Rules and Regulations. SECURITIES AND EXCHANGE COMMISSION
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BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-71649; File No. 4-631] Joint Industry Plan; Notice of Filing of the Seventh Amendment to the National Market System Plan To Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc.
March 5, 2014. Pursuant to Section 11A of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 608 thereunder 2 , notice is hereby given that, on February 24, 2014, NYSE Euronext, on behalf of New York Stock Exchange LLC (“NYSE”), NYSE MKT LLC (“NYSE MKT”), and NYSE Arca, Inc. (“NYSE Arca”), and the following parties to the National Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc.
(collectively with NYSE, NYSE MKT, and NYSE Arca, the “Participants”), filed with the Securities and Exchange Commission (the “Commission”) a proposal to amend the Plan to Address Extraordinary Market Volatility (“Plan”). 3 The proposal represents the seventh amendment to the Plan (“Seventh Amendment”), and reflects changes unanimously approved by the Participants. The Seventh Amendment to the Plan proposes to amend the Plan to extend the pilot period of the Plan to February 20, 2015 and makes changes to Appendix B of the Plan regarding when the Participants are required to submit specified summary data to the Commission.
A copy of the Plan, as proposed to be amended, is attached as Exhibit A hereto. The Commission is publishing this notice to solicit comments from interested persons on the Seventh Amendment to the Plan. 1 15 U.S.C. 78k-1. 2 17 CFR 242.608. 3 *See* Letter from Martha Redding, Chief Counsel, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated February 21, 2014 (“Transmittal Letter”). I. Rule 608(a) of Regulation NMS A. Purpose of the Plan The Participants filed the Plan in order to create a market-wide limit up-limit down mechanism that is intended to address extraordinary market volatility in “NMS Stocks,” as defined in Rule 600(b)(47) of Regulation NMS under the Act. 4 The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would be designed to prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. 5 These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). 4 17 CFR 242.600(b)(47). *See also* Section I(H) of the Plan. 5 *See* Section V of the Plan.
As set forth in Section V of the Plan, the price bands would consist of a Lower Price Band and an Upper Price Band for each NMS Stock. 6 The price bands would be calculated by the Securities Information Processors (“SIPs” or “Processors”) responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act. 7 Those price bands would be based on a Reference Price 8 for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period.
The price bands for an NMS Stock would be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter 9 below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. Between 9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price bands would be calculated by applying double the Percentage Parameters. 6 Capitalized terms used herein but not otherwise defined shall have the meaning ascribed to such terms in the Plan. *See* Exhibit A, *infra.* 7 17 CFR 242.603(b).
The Plan refers to this entity as the Processor. 8 *See* Section I(T) of the Plan. 9 As initially proposed by the Participants, the Percentage Parameters for Tier 1 NMS Stocks ( *i.e.,* stocks in the S&P 500 Index or Russell 1000 Index and certain ETPs) with a Reference Price of $1.00 or more would be five percent and less than $1.00 would be the lesser of
(a)$0.15 or
(b)75 percent. The Percentage Parameters for Tier 2 NMS Stocks ( *i.e.,* all NMS Stocks other than those in Tier 1) with a Reference Price of $1.00 or more would be 10 percent and less than $1.00 would be the lesser of
(a)$0.15 or
(b)75 percent. The Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP would be the applicable Percentage Parameter set forth above multiplied by the leverage ratio of such product. On May 24, 2012, the Participants amended the Plan to create a 20% price band for Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and up to and including $3.00. The Percentage Parameter for stocks with a Reference Price below $0.75 would be the lesser of
(a)$0.15 or
(b)75 percent. *See* Letter from Janet M. McGinness, Senior Vice President, Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012 (“First Amendment”). The Processors would also calculate a Pro-Forma Reference Price for each NMS Stock on a continuous basis during Regular Trading Hours. If a Pro-Forma Reference Price did not move by one percent or more from the Reference Price in effect, no new price bands would be disseminated, and the current Reference Price would remain the effective Reference Price. If the Pro-Forma Reference Price moved by one percent or more from the Reference Price in effect, the Pro-Forma Reference Price would become the Reference Price, and the Processors would disseminate new price bands based on the new Reference Price. Each new Reference Price would remain in effect for at least 30 seconds. When one side of the market for an individual security is outside the applicable price band, the Processors would be required to disseminate such National Best Bid 10 or National Best Offer 11 with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable price band, the market for an individual security would enter a Limit State, 12 and the Processors would be required to disseminate such National Best Offer or National Best Bid with an appropriate flag identifying it as a Limit State Quotation. 13 All trading would immediately enter a Limit State if the National Best Offer equals the Lower Limit Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Limit Band and does not cross the National Best Offer. Trading for an NMS Stock would exit a Limit State if, within 15 seconds of entering the Limit State, all Limit State Quotations were executed or canceled in their entirety. If the market did not exit a Limit State within 15 seconds, then the Primary Listing Exchange would declare a five-minute trading pause, which would be applicable to all markets trading the security. 10 17 CFR 242.600(b)(42). *See also* Section I(G) of the Plan. 11 *Id.