Skip to Content

Notice

Joint Industry Plan; Notice of Filing of the Twentieth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange LLC, Long-Term Stock Exchange, 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.

Document Details

Information about this document as published in the Federal Register.

Document Statistics
Document page views are updated periodically throughout the day and are cumulative counts for this document including its time on Public Inspection. Counts are subject to sampling, reprocessing and revision (up or down) throughout the day.
Published Document

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

Start Preamble March 17, 2020.

I. Introduction

On February 13, 2020, NYSE Group, Inc., on behalf of the following parties to the National Market System Plan to Address Extraordinary Market Volatility (“the Plan”): [1] Cboe BZX Exchange, Inc., Cboe BYX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., the Financial Industry Regulatory Authority, Inc. (“FINRA”), Investors Exchange LLC, Long-Term Stock Exchange (“LTSE”), NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock Market LLC (“Nasdaq”), New York Stock Exchange LLC (“NYSE”), NYSE Arca, Inc., NYSE National Inc., and NYSE American LLC (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 (“Twentieth Amendment”).[4] The proposal reflects changes unanimously approved by the Participants. The Twentieth Amendment proposes to: (i) Amend Section II.B of Appendix B, concerning the quarterly reports provided by the Operating Committee to the Commission; and amend the Plan to reflect the name change of the Chicago Stock Exchange, Inc. to NYSE Chicago, Inc. The Commission is publishing this notice to solicit comments from interested persons on the Twentieth Amendment.[5]

II. Description of the Plan

Set forth in this Section II is the statement of the purpose and summary of the Eighteenth Amendment, along with the information required by Rule 608(a)(4) and (5) under the Exchange Act,[6] substantially prepared and submitted by the Participants to the Commission.[7]

A. Statement of Purpose and Summary of the Plan Amendment

The Participants filed the Plan with the Commission 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.[8] The Plan sets forth procedures that provide for market-wide limit up-limit down requirements to 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, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves. In particular, the Participants adopted this Plan to address extraordinary volatility in the securities markets, i.e., significant fluctuations in individual securities' prices over a short period of time, such as those experienced during the “Flash Crash” on the afternoon of May 6, 2010.

As detailed above, the Plan was amended numerous times between 2011 Start Printed Page 16409and 2019. On April 11, 2019, the Commission approved the eighteenth amendment to the Plan,[9] which transitioned the Plan from operating on a pilot to a permanent basis. The eighteenth amendment included changes to the Plan's Appendix B, “Data and Reporting,” which revised the Participants' requirements to report data about the Plan's ongoing operation to the Commission. Under the eighteenth amendment, the Plan requires the Participants to provide to the Commission an annual report assessing the Plan's performance, quarterly reports providing basic statistics, and ad hoc reports that may be requested by the Commission following significant market events.

Section II.B of Appendix B (“Appendix B.II.B”) concerns the quarterly reports to be provided to the Commission. Appendix B.II.B currently provides that 30 days following the end of each calendar quarter, the Operating Committee shall provide the Commission and make publicly available a report including basic statistics regarding the Plan's operation (“Monitoring Report”) during the preceding calendar quarter as well as aggregated data from the previous 12 quarters beginning with the calendar quarter covered by the first Monitoring Report. Appendix B.II.B requires the Monitoring Report to include data on the number and rate of recurrence of Limit States, Straddle States, and Trading Pauses for each month during the calendar quarter, as well as the performance of reopening procedures following a Trading Pause. Appendix B.II.B also currently provides that the Monitoring Report will include data on the number of Clearly Erroneous Executions that occur during the preceding calendar quarter. In addition, Appendix B.II.B currently states that the data in the Monitoring Report should be partitioned by “category” (i.e., type of issue and price range), as well as by the “time of day” of the event.[10]

The Participants now propose to amend Appendix B.II.B in order to improve the clarity and transparency of the quarterly reporting requirements. The Participants also propose to make a non-substantive amendment to the Plan to reflect the name change of Chicago Stock Exchange, Inc., to NYSE Chicago, Inc.

1. Proposal To Improve Clarity and Transparency of Appendix B.II.B

The Participants propose to amend Appendix B.II.B to improve its clarity and transparency by revising and supplementing the current language. In preparing to compile and aggregate the data required for the first quarterly report, the Participants determined that the language of Appendix B.II.B could be improved by, among other things: (a) Emphasizing from the outset that the data should be aggregated across primary listing exchanges, (b) specifying the specific partitions that should be applied to each data point, (c) specifying the specific distribution statistics that should be applied to each data point, and (d) providing additional clarity as to what Reopening data should be included.

The Participants emphasize that the intention of this amendment is not to substantively change the requirements in Appendix B.II.B, but to amend the language of Appendix B.II.B to give more complete directions as to the information that should be included in the quarterly Monitoring Reports.

a. Data Aggregated Across Primary Listing Exchanges

The opening paragraph of Appendix B.II.B currently refers to “aggregate data,” but is not clear that the data for the quarterly Monitoring Report should be aggregated across primary listing exchanges, as opposed to aggregated in some other fashion. The Participants propose to amend this paragraph to make clear that the quarterly Monitoring Report will include basic statistics aggregated across primary listing exchanges regarding the Plan's operation during the preceding calendar quarter, as well as data aggregated across exchanges from the previous 12 quarters beginning with the calendar covered by the first Monitoring Report.

b. Specific Partitions To Apply to Each Data Category

Appendix B.II.B currently contains provisions entitled “Partition stocks by category” and “Partition by time of day.” The Participants propose to replace this text to specify more clearly (i) which partitions apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and which partitions apply to the data for Reopenings, which differ; (ii) the 18 different category partitions that apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events; (iii) the specific time-frames covered by each time-of-day partition; and (iv) that the data provided for Reopenings must take into account the differences between manual and automated reopenings.

First, in preparing to compile the data required for the first quarterly report, the Participants determined that the partitions listed in the current Appendix B.II.B reasonably apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and that the Reopenings data requires different partitions. The Participants therefore propose to restructure Appendix B.II.B into two subsections, each with their own “Definitions” section that specifies the partitions that would be applicable to that subsection. Specifically, proposed Appendix B.II.B.1.a would define the partitions that would apply to data about Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and proposed Appendix B.II.B.2.a would define the partitions that would apply to data about Reopenings.

Second, the current version of Appendix B.II.B. lists only eight separate “categories” into which securities should be partitioned, but the full language of that provision indicates that 18 categories are actually intended. Appendix B.II.B currently lists the first three categories as “Tier 1 non-ETP issues > $3.00,” “Tier 1 non-ETP >= $0.75 and <= $3.00,” and “Tier 1 non-ETP issues < $0.75,” and then lists five other categories of securities that should also be divided “in each of the above categories.” The Participants understand this language to mean that each of the six categories of securities listed—that is, Tier 1 non-ETPs, Tier 1 non-leveraged ETPs, Tier 1 leveraged ETPs, Tier 2 non-ETPs, Tier 2 non-leveraged ETPs, and Tier 2 leveraged ETPs—should each be further subdivided into three subcategories: Greater than $3.00, between $0.75 and $3.00, and less than $0.75. As such, the Participants propose to clearly list in the amended Appendix B.II.B.1.a.i all 18 of the categories of securities into which the Limit State, Trading Pause, Straddle State, and Clearly Erroneous Events data should be partitioned:

(1) Tier 1 non-ETP securities > $3.00

(2) Tier 1 non-ETP securities >= $0.75 and <= $3.00

(3) Tier 1 non-ETP securities < $0.75

(4) Tier 1 non-leveraged ETPs > $3.00

(5) Tier 1 non-leveraged ETPs >= $0.75 and <= $3.00Start Printed Page 16410

(6) Tier 1 non-leveraged ETPs < $0.75

(7) Tier 1 leveraged ETPs > $3.00

(8) Tier 1 leveraged ETPs >= $0.75 and <= $3.00

(9) Tier 1 leveraged ETPs < $0.75

(10) Tier 2 non-ETPs > $3.00

(11) Tier 2 non-ETPs >= $0.75 and <= $3.00

(12) Tier 2 non-ETPs < $0.75

(13) Tier 2 non-leveraged ETPs > $3.00

(14) Tier 2 non-leveraged ETPs >= $0.75 and <= $3.00

(15) Tier 2 non-leveraged ETPs < $0.75

(16) Tier 2 leveraged ETPs > $3.00

(17) Tier 2 leveraged ETPs >= $0.75 and <= $3.00

(18) Tier 2 leveraged ETPs < $0.75

Third, the current Appendix B.II.B.3 states that the “time of day” partitions are “Opening (prior to 9:45 a.m. ET),” “Regular (between 9:45 a.m. ET and 3:35 p.m. ET),” “Closing (after 3:35 p.m. ET),” and “Within five minutes of a Trading Pause re-open or IPO open.” These partitions, however, assume that all trading days are full trading days, and do not account for partial trading days where the markets are scheduled to close early, such as the day after Thanksgiving and December 24. The Participants accordingly propose to amend Appendix B.II.B to add new subsection 1.a.ii, to specify that “Time of Day” means the following time spans:

(1) Opening (prior to 9:45 a.m. ET)

(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of core trading hours)

(3) Closing (the last 25 minutes of core trading hours)

(4) Within five minutes of a Trading Pause reopen or IPO open

Fourth, the current Appendix B.II.B does not include any language partitioning Reopenings data between manual and automated reopenings.[11] The Participants accordingly propose to amend Appendix B.II.B to add new subsection 2.a.i requiring that they partition Reopening data by whether the reopening is manual or automated. The Participants also propose to add new subsection 2.a.iii, to require that the data for Reopenings be partitioned by the “Length of the Trading Pause,” which would be defined as:

  • Less than 6 minutes (for manual reopenings) or no extensions of the Trading Pause (for automated reopenings);
  • 6 to 10 minutes (for manual reopenings) or one extension of the Trading Pause (for automated reopenings);
  • more than 10 minutes (for manual reopenings) or more than one extension of the Trading Pause (for automated reopenings).

c. Specific Distribution Statistics To Apply to Each Data Category for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events

The current Appendix II.B.II states in general terms that the Monitoring Report should include data on the “[n]umber of Limit States, Trading Pauses, and Straddle States per day, including distribution statistics such as the mean, median, minimum and maximum percentiles,” and the “[n]umber of NMS Stocks that experience more than one Limit State, Trading Pause, or Straddle State in a single day including the length of each Limit State, Trading Pause, and Straddle State per day.” The current version also states generally that Participants should “[P]artition stocks by category” and “[P]artition by time of day,” even though such partitions do not reasonably apply to every data set required to be supplied in the Monitoring Report.

