SCHC | Schwab International Small-Cap Equity ETF | NYSE Arca |
| IXG | iShares Global Financials ETF | NYSE Arca |
| IAGG | iShares International Aggregate Bond Fund | Bats |
| IWC | iShares Micro-Cap ETF | NYSE Arca |
| DBO | PowerShares DB Oil Fund | NYSE Arca |
| FXC | CurrencyShares Canadian Dollar Trust | NYSE Arca |
| USCI | United States Commodity Index Fund | NYSE Arca |
| PSCT | PowerShares S&P SmallCap Information Technology Portfolio | NASDAQ |
| ITE | SPDR Bloomberg Barclays Intermediate Term Treasury ETF | NYSE Arca |
| DBP | PowerShares DB Precious Metals Fund | NYSE Arca |
| FENY | Fidelity MSCI Energy Index ETF | NYSE Arca |
| ELD | WisdomTree Emerging Markets Local Debt Fund | NYSE Arca |
| REZ | iShares Residential Real Estate Capped ETF | NYSE Arca |
| EWX | SPDR S&P Emerging Markets SmallCap ETF | NYSE Arca |
| ENZL | iShares MSCI New Zealand Capped ETF | NASDAQ |
| IDLV | PowerShares S&P International Developed Low Volatility Portfolio | NYSE Arca |
| BSJJ | Guggenheim BulletShares 2019 High Yield Corporate Bond ETF | NYSE Arca |
| SILJ | PureFunds ISE Junior Silver Small Cap Miners/Explorers ETF | NYSE Arca |
| VONG | Vanguard Russell 1000 Growth ETF | NASDAQ |
| JPIN | JPMorgan Diversified Return International Equity ETF | NYSE Arca |
| WBIY | WBI Power FactorTM High Dividend ETF | NYSE Arca |
| FTA | First Trust Large Cap Value AlphaDEX Fund | NASDAQ |
| GWX | SPDR S&P International Small Cap ETF | NYSE Arca |
| OUSA | O'Shares FTSE US Quality Dividend ETF | NYSE Arca |
| FM | iShares MSCI Frontier 100 ETF | NYSE Arca |
| SJB | ProShares Short High Yield | NYSE Arca |
| RYH | Guggenheim S&P 500 Equal Weight Healthcare ETF | NYSE Arca |
| VONV | Vanguard Russell 1000 Value | NASDAQ |
| PFXF | VanEck Vectors Preferred Securities ex Financials ETF | NYSE Arca |
| QDF | FlexShares Quality Dividend Index Fund | NYSE Arca |
| RYF | Guggenheim S&P 500 Equal Weight Financials ETF | NYSE Arca |
| RYE | Guggenheim S&P 500 Equal Weight Energy ETF | NYSE Arca |
| PID | PowerShares International Dividend Achievers Portfolio | NASDAQ |
| FUTY | Fidelity MSCI Utilities Index ETF | NYSE Arca |
| HDGE | AdvisorShares Ranger Equity Bear ETF | NYSE Arca |
| MOAT | VanEck Vectors Morningstar Wide Moat ETF | NYSE Arca |
| PWV | PowerShares Dynamic Large Cap Value Portfolio | NYSE Arca |
| BSCI | Guggenheim BulletShares 2018 Corporate Bond ETF | NYSE Arca |
| DFJ | WisdomTree Japan SmallCap Dividend Fund | NYSE Arca |
| TDTT | FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | NYSE Arca |
| DGL | PowerShares DB Gold Fund | NYSE Arca |
| DBE | PowerShares DB Energy Fund | NYSE Arca |
| SMDV | Proshares Trust-Proshares Russell 2000 Dividend Growers ETF | Bats |
| IFV | First Trust Dorsey Wright International Focus 5 ETF | NASDAQ |
| MDIV | First Trust Multi-Asset Diversified Income Index Fund | NASDAQ |
| PRFZ | PowerShares FTSE RAFI US 1500 Small-Mid Portfolio | NASDAQ |
| FLRN | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | NYSE Arca |
| EFZ | ProShares Short MSCI EAFE | NYSE Arca |
| ( printed page 45935) | ||
| BSCH | Guggenheim BulletShares 2017 Corporate Bond ETF | NYSE Arca |