* 12 A stock enters the Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer. *See* Section VI(B) of the Plan. 13 *See* Section I(D) of the Plan. These limit up-limit down requirements would be coupled with trading pauses 14 to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the Plan, all trading centers 15 in NMS Stocks, including both those operated by Participants and those operated by members of Participants, would be required to establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down and trading pause requirements specified in the Plan. 14 The primary listing market would declare a trading pause in an NMS Stock; upon notification by the primary listing market, the Processor would disseminate this information to the public. No trades in that NMS Stock could occur during the trading pause, but all bids and offers may be displayed. *See* Section VII(A) of the Plan. 15 As defined in Section I(X) of the Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Act. Under the Plan, all trading centers would be required to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processors would disseminate an offer below the Lower Price Band or bid above the Upper Price Band that nevertheless inadvertently may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; such bid or offer would not be included in National Best Bid or National Best Offer calculations. In addition, all trading centers would be required to develop, maintain, and enforce policies and procedures reasonably designed to prevent trades at prices outside the price bands, with the exception of single-priced opening, reopening, and closing transactions on the Primary Listing Exchange. As stated by the Participants in the Plan, the limit up-limit down mechanism is intended to reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks, 16 thereby protecting investors and promoting a fair and orderly market. 17 In particular, the Plan is designed to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010. 18 16 17 CFR 242.600(b)(47). 17 *See* Transmittal Letter, *supra* note 3. 18 The limit up-limit down mechanism set forth in the Plan would replace the existing single-stock circuit breaker pilot. *See e.g.,* Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033). The following summarizes the Seventh Amendment to the Plan and the rationale behind those changes: Proposed Amendment The Plan was initially approved for a one-year pilot, which began on April 8, 2013. Accordingly, the pilot period is currently scheduled to end on April 8, 2014. As initially contemplated, the Plan would have been fully implemented across all NMS Stocks within six months of initial Plan operations, which meant there would have been full implementation of the Plan for six months before the end of the pilot period. However, pursuant to the Fourth Amendment to the Plan, the Participants amended Section VIII.B of the Plan, which modified the implementation schedule of Phase II of the Plan to extend the time period when the Plan would fully apply to all NMS Stocks. Accordingly, the Plan was not implemented across all NMS Stocks until December 8, 2013. In addition, pursuant to the Sixth Amendment to the Plan, which further modified the implementation schedule of Phase II of the Plan, the date for full implementation of the Plan was moved to February 24, 2014. Prior to February 24, 2014, the Plan will have only been in effect from 9:30 a.m. Eastern to 3:45 p.m. Eastern, and will not include the fifteen minutes of trading preceding the close. Accordingly, there will be less than two months of full operation of the Plan before the end of the pilot period. The Participants do not believe that this short period of full implementation of the Plan will provide sufficient time for either the Participants or the Commission to assess the impact of the Plan and determine whether the Plan should be modified prior to approval on a permanent basis. Rather, the Participants believe that the pilot period should be extended to provide sufficient time to review data based on full implementation of the Plan and if necessary, propose modifications in connection with seeking to approve the Plan on a permanent basis. Accordingly, the Participants propose to amend Section VIII.C of the Plan to extend the current one-year pilot, which is scheduled to end on April 8, 2014, to have the pilot set to end on February 20, 2015. The proposed new end date for the pilot would provide for a year of full implementation of the Plan before the pilot period ends. The Participants believe that this proposed pilot extension is appropriate in the public interest, for the protection of investors and the maintenance of a fair and orderly market because it provides additional time to assess the operation of the Plan. The Participants further believe that the proposed amendment is consistent with the approval order for the Plan, in which the Commission stated that having a pilot period would allow “the public, the Participants, and the Commission to assess the operation of the Plan and whether the Plan should be modified prior to approval on a permanent basis.” 19 19 *See* Securities Exchange Act Release No. 67091 (May 31, 2012), 77 FR 33498, 33508 (June 6, 2012). Because the goal of the pilot period is to provide an opportunity to assess whether the Plan should be modified prior to approval on a permanent basis, the Participants further propose to amend Section III to Appendix B of the Plan to move the time by which the Participants would be required to submit assessments of the Plan operations. Under the current Plan, the time to provide such assessments is scheduled for two months prior to the end of the pilot period. As originally contemplated, such reports would therefore have been based on approximately four months' worth of data from full implementation of the Plan. The Participants continue to believe that they would be able to assess the Plan based on a similar data set. The Participants further believe that providing the Commission with such assessments earlier than two months before the end of the pilot period would provide additional time for the Commission to review such assessments and better inform any determination of whether the Plan should be modified prior to approval on a permanent basis. The Participants further believe that revising the time when such assessments would be provided to the Commission would provide the Participants with sufficient time to conduct such assessments. Accordingly, the Participants propose to amend Section III of Appendix B of the Plan to delete the requirement that the assessments be