The Participants propose to add clarity to these reporting requirements by amending Appendix B.II.B to specify the precise distribution statistics and partitions to apply to each data request. Accordingly, the Participants propose to amend Appendix B.II.B.1.b clarify that the Monitoring Report would include:

For Limit States

  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Limit States per day, broken out by Category and Time of Day.
  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Limit State on a single day, broken out by Category.
  • Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the number of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.
  • Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the total length of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.

For Trading Pauses

  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Trading Pauses per day, broken out by Category and Time of Day.
  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Trading Pause on a single day, broken out by Category.
  • Monthly distribution statistics (mean, median, 90th percentile, and maximum) on the number of Trading Pauses per day experienced by individual NMS Stocks having more than one Trading Pause on a single day, broken out by Category.

For Straddle States

  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Straddle States per day, broken out by Category and Time of Day.
  • Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Straddle State on a single day, broken out by Category.
  • Monthly distribution statistics (mean, median, 90th percentile, and 99.9th percentile) on the total time spent in a Straddle State per day for individual NMS Stocks experiencing one or more Straddle States on a single day, broken out by Category

For Clearly Erroneous Events

  • The number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands re disseminated by the Processor, broken out by Category and Time of Day.

d. Additional Clarity on Reopening Data

Finally, regarding Reopening data, Appendix B.II.B currently states that the Monitoring Report should include the “[n]umber of times an automated reopening process is extended for and the length of the Trading Pause,” “[w]hether the reopening process ended in a trade,” “[t]he price calculated by an automated reopening process for an NMS Stock existing a Trading Pause,” and “[f]or the five minutes following the conclusion of a Trading Pause, the highest price of all last sale eligible trades, the lowest price of all last sale eligible trades, and the average price of all last sale eligible trades.”

These provisions, however, do not specify the specific distribution statistics or partitions that the Participants should apply to any of Start Printed Page 16411these data requests. Additionally, the Participants believe that the quality and utility of the Monitoring Report will be enhanced if they supply additional information about Reopening statistics, including how the Trading Pause ended (whether in a trade, a quote, or a potential closing auction), whether the Trading Pause was preceded by a Limit Up state versus a Limit Down state, and the percentage price change between the price that triggered the Trading Pause and the reopening price on exiting the Trading Pause.

Accordingly, the Participants propose to amend the provisions in Appendix B.II.B pertaining to Reopenings to specify that the Monitoring Report should include:

  • The number of Trading Pauses per month, broken out by (a) Type of Reopening, (b) Category, and (c) Length of the Trading Pause.
  • Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the duration of each Trading Pause, broken out by (a) Type of Reopening and (b) Category.
  • The number of Trading Pauses ending in a (a) trade; (b) quote; and (c) potential closing auction, broken out by (i) Type of Reopening, (ii) Category, and (iii) Length of Trading Pause.
  • For Trading Pauses in NMS Stocks preceded by a Limit Up state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Up pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (a) Category and (b) whether the Trading Pause ended in a trade or (c) in a quote (i.e., the reopening price was a midpoint).
  • For Trading Pauses in NMS Stocks preceded by a Limit Down state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Down pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (a) Category and (b) whether the Trading Pause ended in a trade or (c) in a quote (i.e., the reopening price was a midpoint).
  • For Trading Pauses in NMS Stocks where the reopening process ended in a trade or quote (with resulting reference price equal to the midpoint of that quote), monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price) to (a) the highest price of all last sale eligible trades, (b) the lowest price of all last sale eligible trades; and (c) the trade-weighted average price of all last sale eligible trades for the five minutes following the conclusion of the Trading Pause, broken out by (i) Category, (ii) whether the Trading Pause was preceded by a Limit Up state or (iii) a Limit Down state, and (iv) whether the Trading Pause ended in a trade or (v) in a quote (i.e., the reopening price was a midpoint).

The Participants believe that the proposed amendments described above will enhance clarity, improve transparency, and provide direction to the Participants in compiling and aggregating the data required in the quarterly Monitoring Reports.

2. Proposal To Change Name of Chicago Stock Exchange, Inc. to NYSE Chicago, Inc.

The Participants also propose to make a non-substantive amendment to the Plan to reflect the name change of Chicago Stock Exchange, Inc. to NYSE Chicago, Inc., and the change of its address from 440 South LaSalle Street, Chicago, Illinois 60605 to 11 Wall Street, New York, New York, 10005.

On October 18, 2018, the Chicago Stock Exchange, Inc. filed a proposed rule change for immediate effectiveness to amend, among other things, its rules to reflect the change of its name to NYSE Chicago, Inc.[12]

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 this proposed amendment to the Plan.

C. Implementation of Amendment

The Participants are filing this proposed amendment pursuant to Rule 608(b)(1) of Regulation NMS under the Exchange Act.[13]

D. Development and Implementation Phases

The Plan has been fully implemented, and the amendments proposed herein are immediately effective, as noted above.[14]

E. Analysis of Impact on Competition

The Participants believe that the proposed amendment does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Securities Exchange Act of 1934 (“Exchange Act”). The proposed amendments to Appendix B.II.B of the Plan pertain to the obligations of the Participants and the Operating Committee to provide periodic reports to the Commission about the Plan's ongoing operation. As such, they do not apply directly to any market participants and would not impose a competitive burden on one category of market participant in favor of another category of market participant. For the same reasons, 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.

G. Approval of Amendment of the Plan

Each of the Participants has approved the amendment in accordance with Section III(C) of the Plan. Specifically, on February 12, 2020, the Operating Committee, duly constituted and chaired by Mr. Robert Books of Cboe Global Markets, Inc., voted unanimously to amend the Plan as set forth herein. The Participants also received and incorporated feedback from the Plan Advisory Committee in preparing this proposal.

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.Start Printed Page 16412

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

This section is not applicable as the proposed amendment to the Plan does not involve fees or charges.

J. Method and Frequency of Processor Evaluation

This section is not applicable as the operation of the Plan is conducted by the Primary Listing Exchange.

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.

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 Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number 4-631.This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website (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 website 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. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4-631 and should be submitted on or before April 13, 2020.

Start Signature

By the Commission.

J. Matthew DeLesDernier,

Assistant Secretary.

End Signature

Exhibit A

Proposed new language is italicized; proposed deletions are in [brackets]

Plan To Address Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934

Table of Contents

SectionPage
Preamble1
I. Definitions2
II. Parties4
III. Amendments to Plan7
IV. Trading Center Policies and Procedures8
V. Price Bands8
VI. Limit Up-Limit Down Requirements11
VII. Trading Pauses13
VIII. Implementation15
IX. Withdrawal from Plan15
X. Counterparts and Signatures15
Appendix A—Percentage Parameters17
Appendix A—Schedule 119
Appendix B—Data and Reporting37

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.Start Printed Page 16413

(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) Cboe BZX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605

(2) Cboe BYX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605

(3) Cboe EDGA Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605

(4) Cboe EDGX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605

[(5) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605]

(5[6]) Financial Industry Regulatory Authority, Inc., 1735 K Street NW, Washington, DC 20006

(6[7]) Investors Exchange LLC, 4 World Trade Center, 44th Floor, New York, New York 10007

(7[8]) NASDAQ BX, Inc., One Liberty Plaza, New York, New York 10006

(8[9]) NASDAQ PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103

(9[10]) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006

(1 0[1]) NYSE National, Inc., 11 Wall Street, New York, NY 10005

(1 1[2]) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005

(1 2[3]) NYSE American LLC, 11 Wall Street, New York, New York 10005

(1 3[4]) NYSE Arca, Inc., 11 Wall Street, New York, New York 10005

(14) NYSE Chicago, 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:

(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 Start Printed Page 16414pursuant 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 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 for (i) all Tier 1 NMS Stocks and (ii) Tier 2 NMS Stocks priced equal to or below $3.00. 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, 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.Start Printed Page 16415

(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 Start Printed Page 16416minutes 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.

IX. Withdrawal From Plan

If a Participant obtains SEC approval to withdraw from the Plan, such Participant may withdraw from the Plan at any time on not less than 30 days' prior written notice to each of the other Participants. At such time, the withdrawing Participant shall have no further rights or obligations under the Plan.

X. Counterparts and Signatures

The Plan may be executed in any number of counterparts, no one of which need contain all signatures of all Participants, and as many of such counterparts as shall together contain all such signatures shall constitute one and the same instrument.

IN WITNESS THEREOF, this Plan has been executed as of the __day of November 2019 [2018] by each of the parties hereto.

Cboe BZX EXCHANGE, INC.

BY:

Cboe EDGA EXCHANGE, INC.

BY:

[CHICAGO STOCK EXCHANGE, INC.

BY:

INVESTORS EXCHANGE LLC

BY:

NASDAQ PHLX LLC

BY:

NYSE NATIONAL, INC.

BY:

NYSE American LLC

BY:

NYSE CHICAGO, INC.

BY:

Cboe BYX EXCHANGE, INC.

