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Notice

Joint Industry Plan; Notice of Filing and Immediate Effectiveness of the Fifteenth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by Bats BZX Exchange, Inc., Bats BYX Exchange, Inc., Bats EDGA Exchange, Inc., Bats EDGX Exchange, Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC, and NYSE Arca, Inc.

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Start Preamble September 26, 2017.

I. Introduction

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 Start Printed Page 45923Rule 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]

II. Description of the Plan

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]

A. Statement of Purpose and Summary of the Plan Amendment

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 Start Printed Page 45924and is appropriate to the maintenance of fair and orderly markets.

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 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.

E. Analysis of Impact on Competition

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

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

Not applicable.

J. Method and Frequency of Processor Evaluation

Not applicable.

K. Dispute Resolution

Section III(C) of the Plan provides 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.

III. Solicitation of Comments

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:

Electronic Comments

Paper Comments

  • Send paper comments in triplicate to Brent J. Fields, 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 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.

Start Signature

By the Commission.

Brent J. Fields,

Secretary.

End Signature

ATTACHMENT A

Proposed new language is italicized; proposed deletions are in [brackets].Start Printed Page 45925

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 Bands8
VI. Limit Up—Limit Down Requirements11
VII. Trading Pauses13
VIII. Implementation15
IX. Withdrawal from Plan16
X. Counterparts and Signatures16
Appendix A—Percentage Parameters18
Appendix A—Schedule 120
Appendix B—Data35

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 . 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.

II. Parties

(A) List of Parties

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

(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:Start 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.

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

(C) Operating Committee

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

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

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

IV. Trading Center Policies and Procedures

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

V. Price Bands

(A) Calculation and Dissemination of Price Bands

(1) The Processor for each NMS stock shall calculate and disseminate to the public a Lower Price Band and an Upper Price Band during Regular Trading Hours for such NMS Stock. The Price Bands shall be based on a Reference Price for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS stock over the immediately preceding five-minute period (except for periods following openings and reopenings, which are addressed below). If no Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding five-minute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. The Price Bands shall be calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before the early scheduled close, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If 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.

(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, 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, Start Printed Page 45927or 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.

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 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.

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

(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.

VIII. Implementation

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.

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 Start Printed Page 45928contain 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:

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”) 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.

II. Tier 2 NMS Stocks

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

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

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

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

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

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

Appendix A—Schedule 1 (as of January 3, 2017)