provided at least two months prior to the end of the pilot period, and replace it with a specified date when such assessments shall be provided. The Participants propose that the assessments be provided by September 30, 2014. The Participants believe that this proposed new date for submission of assessments is appropriate in the public interest, for the protection of investors, and the maintenance of a fair and orderly market because it will serve the goals of having sufficient amount of data to review, consistent with the current Plan, providing time for the Participants to complete their assessments of the data, and providing time for the Commission to review such assessments with enough time remaining within the proposed new pilot period to determine whether to modify the Plan prior to approval on a permanent basis. The Participants note that the amended version of the Plan also includes the revised Appendix A—Schedule 1, which was updated for trading beginning January 3, 2014. As set forth in Appendix A—Percentage Parameters, the Primary Listing Exchange update Schedule 1 to Appendix A semi-annually based on the fiscal year and such updates do not require a Plan amendment. B. Governing or Constituent Documents The governing documents of the Processor, as defined in Section I(P) of the Plan, will not be affected by the Plan, but once the Plan is implemented, the Processor's obligations will change, as set forth in detail in the Plan. C. Implementation of Plan The initial date of the Plan operations was April 8, 2013. D. Development and Implementation Phases The Plan will be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the Plan: Phase I of Plan implementation began on April 8, 2013 and was completed on May 3, 2013. Implementation of Phase II of the Plan began on August 5, 2013 and is scheduled to be completed on February 24, 2014. Pursuant to this proposed amendment, the Participants propose to extend the pilot period so that it is set to end February 20, 2015. E. Analysis of Impact on Competition The Participants state that the proposed Plan does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Exchange Act. The Participants do not believe that the proposed Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Exchange Act. F. Written Understanding or Agreements Relating to Interpretation of, or Participation in, Plan The Participants state that they have no written understandings or agreements relating to interpretation of the Plan. Section II(C) of the Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Participant. G. Approval of Amendment of the Plan Each of the Plan's Participants has executed a written amended Plan. H. Terms and Conditions of Access Section II(C) of the Plan provides that any entity registered as a national securities Exchange or national securities association under the Act may become a Participant by:
(1)Becoming a participant in the applicable Market Data Plans, as defined in Section I(F) of the Plan;
(2)executing a copy of the Plan, as then in effect;
(3)providing each then-current Participant with a copy of such executed Plan; and
(4)effecting an amendment to the Plan as specified in Section III(B) of the Plan. I. Method of Determination and Imposition, and Amount of, Fees and Charges Not applicable. J. Method and Frequency of Processor Evaluation Not applicable. K. Dispute Resolution The Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee. 20 No later than the initial date of the Plan, the Operating Committee would be required to designate one member of the Operating Committee to act as the Chair of the Operating Committee. The Operating Committee shall monitor the procedures established pursuant to the Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS under the Act. 21 20 *See* Section I(J) of the Plan. 21 17 CFR 242.608. II. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Seventh Amendment to the Plan is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission's Internet comment form ( *http://www.sec.gov/rules/sro.shtml* ); or • Send an email to *rule-comments@sec.gov.* Please include File Number 4-631 on the subject line. Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number 4-631. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml* ). Copies of the submission, all subsequent amendments, all written statements with respect to the Seventh Amendment to the Plan that are filed with the Commission, and all written communications relating to the Seventh Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549 on official business days between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be available for inspection and copying at the Participants' principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4-631 and should be submitted on or before April 1, 2014. By the Commission. Kevin M. O'Neill, Deputy Secretary. EXHIBIT A Proposed new language is *italicized;* proposed deletions are in [brackets]. PLAN TO ADDRESS EXTRAORDINARY MARKET VOLATILITY SUBMITTED TO THE SECURITIES AND EXCHANGE COMMISSION PURSUANT TO RULE 608 OF REGULATION NMS UNDER THE SECURITIES EXCHANGE ACT OF 1934 Table of Contents Section Page Preamble 1 I. Definitions 2 II. Parties 4 III. Amendments to Plan 7 IV. Trading Center Policies and Procedures 8 V. Price Bands 9 VI. Limit Up-Limit Down Requirements 11 VII. Trading Pauses 13 VIII. Implementation 15 IX. Withdrawal from Plan 16 X. Counterparts and Signatures 16 Appendix A—Percentage Parameters 1[8] *9* Appendix A—Schedule 1 21 Appendix B—Data 34 Preamble The Participants submit to the SEC this Plan establishing procedures to address extraordinary volatility in NMS Stocks. The procedures provide for market-wide limit up-limit down requirements that prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. These limit up-limit down requirements are coupled with Trading Pauses to accommodate more fundamental price moves. The Plan procedures are designed, among other things, to protect investors and promote fair and orderly markets. The Participants developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under the Exchange Act, which authorizes the Participants to act jointly in preparing, filing, and implementing national market system plans. I. Definitions
(A)“Eligible Reported Transactions” shall have the meaning prescribed by the Operating Committee and shall generally mean transactions that are eligible to update the last sale price of an NMS Stock.