BY:

Cboe 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[,] and 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 2, 2020]

TickerETP nameExchange
SPYSPDR S&P 500 ETF TrustNYSE Arca.
QQQInvesco QQQ TrustNASDAQ.
IWMiShares Russell 2000 ETFNYSE Arca.
EEMiShares MSCI Emerging Markets ETFNYSE Arca.
GDXVanEck Vectors Gold Miners ETFNYSE Arca.
HYGiShares iBoxx $ High Yield Corporate Bond ETFNYSE Arca.
EFAiShares MSCI EAFE ETFNYSE Arca.
TLTiShares 20+ Year Treasury Bond ETFNASDAQ.
GLDSPDR Gold TrustNYSE Arca.
XLFFinancial Select Sector SPDR FundNYSE Arca.
Start Printed Page 16417
LQDiShares iBoxx $ Investment Grade Corporate Bond ETFNYSE Arca.
IVViShares Core S&P 500 ETFNYSE Arca.
XLUUtilities Select Sector SPDR FundNYSE Arca.
EWZiShares MSCI Brazil ETFNYSE Arca.
FXIiShares China Large-Cap ETFNYSE Arca.
XLEEnergy Select Sector SPDR FundNYSE Arca.
XLKTechnology Select Sector SPDR FundNYSE Arca.
XLVHealth Care Select Sector SPDR FundNYSE Arca.
VXXiPath Series B S&P 500 VIX Short-Term Futures ETNCboe BZX.
XLIIndustrial Select Sector SPDR FundNYSE Arca.
XLPConsumer Staples Select Sector SPDR FundNYSE Arca.
DIASPDR Dow Jones Industrial Average ETF TrustNYSE Arca.
VOOVanguard S&P 500 ETFNYSE Arca.
IEMGiShares Core MSCI Emerging Markets ETFNYSE Arca.
IYRiShares U.S. Real Estate ETFNYSE Arca.
GDXJVanEck Vectors Junior Gold Miners ETFNYSE Arca.
JNKSPDR Bloomberg Barclays High Yield Bond ETFNYSE Arca.
XOPSPDR S&P Oil & Gas Exploration & Production ETFNYSE Arca.
SMHVanEck Vectors Semiconductor ETFNASDAQ.
IEFiShares 7-10 Year Treasury Bond ETFNASDAQ.
VWOVanguard FTSE Emerging Markets ETFNYSE Arca.
IEFAiShares Core MSCI EAFE ETFCboe BZX.
AGGiShares Core U.S. Aggregate Bond ETFNYSE Arca.
VNQVanguard Real Estate ETFNYSE Arca.
EMBiShares JP Morgan USD Emerging Markets Bond ETFNASDAQ.
XLYConsumer Discretionary Select Sector SPDR FundNYSE Arca.
VTIVanguard Total Stock Market ETFNYSE Arca.
XBISPDR S&P BIOTECH ETFNYSE Arca.
EWJiShares MSCI Japan ETFNYSE Arca.
MDYSPDR S&P Midcap 400 ETF TrustNYSE Arca.
VEAVanguard FTSE Developed Markets ETFNYSE Arca.
XLBMaterials Select Sector SPDR FundNYSE Arca.
KRESPDR S&P Regional Banking ETFNYSE Arca.
SLViShares Silver TrustNYSE Arca.
USOUnited States Oil Fund LPNYSE Arca.
IAUiShares Gold TrustNYSE Arca.
USMViShares Edge MSCI Min Vol USA ETFCboe BZX.
IBBiShares NASDAQ Biotechnology ETFNASDAQ.
BNDVanguard Total Bond Market ETFNASDAQ.
IJRiShares Core S&P Small Cap ETFNYSE Arca.
SHViShares Short Treasury Bond ETFNASDAQ.
IWDiShares Russell 1000 Value ETFNYSE Arca.
SPLVInvesco S&P 500 Low Volatility ETFNYSE Arca.
IWFiShares Russell 1000 Growth ETFNYSE Arca.
XRTSPDR S&P Retail ETFNYSE Arca.
EWYiShares MSCI South Korea ETFNYSE Arca.
MCHIiShares MSCI China ETFNASDAQ.
ACWIiShares MSCI ACWI ETFNASDAQ.
VCITVanguard Intermediate-Term Corporate Bond ETFNASDAQ.
AMLPAlerian MLP ETFNYSE Arca.
SHYiShares 1-3 Year Treasury Bond ETFNASDAQ.
VGKVanguard FTSE Europe ETFNYSE Arca.
BILSPDR Bloomberg Barclays 1-3 Month T-Bill ETFNYSE Arca.
EZUiShares MSCI Eurozone ETFCboe BZX.
IJHiShares Core S&P Mid-Cap ETFNYSE Arca.
XLREReal Estate Select Sector SPDR FundNYSE Arca.
XLCCommunication Services Select Sector SPDR FundNYSE Arca.
IWBiShares Russell 1000 ETFNYSE Arca.
EWTiShares MSCI Taiwan ETFNYSE Arca.
TIPiShares TIPS Bond ETFNYSE Arca.
MTUMiShares Edge MSCI USA Momentum Factor ETFCboe BZX.
RSXVanEck Vectors Russia ETFCboe BZX.
VTVVanguard Value ETFNYSE Arca.
INDAiShares MSCI India ETFCboe BZX.
PFFiShares Preferred & Income Securities ETFNASDAQ.
EWHiShares MSCI Hong Kong ETFNYSE Arca.
VTVanguard Total World Stock ETFNYSE Arca.
MBBiShares MBS ETFNASDAQ.
IGViShares Expanded Tech-Software Sector ETFCboe BZX.
BSVVanguard Short-Term Bond ETFNYSE Arca.
SVXYProShares Short VIX Short-Term Futures ETFNYSE Arca.
Start Printed Page 16418
BKLNInvesco Senior Loan ETFNYSE Arca.
VIGVanguard Dividend Appreciation ETFNYSE Arca.
OIHVanEck Vectors Oil Services ETFNYSE Arca.
EWWiShares MSCI Mexico ETFNYSE Arca.
VEUVanguard FTSE All-World ex-US Index FundNYSE Arca.
VCSHVanguard Short-Term Corporate Bond ETFNASDAQ.
SHProShares Short S&P500NYSE Arca.
IEIiShares 3-7 Year Treasury Bond ETFNASDAQ.
GOVTiShares U.S. Treasury Bond ETFCboe BZX.
SOXXiShares PHLX Semiconductor ETFNASDAQ.
VGTVanguard Information Technology ETFNYSE Arca.
BNDXVanguard Total International Bond ETFNASDAQ.
ASHRXtrackers Harvest CSI 300 China A-Shares ETFNYSE Arca.
ITOTiShares Core S&P Total U.S. Stock Market ETFNYSE Arca.
IWOiShares Russell 2000 Growth ETFNYSE Arca.
VUGVanguard Growth ETFNYSE Arca.
JPSTJPMorgan Ultra-Short Income ETFCboe BZX.
IWNiShares Russell 2000 Value ETFNYSE Arca.
MINTPIMCO Enhanced Short Maturity Active ETFNYSE Arca.
VYMVanguard High Dividend Yield Index ETFNYSE Arca.
ITBiShares U.S. Home Construction ETFCboe BZX.
FEZSPDR EURO STOXX 50 ETFNYSE Arca.
QUALiShares Edge MSCI USA Quality Factor ETFCboe BZX.
EWGiShares MSCI Germany ETFNYSE Arca.
MUBiShares National Muni Bond ETFNYSE Arca.
IVEiShares S&P 500 Value ETFNYSE Arca.
SCHFSchwab International Equity ETFNYSE Arca.
VXUSVanguard Total International Stock ETFNASDAQ.
XHBSPDR S&P Homebuilders ETFNYSE Arca.
AAXJiShares MSCI All Country Asia ex Japan ETFNASDAQ.
EWUiShares MSCI United Kingdom ETFNYSE Arca.
IVWiShares S&P 500 Growth ETFNYSE Arca.
KBESPDR S&P Bank ETFNYSE Arca.
VOVanguard Mid-Cap ETFNYSE Arca.
VBVanguard Small-Cap ETFNYSE Arca.
EMLCVanEck Vectors J.P. Morgan EM Local Currency Bond ETFNYSE Arca.
SCHXSchwab U.S. Large-Cap ETFNYSE Arca.
IGSBiShares Short-Term Corporate Bond ETFNASDAQ.
ACWXiShares MSCI ACWI ex U.S. ETFNASDAQ.
PSQProShares Short QQQNYSE Arca.
FLOTiShares Floating Rate Bond ETFCboe BZX.
IGIBiShares Intermediate-Term Corporate Bond ETFNASDAQ.
SJNKSPDR Bloomberg Barclays Short Term High Yield Bond ETFNYSE Arca.
UNGUnited States Natural Gas Fund LPNYSE Arca.
XMESPDR S&P Metals & Mining ETFNYSE Arca.
BIVVanguard Intermediate-Term Bond ETFNYSE Arca.
NEARiShares Short Maturity Bond ETFCboe BZX.
DXJWisdomTree Japan Hedged Equity FundNYSE Arca.
VIXYProShares VIX Short-Term Futures ETFNYSE Arca.
KWEBKraneShares CSI China Internet ETFNYSE Arca.
IWRiShares Russell Midcap ETFNYSE Arca.
EFAViShares Edge MSCI Min Vol EAFE ETFCboe BZX.
EWCiShares MSCI Canada ETFNYSE Arca.
IXUSiShares Core MSCI Total International Stock ETFNASDAQ.
EWAiShares MSCI Australia ETFNYSE Arca.
RSPInvesco S&P 500 Equal Weight ETFNYSE Arca.
DGROiShares Core Dividend Growth ETFNYSE Arca.
FDNFirst Trust Dow Jones Internet Index FundNYSE Arca.
SCZiShares MSCI EAFE Small-Cap ETFNASDAQ.
SCHBSchwab U.S. Broad Market ETFNYSE Arca.
DVYiShares Select Dividend ETFNASDAQ.
SDYSPDR S&P Dividend ETFNYSE Arca.
IHIiShares U.S. Medical Devices ETFNYSE Arca.
OEFiShares S&P 100 ETFNYSE Arca.
SPIBSPDR Portfolio Intermediate Term Corporate Bond ETFNYSE Arca.
IWSiShares Russell Mid-Cap Value ETFNYSE Arca.
AMJJ.P. Morgan Alerian MLP Index ETNNYSE Arca.
SCHOSchwab Short-Term US Treasury ETFNYSE Arca.
FTSMFirst Trust Enhanced Short Maturity ETFNASDAQ.
SPYGSPDR Portfolio S&P 500 Growth ETFNYSE Arca.
SPABSPDR Portfolio Aggregate Bond ETFNYSE Arca.
Start Printed Page 16419
VCLTVanguard Long-Term Corporate Bond ETFNASDAQ.
SCHDSchwab US Dividend Equity ETFNYSE Arca.
EWLiShares MSCI Switzerland ETFNYSE Arca.
IWViShares Russell 3000 ETFNYSE Arca.
VXFVanguard Extended Market ETFNYSE Arca.
FVDFirst Trust Value Line Dividend Index FundNYSE Arca.
IYTiShares Transportation Average ETFCboe BZX.
EWQiShares MSCI France ETFNYSE Arca
VMBSVanguard Mortgage-Backed Securities ETFNASDAQ.
ILFiShares Latin America 40 ETFNYSE Arca.
SPTLSPDR Portfolio Long Term Treasury ETFNYSE Arca.
BLVVanguard Long-Term Bond ETFNYSE Arca.
VBRVanguard Small Cap Value ETFNYSE Arca.
VLUEiShares Edge MSCI USA Value Factor ETFCboe BZX.
EPIWisdomTree India Earnings FundNYSE Arca.
VFHVanguard Financials ETFNYSE Arca.
VGSHVanguard Short-Term Treasury ETFNASDAQ.
SCHPSchwab US TIPS ETFNYSE Arca.
USIGiShares Broad USD Investment Grade Corporate Bond ETFNASDAQ.
IWPiShares Russell Mid-Cap Growth ETFNYSE Arca.
ITAiShares U.S. Aerospace & Defense ETFCboe BZX.
SCHGSchwab U.S. Large-Cap Growth ETFNYSE Arca.
PCYInvesco Emerging Markets Sovereign Debt ETFNYSE Arca.
IUSGiShares Core S&P U.S. Growth ETFNASDAQ.
SPSBSPDR Portfolio Short Term Corporate Bond ETFNYSE Arca.
VTEBVanguard Tax-Exempt Bond ETFNYSE Arca.
SPYVSPDR Portfolio S&P 500 Value ETFNYSE Arca.