TickerETP nameExchange
SPYSPDR S&P 500 ETF TrustNYSE Arca
IWMiShares Russell 2000 ETFNYSE Arca
QQQPowershares QQQ Trust Series 1NASDAQ
EEMiShares MSCI Emerging Markets ETFNYSE Arca
GDXVanEck Vectors Gold Miners ETFNYSE Arca
XLFFinancial Select Sector SPDR FundNYSE Arca
GLDSPDR Gold SharesNYSE Arca
TLTiShares 20+ Year Treasury Bond ETFNASDAQ
VXXiPATH S&P 500 VIX Short-Term Futures ETNNYSE Arca
EFAiShares MSCI EAFE ETFNYSE Arca
XLEEnergy Select Sector SPDR FundNYSE Arca
HYGiShares iBoxx $ High Yield Corporate Bond ETFNYSE Arca
XIVVelocityShares Daily Inverse VIX Short Term ETNNASDAQ
IVViShares Core S&P 500 ETFNYSE Arca
XLUUtilities Select Sector SPDR FundNYSE Arca
GDXJVanEck Vectors Junior Gold Miners ETFNYSE Arca
XLPConsumer Staples Select Sector SPDR FundNYSE Arca
FXIiShares China Large-Cap ETFNYSE Arca
EWZiShares MSCI Brazil Capped ETFNYSE Arca
XLVHealth Care Select Sector SPDR FundNYSE Arca
IYRiShares U.S. Real Estate ETFNYSE Arca
LQDiShares iBoxx $ Investment Grade Corporate Bond ETFNYSE Arca
XLIIndustrial Select Sector SPDR FundNYSE Arca
DIASPDR Dow Jones Industrial Average ETF TrustNYSE Arca
XOPSPDR S&P Oil & Gas Exploration & Production ETFNYSE Arca
VWOVanguard FTSE Emerging Markets ETFNYSE Arca
IBBiShares Nasdaq Biotechnology ETFNASDAQ
XLKTechnology Select Sector SPDR FundNYSE Arca
XLYConsumer Discretionary Select Sector SPDR FundNYSE Arca
Start Printed Page 45929
VOOVanguard S&P 500 ETFNYSE Arca
USOUnited States Oil Fund LPNYSE Arca
JNKSPDR Bloomberg Barclays High Yield Bond ETFNYSE Arca
XBISPDR S&P Biotech ETFNYSE Arca
MDYSPDR S&P MidCap 400 ETF TrustNYSE Arca
VNQVanguard REIT ETFNYSE Arca
EWJiShares MSCI Japan ETFNYSE Arca
SVXYProShares Short VIX Short-Term Futures ETFNYSE Arca
AGGiShares Core U.S. Aggregate Bond ETFNYSE Arca
IEMGiShares Core MSCI Emerging Markets ETFNYSE Arca
KRESPDR S&P Regional Banking ETFNYSE Arca
EMBiShares JP Morgan USD Emerging Markets Bond ETFNYSE Arca
IWDiShares Russell 1000 Value ETFNYSE Arca
VEAVanguard FTSE Developed Markets ETFNYSE Arca
VTIVanguard Total Stock Market ETFNYSE Arca
DXJWisdomTree Japan Hedged Equity FundNYSE Arca
XLBMaterials Select Sector SPDR FundNYSE Arca
EWWiShares MSCI Mexico Capped ETFNYSE Arca
IEFiShares 7-10 Year Treasury Bond ETFNYSE Arca
IJHiShares Core S&P Mid-Cap ETFNYSE Arca
XRTSPDR S&P Retail ETFNYSE Arca
SLViShares Silver TrustNYSE Arca
IWFiShares Russell 1000 Growth ETFNYSE Arca
VGKVanguard FTSE Europe ETFNYSE Arca
SMHVanEck Vectors Semiconductor ETFNYSE Arca
IWNiShares Russell 2000 Value ETFNYSE Arca
BNDVanguard Total Bond Market ETFNYSE Arca
RSXVanEck Vectors Russia ETFNYSE Arca
USMViShares MSCI USA Minimum Volatility ETFNYSE Arca
TIPiShares TIPS Bond ETFNYSE Arca
EZUiShares MSCI Eurozone ETFBats
IJRiShares Core S&P Small-Cap ETFNYSE Arca
SHYiShares 1-3 Year Treasury Bond ETFNYSE Arca
OIHVanEck Vectors Oil Service ETFNYSE Arca
EWYiShares MSCI South Korea Capped ETFNYSE Arca
PFFiShares US Preferred Stock ETFNYSE Arca
XMESPDR S&P Metals & Mining ETFNYSE Arca
IEFAiShares Core MSCI EAFE ETFNYSE Arca
IWBiShares Russell 1000 ETFNYSE Arca
KBESPDR S&P Bank ETFNYSE Arca
BSVVanguard Short-Term Bond ETFNYSE Arca
IWOiShares Russell 2000 Growth ETFNYSE Arca
HEDJWisdomTree Europe Hedged Equity FundNYSE Arca
EWTiShares MSCI Taiwan ETFNYSE Arca
SHProShares Short S&P 500NYSE Arca
ACWIiShares MSCI ACWI ETFNASDAQ
VCSHVanguard Short-Term Corporate Bond ETFNASDAQ
SPLVPowerShares S&P 500 Low Volatility PortfolioNYSE Arca
EWGiShares MSCI Germany ETFNYSE Arca
VTVVanguard Value ETFNYSE Arca
AMLPAlerian MLP ETFNYSE Arca
DBEFDeutsche X-trackers MSCI EAFE Hedged Equity ETFNYSE Arca
IAUiShares Gold TrustNYSE Arca
UNGUnited States Natural Gas Fund LPNYSE Arca
DVYiShares Select Dividend ETFNYSE Arca
BKLNPowerShares Senior Loan PortfolioNYSE Arca
VBVanguard Small-Cap ETFNYSE Arca
VEUVanguard FTSE All-World ex-US ETFNYSE Arca
IVEiShares S&P 500 Value ETFNYSE Arca
RSPGuggenheim S&P 500 Equal Weight ETFNYSE Arca
SHViShares Short Treasury Bond ETFNYSE Arca
VIXYProShares VIX Short-Term Futures ETFNYSE Arca
XHBSPDR S&P Homebuilders ETFNYSE Arca
IVWiShares S&P 500 Growth ETFNYSE Arca
VCITVanguard Intermediate-Term Corporate Bond ETFNASDAQ
EPIWisdomTree India Earnings FundNYSE Arca
EFAViShares MSCI EAFE Minimum Volatility ETFNYSE Arca
ITBiShares U.S. Home Construction ETFNYSE Arca
SDYSPDR S&P Dividend ETFNYSE Arca
MUBiShares National Muni Bond ETFNYSE Arca
VUGVanguard Growth ETFNYSE Arca