| IGN | iShares North American Tech-Multimedia Networking ETF | NYSE Arca |
| FYX | First Trust Small Cap Core AlphaDEX Fund | NASDAQ |
| IYY | iShares Dow Jones U.S. ETF | NYSE Arca |
| VNM | VanEck Vectors Vietnam ETF | NYSE Arca |
| DWM | WisdomTree International Equity Fund | NYSE Arca |
| BSCK | Guggenheim BulletShares 2020 Corporate Bond ETF | NYSE Arca |
| EBND | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | NYSE Arca |
| DSI | iShares MSCI KLD 400 Social ETF | NYSE Arca |
| FREL | Fidelity MSCI Real Estate Index ETF | NYSE Arca |
| IOO | iShares Global 100 ETF | NYSE Arca |
| KBWY | PowerShares KBW Premium Yield Equity REIT Portfolio | NASDAQ |
| IHDG | WisdomTree International Hedged Quality Dividend Growth Fund | NYSE Arca |
| FTC | First Trust Large Cap Growth AlphaDEX Fund | NASDAQ |
| IPE | SPDR Bloomberg Barclays TIPS ETF | NYSE Arca |
| GWL | SPDR S&P World ex-US ETF | NYSE Arca |
| SKYY | First Trust ISE Cloud Computing Index Fund | NASDAQ |
| XTN | SPDR S&P Transportation ETF | NYSE Arca |
| SLX | VanEck Vectors Steel Index Fund | NYSE Arca |
| REGL | Proshares S&P Midcap 400 Dividend Aristocrats ETF | Bats |
| FNX | First Trust Mid Cap Core AlphaDEX Fund | NASDAQ |
| SGDM | Sprott Gold Miners ETF | NYSE Arca |
| CMBS | iShares CMBS ETF | NYSE Arca |
| PKB | PowerShares Dynamic Building & Construction Portfolio | NYSE Arca |
| QABA | First Trust NASDAQ ABA Community Bank Index Fund | NASDAQ |
| MXI | iShares Global Materials ETF | NYSE Arca |
| TDIV | First Trust NASDAQ Technology Dividend Index Fund | NASDAQ |
| FDIS | Fidelity MSCI Consumer Discretionary Index ETF | NYSE Arca |
| AOA | iShares Core Aggressive Allocation ETF | NYSE Arca |
| FPX | First Trust US IPO Index Fund | NYSE Arca |
| FNDC | Schwab Fundamental International Small Cap Company index | NYSE Arca |
| BSCJ | Guggenheim BulletShares 2019 Corporate Bond ETF | NYSE Arca |
| AIA | iShares Asia 50 ETF | NASDAQ |
| GLTR | ETFS Physical Precious Metal Basket Shares | NYSE Arca |
| VONE | Vanguard Russell 1000 | NASDAQ |
| FSTA | Fidelity MSCI Consumer Staples Index ETF | NYSE Arca |
| BSCL | Guggenheim BulletShares 2021 Corporate Bond ETF | NYSE Arca |
| FDT | First Trust Developed Markets ex-US AlphaDEX Fund | NASDAQ |
| COMT | iShares Commodities Select Strategy ETF | NASDAQ |
| PUI | PowerShares DWA Utilities Momentum Portfolio | NASDAQ |
| PSL | PowerShares DWA Consumer Staples Momentum Portfolio | NASDAQ |
| MGC | Vanguard Mega Cap ETF | NYSE Arca |
| JKG | iShares Morningstar Mid-Cap ETF | NYSE Arca |
| BSJH | Guggenheim BulletShares 2017 High Yield Corporate Bond ETF | NYSE Arca |
| MDYG | SPDR S&P 400 Mid CapGrowth ETF | NYSE Arca |
| URTH | iShares MSCI World ETF | NYSE Arca |
| RDIV | Oppenheimer Ultra Dividend Revenue ETF | NYSE Arca |
| SLY | SPDR S&P 600 Small CapETF | NYSE Arca |
| SGG | iPath Bloomberg Sugar Subindex Total Return ETN | NYSE Arca |
| BSJK | Guggenheim BulletShares 2020 High Yield Corporate Bond ETF | NYSE Arca |
| AOK | iShares Core Conservative Allocation ETF | NYSE Arca |
| VIOO | Vanguard S&P Small-Cap 600 ETF | NYSE Arca |
| BSJG | Guggenheim BulletShares 2016 High Yield Corporate Bond ETF | NYSE Arca |