GSLCGoldman Sachs ActiveBeta U.S. Large Cap Equity ETFNYSE Arca.
CWBSPDR Bloomberg Barclays Convertible Securities ETFNYSE Arca.
VTIPVanguard Short-Term Inflation-Protected Securities ETFNASDAQ.
HYLBXtrackers USD High Yield Corporate Bond ETFNYSE Arca.
FLRNSPDR Bloomberg Barclays Investment Grade Floating Rate ETFNYSE Arca.
SPEMSPDR Portfolio Emerging Markets ETFNYSE Arca.
VHTVanguard Health Care ETFNYSE Arca.
PGXInvesco Preferred ETFNYSE Arca.
EEMViShares Edge MSCI Min Vol Emerging Markets ETFCboe BZX.
SPDWSPDR Portfolio Developed World ex-US ETFNYSE Arca.
NOBLProShares S&P 500 Dividend Aristocrats ETFCboe BZX.
HDViShares Core High Dividend ETFNYSE Arca.
EWPiShares MSCI Spain ETFNYSE Arca.
SHYGiShares 0-5 Year High Yield Corporate Bond ETFNYSE Arca.
VBKVanguard Small-Cap Growth ETFNYSE Arca.
IUSViShares Core S&P US Value ETFNASDAQ.
SCHESchwab Emerging Markets Equity ETFNYSE Arca.
VGLTVanguard Long-Term Treasury ETFNASDAQ.
SCHHSchwab U.S. REIT ETFNYSE Arca.
SPLGSPDR Portfolio Large Cap ETFNYSE Arca.
IEURiShares Core MSCI Europe ETFNYSE Arca.
VVVanguard Large-Cap ETFNYSE Arca.
ACWViShares Edge MSCI Min Vol Global ETFCboe BZX.
SCHVSchwab U.S. Large-Cap Value ETFNYSE Arca.
EFViShares MSCI EAFE Value ETFCboe BZX.
VPLVanguard FTSE Pacific ETFNYSE Arca.
IJSiShares S&P Small-Cap 600 Value ETFNYSE Arca.
VOEVanguard Mid-Cap Value ETFNYSE Arca.
SCHZSchwab US Aggregate Bond ETFNYSE Arca.
VDEVanguard Energy ETFNYSE Arca.
DBEFXtrackers MSCI EAFE Hedged Equity ETFNYSE Arca.
EWIiShares MSCI Italy ETFNYSE Arca.
GBILGoldman Sachs Access Treasury 0-1 Year ETFNYSE Arca.
ICSHiShares Ultra Short-Term Bond ETFCboe BZX.
FPEFirst Trust Preferred Securities & Income ETFNYSE Arca.
SCHASchwab U.S. Small-Cap ETFNYSE Arca.
HYDVanEck Vectors High-Yield Municipal Index ETFCboe BZX.
EDVVanguard Extended Duration Treasury ETFNYSE Arca.
HEDJWisdomTree Europe Hedged Equity FundNYSE Arca.
VPUVanguard Utilities ETFNYSE Arca.
EZAiShares MSCI South Africa ETFNYSE Arca.
HYSPIMCO 0-5 Year High Yield Corporate Bond Index ETFNYSE Arca.
VGITVanguard Intermediate-Term Treasury ETFNASDAQ.
LMBSFirst Trust Low Duration Opportunities ETFNASDAQ.
Start Printed Page 16420
SCHRSchwab Intermediate-Term US Treasury ETFNYSE Arca.
GSYInvesco Ultra Short Duration ETFNYSE Arca.
EPPiShares MSCI Pacific ex-Japan ETFNYSE Arca.
FBTFirst Trust NYSE Arca Biotechnology Index FundNYSE Arca.
IYFiShares U.S. Financials ETFNYSE Arca.
IYWiShares U.S. Technology ETFNYSE Arca.
SRLNSPDR Blackstone/GSO Senior Loan ETFNYSE Arca.
VNQIVanguard Global ex-U.S. Real Estate ETFNASDAQ.
USHYiShares Broad USD High Yield Corporate Bond ETFCboe BZX.
IDViShares International Select Dividend ETFCboe BZX.
MGKVanguard Mega Cap Growth ETFNYSE Arca.
TLHiShares 10-20 Year Treasury Bond ETFNYSE Arca.
SPHDInvesco S&P 500 High Dividend Low Volatility ETFNYSE Arca.
VTWOVanguard Russell 2000 ETFNASDAQ.
USFRWisdomTree Floating Rate Treasury FundNYSE Arca.
VOTVanguard Mid-Cap Growth ETFNYSE Arca.
KSAiShares MSCI Saudi Arabia ETFNYSE Arca.
PDBCInvesco Optimum Yield Diversified Commodity Strategy No K-1 ETFNASDAQ.
IGLBiShares Long-Term Corporate Bond ETFNYSE Arca.
SCHMSchwab U.S. Mid-Cap ETFNYSE Arca.
ISTBiShares Core 1-5 Year USD Bond ETFNASDAQ.
IJKiShares S&P Mid-Cap 400 Growth ETFNYSE Arca.
GLDMSPDR Gold MiniShares TrustNYSE Arca.
DOGProShares Short Dow30NYSE Arca.
KBWBInvesco KBW Bank ETFNASDAQ.
EUFNiShares MSCI Europe Financials ETFNASDAQ.
EIDOiShares MSCI Indonesia ETFNYSE Arca.
XARSPDR S&P Aerospace & Defense ETFNYSE Arca.
RWMProShares Short Russell2000NYSE Arca.
BONDPIMCO Active Bond ETFNYSE Arca.
VDCVanguard Consumer Staples ETFNYSE Arca.
UUPInvesco DB US Dollar Index Bullish FundNYSE Arca.
SPTISPDR Portfolio Intermediate Term Treasury ETFNYSE Arca.
FXEInvesco CurrencyShares Euro TrustNYSE Arca.
VSSVanguard FTSE All-World ex-US Small-Cap ETFNYSE Arca.
EFGiShares MSCI EAFE Growth ETFCboe BZX.
FXOFirst Trust Financials AlphaDEX FundNYSE Arca.
XMLVInvesco S&P MidCap Low Volatility ETFNYSE Arca.
FTECFidelity MSCI Information Technology Index ETFNYSE Arca.
SPYDSPDR Portfolio S&P 500 High Dividend ETFNYSE Arca.
QTECFirst Trust NASDAQ-100 Technology Sector Index FundNASDAQ.
THDiShares MSCI Thailand ETFNYSE Arca.
MOATVanEck Vectors Morningstar Wide Moat ETFCboe BZX.
EWMiShares MSCI Malaysia ETFNYSE Arca.
RWRSPDR Dow Jones REIT ETFNYSE Arca.
BNOUnited States Brent Oil Fund LPNYSE Arca.
FTCSFirst Trust Capital Strength ETFNASDAQ.
DBCInvesco DB Commodity Index Tracking FundNYSE Arca.
TOTLSPDR DoubleLine Total Return Tactical ETFNYSE Arca.
EWSiShares MSCI Singapore ETFNYSE Arca.
PTLCPacer Trendpilot US Large Cap ETFCboe BZX.
SPTSSPDR Portfolio Short Term Treasury ETFNYSE Arca.
GUNRFlexShares Morningstar Global Upstream Natural Resources Index FundNYSE Arca.
PRFInvesco FTSE RAFI US 1000 ETFNYSE Arca.
ECHiShares MSCI Chile ETFCboe BZX.
SPTMSPDR Portfolio Total Stock Market ETFNYSE Arca.
MJETFMG Alternative Harvest ETFNYSE Arca.
IYEiShares U.S. Energy ETFNYSE Arca.
VOXVanguard Communication Services ETFNYSE Arca
IJTiShares S&P Small-Cap 600 Growth ETFNASDAQ.
IPAYETFMG Prime Mobile Payments ETFNYSE Arca.
RWXSPDR Dow Jones International Real Estate ETFNYSE Arca.
FNDXSchwab Fundamental US Large Co. Index ETFNYSE Arca.
IAGGiShares Core International Aggregate Bond ETFCboe BZX.
ANGLVanEck Vectors Fallen Angel High Yield Bond ETFNASDAQ.
IEViShares Europe ETFNYSE Arca.
VOOGVanguard S&P 500 Growth ETFNYSE Arca.
FLCBFranklin Liberty U.S. Core Bond ETFNYSE Arca.
IJJiShares S&P Mid-Cap 400 Value ETFNYSE Arca
IUSBiShares Core Total USD Bond Market ETFNASDAQ.
TBFProshares Short 20+ Year TreasuryNYSE Arca.
Start Printed Page 16421
BBEUJPMorgan BetaBuilders Europe ETFCboe BZX.
SPSMSPDR Portfolio Small Cap ETFNYSE Arca
SIZEiShares Edge MSCI USA Size Factor ETFNYSE Arca.
SHMSPDR Nuveen Bloomberg Barclays Short Term Municipal Bond ETFNYSE Arca.
TURiShares MSCI Turkey ETFNASDAQ.
RODMHartford Multifactor Developed Markets (ex-US) ETFNYSE Arca.
BBJPJPMorgan BetaBuilders Japan ETFCboe BZX.
MLPIETRACS Alerian MLP Infrastructure Index ETNNYSE Arca.
IXNiShares Global Tech ETFNYSE Arca.
LGLVSPDR SSGA US Large Cap Low Volatility Index ETFNYSE Arca.
FNDFSchwab Fundamental International Large Co. Index ETFNYSE Arca.
SGOLAberdeen Standard Physical Gold Shares ETFNYSE Arca.
IGOViShares International Treasury Bond ETFNASDAQ.
FIXDFirst Trust TCW Opportunistic Fixed Income ETFNASDAQ.
EWDiShares MSCI Sweden ETFNYSE Arca.
ICFiShares Cohen & Steers REIT ETFCboe BZX.
VISVanguard Industrials ETFNYSE Arca.
MDYVSPDR S&P 400 Mid Cap Value ETFNYSE Arca.
SPHQInvesco S&P 500 Quality ETFNYSE Arca.
SKYYFirst Trust Cloud Computing ETFNASDAQ.
IGFiShares Global Infrastructure ETFNASDAQ.
REMiShares Mortgage Real Estate ETFCboe BZX.
BOTZGlobal X Robotics & Artificial Intelligence ETFNASDAQ.
FXLFirst Trust Technology AlphaDEX FundNYSE Arca.
EMLPFirst Trust North American Energy Infrastructure FundNYSE Arca.
SUBiShares Short-Term National Muni Bond ETFNYSE Arca.
SPLBSPDR Portfolio Long Term Corporate Bond ETFNYSE Arca.
HEWJiShares Currency Hedged MSCI Japan ETFNYSE Arca.
VONGVanguard Russell 1000 Growth ETFNASDAQ.
IYGiShares US Financial Services ETFNYSE Arca.
IYZiShares U.S. Telecommunications ETFCboe BZX.
VCRVanguard Consumer Discretionary ETFNYSE Arca.
DGSWisdomTree Emerging Markets SmallCap Dividend FundNYSE Arca.
XESSPDR S&P Oil & Gas Equipment & Services ETFNYSE Arca.
IHFiShares U.S. Healthcare Providers ETFNYSE Arca.
VWOBVanguard Emerging Markets Government Bond ETFNASDAQ.
XSLVInvesco S&P SmallCap Low Volatility ETFNYSE Arca.
HEZUiShares Currency Hedged MSCI Eurozone ETFNYSE Arca.
ONEQFidelity Nasdaq Composite Index Tracking StockNASDAQ.
PULSPGIM Ultra Short Bond ETFNYSE Arca.
ARKKARK Innovation ETFNYSE Arca.
SLYVSPDR S&P 600 Small Cap Value ETFNYSE Arca.
DGRWWisdomTree US Quality Dividend Growth FundNASDAQ.
FNDESchwab Fundamental Emerging Markets Large Co. Index ETFNYSE Arca.
KIESPDR S&P Insurance ETFNYSE Arca.
USRTiShares Core U.S. REIT ETFNYSE Arca.
IYHiShares U.S. Healthcare ETFNYSE Arca.
RPVInvesco S&P 500 Pure Value ETFNYSE Arca.
DEMWisdomTree Emerging Markets High Dividend FundNYSE Arca.
HEFAiShares Currency Hedged MSCI EAFE ETFCboe BZX.
XSDSPDR S&P Semiconductor ETFNYSE Arca.
IXCiShares Global Energy ETFNYSE Arca.
MLPAGlobal X MLP ETFNYSE Arca.
ERUSiShares MSCI Russia ETFNYSE Arca.