VYMVanguard High Dividend Yield ETFNYSE Arca
INDAiShares MSCI India ETFBats
BIVVanguard Intermediate-Term Bond ETFNYSE Arca
Start Printed Page 45930
FEZSPDR EURO STOXX 50 ETFNYSE Arca
AAXJiShares MSCI All Country Asia ex Japan ETFNASDAQ
VIGVanguard Dividend Appreciation ETFNYSE Arca
MCHIiShares MSCI China ETFNASDAQ
AMJJPMorgan Alerian MLP Index ETNNYSE Arca
EWHiShares MSCI Hong Kong ETFNYSE Arca
EWUiShares MSCI United Kingdom ETFNYSE Arca
SOXXiShares PHLX Semiconductor ETFNASDAQ
FXECurrencyShares Euro TrustNYSE Arca
MBBiShares MBS ETFNYSE Arca
CIUiShares Intermediate Credit Bond ETFNYSE Arca
VOVanguard Mid-Cap ETFNYSE Arca
EWCiShares MSCI Canada ETFNYSE Arca
IEIiShares 3-7 Year Treasury Bond ETFNYSE Arca
CSJiShares 1-3 Year Credit Bond ETFNYSE Arca
OEFiShares S&P 100 ETFNYSE Arca
ILFiShares Latin America 40 ETFNYSE Arca
IYEiShares U.S. Energy ETFNYSE Arca
VGTVanguard Information Technology ETFNYSE Arca
XLREReal Estate Select Sector SPDR FundNYSE Arca
IYTiShares Transportation Average ETFNYSE Arca
PCYPowerShares Emerging Markets Sovereign Debt PortfolioNYSE Arca
IWSiShares Russell Mid-Cap Value ETFNYSE Arca
EEMViShares MSCI Emerging Markets Minimum Volatility ETF/DupNYSE Arca
IYFiShares US Financials ETFNYSE Arca
VBRVanguard Small-Cap Value ETFNYSE Arca
UUPPowerShares DB US Dollar Index Bullish FundNYSE Arca
BNDXVanguard Total International Bond ETFNASDAQ
SJNKSPDR Bloomberg Barclays Short Term High Yield Bond ETFNYSE Arca
EWAiShares MSCI Australia ETFNYSE Arca
MINTPIMCO Enhanced Short Maturity Active Exchange-Traded FundNYSE Arca
HDViShares High Dividend ETFNYSE Arca
SCHFSchwab International Equity ETFNYSE Arca
BILSPDR Bloomberg Barclays 1-3 Month T-BillNYSE Arca
CWBSPDR Bloomberg Barclays Convertible Securities ETFNYSE Arca
FDNFirst Trust Dow Jones Internet Index FundNYSE Arca
PGXPowerShares Preferred PortfolioNYSE Arca
VFHVanguard Financials ETFNYSE Arca
IWRiShares Russell Mid-Cap ETFNYSE Arca
HEFAiShares Currency Hedged MSCI EAFE ETFNYSE Arca
VTVanguard Total World Stock ETFNYSE Arca
SCZiShares MSCI EAFE Small-Cap ETFNASDAQ
VXFVanguard Extended Market ETFNYSE Arca
HYSPIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded FundNYSE Arca
FLOTiShares Floating Rate Bond ETFNYSE Arca
DBCPowerShares DB Commodity Index Tracking FundNYSE Arca
ICFiShares Cohen & Steers REIT ETFNYSE Arca
ITOTiShares Core S&P Total US Stock Market ETFNYSE Arca
RWMProShares Short Russell2000NYSE Arca
SCHBSchwab US Broad Market ETFNYSE Arca
VHTVanguard Health Care ETFNYSE Arca
RWRSPDR Dow Jones REIT ETFNYSE Arca
IWViShares Russell 3000 ETFNYSE Arca
IYWiShares US Technology ETFNYSE Arca
VXUSVanguard Total International Stock ETFNASDAQ
EWPiShares MSCI Spain Capped ETFNYSE Arca
DBEUDeutsche X-trackers MSCI Europe Hedged Equity ETFNYSE Arca
EZAiShares MSCI South Africa ETFNYSE Arca
DBJPDeutsche X-trackers MSCI Japan Hedged Equity ETFNYSE Arca
SCHXSchwab US Large-Cap ETFNYSE Arca
IJJiShares S&P Mid-Cap 400 Value ETFNYSE Arca
ACWXiShares MSCI ACWI ex US ETFNASDAQ
RWXSPDR Dow Jones International Real Estate ETFNYSE Arca
IEViShares Europe ETFNYSE Arca
VBKVanguard Small-Cap Growth ETFNYSE Arca
VOEVanguard Mid-Cap Value ETFNYSE Arca
IWPiShares Russell Mid-Cap Growth ETFNYSE Arca
PSQProShares Short QQQNYSE Arca
SCHDSchwab US Dividend Equity ETFNYSE Arca
QUALiShares MSCI USA Quality Factor ETFNYSE Arca
SPHDPowerShares S&P 500 High Dividend Low Volatility PortfolioNYSE Arca
FXGFirst Trust Consumer Staples AlphaDEX FundNYSE Arca
BLVVanguard Long-Term Bond ETFNYSE Arca
IJSiShares S&P Small-Cap 600 Value ETFNYSE Arca
Start Printed Page 45931
VPUVanguard Utilities ETFNYSE Arca
VDEVanguard Energy ETFNYSE Arca
EPPiShares MSCI Pacific ex Japan ETFNYSE Arca
FXDFirst Trust Consumer Discretionary AlphaDEX FundNYSE Arca
IGViShares North American Tech-Software ETFNYSE Arca
NEARiShares Short Maturity Bond ETFBats
HEWJiShares Currency Hedged MSCI Japan ETFNYSE Arca
EWIiShares MSCI Italy Capped ETFNYSE Arca
EIDOiShares MSCI Indonesia ETFNYSE Arca
HYDVanEck Vectors High Yield Municipal Index ETFNYSE Arca
SCPBSPDR Bloomberg Barclays Short Term Corporate Bond ETFNYSE Arca
SCHHSchwab U.S. REIT ETFNYSE Arca
EWLiShares MSCI Switzerland Capped ETFNYSE Arca
IJKiShares S&P Mid-Cap 400 Growth ETFNYSE Arca
EFViShares MSCI EAFE Value ETFNYSE Arca
IJTiShares S&P Small-Cap 600 Growth ETFNYSE Arca
EMLCVanEck Vectors J.P. Morgan EM Local Currency Bond ETFNYSE Arca
SCHASchwab US Small-Cap ETFNYSE Arca