(B)“Exchange Act” means the Securities Exchange Act of 1934, as amended.
(C)“Limit State” shall have the meaning provided in Section VI of the Plan.
(D)“Limit State Quotation” shall have the meaning provided in Section VI of the Plan.
(E)“Lower Price Band” shall have the meaning provided in Section V of the Plan.
(F)“Market Data Plans” shall mean the effective national market system plans through which the Participants act jointly to disseminate consolidated information in compliance with Rule 603(b) of Regulation NMS under the Exchange Act.
(G)“National Best Bid” and “National Best Offer” shall have the meaning provided in Rule 600(b)(42) of Regulation NMS under the Exchange Act.
(H)“NMS Stock” shall have the meaning provided in Rule 600(b)(47) of Regulation NMS under the Exchange Act.
(I)“Opening Price” shall mean the price of a transaction that opens trading on the Primary Listing Exchange, or, if the Primary Listing Exchange opens with quotations, the midpoint of those quotations.
(J)“Operating Committee” shall have the meaning provided in Section III(C) of the Plan.
(K)“Participant” means a party to the Plan.
(L)“Plan” means the plan set forth in this instrument, as amended from time to time in accordance with its provisions.
(M)“Percentage Parameter” shall mean the percentages for each tier of NMS Stocks set forth in Appendix A of the Plan.
(N)“Price Bands” shall have the meaning provided in Section V of the Plan.
(O)“Primary Listing Exchange” shall mean the Participant on which an NMS Stock is listed. If an NMS Stock is listed on more than one Participant, the Participant on which the NMS Stock has been listed the longest shall be the Primary Listing Exchange.
(P)“Processor” shall mean the single plan processor responsible for the consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act.
(Q)“Pro-Forma Reference Price” shall have the meaning provided in Section V(A)(2) of the Plan.
(R)“Regular Trading Hours” shall have the meaning provided in Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in the case of an early scheduled close.
(S)“Regulatory Halt” shall have the meaning specified in the Market Data Plans.
(T)“Reference Price” shall have the meaning provided in Section V of the Plan.
(U)“Reopening Price” shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations.
(V)“SEC” shall mean the United States Securities and Exchange Commission.
(W)“Straddle State” shall have the meaning provided in Section VII(A)(2) of the Plan.
(X)“Trading center” shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act.
(Y)“Trading Pause” shall have the meaning provided in Section VII of the Plan.
(Z)“Upper Price Band” shall have the meaning provided in Section V of the Plan. II. Parties
(A)*List of Parties* The parties to the Plan are as follows:
(1)BATS Exchange, Inc. 8050 Marshall Drive Lenexa, Kansas 66214
(2)BATS Y-Exchange, Inc. 8050 Marshall Drive Lenexa, Kansas 66214
(3)Chicago Board Options Exchange, Incorporated 400 South LaSalle Street Chicago, Illinois 60605
(4)Chicago Stock Exchange, Inc. 440 South LaSalle Street Chicago, Illinois 60605
(5)EDGA Exchange, Inc. 545 Washington Boulevard Sixth Floor Jersey City, NJ 07310
(6)EDGX Exchange, Inc. 545 Washington Boulevard Sixth Floor Jersey City, NJ 07310
(7)Financial Industry Regulatory Authority, Inc. 1735 K Street, NW Washington, DC 20006
(8)NASDAQ OMX BX, Inc. One Liberty Plaza New York, New York 10006
(9)NASDAQ OMX PHLX LLC 1900 Market Street Philadelphia, Pennsylvania 19103
(10)The Nasdaq Stock Market LLC 1 Liberty Plaza 165 Broadway New York, NY 10006
(11)National Stock Exchange, Inc. 101 Hudson, Suite 1200 Jersey City, NJ 07302
(12)New York Stock Exchange LLC 11 Wall Street New York, New York 10005
(13)NYSE MKT LLC 20 Broad Street New York, New York 10005
(14)NYSE Arca, Inc. 100 South Wacker Drive Suite 1800 Chicago, IL 60606
(B)*Compliance Undertaking* By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan.
(C)*New Participants* The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by:
(1)becoming a participant in the applicable Market Data Plans;
(2)executing a copy of the Plan, as then in effect;
(3)providing each then-current Participant with a copy of such executed Plan; and
(4)effecting an amendment to the Plan as specified in Section III(B) of the Plan.
(D)*Advisory Committee*
(1)*Formation.* Notwithstanding other provisions of this Plan, an Advisory Committee to the Plan shall be formed and shall function in accordance with the provisions set forth in this section.