SILGlobal X Silver Miners ETFNYSE Arca.
DONWisdomTree U.S. MidCap Dividend FundNYSE Arca.
VNLAJanus Henderson Short Duration Income ETFNYSE Arca.
AGGYWisdomTree Yield Enhanced U.S. Aggregate Bond FundNYSE Arca.
SPMDSPDR Portfolio Mid Cap ETFNYSE Arca.
RPGInvesco S&P 500 Pure Growth ETFNYSE Arca.
BBREJPMorgan BetaBuilders MSCI U.S. REIT ETFCboe BZX.
STIPiShares 0-5 Year TIPS Bond ETFNYSE Arca.
FTSLFirst Trust Senior Loan FundNASDAQ.
PHYSSprott Physical Gold TrustNYSE Arca.
GXCSPDR S&P China ETFNYSE Arca.
PPLTAberdeen Standard Physical Platinum Shares ETFNYSE Arca.
FXBInvesco CurrencyShares British Pound Sterling TrustNYSE Arca.
TFISPDR Nuveen Bloomberg Barclays Municipal Bond ETFNYSE Arca.
GVIiShares Intermediate Government/Credit Bond ETFCboe BZX.
MLPXGlobal X MLP & Energy Infrastructure ETFNYSE Arca.
IXJiShares Global Healthcare ETFNYSE Arca.
Start Printed Page 16422
ESGDiShares ESG MSCI EAFE ETFNASDAQ.
FNDASchwab Fundamental US Small Co. Index ETFNYSE Arca.
CEFSprott Physical Gold and Silver TrustNYSE Arca.
SLQDiShares 0-5 Year Investment Grade Corporate Bond ETFNASDAQ.
LEMBiShares J.P. Morgan EM Local Currency Bond ETFNYSE Arca.
IYCiShares U.S. Consumer Services ETFNYSE Arca.
FMBFirst Trust Managed Municipal ETFNASDAQ.
PDPInvesco DWA Momentum ETFNASDAQ.
HYLSFirst Trust Tactical High Yield ETFNASDAQ.
DBEUXtrackers MSCI Europe Hedged Equity ETFNYSE Arca.
IDEViShares Core MSCI International Developed Markets ETFNYSE Arca.
REETiShares Global REIT ETFNYSE Arca.
RYTInvesco S&P 500 Equal Weight Technology ETFNYSE Arca.
HYMBSPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETFNYSE Arca.
MGCVanguard Mega Cap ETFNYSE Arca.
IDUiShares U.S. Utilities ETFNYSE Arca.
JPINJ.P. Morgan Diversified Return International Equity ETFNYSE Arca.
XLGInvesco S&P 500 Top 50 ETFNYSE Arca.
SLYGSPDR S&P 600 Small Cap Growth ETFNYSE Arca.
SCHCSchwab International Small-Cap Equity ETFNYSE Arca.
RWOSPDR Dow Jones Global Real Estate ETFNYSE Arca
VIOOVanguard S&P Small-Cap 600 ETFNYSE Arca.
VRPInvesco Variable Rate Preferred ETFNYSE Arca.
FXYInvesco Currencyshares Japanese Yen TrustNYSE Arca.
RDIVInvesco S&P Ultra Dividend Revenue ETFNYSE Arca.
PXHInvesco FTSE RAFI Emerging Markets ETFNYSE Arca.
MGVVanguard Mega Cap Value ETFNYSE Arca.
CORPPIMCO Investment Grade Corporate Bond Index ETFNYSE Arca.
VAWVanguard Materials ETFNYSE Arca.
EWNiShares MSCI Netherlands ETFNYSE Arca.
BWXSPDR Bloomberg Barclays International Treasury Bond ETFNYSE Arca.
EUMProShares Short MSCI Emerging MarketsNYSE Arca.
QYLDGlobal X NASDAQ 100 Covered Call ETFNASDAQ.
PGFInvesco Financial Preferred ETFNYSE Arca.
FRELFidelity MSCI Real Estate Index ETFNYSE Arca.
IGMiShares Expanded Tech Sector ETFNYSE Arca.
IATiShares U.S. Regional Banks ETFNYSE Arca.
TANInvesco Solar ETFNYSE Arca.
VONVVanguard Russell 1000 Value ETFNASDAQ.
FUTYFidelity MSCI Utilities Index ETFNYSE Arca.
KBAKraneShares Bosera MSCI China A Share ETFNYSE Arca.
PRFZInvesco FTSE RAFI US 1500 Small-Mid ETFNASDAQ.
FBNDFidelity Total Bond ETFNYSE Arca.
FXHFirst Trust Health Care AlphaDEX FundNYSE Arca.
PSKSPDR Wells Fargo Preferred Stock ETFNYSE Arca.
IQLTiShares Edge MSCI Intl Quality Factor ETFNYSE Arca.
EPHEiShares MSCI Philippines ETFNYSE Arca.
ITMVanEck Vectors AMT-Free Intermediate Municipal Index ETFCboe BZX.
GSIEGoldman Sachs ActiveBeta International Equity ETFNYSE Arca.
DLNWisdomTree U.S. LargeCap Dividend FundNYSE Arca.
HACKETFMG Prime Cyber Security ETFNYSE Arca.
DJPiPath Bloomberg Commodity Index Total Return ETNNYSE Arca.
FHLCFidelity MSCI Health Care Index ETFNYSE Arca.
DBJPXtrackers MSCI Japan Hedged Equity ETFNYSE Arca.
URTHiShares MSCI World ETFNYSE Arca.
VYMIVanguard International High Dividend Yield ETFNASDAQ.
FDTFirst Trust Developed Markets ex-US AlphaDEX FundNASDAQ.
BSCLInvesco BulletShares 2021 Corporate Bond ETFNASDAQ.
FXUFirst Trust Utilities AlphaDEX FundNYSE Arca.
BSCKInvesco BulletShares 2020 Corporate Bond ETFNASDAQ.
IYJiShares U.S. Industrials ETFCboe BZX.
AGZiShares Agency Bond ETFNYSE Arca.
INTFiShares Edge MSCI Multifactor Intl ETFNYSE Arca.
SPMBSPDR Portfolio Mortgage Backed Bond ETFNYSE Arca.
GSGiShares S&P GSCI Commodity Indexed TrustNYSE Arca.
PSJInvesco Dynamic Software ETFNYSE Arca.
SDIVGlobal X Superdividend ETFNYSE Arca.
VIGIVanguard International Dividend Appreciation ETFNASDAQ
RINGiShares MSCI Global Gold Miners ETFNASDAQ.
CWISPDR MSCI ACWI ex-US ETFNYSE Arca.
IWYiShares Russell Top 200 Growth ETFNYSE Arca.
Start Printed Page 16423
ESGUiShares ESG MSCI USA ETFNASDAQ.
ZROZPIMCO 25+ Year Zero Coupon US Treasury Index ETFNYSE Arca.
SPIPSPDR Portfolio TIPS ETFNYSE Arca.
FNCLFidelity MSCI Financials Index ETFNYSE Arca.
ESGEiShares ESG MSCI EM ETFNASDAQ.
BABInvesco Taxable Municipal Bond ETFNYSE Arca.
PZAInvesco National AMT-Free Municipal Bond ETFNYSE Arca.
MDYGSPDR S&P 400 Mid Cap Growth ETFNYSE Arca.
RDVYFirst Trust Rising Dividend Achievers ETFNASDAQ.
DSIiShares MSCI KLD 400 Social ETFNYSE Arca.
BSCMInvesco BulletShares 2022 Corporate Bond ETFNASDAQ.
IXGiShares Global Financials ETFNYSE Arca.
CIBRFirst Trust NASDAQ Cybersecurity ETFNASDAQ.
JHMMJohn Hancock Multifactor Mid Cap ETFNYSE Arca.
FCGFirst Trust Natural Gas ETFNYSE Arca.
PHBInvesco Fundamental High Yield Corporate Bond ETFNYSE Arca.
FVFirst Trust Dorsey Wright Focus 5 ETFNASDAQ.
BSJLInvesco Bulletshares 2021 High Yield Corporate Bond ETFNASDAQ.
FNDCSchwab Fundamental International Small Co. Index ETFNYSE Arca.
DVYEiShares Emerging Markets Dividend ETFNYSE Arca.
DESWisdomTree U.S. SmallCap Dividend FundNYSE Arca.
VONEVanguard Russell 1000 ETFNASDAQ.
GNRSPDR S&P Global Natural Resources ETFNYSE Arca.
FPXFirst Trust US Equity Opportunities ETFNYSE Arca.
BSJKInvesco BulletShares 2020 High Yield Corporate Bond ETFNASDAQ.
PSLVSprott Physical Silver TrustNYSE Arca.
SUSAiShares MSCI USA ESG Select ETFNYSE Arca.
AOMiShares Core Moderate Allocation ETFNYSE Arca.
IEOiShares U.S. Oil & Gas Exploration & Production ETFCboe BZX.
XMMOInvesco S&P MidCap Momentum ETFNYSE Arca.
PPAInvesco Aerospace & Defense ETFNYSE Arca.
NUSINationwide Risk-Managed Income ETFNYSE Arca.
COMTiShares Commodities Select Strategy ETFNASDAQ.
PDECInnovator S&P 500 Power Buffer ETF—DecemberCboe BZX.
EBNDSPDR Bloomberg Barclays Emerging Markets Local Bond ETFNYSE Arca.
CMFiShares California Muni Bond ETFNYSE Arca.
VOOVVanguard S&P 500 Value ETFNYSE Arca.
IGEiShares North American Natural Resources ETFCboe BZX.
FDLFirst Trust Morningstar Dividend Leaders Index FundNYSE Arca.
PXFInvesco FTSE RAFI Developed Markets ex-U.S. ETFNYSE Arca.
PFFDGlobal X U.S. Preferred ETFCboe BZX.
ROBOROBO Global Robotics & Automation Index ETFNYSE Arca.
IBDLiShares iBonds Dec 2020 Term Corporate ETFNYSE Arca.
IDLVInvesco S&P International Developed Low Volatility ETFNYSE Arca.
FFTYInnovator IBD 50 ETFNYSE Arca.
SPHBInvesco S&P 500 High Beta ETFNYSE Arca.
DLSWisdomTree International SmallCap Dividend FundNYSE Arca.
LRGFiShares Edge MSCI Multifactor USA ETFNYSE Arca.
SDOGALPS Sector Dividend Dogs ETFNYSE Arca.
QQEWFirst Trust Nasdaq-100 Equal Weighted Index FundNASDAQ.
CQQQInvesco China Technology ETFNYSE Arca.
EPOLiShares MSCI Poland ETFNYSE Arca.
REZiShares Residential Real Estate ETFNYSE Arca
DBAInvesco DB Agriculture FundNYSE Arca.
ARKWARK Next Generation Internet ETFNYSE Arca.
FSTAFidelity MSCI Consumer Staples Index ETFNYSE Arca.
JXIiShares Global Utilities ETFNYSE Arca.
AORiShares Core Growth Allocation ETFNYSE Arca.
MOOVanEck Vectors Agribusiness ETFNYSE Arca.
IBDMiShares iBonds Dec 2021 Term Corporate ETFNYSE Arca.
GREKGlobal X MSCI Greece ETFNYSE Arca.
PKWInvesco Buyback Achievers ETFNASDAQ.
QUSSPDR MSCI USA StrategicFactors ETFNYSE Arca.
XTiShares Exponential Technologies ETFNASDAQ.
PALLAberdeen Standard Physical Palladium Shares ETFNYSE Arca.
GEMGoldman Sachs ActiveBeta Emerging Markets Equity ETFNYSE Arca.
BBCAJPMorgan BetaBuilders Canada ETFCboe BZX.
ESGVVanguard ESG U.S. Stock ETFCboe BZX.
INDYiShares India 50 ETFNASDAQ.
FEXFirst Trust Large Cap Core AlphaDEX FundNASDAQ.
MNAIQ Merger Arbitrage ETFNYSE Arca.
Start Printed Page 16424
NFRAFlexShares STOXX Global Broad Infrastructure Index FundNYSE Arca.
RPARRPAR Risk Parity ETFNYSE Arca.
EWXSPDR S&P Emerging Markets Small Cap ETFNYSE Arca.
BSJMInvesco BulletShares 2022 High Yield Corporate Bond ETFNASDAQ.
FEMFirst Trust Emerging Markets AlphaDEX FundNASDAQ.