| PCEF | PowerShares CEF Income Composite Portfolio | NYSE Arca |
| RWL | Oppenheimer Large Cap Revenue ETF | NYSE Arca |
| PWZ | PowerShares California AMT-Free Municipal Bond Portfolio | NYSE Arca |
| JHML | John Hancock Multi-Factor Large Cap ETF | NYSE Arca |
| FLTB | Fidelity Ltd Term Bond ETF | NYSE Arca |
| MDYV | SPDR S&P 400 Mid Cap Value ETF | NYSE Arca |
| RYU | Guggenheim S&P 500 Equal Weight Utilities ETF | NYSE Arca |
| RGI | Guggenheim S&P 500 Equal Weight Industrials ETF | NYSE Arca |
| PALL | ETFS Physical Palladium Shares | NYSE Arca |
| XHS | SPDR S&P Health Care Services ETF | NYSE Arca |
| FBND | Fidelity Total Bond ETF | NYSE Arca |
| DVYA | iShares Asia/Pacific Dividend ETF | NYSE Arca |
| CORN | Teucrium Corn Fund | NYSE Arca |
| IVOO | Vanguard S&P Mid-Cap 400 ETF | NYSE Arca |
| FIDU | Fidelity MSCI Industrials Index ETF | NYSE Arca |
| JKE | iShares Morningstar Large-Cap Growth ETF | NYSE Arca |
| EMHY | iShares Emerging Markets High Yield Bond ETF | Bats |
| IQDF | FlexShares International Quality Dividend Index Fund | NYSE Arca |
| VOOV | Vanguard S&P 500 Value ETF | NYSE Arca |
| HEWU | iShares Currency Hedged MSCI United Kingdom ETF | NYSE Arca |
| FVC | First Trust Dorsey Wright Dynamic Focus 5 ETF | NASDAQ |
| ( printed page 45936) | ||
| SIVR | ETFS Physical Silver Shares | NYSE Arca |
| KOL | VanEck Vectors Coal ETF | NYSE Arca |
| MLPA | Global X MLP ETF | NYSE Arca |
| AGZ | iShares Agency Bond ETF | NYSE Arca |
| EELV | PowerShares S&P Emerging Markets Low Volatility Portfolio | NYSE Arca |
| TAN | Guggenheim Solar ETF | NYSE Arca |
| IUSB | iShares Core Total USD Bond Market ETF | NYSE Arca |
| IVOV | Vanguard S&P Mid-Cap 400 Value ETF | NYSE Arca |
| GBF | iShares Government/Credit Bond ETF | NYSE Arca |
| TLTD | FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund | NYSE Arca |
| SLQD | iShares 0-5 Year Investment Grade Corporate Bond ETF | NASDAQ |
| CSM | ProShares Large Cap Core Plus | Bats |
| TDTF | FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | NYSE Arca |
| SOCL | Global X Social Media Index ETF | NASDAQ |
| SLVP | iShares MSCI Global Silver Miners ETF | NYSE Arca |
| QQEW | First Trust NASDAQ-100 Equal Weighted Index Fund | NASDAQ |
| FJP | First Trust Japan AlphaDEX Fund | NASDAQ |
| FEP | First Trust Europe AlphaDEX Fund | NASDAQ |
| BNO | United States Brent Oil Fund LP | NYSE Arca |
| AMZA | InfraCap MLP ETF | NYSE Arca |
| MBG | SPDR Bloomberg Barclays Mortgage Backed Bond ETF | NYSE Arca |
| IWY | iShares Russell Top 200 Growth ETF | NYSE Arca |
| FLQE | Franklin LibertyQ Emerging Markets ETF | NYSE Arca |
| GMM | SPDR S&P Emerging Markets ETF | NYSE Arca |
| BSCM | Guggenheim BulletShares 2022 Corporate Bond ETF | NYSE Arca |
| GREK | Global X MSCI Greece ETF | NYSE Arca |
| FMAT | Fidelity MSCI Materials Index ETF | NYSE Arca |
| HEEM | iShares Currency Hedged MSCI Emerging Markets ETF | NYSE Arca |
| GEM | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | NYSE Arca |
| DBKO | Deutsche X-trackers MSCI South Korea Hedged Equity ETF | NYSE Arca |
| ILTB | iShares Core 10+ Year USD Bond ETF | NYSE Arca |