(2)*Composition.* Members of the Advisory Committee shall be selected for two-year terms as follows:
(A)*Advisory Committee Selections.* By affirmative vote of a majority of the Participants, the Participants shall select at least one representatives from each of the following categories to be members of the Advisory Committee:
(1)a broker-dealer with a substantial retail investor customer base;
(2)a broker-dealer with a substantial institutional investor customer base;
(3)an alternative trading system;
(4)a broker-dealer that primarily engages in trading for its own account; and
(5)an investor.
(3)*Function.* Members of the Advisory Committee shall have the right to submit their views to the Operating Committee on Plan matters, prior to a decision by the Operating Committee on such matters. Such matters shall include, but not be limited to, proposed material amendments to the Plan.
(4)*Meetings and Information.* Members of the Advisory Committee shall have the right to attend meetings of the Operating Committee and to receive any information concerning Plan matters; provided, however, that the Operating Committee may meet in executive session if, by affirmative vote of a majority of the Participants, the Operating Committee determines that an item of Plan business requires confidential treatment. III. Amendments to Plan
(A)*General Amendments* Except with respect to the addition of new Participants to the Plan, any proposed change in, addition to, or deletion from the Plan shall be effected by means of a written amendment to the Plan that:
(1)sets forth the change, addition, or deletion;
(2)is executed on behalf of each Participant; and,
(3)is approved by the SEC pursuant to Rule 608 of Regulation NMS under the Exchange Act, or otherwise becomes effective under Rule 608 of Regulation NMS under the Exchange Act.
(B)*New Participants* With respect to new Participants, an amendment to the Plan may be effected by the new national securities exchange or national securities association executing a copy of the Plan, as then in effect (with the only changes being the addition of the new Participant's name in Section II(A) of the Plan) and submitting such executed Plan to the SEC for approval. The amendment shall be effective when it is approved by the SEC in accordance with Rule 608 of Regulation NMS under the Exchange Act or otherwise becomes effective pursuant to Rule 608 of Regulation NMS under the Exchange Act.
(C)*Operating Committee*
(1)Each Participant shall select from its staff one individual to represent the Participant as a member of an Operating Committee, together with a substitute for such individual. The substitute may participate in deliberations of the Operating Committee and shall be considered a voting member thereof only in the absence of the primary representative. Each Participant shall have one vote on all matters considered by the Operating Committee. No later than the initial date of Plan operations, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee.
(2)The Operating Committee shall monitor the procedures established pursuant to this Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. The Operating Committee shall establish specifications and procedures for the implementation and operation of the Plan that are consistent with the provisions of this Plan and the Appendixes thereto. With respect to matters in this paragraph, Operating Committee decisions shall be approved by a simple majority vote.
(3)Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the SEC as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS. IV. *Trading Center Policies and Procedures* All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down requirements specified in Sections VI of the Plan, and to comply with the Trading Pauses specified in Section VII of the Plan. V. *Price Bands*
(A)*Calculation and Dissemination of Price Bands*
(1)The Processor for each NMS stock shall calculate and disseminate to the public a Lower Price Band and an Upper Price Band during Regular Trading Hours for such NMS Stock. The Price Bands shall be based on a Reference Price for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS stock over the immediately preceding five-minute period (except for periods following openings and reopenings, which are addressed below). If no Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding five-minute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. The Price Bands shall be calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before the early scheduled close, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If a Reopening Price does not occur within ten minutes after the beginning of a Trading Pause, the Price Band, for the first 30 seconds following the reopening after that Trading Pause, shall be calculated by applying triple the Percentage Parameters set forth in Appendix A.
(2)The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new Price Bands based on the new Reference Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds.
(B)*Openings*
(1)Except when a Regulatory Halt is in effect at the start of Regular Trading Hours, the first Reference Price for a trading day shall be the Opening Price on the Primary Listing Exchange in an NMS Stock if such Opening Price occurs less than five minutes after the start of Regular Trading Hours. During the period less than five minutes after the Opening Price, a Pro-Forma Reference Price shall be updated on a continuous basis to be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock during the period following the Opening Price (including the Opening Price), and if it differs from the current Reference Price by 1% or more shall become the new Reference Price, except that a new Reference Price shall remain in effect for at least 30 seconds. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2)If the Opening Price on the Primary Listing Exchange in an NMS Stock does not occur within five minutes after the start of Regular Trading Hours, the first Reference Price for a trading day shall be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(C)*Reopenings*
(1)Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange if such Reopening Price occurs within ten minutes after the beginning of the Trading Pause, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Reopening Price does not occur within ten minutes after the beginning of the Trading Pause, the first Reference Price following the Trading Pause shall be equal to the last effective Reference Price before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2)Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the 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 Trading Pause shall end when the Primary Listing Exchange reports a Reopening Price.
(2)The Primary Listing Exchange shall notify the Processor if it is unable to reopen trading in an NMS Stock for any reason other than a significant order imbalance and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public, and all trading centers may begin trading the NMS Stock at this time.