IDUiShares US Utilities ETFNYSE Arca
HEZUiShares Currency Hedged MSCI Eurozone ETFNYSE Arca
SHMSPDR Nuveen Barclays Short Term Municipal Bond ETFNYSE Arca
IYHiShares U.S. Healthcare ETFNYSE Arca
FVFirst Trust Dorsey Wright Focus 5 ETFNASDAQ
IHIiShares U.S. Medical Devices ETFNYSE Arca
ITAiShares US Aerospace & Defense ETFNYSE Arca
GOVTiShares Core US Treasury Bond ETFNYSE Arca
GUNRFlexShares Global Upstream Natural Resources Index FundNYSE Arca
VVVanguard Large-Cap ETFNYSE Arca
ASHRDeutsche X-trackers Harvest CSI 300 China A-Shares ETFNYSE Arca
IYZiShares US Telecommunications ETFNYSE Arca
BWXSPDR Bloomberg Barclays International Treasury Bond ETFNYSE Arca
TFISPDR Nuveen Barclays Municipal Bond ETFNYSE Arca
SCHZSchwab U.S. Aggregate Bond ETFNYSE Arca
VCLTVanguard Long-Term Corporate Bond ETFNASDAQ
VNQIVanguard Global ex-U.S. Real Estate ETFNASDAQ
KBWBPowerShares KBW Bank PortfolioNASDAQ
IDViShares International Select Dividend ETFNYSE Arca
IXUSiShares Core MSCI Total International Stock ETFNASDAQ
ACWViShares MSCI All Country World Minimum Volatility ETFNYSE Arca
FXYCurrencyShares Japanese Yen TrustNYSE Arca
NOBLProShares S&P 500 Dividend Aristocrats ETFBats
VPLVanguard FTSE Pacific ETFNYSE Arca
THDiShares MSCI Thailand Capped ETFNYSE Arca
TOTLSPDR Doubleline Total Return Tactical ETFNYSE Arca
VDCVanguard Consumer Staples ETFNYSE Arca
VOXVanguard Telecommunication Services ETFNYSE Arca
VTIPVanguard Short-Term Inflation-Protected Securities ETFNASDAQ
MTUMiShares MSCI USA Momentum Factor ETFNYSE Arca
QTECFirst Trust NASDAQ-100 Technology Index FundNASDAQ
EWMiShares MSCI Malaysia ETFNYSE Arca
FXNFirst Trust Energy AlphaDEX FundNYSE Arca
OILiPath Goldman Sachs Crude Oil Total Return Index ETNNYSE Arca
REMiShares Mortgage Real Estate Capped ETFNYSE Arca
TBFProShares Short 20+ Year TreasuryNYSE Arca
FCGFirst Trust Natural Gas ETFNYSE Arca
FXRFirst Trust Industrials/Producer Durables AlphaDEX FundNYSE Arca
PINPowerShares India PortfolioNYSE Arca
VISVanguard Industrials ETFNYSE Arca
TURiShares MSCI Turkey ETFNYSE Arca
VMBSVanguard Mortgage-Backed Securities ETFNASDAQ
FVDFirst Trust Value Line Dividend Index FundNYSE Arca
FXBCurrencyShares British Pound Sterling TrustNYSE Arca
PHBPowerShares Fundamental High Yield Corporate Bond PortfolioNYSE Arca
DOGProShares Short Dow30NYSE Arca
EFGiShares MSCI EAFE Growth ETFNYSE Arca
EWQiShares MSCI France ETFNYSE Arca
IYJiShares U.S. Industrials ETFNYSE Arca
IYGiShares U.S. Financial Services ETFNYSE Arca
BONDPIMCO Total Return Active Exchange-Traded FundNYSE Arca
HEWGiShares Currency Hedged MSCI Germany ETFNYSE Arca
SHYGiShares 0-5 Year High Yield Corporate Bond ETFNYSE Arca
VLUEiShares MSCI USA Value Factor ETFNYSE Arca
SCHESchwab Emerging Markets Equity ETFNYSE Arca
ECHiShares MSCI Chile Capped ETFNYSE Arca
Start Printed Page 45932
FXUFirst Trust Utilities AlphaDEX FundNYSE Arca
RWOSPDR Dow Jones Global Real Estate ETFNYSE Arca
PRFPowershares FTSE RAFI US 1000 PortfolioNYSE Arca
VGLTVanguard Long-Term Government Bond ETFNASDAQ
VOTVanguard Mid-Cap Growth ETFNYSE Arca
SCHMSchwab U.S. Mid-Cap ETFNYSE Arca
EUFNiShares MSCI Europe Financials ETFNASDAQ
EWSiShares MSCI Singapore ETFNYSE Arca
GVIiShares Intermediate Government/Credit Bond ETFNYSE Arca
SCHVSchwab U.S. Large-Cap Value ETFNYSE Arca
SCHPSchwab US TIPs ETFNYSE Arca
DEMWisdomTree Emerging Markets High Dividend FundNYSE Arca
IYMiShares U.S. Basic Materials ETFNYSE Arca
DBAPowerShares DB Agriculture FundNYSE Arca
SCHGSchwab U.S. Large-Cap Growth ETFNYSE Arca
IGOViShares International Treasury Bond ETFNASDAQ
IGFiShares Global Infrastructure ETFNASDAQ
TLHiShares 10-20 Year Treasury Bond ETFNYSE Arca
EPHEiShares MSCI Philippines ETFNYSE Arca
SCHOSchwab Short-Term U.S. Treasury ETFNYSE Arca
EUMProShares Short MSCI Emerging MarketsNYSE Arca
PGFPowerShares Financial Preferred PortfolioNYSE Arca
IHFiShares U.S. Healthcare Providers ETFNYSE Arca
VSSVanguard FTSE All World ex-US Small-Cap ETFNYSE Arca
KIESPDR S&P Insurance ETFNYSE Arca
SPHBPowerShares S&P 500 High Beta Port ETFNYSE Arca
SDOGALPS Sector Dividend Dogs ETFNYSE Arca
VAWVanguard Materials ETFNYSE Arca
FPEFirst Trust Preferred Securities and Income ETFNYSE Arca
ITRSPDR Bloomberg Barclays Intermediate Term Corporate Bond ETFNYSE Arca
VCRVanguard Consumer Discretionary ETFNYSE Arca
IGEiShares North American Natural Resources ETFNYSE Arca
SILGlobal X Silver Miners ETFNYSE Arca