| GSIE | Goldman Sachs ActiveBeta International Equity ETF | NYSE Arca |
| LRGF | iShares FactorSelect MSCI USA ETF | NYSE Arca |
| NFRA | FlexShares STOXX Global Broad Infrastructure Index Fund | NYSE Arca |
| AGGP | IQ Enhanced Core Plus Bond U.S. ETF | NYSE Arca |
| KXI | iShares Global Consumer Staples ETF | NYSE Arca |
| EDIV | SPDR S&P Emerging Markets Dividend ETF | NYSE Arca |
| IEZ | iShares U.S. Oil Equipment & Services ETF | NYSE Arca |
| ZIV | VelocityShares Daily Inverse VIX Medium Term ETN | NASDAQ |
| DTD | WisdomTree Total Dividend Fund | NYSE Arca |
| JJG | iPath Bloomberg Grains Subindex Total Return ETN | NYSE Arca |
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.
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 am ET)
b. Regular (between 9:45 am ET and 3:35 pm ET)
c. Closing (after 3:35 pm ET)
d. Within five minutes of a Trading Pause re-open or IPO open
3. Track reasons for entering a Limit State, such as:
a. Liquidity gap-price reverts from a Limit State Quotation and returns to trading within the Price Bands
b. Broken trades
c. Primary Listing Exchange manually declares a Trading Pause pursuant to Section (VII)(2) of the Plan
d. Other
B. Determine (1), (2) and (3) for when a Trading Pause has been declared for an NMS Stock pursuant to the Plan.
II. Raw Data (all Participants, except A-E, which are for the Primary Listing Exchanges only)
A. Record of every Straddle State
1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for ending with manual override.
2. Pipe delimited with field names as first record.
B. Record of every Price Band
1. Ticker, date, time at beginning of Price Band, Upper Price Band, Lower Price Band
2. Pipe delimited with field names as first record
C. Record of every Limit State
1. Ticker, date, time entered, time exited, flag for halt
2. Pipe delimited with field names as first record
D. Record of every Trading Pause or halt
1. Ticker, date, time entered, time exited, type of halt ( i.e., regulatory halt, non-regulatory halt, Trading Pause pursuant to the Plan, other)
2. Pipe delimited with field names as first record
E. Data set or orders entered into reopening auctions during halts or Trading Pauses
1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side ( printed page 45937)
2. Pipe delimited with field name as first record
F. Data set of order events received during Limit States
G. Summary data on order flow of arrivals and cancellations for each 15-second period for discrete time periods and sample stocks to be determined by the SEC in subsequent data requests. Must indicate side(s) of Limit State.
1. Market/marketable sell orders arrivals and executions
a. Count
b. Shares
c. Shares executed
2. Market/marketable buy orders arrivals and executions
a. Count
b. Shares
c. Shares executed
3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point
4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05
8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05
9. Count and volume of (3-8) for cancels
10. Include: ticker, date, time at start, time of Limit State, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period
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.