(3)If the Primary Listing Exchange does not report a Reopening Price within ten minutes after the declaration of a Trading Pause in an NMS Stock, and has not declared a Regulatory Halt, all trading centers may begin trading the NMS Stock.
(4)When trading begins after a Trading Pause, the Processor shall update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C)*Trading Pauses Within Ten Minutes of the End of Regular Trading Hours*
(1)If a Trading Pause for an NMS Stock is declared in the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen trading and shall attempt to execute a closing transaction using its established closing procedures. All trading centers may begin trading the NMS Stock when the Primary Listing Exchange executes a closing transaction.
(2)If the Primary Listing Exchange does not execute a closing transaction within five minutes after the end of Regular Trading Hours, all trading centers may begin trading the NMS Stock. VIII. *Implementation* The initial date of Plan operations shall be April 8, 2013.
(A)*Phase I*
(1)On the initial date of Plan operations, Phase I of Plan implementation shall begin in select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan.
(2)Three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified in Appendix A of the Plan.
(3)During Phase I, the first Price Bands for a trading day shall be calculated and disseminated 15 minutes after the start of Regular Trading Hours as specified in Section *(* V)(A) of the Plan. No Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours.
(B)*Phase II—Full Implementation* Phase II.A.: Eight months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply
(i)to all NMS Stocks; and
(ii)beginning at 9:30 a.m. ET, and ending at 3:45 p.m. ET each trading day, or earlier in the case of an early scheduled close. Phase II.B.: By February 24, 2014, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply
(i)to all NMS Stocks; and
(ii)beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close.
(C)Pilot The Plan shall be implemented on a [one-year] pilot basis set to end on February 20, 2015. IX. *Withdrawal from Plan* If a Participant obtains SEC approval to withdraw from the Plan, such Participant may withdraw from the Plan at any time on not less than 30 days' prior written notice to each of the other Participants. At such time, the withdrawing Participant shall have no further rights or obligations under the Plan. X. *Counterparts and Signatures* The Plan may be executed in any number of counterparts, no one of which need contain all signatures of all Participants, and as many of such counterparts as shall together contain all such signatures shall constitute one and the same instrument. IN WITNESS THEREOF, this Plan has been executed as of the __day of February 2014 by each of the parties hereto. BATS EXCHANGE, INC. BY: CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED BY: EDGA EXCHANGE, INC. BY: FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC. BY: NASDAQ OMX PHLX LLC BY: NATIONAL STOCK EXCHANGE, INC. BY: NYSE MKT LLC BY: BATS Y-EXCHANGE, INC. BY: CHICAGO STOCK EXCHANGE, INC. BY: EDGX EXCHANGE, INC. BY: NASDAQ OMX BX, INC. BY: THE NASDAQ STOCK MARKET LLC BY: NEW YORK STOCK EXCHANGE LLC BY: NYSE ARCA, INC. BY: Appendix A—Percentage Parameters I. *Tier 1 NMS Stocks*
(1)Tier 1 NMS Stocks shall include all NMS Stocks included in the S&P 500 Index, the Russell 1000 Index, and the exchange-traded products (“ETP”) listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume (“CADV”). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS Stock. The semi-annual updates to Schedule 1 do not require an amendment to the Plan. The Primary Listing Exchanges will maintain the updated Schedule 1 on their respective Web sites.
(2)The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than $3.00 shall be 5%.
(3)The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4)The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of
(a)$0.15 or
(b)75%.
(5)The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor. II. *Tier 2 NMS Stocks*
(1)Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1, provided, however, that all rights and warrants are excluded from the Plan.
(2)The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price more than $3.00 shall be *10* %.
(3)The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4)The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of
(a)$0.15 or
(b)75%.
(5)Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or
(4)above, multiplied by the leverage ratio of such product.