EDVVanguard Extended Duration Treasury ETFNYSE Arca
DLNWisdomTree LargeCap Dividend FundNYSE Arca
DONWisdomTree MidCap Dividend FundNYSE Arca
MLPIETRACS Alerian MLP Infrastructure Index ETNNYSE Arca
CLYiShares 10+ Year Credit Bond ETFNYSE Arca
IUSGiShares Core US Growth ETFNYSE Arca
ITMVanEck Vectors AMT-Free Intermediate Municipal Index ETFNYSE Arca
RPGGuggenheim S&P 500 Pure Growth ETFNYSE Arca
VGITVanguard Intermediate-Term Government Bond ETFNASDAQ
CREDiShares Core US Credit Bond ETFNYSE Arca
XESSPDR S&P Oil & Gas Equipment & Services ETFNYSE Arca
PHYSSprott Physical Gold TrustNYSE Arca
TLOSPDR Bloomberg Barclays Long Term Treasury ETFNYSE Arca
BBHVanEck Vectors Biotech ETFNASDAQ
RYTGuggenheim S&P 500 Equal Weight Technology ETFNYSE Arca
FXOFirst Trust Financial AlphaDEX FundNYSE Arca
CWISPDR MSCI ACWI ex-US ETFNYSE Arca
FXHFirst Trust Health Care AlphaDEX FundNYSE Arca
FDLFirst Trust Morningstar Dividend Leaders IndexNYSE Arca
PJPPowershares Dynamic Pharmaceuticals PortfolioNYSE Arca
PZAPowerShares National AMT-Free Municipal Bond PortfolioNYSE Arca
RPVGuggenheim S&P 500 Pure Value ETFNYSE Arca
GSLCGoldman Sachs ActiveBeta U.S. Large Cap Equity ETFNYSE Arca
SUBiShares Short-Term National Muni Bond ETFNYSE Arca
IXCiShares Global Energy ETFNYSE Arca
IATiShares US Regional Banks ETFNYSE Arca
GSYGuggenheim Enhanced Short Duration ETFNYSE Arca
ERUSiShares MSCI Russia Capped ETFNYSE Arca
IXJiShares Global Healthcare ETFNYSE Arca
DESWisdomTree SmallCap Dividend FundNYSE Arca
DJPiPath Bloomberg Commodity Index Total Return ETNNYSE Arca
FTSMFirst Trust Enhanced Short Maturity ETFNASDAQ
XPHSPDR S&P Pharmaceuticals ETFNYSE Arca
VTEBVanguard Tax-Exempt Bond Index ETFNYSE Arca
VWOBVanguard Emerging Markets Government Bond ETFNASDAQ
IUSViShares Core US Value ETFNYSE Arca
PDPPowerShares DWA Momentum PortfolioNASDAQ
MGKVanguard Mega Cap Growth ETFNYSE Arca
HYLSFirst Trust Exchange-Traded Fund IV First Trust Tactical High Yield ETFNASDAQ
FEXFirst Trust Large Cap Core AlphaDEX FundNASDAQ
HYMBSPDR Nuveen S&P High Yield Municipal Bond ETFNYSE Arca
Start Printed Page 45933
DGROiShares Core Dividend Growth ETFNYSE Arca
VGSHVanguard Short-Term Government Bond ETFNASDAQ
RHSGuggenheim S&P 500 Equal Weight Consumer Staples ETFNYSE Arca
LEMBiShares Emerging Markets Local Currency Bond ETFNYSE Arca
FBTFirst Trust NYSE Arca Biotechnology Index FundNYSE Arca
IYKiShares US Consumer Goods ETFNYSE Arca
FNDXSchwab Fundamental U.S. Large Company IndexNYSE Arca
BNDSSPDR Bloomberg Barclays Aggregate Bond ETFNYSE Arca
PEYPowerShares High Yield Equity Dividend Achievers PortfolioNASDAQ
VRPPowerShares Variable Rate Preferred PortfolioNYSE Arca
SPHQPowerShares S&P 500 Quality PortfolioNYSE Arca
GNRSPDR S&P Global Natural Resources ETFNYSE Arca
ANGLVanEck Vectors Fallen Angel High Yield Bond ETFNYSE Arca
EMLPFirst Trust North American Energy Infrastructure FundNYSE Arca
VTWOVanguard Russell 2000NASDAQ
SRLNSPDR Blackstone/GSO Senior Loan ETFNYSE Arca
EWDiShares MSCI Sweden ETFNYSE Arca
RINGiShares MSCI Global Gold Miners ETFNYSE Arca
BABPowerShares Build America Bond PortfolioNYSE Arca
XMLVPowerShares S&P MidCap Low Volatility PortfolioNYSE Arca
KWEBKraneShares CSI China Internet ETFNASDAQ
IEOiShares U.S. Oil & Gas Exploration & Production ETFNYSE Arca
XSLVPowerShares S&P SmallCap Low Volatility PortfolioNYSE Arca
IEURiShares Core MSCI Europe ETFNYSE Arca
IFGLiShares International Developed Real Estate ETFNASDAQ
ZROZPIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded FundNYSE Arca
XSDSPDR S&P Semiconductor ETFNYSE Arca
DFEWisdomTree Europe SmallCap Dividend FundNYSE Arca
FTSLFirst Trust Senior Loan ETFNASDAQ
FXZFirst Trust Materials AlphaDEX FundNYSE Arca
BLHYVirtus Newfleet Dynamic Credit ETFNYSE Arca
SCHRSchwab Intermediate-Term U.S. Treasury ETFNYSE Arca
EPOLiShares MSCI Poland Capped ETFNYSE Arca
CMFiShares California Muni Bond ETFNYSE Arca
GXCSPDR S&P China ETFNYSE Arca
XARSPDR S&P Aerospace & Defense ETFNYSE Arca
IYCiShares U.S. Consumer Services ETFNYSE Arca
FNDFSchwab Fundamental International Large Company IndexNYSE Arca
DWXSPDR S&P International Dividend ETFNYSE Arca
SGOLETFS Physical Swiss Gold SharesNYSE Arca
EWNiShares MSCI Netherlands ETFNYSE Arca
PKWPowerShares Buyback Achievers PortfolioNASDAQ
PSLVSprott Physical Silver TrustNYSE Arca
IGMiShares North American Tech ETFNYSE Arca
FNCLFidelity MSCI Financials Index ETFNYSE Arca