PTFInvesco DWA Technology Momentum ETFNASDAQ.
ARKGARK Genomic Revolution ETFCboe BZX.
JKHiShares Morningstar Mid-Cap Growth ETFNYSE Arca.
GBFiShares Government/Credit Bond ETFNYSE Arca.
SILJETFMG Prime Junior Silver Miners ETFNYSE Arca.
SLYSPDR S&P 600 Small Cap ETFNYSE Arca.
FTCFirst Trust Large Cap Growth AlphaDEX FundNASDAQ.
FTAFirst Trust Large Cap Value AlphaDEX FundNASDAQ.
QDFFlexShares Quality Dividend Index FundNYSE Arca.
IBDNiShares iBonds Dec 2022 Term Corporate ETFNYSE Arca.
JPUSJPMorgan Diversified Return U.S. Equity ETFNYSE Arca.
AMZAInfraCap MLP ETFNYSE Arca.
IBDOiShares iBonds Dec 2023 Term Corporate ETFNYSE Arca.
SRETGlobal X SuperDividend REIT ETFNASDAQ.
VNMVanEck Vectors Vietnam ETFCboe BZX.
BSCNInvesco Bulletshares 2023 Corporate Bond ETFNASDAQ.
USSGXtrackers MSCI USA ESG Leaders Equity ETFNYSE Arca.
EMHYiShares Emerging Markets High Yield Bond ETFCboe BZX.
IPACiShares Core MSCI Pacific ETFNYSE Arca.
RYUInvesco S&P 500 Equal Weight Utilities ETFNYSE Arca.
BSCOInvesco BulletShares 2024 Corporate Bond ETFNASDAQ.
PWVInvesco Dynamic Large Cap Value ETFNYSE Arca.
ICLNiShares Global Clean Energy ETFNASDAQ.
SMMViShares Edge MSCI Min Vol USA Small-Cap ETFCboe BZX.
FLCOFranklin Liberty Investment Grade Corporate ETFNYSE Arca.
CLOUGlobal X Cloud Computing ETFNASDAQ.
PLWInvesco 1-30 Laddered Treasury ETFNASDAQ.
IOOiShares Global 100 ETFNYSE Arca.
PPHVanEck Vectors Pharmaceutical ETFNASDAQ.
SPGPInvesco S&P 500 GARP ETFNYSE Arca.
FINXGlobal X FinTech ETFNASDAQ.
KXIiShares Global Consumer Staples ETFNYSE Arca.
RHSInvesco S&P 500 Equal Weight Consumer Staples ETFNYSE Arca.
DIVGlobal X SuperDividend US ETFNYSE Arca.
FDISFidelity MSCI Consumer Discretionary Index ETFNYSE Arca.
PFXFVanEck Vectors Preferred Securities ex Financials ETFNYSE Arca.
IYMiShares U.S. Basic Materials ETFNYSE Arca.
SIVRAberdeen Standard Physical Silver Shares ETFNYSE Arca.
FXGFirst Trust Consumer Staples AlphaDEX FundNYSE Arca.
PICKiShares MSCI Global Metals & Mining Producers ETFCboe BZX.
TFLOiShares Treasury Floating Rate Bond ETFNYSE Arca.
IWCiShares Micro-Cap ETFNYSE Arca.
FENYFidelity MSCI Energy Index ETFNYSE Arca.
NUAGNuveen Enhanced Yield U.S. Aggregate Bond ETFNYSE Arca.
JKEiShares Morningstar Large-Cap Growth ETFNYSE Arca.
MXIiShares Global Materials ETFNYSE Arca.
IBDPiShares iBonds Dec 2024 Term Corporate ETFNYSE Arca.
LVHDLegg Mason Low Volatility High Dividend ETFNASDAQ.
DBEHiM DBi Hedge Strategy ETFNYSE Arca.
FXRFirst Trust Industrials/Producer Durables AlphaDEX FundNYSE Arca.
IYYiShares Dow Jones U.S. ETFNYSE Arca.
EZMWisdomTree U.S. MidCap FundNYSE Arca.
XPHSPDR S&P Pharmaceuticals ETFNYSE Arca.
DFJWisdomTree Japan SmallCap Dividend FundNYSE Arca.
PCEFInvesco CEF Income Composite ETFNYSE Arca.
LITGlobal X Lithium & Battery Tech ETFNYSE Arca.
AOKiShares Core Conservative Allocation ETFNYSE Arca.
ILTBiShares Core 10+ Year USD Bond ETFNYSE Arca.
IQDFFlexShares International Quality Dividend Index FundNYSE Arca.
USMCPrincipal U.S. Mega-Cap Multi-Factor Index ETFNASDAQ.
IHEiShares U.S. Pharmaceuticals ETFNYSE Arca.
FDVVFidelity High Dividend ETFNYSE Arca.
FXDFirst Trust Consumer Discretionary AlphaDEX FundNYSE Arca.
FMiShares MSCI Frontier 100 ETFNYSE Arca.
PTMCPacer Trendpilot US Mid Cap ETFCboe BZX.
TDIVFirst Trust NASDAQ Technology Dividend Index FundNASDAQ.
Start Printed Page 16425
QLTAiShares Aaa-A Rated Corporate Bond ETFNYSE Arca.
ICVTiShares Convertible Bond ETFCboe BZX.
SCHKSchwab 1000 Index ETFNYSE Arca.
SMDVProShares Russell 2000 Dividend Growers ETFCboe BZX.
AVUSAvantis U.S. Equity ETFNYSE Arca.
REGLProShares S&P MidCap 400 Dividend Aristocrats ETFCboe BZX.
FLQLFranklin LibertyQ U.S. Equity ETFCboe BZX.
IXPiShares Global Comm Services ETFNYSE Arca.
BBAXJPMorgan BetaBuilders Developed Asia ex-Japan ETFCboe BZX.
PUIInvesco DWA Utilities Momentum ETFNASDAQ.
XHESPDR S&P Health Care Equipment ETFNYSE Arca.
XSOEWisdomTree Emerging Markets ex-State-Owned Enterprises FundNYSE Arca.
HYEMVanEck Vectors Emerging Markets High Yield Bond ETFNYSE Arca.
FCOMFidelity MSCI Communication Services Index ETFNYSE Arca.
CFAVictoryShares US 500 Volatility Wtd ETFNASDAQ.
RYHInvesco S&P 500 Equal Weight Health Care ETFNYSE Arca.
DBOInvesco DB Oil FundNYSE Arca.
CGWInvesco S&P Global Water Index ETFNYSE Arca.
BARGraniteShares Gold SharesNYSE Arca.
PEYInvesco High Yield Equity Dividend Achievers ETFNASDAQ.
IBDQiShares iBonds Dec 2025 Term Corporate ETFNYSE Arca.
AOAiShares Core Aggressive Allocation ETFNYSE Arca.
EESWisdomTree U.S. SmallCap FundNYSE Arca.
PTNQPacer Trendpilot 100 ETFCboe BZX.
CMBSiShares CMBS ETFNYSE Arca.
ATMPBarclays ETN+ Select MLP ETNCboe BZX.
PHOInvesco Water Resources ETFNASDAQ.
LDURPIMCO Enhanced Low Duration Active ETFNYSE Arca.
CFOVictoryShares US 500 Enhanced Volatility Wtd ETFNASDAQ.
GIGBGoldman Sachs Access Investment Grade Corporate Bond ETFNYSE Arca.
DTDWisdomTree U.S. Total Dividend FundNYSE Arca.
FDLOFidelity Low Volatility Factor ETFNYSE Arca.
JOiPath Series B Bloomberg Coffee Subindex Total Return ETNNYSE Arca.
HDGEAdvisorShares Ranger Equity Bear ETFNYSE Arca.
JAGGJ.P. Morgan Exchange-Traded Fund TrustNYSE Arca.
LTPZPIMCO 15+ Year US TIPS Index ETFNYSE Arca.
SNLNHighland iBoxx Senior Loan ETFNASDAQ.
SMINiShares MSCI India Small Cap ETFCboe BZX.
SHESPDR SSGA Gender Diversity Index ETFNYSE Arca.
DWXSPDR S&P International Dividend ETFNYSE Arca.
FLTRVanEck Vectors Investment Grade Floating Rate ETFNYSE Arca.
FEPFirst Trust Europe AlphaDEX FundNASDAQ.
GWXSPDR S&P International Small Cap ETFNYSE Arca.
VSGXVanguard ESG International Stock ETFCboe BZX.
ARGTGlobal X MSCI Argentina ETFNYSE Arca.
AMUETRACS Alerian MLP Index ETNNYSE Arca.
ENZLiShares MSCI New Zealand ETFNASDAQ.
IVOOVanguard S&P Mid-Cap 400 ETFNYSE Arca.
POCTInnovator S&P 500 Power Buffer ETF—OctoberCboe BZX.
PSCHInvesco S&P SmallCap Health Care ETFNASDAQ.
TPYPTortoise North American Pipeline FundNYSE Arca.
AWTMAware Ultra-Short Duration Enhanced Income ETFNYSE Arca.
XSWSPDR S&P Software & Services ETFNYSE Arca.
IVLUiShares Edge MSCI Intl Value Factor ETFNYSE Arca.
VRIGInvesco Variable Rate Investment Grade ETFNASDAQ.
ZIVVelocityShares Daily Inverse VIX Medium-Term ETNNASDAQ.
QAIIQ Hedge Multi-Strategy Tracker ETFNYSE Arca.
FGDFirst Trust Dow Jones Global Select Dividend Index FundNYSE Arca.
XNTKSPDR NYSE Technology ETFNYSE Arca.
PNQIInvesco NASDAQ Internet ETFNASDAQ.
VTCVanguard Total Corporate Bond ETFNASDAQ.
EXIiShares Global Industrials ETFNYSE Arca.
FLTBFidelity Limited Term Bond ETFNYSE Arca.
SRVRPacer Benchmark Data & Infrastructure Real Estate SCTR ETFNYSE Arca.
EPSWisdomTree U.S. LargeCap FundNYSE Arca.
FXCInvesco CurrencyShares Canadian Dollar TrustNYSE Arca.
REMXVanEck Vectors Rare Earth/Strategic Metals ETFNYSE Arca.
ULSTSPDR SSgA Ultra Short Term Bond ETFNYSE Arca.
BOCTInnovator S&P 500 Buffer ETF—OctoberCboe BZX.
SUSLiShares ESG MSCI USA Leaders ETFNASDAQ.
TILTFlexShares Morningstar US Market Factor Tilt Index FundCboe BZX.
Start Printed Page 16426
EPUiShares MSCI Peru ETFNYSE Arca.
PWBInvesco Dynamic Large Cap Growth ETFNYSE Arca.
BSCPInvesco Bulletshares 2025 Corporate Bond ETFNASDAQ.
PNOVInnovator S&P 500 Power Buffer ETF—NovemberCboe BZX.
WIPSPDR FTSE International Government Inflation-Protected Bond ETFNYSE Arca.
BDECInnovator S&P 500 Buffer ETF—DecemberCboe BZX.
SCHISchwab 5-10 Year Corporate Bond ETFNYSE Arca.
PJPInvesco Dynamic Pharmaceuticals ETFNYSE Arca.
HDEFXtrackers MSCI EAFE High Dividend Yield Equity ETFNYSE Arca.
IHDGWisdomTree International Hedged Quality Dividend Growth FundNYSE Arca.
HEWGiShares Currency Hedged MSCI Germany ETFNASDAQ.
FIDUFidelity MSCI Industrials Index ETFNYSE Arca
IBDRiShares iBonds Dec 2026 Term Corporate ETFNYSE Arca
OUSAO'Shares FTSE US Quality Dividend ETFNYSE Arca.
FXFInvesco CurrencyShares Swiss Franc TrustNYSE Arca.
HFXIIQ 50 Percent Hedged FTSE International ETFNYSE Arca.
FNYFirst Trust Mid Cap Growth AlphaDEX FundNASDAQ.
AVDEAvantis International Equity ETFNYSE Arca.
FIWFirst Trust Water ETFNYSE Arca.
FNXFirst Trust Mid Cap Core AlphaDEX FundNASDAQ.
CLTLInvesco Treasury Collateral ETfNYSE Arca.
AIAiShares Asia 50 ETFNASDAQ.
DVOLFirst Trust Dorsey Wright Momentum & Low Volatility ETFNASDAQ.
PAUGInnovator S&P 500 Power Buffer ETF—AugustCboe BZX.
DIALColumbia Diversified Fixed Income Allocation ETFNYSE Arca.
FXZFirst Trust Materials AlphaDEX FundNYSE Arca.