1. On May 31, 2012, the Commission approved the Plan, as modified by Amendment No. 1. See Securities Exchange Act Release No. 67091, 77 FR 33498 (June 6, 2012) (File No. 4-631). On February 20, 2013, the Commission noticed for immediate effectiveness the Second Amendment to the Plan. See Securities Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On April 3, 2013, the Commission approved the Third Amendment to the Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483 (April 10, 2013). On August 27, 2013, the Commission noticed for immediate effectiveness the Fourth Amendment to the Plan. See Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3, 2013). On September 26, 2013, the Commission approved the Fifth Amendment to the Plan. See Securities Exchange Act Release No. 70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the Commission noticed for immediate effectiveness the Sixth Amendment to the Plan. See Securities Exchange Act Release No. 71247, 79 FR 2204 (January 13, 2014). On April 3, 2014, the Commission approved the Seventh Amendment to the Plan. See Securities Exchange Act Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19, 2015, the Commission approved the Eight Amendment to the Plan. See Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25, 2015). On October 22, 2015, the Commission approved the Ninth Amendment to the Plan. See Securities Exchange Act Release No. 76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the Commission approved the Tenth Amendment to the Plan. See Securities Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On August 26, 2016, the Commission noticed for immediate effectiveness the Eleventh Amendment to the Plan. See Securities Exchange Act Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19, 2017, the Commission approved the Twelfth Amendment to the Plan. See Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26, 2017). On April 13, 2017, the Commission approved the Thirteenth Amendment to the Plan. See Securities Exchange Act Release No. 80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the Commission noticed for immediate effectiveness the Fourteenth Amendment to the Plan. See Securities Exchange Act Release No. 80549, 82 FR 20928 (May 4, 2017).
Back to Citation4. See Letter from Elizabeth King, General Counsel and Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission, dated August 30, 2017 (“Transmittal Letter”).
Back to Citation5. The Participants also propose a non-substantive amendment to the Plan text to reflect the name change of NYSE MKT LLC to NYSE American LLC. See Securities Exchange Act Release No. Securities Exchange Act Release No. 80283 (March 21, 2017), 82 FR 15244 (March 27, 2017) (SR-NYSEMKT-2017-14).
Back to Citation8. See 17 CFR 242.608(a)(4) and (a)(5).
Back to Citation9. See Transmittal Letter, supra note 4.
Back to Citation10. Unless otherwise specified, the terms used herein have the same meaning as set forth in the Plan.
Back to Citation11. See Updated CQS and CTS Multicast Output Binary Formats: Testing and Implementation Schedule Update 7, available here: https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/CTS_CQS%20New%20Binary%20Formats_Update_v7_06262017.pdf.
Back to Citation12. See Securities Exchange Act Release Nos. 79846 (January 19, 2017), 82 FR 8548 (January 26, 2017) (SR-NYSEArca-2016-130) (Approval Order); 79884 (January 26, 2017), 82 FR 8968 (February 1, 2017) (SR-BatsBZX-2016-61) (Approval Order); 79876 (January 25, 2017), 82 FR 8888 (January 31, 2017) (SR-Nasdaq-2016-131) (Approval Order).
Back to Citation13. In other words, the Participants expect that both the changes pursuant to the twelfth amendment and the Primary Listing Exchange automated reopening changes would become operative at the same time.
Back to Citation14. See, e.g., Securities Exchange Act Release Nos. 70273 (amending Section VIII.B of the Plan to establish a new implementation schedule for Phase II of the Plan) and 71247 (amending Section VIII.B of the Plan to establish a new implementation schedule for Phase II of the Plan), supra note 1.
Back to Citation15. See Securities Exchange Act Release No. 80455 (order approving the thirteenth amendment to the Plan), supra note 1.
Back to Citation[FR Doc. 2017-20974 Filed 9-29-17; 8:45 am]
BILLING CODE 8011-01-P