PPLTETFS Physical Platinum SharesNYSE Arca
ISTBiShares Core 1-5 Year USD Bond ETFNYSE Arca
DGRWWisdomTree U.S. Quality Dividend Growth FundNASDAQ
IHEiShares US Pharmaceuticals ETFNYSE Arca
SLYVSPDR S&P 600 Small CapValue ETFNYSE Arca
HACKPureFunds ISE Cyber Security ETFNYSE Arca
FNDASchwab Fundamental U.S. Small Company IndexNYSE Arca
CORPPIMCO Investment Grade Corporate Bond Index Exchange-Traded FundNYSE Arca
BSJIGuggenheim BulletShares 2018 High Yield Corporate Bond ETFNYSE Arca
ECONColumbia Emerging Markets Consumer ETFNYSE Arca
PSKSPDR Wells Fargo Preferred Stock ETFNYSE Arca
GSGiShares S&P GSCI Commodity Indexed TrustNYSE Arca
VOOGVanguard S&P 500 Growth ETFNYSE Arca
VXZiPATH S&P 500 VIX Mid-Term Futures ETNNYSE Arca
ONEQFidelity NASDAQ Composite Index Tracking Stock ETFNASDAQ
SLYGSPDR S&P 600 Small Cap Growth ETFNYSE Arca
STIPiShares 0-5 Year TIPS Bond ETFNYSE Arca
PDBCPowerShares DB Optimum Yield Diversified Commodity Strategy PortfolioNASDAQ
FXLFirst Trust Technology AlphaDEX FundNYSE Arca
IXNiShares Global Tech ETFNYSE Arca
MOOVanEck Vectors Agribusiness ETFNYSE Arca
EPUiShares MSCI All Peru Capped ETFNYSE Arca
SNLNHighland/iBoxx Senior Loan ETFNASDAQ
DHSWisdomTree High Dividend FundNYSE Arca
AORiShares Core Growth Allocation ETFNYSE Arca
QAIIndexIQ ETF Trust—IQ Hedge Multi-Strategy Tracker ETFNYSE Arca
PPHVanEck Vectors Pharmaceutical ETFNASDAQ
FTECFidelity MSCI Information Technology Index ETFNYSE Arca
DGSWisdomTree Emerging Markets SmallCap Dividend FundNYSE Arca
Start Printed Page 45934
FHLCFidelity MSCI Health Care Index ETFNYSE Arca
FNDESchwab Fundamental Emerging Markets Large Company Index ETFNYSE Arca
LMBSFirst Trust Low Duration Opportunities ETFNASDAQ
IPACiShares Core MSCI Pacific ETFNYSE Arca
MGVVanguard Mega Cap Value ETFNYSE Arca
FRIFirst Trust S&P REIT Index FundNYSE Arca
JOiPath Bloomberg Coffee Subindex Total Return ETNNYSE Arca
PXHPowerShares FTSE RAFI Emerging Markets PortfolioNYSE Arca
WIPSPDR Citi International Government Inflation-Protected Bond ETFNYSE Arca
AOMiShares Core Moderate Allocation ETFNYSE Arca
EWKiShares MSCI Belgium Capped ETFNYSE Arca
VIIXVelocityShares VIX Short Term ETNNASDAQ
SCJiShares MSCI Japan Small-Cap ETFNYSE Arca
DVYEiShares Emerging Markets Dividend ETFNYSE Arca
PXFPowerShares FTSE RAFI Developed Markets ex-U.S. PortfolioNYSE Arca
DBBPowerShares DB Base Metals FundNYSE Arca
HYEMVanEck Vectors Emerging High Yield Bond ETFNYSE Arca
PPAPowerShares Aerospace & Defense PortfolioNYSE Arca
FTGCFirst Trust Global Tactical Commodity Strategy FundNASDAQ
DLSWisdomTree International SmallCap Dividend FundNYSE Arca
JHMDJohn Hancock Multifactor Developed International ETFNYSE Arca
SDIVGlobal X SuperDividend ETFNYSE Arca
PICKiShares MSCI Global Metals & Mining Producers ETFNYSE Arca
INDYiShares India 50 ETFNASDAQ
SPYGSPDR S&P 500 Growth ETFNYSE Arca
STPZPIMCO 1-5 Year U.S. TIPS Index Exchange-Traded FundNYSE Arca
SCHCSchwab International Small-Cap Equity ETFNYSE Arca
IXGiShares Global Financials ETFNYSE Arca
IAGGiShares International Aggregate Bond FundBats
IWCiShares Micro-Cap ETFNYSE Arca
DBOPowerShares DB Oil FundNYSE Arca
FXCCurrencyShares Canadian Dollar TrustNYSE Arca
USCIUnited States Commodity Index FundNYSE Arca
PSCTPowerShares S&P SmallCap Information Technology PortfolioNASDAQ
ITESPDR Bloomberg Barclays Intermediate Term Treasury ETFNYSE Arca
DBPPowerShares DB Precious Metals FundNYSE Arca
FENYFidelity MSCI Energy Index ETFNYSE Arca
ELDWisdomTree Emerging Markets Local Debt FundNYSE Arca
REZiShares Residential Real Estate Capped ETFNYSE Arca
EWXSPDR S&P Emerging Markets SmallCap ETFNYSE Arca
ENZLiShares MSCI New Zealand Capped ETFNASDAQ
IDLVPowerShares S&P International Developed Low Volatility PortfolioNYSE Arca
BSJJGuggenheim BulletShares 2019 High Yield Corporate Bond ETFNYSE Arca
SILJPureFunds ISE Junior Silver Small Cap Miners/Explorers ETFNYSE Arca
VONGVanguard Russell 1000 Growth ETFNASDAQ
JPINJPMorgan Diversified Return International Equity ETFNYSE Arca
WBIYWBI Power FactorTM High Dividend ETFNYSE Arca
FTAFirst Trust Large Cap Value AlphaDEX FundNASDAQ
GWXSPDR S&P International Small Cap ETFNYSE Arca
OUSAO'Shares FTSE US Quality Dividend ETFNYSE Arca
FMiShares MSCI Frontier 100 ETFNYSE Arca
SJBProShares Short High YieldNYSE Arca
RYHGuggenheim S&P 500 Equal Weight Healthcare ETFNYSE Arca
VONVVanguard Russell 1000 ValueNASDAQ
PFXFVanEck Vectors Preferred Securities ex Financials ETFNYSE Arca