(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 Ticker Name Primary exchange AAXJ iShares MSCI All Country Asia ex Japan ETF NASDAQ GM ACWI iShares MSCI ACWI ETF NASDAQ GM ACWV iShares MSCI All Country World Minimum Volatility ETF NYSE Arca ACWX iShares MSCI ACWI ex US ETF NASDAQ GM AGG iShares Core Total US Bond Market ETF NYSE Arca AGZ iShares Agency Bond ETF NYSE Arca ALD WisdomTree Asia Local Debt Fund NYSE Arca AMJ JPMorgan Alerian MLP Index ETN NYSE Arca AMLP Alerian MLP ETF NYSE Arca ASHR db X-trackers Harvest CSI 300 China A-Shares Fund NYSE Arca BAB PowerShares Build America Bond Portfolio NYSE Arca BBH Market Vectors Biotech ETF NYSE Arca BIL SPDR Barclays 1-3 Month T-Bill NYSE Arca BIV Vanguard Intermediate-Term Bond ETF NYSE Arca BKF iShares MSCI BRIC ETF NYSE Arca BKLN PowerShares Senior Loan Portfolio NYSE Arca BLV Vanguard Long-Term Bond ETF NYSE Arca BND Vanguard Total Bond Market ETF NYSE Arca BNDX Vanguard Total International Bond ETF NASDAQ GM BNO United States Brent Oil Fund LP NYSE Arca BOND Pimco Total Return ETF NYSE Arca BRF Market Vectors Brazil Small-Cap ETF NYSE Arca BSCE Guggenheim BulletShares 2014 Corporate Bond ETF NYSE Arca BSCF Guggenheim BulletShares 2015 Corporate Bond ETF NYSE Arca BSCG Guggenheim BulletShares 2016 Corporate Bond ETF NYSE Arca BSCH Guggenheim BulletShares 2017 Corporate Bond ETF NYSE Arca BSJE Guggenheim BulletShares 2014 High Yield Corporate Bond ETF NYSE Arca BSJF Guggenheim BulletShares 2015 High Yield Corporate Bond ETF NYSE Arca BSJG Guggenheim BulletShares 2016 High Yield Corporate Bond ETF NYSE Arca BSV Vanguard Short-Term Bond ETF NYSE Arca BWX SPDR Barclays International Treasury Bond ETF NYSE Arca BZF WisdomTree Brazilian Real Fund NYSE Arca CFT iShares Credit Bond ETF NYSE Arca CIU iShares Intermediate Credit Bond ETF NYSE Arca CLY iShares 10+ Year Credit Bond ETF NYSE Arca CORN Teucrium Corn Fund NYSE Arca CSD Guggenheim Spin-Off ETF NYSE Arca CSJ iShares 1-3 Year Credit Bond ETF NYSE Arca CVY Guggenheim Multi-Asset Income ETF NYSE Arca CWB SPDR Barclays Convertible Securities ETF NYSE Arca DBA PowerShares DB Agriculture Fund NYSE Arca DBB PowerShares DB Base Metals Fund NYSE Arca DBC PowerShares DB Commodity Index Tracking Fund NYSE Arca DBJP db X-trackers MSCI Japan Hedged Equity Fund NYSE Arca DBO PowerShares DB Oil Fund NYSE Arca DBP PowerShares DB Precious Metals Fund NYSE Arca DBV PowerShares DB G10 Currency Harvest Fund NYSE Arca DEM WisdomTree Emerging Markets Equity Income Fund NYSE Arca DES WisdomTree SmallCap Dividend Fund NYSE Arca DFE WisdomTree Europe SmallCap Dividend Fund NYSE Arca DGS WisdomTree Emerging Markets SmallCap Dividend Fund NYSE Arca DGZ PowerShares DB Gold Short ETN NYSE Arca DHS WisdomTree Equity Income Fund NYSE Arca DIA SPDR Dow Jones Industrial Average ETF Trust NYSE Arca DJP iPath Dow Jones—UBS Commodity Index Total Return ETN NYSE Arca DLN WisdomTree LargeCap Dividend Fund NYSE Arca DLS WisdomTree International SmallCap Dividend Fund NYSE Arca DOG ProShares Short Dow30 NYSE Arca DON WisdomTree MidCap Dividend Fund NYSE Arca DTN WisdomTree Dividend Ex-Financials Fund NYSE Arca DTYS iPath US Treasury 10-year Bear ETN NYSE Arca DVY iShares Select Dividend ETF NYSE Arca DWAS PowerShares DWA SmallCap Momentum Portfolio NYSE Arca DWX SPDR S&P International Dividend ETF NYSE Arca DXJ WisdomTree Japan Hedged Equity Fund NYSE Arca EBND SPDR Barclays Emerging Markets Local Bond ETF NYSE Arca ECH iShares MSCI Chile Capped ETF NYSE Arca ECON EGShares Emerging Markets Consumer ETF NYSE Arca EDIV SPDR S&P Emerging Markets Dividend ETF NYSE Arca EDV Vanguard Extended Duration Treasury ETF NYSE Arca EEB Guggenheim BRIC ETF NYSE Arca EEM iShares MSCI Emerging Markets ETF NYSE Arca EEMV iShares MSCI Emerging Markets Minimum Volatility ETF NYSE Arca EES WisdomTree SmallCap Earnings Fund NYSE Arca EFA iShares MSCI