Appendix B—Data and Reporting

I. Data Provision. The Commission may request from the Primary Listing Exchanges the below data that is not otherwise publicly available. The requested data shall be collected and transmitted to the Commission in an agreed-upon format, to be provided 30 calendar days following the date of the request, or such other date as agreed upon by the Commission and Primary Listing Exchange. Data collected in connection with a Commission request shall be transmitted to the Commission with a request for confidential treatment under the Freedom of Information Act, 5 U.S.C. 552, and the Commission's rules and regulations thereunder. This section shall expire at the time the below data becomes available via the National Market System Plan Governing the Consolidated Audit Trail or becomes publicly available.

A. Data set of all orders entered during halts or Trading Pauses.

1. Normal or Auction Only orders, Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side

2. Pipe delimited with field name as first record

B. Data set of order events received during Limit States.

C. 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 NBO 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

II. Reporting.

A. Annual Report. No later than March 31, 2020 and annually thereafter, the Operating Committee, in consultation with the Advisory committee, will provide the Commission and make publicly available a report containing key information concerning the Plan's performance during the preceding calendar year which shall include the following items: (1) An update on the Plan's operations; (2) an analysis of any amendments to the Plan implemented during the period covered by the report; and (3) an analysis of potential material emerging issues that may directly impact the operation of the Plan.

1. Update on the Plan's Operations. This section of the Annual Report shall analyze the Plan's operations during the covered period, including a discussion of any areas of the Plan's operation that require additional analysis. In particular, this section of the Annual Report shall examine the calibration of the parameters set forth in the Plan (e.g., Price Bands, duration of Limit States, impact of Straddle States, duration of Trading Pauses, and the performance of reopening procedures following a Trading Pause). This section of the Annual Report also shall consider stock characteristics and variations in market conditions over time, and may include tests that differentiate results for different characteristics, both in isolation and in combination.

2. Analysis of Amendments Implemented. This section of the Annual Report shall provide an analysis of any amendments implemented during the covered period. The analysis shall include a discussion of any such amendment's operation and its impact on the overall operation of the Plan.

3. Analysis of Emerging Issues. This section of the Annual Report should vary from year-to-year and will include a discussion and analysis of the Plan's operation during a significant market event that may have occurred during the covered period. This section shall also include any additional analyses performed during the covered period on issues that were raised in previous Annual Reports.