QDFFlexShares Quality Dividend Index FundNYSE Arca
RYFGuggenheim S&P 500 Equal Weight Financials ETFNYSE Arca
RYEGuggenheim S&P 500 Equal Weight Energy ETFNYSE Arca
PIDPowerShares International Dividend Achievers PortfolioNASDAQ
FUTYFidelity MSCI Utilities Index ETFNYSE Arca
HDGEAdvisorShares Ranger Equity Bear ETFNYSE Arca
MOATVanEck Vectors Morningstar Wide Moat ETFNYSE Arca
PWVPowerShares Dynamic Large Cap Value PortfolioNYSE Arca
BSCIGuggenheim BulletShares 2018 Corporate Bond ETFNYSE Arca
DFJWisdomTree Japan SmallCap Dividend FundNYSE Arca
TDTTFlexShares iBoxx 3-Year Target Duration TIPS Index FundNYSE Arca
DGLPowerShares DB Gold FundNYSE Arca
DBEPowerShares DB Energy FundNYSE Arca
SMDVProshares Trust-Proshares Russell 2000 Dividend Growers ETFBats
IFVFirst Trust Dorsey Wright International Focus 5 ETFNASDAQ
MDIVFirst Trust Multi-Asset Diversified Income Index FundNASDAQ
PRFZPowerShares FTSE RAFI US 1500 Small-Mid PortfolioNASDAQ
FLRNSPDR Bloomberg Barclays Investment Grade Floating Rate ETFNYSE Arca
EFZProShares Short MSCI EAFENYSE Arca
Start Printed Page 45935
BSCHGuggenheim BulletShares 2017 Corporate Bond ETFNYSE Arca
IGNiShares North American Tech-Multimedia Networking ETFNYSE Arca
FYXFirst Trust Small Cap Core AlphaDEX FundNASDAQ
IYYiShares Dow Jones U.S. ETFNYSE Arca
VNMVanEck Vectors Vietnam ETFNYSE Arca
DWMWisdomTree International Equity FundNYSE Arca
BSCKGuggenheim BulletShares 2020 Corporate Bond ETFNYSE Arca
EBNDSPDR Bloomberg Barclays Emerging Markets Local Bond ETFNYSE Arca
DSIiShares MSCI KLD 400 Social ETFNYSE Arca
FRELFidelity MSCI Real Estate Index ETFNYSE Arca
IOOiShares Global 100 ETFNYSE Arca
KBWYPowerShares KBW Premium Yield Equity REIT PortfolioNASDAQ
IHDGWisdomTree International Hedged Quality Dividend Growth FundNYSE Arca
FTCFirst Trust Large Cap Growth AlphaDEX FundNASDAQ
IPESPDR Bloomberg Barclays TIPS ETFNYSE Arca
GWLSPDR S&P World ex-US ETFNYSE Arca
SKYYFirst Trust ISE Cloud Computing Index FundNASDAQ
XTNSPDR S&P Transportation ETFNYSE Arca
SLXVanEck Vectors Steel Index FundNYSE Arca
REGLProshares S&P Midcap 400 Dividend Aristocrats ETFBats
FNXFirst Trust Mid Cap Core AlphaDEX FundNASDAQ
SGDMSprott Gold Miners ETFNYSE Arca
CMBSiShares CMBS ETFNYSE Arca
PKBPowerShares Dynamic Building & Construction PortfolioNYSE Arca
QABAFirst Trust NASDAQ ABA Community Bank Index FundNASDAQ
MXIiShares Global Materials ETFNYSE Arca
TDIVFirst Trust NASDAQ Technology Dividend Index FundNASDAQ
FDISFidelity MSCI Consumer Discretionary Index ETFNYSE Arca
AOAiShares Core Aggressive Allocation ETFNYSE Arca
FPXFirst Trust US IPO Index FundNYSE Arca
FNDCSchwab Fundamental International Small Cap Company indexNYSE Arca
BSCJGuggenheim BulletShares 2019 Corporate Bond ETFNYSE Arca
AIAiShares Asia 50 ETFNASDAQ
GLTRETFS Physical Precious Metal Basket SharesNYSE Arca
VONEVanguard Russell 1000NASDAQ
FSTAFidelity MSCI Consumer Staples Index ETFNYSE Arca
BSCLGuggenheim BulletShares 2021 Corporate Bond ETFNYSE Arca
FDTFirst Trust Developed Markets ex-US AlphaDEX FundNASDAQ
COMTiShares Commodities Select Strategy ETFNASDAQ
PUIPowerShares DWA Utilities Momentum PortfolioNASDAQ
PSLPowerShares DWA Consumer Staples Momentum PortfolioNASDAQ
MGCVanguard Mega Cap ETFNYSE Arca
JKGiShares Morningstar Mid-Cap ETFNYSE Arca
BSJHGuggenheim BulletShares 2017 High Yield Corporate Bond ETFNYSE Arca
MDYGSPDR S&P 400 Mid CapGrowth ETFNYSE Arca
URTHiShares MSCI World ETFNYSE Arca
RDIVOppenheimer Ultra Dividend Revenue ETFNYSE Arca
SLYSPDR S&P 600 Small CapETFNYSE Arca
SGGiPath Bloomberg Sugar Subindex Total Return ETNNYSE Arca
BSJKGuggenheim BulletShares 2020 High Yield Corporate Bond ETFNYSE Arca
AOKiShares Core Conservative Allocation ETFNYSE Arca
VIOOVanguard S&P Small-Cap 600 ETFNYSE Arca
BSJGGuggenheim BulletShares 2016 High Yield Corporate Bond ETFNYSE Arca
PCEFPowerShares CEF Income Composite PortfolioNYSE Arca
RWLOppenheimer Large Cap Revenue ETFNYSE Arca
PWZPowerShares California AMT-Free Municipal Bond PortfolioNYSE Arca
JHMLJohn Hancock Multi-Factor Large Cap ETFNYSE Arca
FLTBFidelity Ltd Term Bond ETFNYSE Arca
MDYVSPDR S&P 400 Mid Cap Value ETFNYSE Arca
RYUGuggenheim S&P 500 Equal Weight Utilities ETFNYSE Arca
RGIGuggenheim S&P 500 Equal Weight Industrials ETFNYSE Arca
PALLETFS Physical Palladium SharesNYSE Arca
XHSSPDR S&P Health Care Services ETFNYSE Arca
FBNDFidelity Total Bond ETFNYSE Arca
DVYAiShares Asia/Pacific Dividend ETFNYSE Arca
CORNTeucrium Corn FundNYSE Arca
IVOOVanguard S&P Mid-Cap 400 ETFNYSE Arca
FIDUFidelity MSCI Industrials Index ETFNYSE Arca
JKEiShares Morningstar Large-Cap Growth ETFNYSE Arca
EMHYiShares Emerging Markets High Yield Bond ETFBats
IQDFFlexShares International Quality Dividend Index FundNYSE Arca
VOOVVanguard S&P 500 Value ETFNYSE Arca
HEWUiShares Currency Hedged MSCI United Kingdom ETFNYSE Arca
FVCFirst Trust Dorsey Wright Dynamic Focus 5 ETFNASDAQ
Start Printed Page 45936
SIVRETFS Physical Silver SharesNYSE Arca
KOLVanEck Vectors Coal ETFNYSE Arca
MLPAGlobal X MLP ETFNYSE Arca
AGZiShares Agency Bond ETFNYSE Arca
EELVPowerShares S&P Emerging Markets Low Volatility PortfolioNYSE Arca
TANGuggenheim Solar ETFNYSE Arca
IUSBiShares Core Total USD Bond Market ETFNYSE Arca
IVOVVanguard S&P Mid-Cap 400 Value ETFNYSE Arca
GBFiShares Government/Credit Bond ETFNYSE Arca
TLTDFlexShares Morningstar Developed Markets ex-US Factor Tilt Index FundNYSE Arca
SLQDiShares 0-5 Year Investment Grade Corporate Bond ETFNASDAQ
CSMProShares Large Cap Core PlusBats
TDTFFlexShares iBoxx 5-Year Target Duration TIPS Index FundNYSE Arca
SOCLGlobal X Social Media Index ETFNASDAQ
SLVPiShares MSCI Global Silver Miners ETFNYSE Arca
QQEWFirst Trust NASDAQ-100 Equal Weighted Index FundNASDAQ
FJPFirst Trust Japan AlphaDEX FundNASDAQ
FEPFirst Trust Europe AlphaDEX FundNASDAQ
BNOUnited States Brent Oil Fund LPNYSE Arca
AMZAInfraCap MLP ETFNYSE Arca
MBGSPDR Bloomberg Barclays Mortgage Backed Bond ETFNYSE Arca
IWYiShares Russell Top 200 Growth ETFNYSE Arca
FLQEFranklin LibertyQ Emerging Markets ETFNYSE Arca
GMMSPDR S&P Emerging Markets ETFNYSE Arca
BSCMGuggenheim BulletShares 2022 Corporate Bond ETFNYSE Arca
GREKGlobal X MSCI Greece ETFNYSE Arca
FMATFidelity MSCI Materials Index ETFNYSE Arca
HEEMiShares Currency Hedged MSCI Emerging Markets ETFNYSE Arca
GEMGoldman Sachs ActiveBeta Emerging Markets Equity ETFNYSE Arca
DBKODeutsche X-trackers MSCI South Korea Hedged Equity ETFNYSE Arca
ILTBiShares Core 10+ Year USD Bond ETFNYSE Arca
GSIEGoldman Sachs ActiveBeta International Equity ETFNYSE Arca
LRGFiShares FactorSelect MSCI USA ETFNYSE Arca
NFRAFlexShares STOXX Global Broad Infrastructure Index FundNYSE Arca
AGGPIQ Enhanced Core Plus Bond U.S. ETFNYSE Arca
KXIiShares Global Consumer Staples ETFNYSE Arca
EDIVSPDR S&P Emerging Markets Dividend ETFNYSE Arca
IEZiShares U.S. Oil Equipment & Services ETFNYSE Arca
ZIVVelocityShares Daily Inverse VIX Medium Term ETNNASDAQ
DTDWisdomTree Total Dividend FundNYSE Arca
JJGiPath Bloomberg Grains Subindex Total Return ETNNYSE 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 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 sideStart 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

III. On May 28, 2015, Participants provided to the SEC a supplemental joint assessment 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

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).

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4.  See Letter from Elizabeth King, General Counsel and Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission, dated August 30, 2017 (“Transmittal Letter”).

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5.  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).

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8.  See 17 CFR 242.608(a)(4) and (a)(5).

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9.  See Transmittal Letter, supra note 4.

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10.  Unless otherwise specified, the terms used herein have the same meaning as set forth in the Plan.

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11.  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.

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12.  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).

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13.  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.

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14.  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.

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15.  See Securities Exchange Act Release No. 80455 (order approving the thirteenth amendment to the Plan), supra note 1.

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[FR Doc. 2017-20974 Filed 9-29-17; 8:45 am]

BILLING CODE 8011-01-P