B. Quarterly Data. Thirty [30] days following the end of each calendar quarter, the Operating Committee shall provide the Start Printed Page 16427Commission and make publicly available a report (“Monitoring Report”) including basic statistics aggregated across primary listing exchanges regarding the Plan's operation [(“Monitoring Report”)] during the preceding calendar quarter , as well as data aggregated [data] across primary listing exchanges from the previous 12 quarters beginning with the calendar quarter covered by the first Monitoring Report. The purpose of the Monitoring Report is to identify trends in the performance and impact of the Plan on market activity.

[1.] The Monitoring Report [quarterly production] shall include data on the following events [data] for each month during the preceding calendar quarter:

a. Event Data.

i. Number of Limit States, Trading Pauses, and Straddle States per day, including distribution statistics such as the mean, median, minimum and maximum percentiles

ii. Number of NMS Stocks that experience more than one Limit State Trading Pause, or Straddle State in a single day including the length of each Limit State, Trading Pause, and Straddle State per day

b. The number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands are disseminated by the Processor

c. Reopening Data

i. Number of times an automated reopening process is extended for and the length of the Trading Pause

ii. Whether the reopening process ended in a trade

iii. The price calculated by an automated reopening process for an NMS Stock exiting a Trading Pause

iv. For the five minutes following the conclusion of a Trading Pause, the highest price of all last sale eligible trades, the lowest price of all last sale eligible trades, and the average price of all last sale eligible trades

2. 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 the above categories

e. Tier 1 leveraged ETPs in each of the above categories

f. Tier 2 non-ETPs in each of the above categories

g. Tier 2 non-leveraged ETPs in each of the above categories

h. Tier 2 leveraged ETPs in each of the above categories

3. Partition by time of day

a. Opening (prior to 9:45 a.m. ET)

b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET)

c. Closing (after 3:35 p.m. ET)

d. Within five minutes of a Trading Pause re-open or IPO open]

1. Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events

a. Definitions. For the purpose of this Section B.1, the following definitions apply:

i. “Category” means the following categories of securities:

(1) Tier 1 non-ETP securities > $3.00

(2) Tier 1 non-ETP securities >= $0.75 and <= $3.00

(3) Tier 1 non-ETP securities < $0.75

(4) Tier 1 non-leveraged ETPs > $3.00

(5) Tier 1 non-leveraged ETPs >= $0.75 and <= $3.00

(6) Tier 1 non-leveraged ETPs < $0.75

(7) Tier 1 leveraged ETPs > $3.00

(8) Tier 1 leveraged ETPs >= $0.75 and <= $3.00

(9) Tier 1 leveraged ETPs < $0.75

(10) Tier 2 non-ETPs > $3.00

(11) Tier 2 non-ETPs >= $0.75 and <= $3.00

(12) Tier 2 non-ETPs < $0.75

(13) Tier 2 non-leveraged ETPs > $3.00

(14) Tier 2 non-leveraged ETPs >= $0.75 and <= $3.00

(15) Tier 2 non-leveraged ETPs < $0.75

(16) Tier 2 leveraged ETPs > $3.00

(17) Tier 2 leveraged ETPs >= $0.75 and <= $3.00

(18) Tier 2 leveraged ETPs < $0.75

ii. “Time of Day” means the following time spans:

(1) Opening (prior to 9:45 a.m. ET)

(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of core trading hours)

(3) Closing (the last 25 minutes of core trading hours)

(4) Within five minutes of a Trading Pause reopen or IPO open

b. Limit States. The Monitoring Report will include:

i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Limit States per day, broken out by Category and Time of Day.

ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Limit State on a single day, broken out by Category.

iii. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the number of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.

iv. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the total length of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.

c. Trading Pauses. The Monitoring Report will include:

i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Trading Pauses per day, broken out by Category and Time of Day.

ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Trading Pause on a single day, broken out by Category.

iii. Monthly distribution statistics (mean, median, 90th percentile, and maximum) on the number of Trading Pauses per day experienced by individual NMS Stocks having more than one Trading Pause on a single day, broken out by Category.

d. Straddle States. The Monitoring Report will include:

i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Straddle States per day, broken out by Category and Time of Day.

ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Straddle State on a single day, broken out by Category.

iii. Monthly distribution statistics (mean, median, 90th percentile, and 99.9th percentile) on the total time spent in a Straddle State per day for individual NMS Stocks experiencing one or more Straddle States on a single day, broken out by Category.

e. The Monitoring Report will include the number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands are disseminated by the Processor, broken out by Category and Time of Day.

2. Reopening Data

a. Definitions. For the purpose of this Section B.2, the following definitions apply:

i. “Type of Reopening” means either (1) manual or (2) automated.

ii. “Category” means the following categories of securities:

(1) Tier 1 non-ETP securities

(2) Tier 1 non-leveraged ETPs

(3) Tier 1 leveraged ETPs

(4) Tier 2 non-ETP securities

(5) Tier 2 non-leveraged ETPs

(6) Tier 2 leveraged ETPs

ii. “Length of the Trading Pause” means the following durations:

(1) less than 6 minutes (for manual reopenings) or no extensions of the Trading Pause (for automated reopenings);

(2) 6 to 10 minutes (for manual reopenings) or one extension of the Trading Pause (for automated reopenings);

(3) more than 10 minutes (for manual reopenings) or more than one extension of the Trading Pause (for automated reopenings)

b. The Monitoring Report will include the following monthly data on reopenings:

i. The number of Trading Pauses per month, broken out by (1) Type of Reopening, (2) Category, and (3) Length of the Trading Pause.

ii. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the duration of each Trading Pause, broken out by (1) Type of Reopening and (2) Category.

iii. The number of Trading Pauses ending in a:

(1) trade;

(2) quote; and

(3) potential closing auction, broken out by (a) Type of Reopening, (b) Category, and (c) Length of Trading Pause.

iv. For Trading Pauses in NMS Stocks preceded by a Limit Up state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Up pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (1) Category and (2) whether the Trading Pause ended in a trade or (3) in a quote (i.e., the reopening price was a midpoint). Start Printed Page 16428

v. For Trading Pauses in NMS Stocks preceded by a Limit Down state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Down pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (1) Category and (2) whether the Trading Pause ended in a trade or (3) in a quote (i.e., the reopening price was a midpoint).

vi. For Trading Pauses in NMS Stocks where the reopening process ended in a trade or quote (with resulting reference price equal to the midpoint of that quote), monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price) to

(1) the highest price of all last sale eligible trades;

(2) the lowest price of all last sale eligible trades; and

(3) the trade-weighted average price of all last sale eligible trades for the five minutes following the conclusion of the Trading Pause, broken out by (a) Category, (b) whether the Trading Pause was preceded by a Limit Up state or (c) a Limit Down state, and (d) whether the Trading Pause ended in a trade or (e) in a quote (i.e., the reopening price was a midpoint).

C. Reports on Market Events. At the Commission's request, the Operating Committee shall provide the Commission and make publicly available a report analyzing the Plan's operation during a significant market event that (1) materially impacted the trading of more than one security across multiple Trading Centers; and (2) is directly related to or implicating the performance of the Plan. Such report shall be provided to the Commission no later than 30 days following the Commission's request, or at a later date as agreed upon between the Commission and the Operation Committee. The requirement to submit a report under this section may be satisfied by including the required analysis within an Annual Report.

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) (“Approval Order”). 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). On September 26, 2017, the Commission noticed for immediate effectiveness the Fifteenth Amendment to Plan. See Securities Exchange Act Release No. 81720, 82 FR 45922 (October 2, 2017). On March 15, 2018, the Commission noticed for immediate effectiveness the Sixteenth Amendment to the Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414 (March 21, 2018). On April 12, 2018, the Commission approved the Seventeenth Amendment to the Plan. See Securities Exchange Act Release No. 83044, 83 FR 17205 (April 18, 2018). On April 11, 2019, the Commission approved the Eighteenth Amendment to the Plan. See Securities Exchange Act Release No. 85623 (April 11, 2019), 84 FR 16086 (April 17, 2019). On February 5, 2020, the Commission noticed for immediate effectiveness the Nineteenth Amendment to the Plan. See Securities Exchange Act Release No. 88122 (February 5, 2020), 85 FR 7805 (February 11, 2020).

Back to Citation

4.  See Letter from Elizabeth King, General Counsel and Corporate Secretary, NYSE, to Vanessa Countryman, Secretary, Commission, dated February 13, 2020 (“Transmittal Letter”).

Back to Citation

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

Back to Citation

7.  See Transmittal Letter, supra note 4. The statement of the purpose and summary of the amendment and the information required by Rule 608(a)(4) and (5) is reproduced verbatim from the Transmittal Letter unless otherwise noted; cross-references have been revised to conform with the footnote sequencing of this notice.

Back to Citation

9.  See Securities Exchange Act Release No. 85623 (April 11, 2019), 84 FR 16086 (April 17, 2019) (File No. 4-631).

Back to Citation

10.  In several places in the Notice describing the Monitoring Report requirements, the Participants state that they “should” do certain things or provide certain data. The Commission notes that LULD Plan requires the Participants to meet such obligations and they are not voluntary on the part of the Participants. Therefore, in instances where the Notice states that the Participants “should” include something in the Monitoring Report, the Commission notes that the LULD Plan requires that the data be provided.

Back to Citation

11.  For purposes of Appendix B, a reopening is considered “manual” if it is facilitated by a member of an exchange (such as a Designated Market Maker on NYSE) that has obligations under that exchange's rules to facilitate the reopening process. (All reopenings on NYSE are manual.)

Back to Citation

12.  See Securities Exchange Act Release No. 84494 (October 26, 2018), 83 FR 54953 (November 1, 2018) (SR-CHX-2018-05).

Back to Citation

14.  The Commission notes that the Exchanges incorrectly stated in the Transmittal Letter, supra note 4, that the proposed amendments are effective upon filing. These amendments are being proposed pursuant to Rule 608(b)(1) of Regulation NMS under the Exchange Act, and the Commission is publishing the proposed amendments for public comment as required by Rule 608(b)(1). The Commission may approve these proposed amendments if it finds that they are consistent with the standards articulated in Rule 608(b)(2) of Regulation NMS.

Back to Citation

[FR Doc. 2020-06024 Filed 3-20-20; 8:45 am]

BILLING CODE 8011-01-P