EAFE ETF NYSE Arca EFAV iShares MSCI EAFE Minimum Volatility ETF NYSE Arca EFG iShares MSCI EAFE Growth ETF NYSE Arca EFV iShares MSCI EAFE Value ETF NYSE Arca EFZ ProShares Short MSCI EAFE NYSE Arca EIDO iShares MSCI Indonesia ETF NYSE Arca ELD WisdomTree Emerging Markets Local Debt Fund NYSE Arca EMB iShares JP Morgan USD Emerging Markets Bond ETF NYSE Arca EMLC Market Vectors Emerging Markets Local Currency Bond ETF NYSE Arca EMLP First Trust North American Energy Infrastructure Fund NYSE Arca EPHE iShares MSCI Philippines ETF NYSE Arca EPI WisdomTree India Earnings Fund NYSE Arca EPOL iShares MSCI Poland Capped ETF NYSE Arca EPP iShares MSCI Pacific ex Japan ETF NYSE Arca EPU iShares MSCI All Peru Capped ETF NYSE Arca ERUS iShares MSCI Russia Capped ETF NYSE Arca EUFN iShares MSCI Europe Financials ETF NASDAQ GM EUM ProShares Short MSCI Emerging Markets NYSE Arca EWA iShares MSCI Australia ETF NYSE Arca EWC iShares MSCI Canada ETF NYSE Arca EWD iShares MSCI Sweden ETF NYSE Arca EWG iShares MSCI Germany ETF NYSE Arca EWH iShares MSCI Hong Kong ETF NYSE Arca EWI iShares MSCI Italy Capped ETF NYSE Arca EWJ iShares MSCI Japan ETF NYSE Arca EWL iShares MSCI Switzerland Capped ETF NYSE Arca EWM iShares MSCI Malaysia ETF NYSE Arca EWN iShares MSCI Netherlands ETF NYSE Arca EWP iShares MSCI Spain Capped ETF NYSE Arca EWQ iShares MSCI France ETF NYSE Arca EWS iShares MSCI Singapore ETF NYSE Arca EWT iShares MSCI Taiwan ETF NYSE Arca EWU iShares MSCI United Kingdom ETF NYSE Arca EWW iShares MSCI Mexico Capped ETF NYSE Arca EWX SPDR S&P Emerging Markets SmallCap ETF NYSE Arca EWY iShares MSCI South Korea Capped ETF NYSE Arca EWZ iShares MSCI Brazil Capped ETF NYSE Arca EXI iShares Global Industrials ETF NYSE Arca EZA iShares MSCI South Africa ETF NYSE Arca EZM WisdomTree MidCap Earnings Fund NYSE Arca EZU iShares MSCI EMU ETF NYSE Arca FBT First Trust NYSE Arca Biotechnology Index Fund NYSE Arca FCG First Trust ISE-Revere Natural Gas Index Fund NYSE Arca FDL First Trust Morningstar Dividend Leaders Index NYSE Arca FDN First Trust Dow Jones Internet Index Fund NYSE Arca FEM First Trust Emerging Markets AlphaDEX Fund NYSE Arca FEP First Trust Europe AlphaDEX Fund NYSE Arca FEX First Trust Large Cap Core AlphaDEX Fund NYSE Arca FEZ SPDR EURO STOXX 50 ETF NYSE Arca FGD First Trust DJ Global Select Dividend Index Fund NYSE Arca FLOT iShares Floating Rate Bond ETF NYSE Arca FLRN SPDR Barclays Investment Grade Floating Rate ETF NYSE Arca FM iShares MSCI Frontier 100 ETF NYSE Arca FNX First Trust Mid Cap Core AlphaDEX Fund NYSE Arca FPX First Trust US IPO Index Fund NYSE Arca FRI First Trust S&P REIT Index Fund NYSE Arca FTA First Trust Large Cap Value AlphaDEX Fund NYSE Arca FVD First Trust Value Line Dividend Index Fund NYSE Arca FXA CurrencyShares Australian Dollar Trust NYSE Arca FXB CurrencyShares British Pound Sterling Trust NYSE Arca FXC CurrencyShares Canadian Dollar Trust NYSE Arca FXD First Trust Consumer Discretionary AlphaDEX Fund NYSE Arca FXE CurrencyShares Euro Trust NYSE Arca FXF CurrencyShares Swiss Franc Trust NYSE Arca FXG First Trust Consumer Staples AlphaDEX Fund NYSE Arca FXH First Trust Health Care AlphaDEX Fund NYSE Arca FXI iShares China Large-Cap ETF NYSE Arca FXL First Trust Technology AlphaDEX Fund NYSE Arca FXN First Trust Energy AlphaDEX Fund NYSE Arca FXO First Trust Financial AlphaDEX Fund NYSE Arca FXR First Trust Industrials/Producer Durables AlphaDEX Fund NYSE Arca FXU First Trust Utilities AlphaDEX Fund NYSE Arca FXY CurrencyShares Japanese Yen Trust NYSE Arca FXZ First Trust Materials AlphaDEX Fund NYSE Arca FYX First Trust Small Cap Core AlphaDEX Fund NYSE Arca GCC GreenHaven Continuous Commodity Index Fund NYSE Arca GDX Market Vectors Gold Miners ETF NYSE Arca GDXJ Market Vectors Junior Gold Miners ETF NYSE Arca GLD SPDR Gold Shares NYSE Arca GLTR ETFS Physical Precious Metal Basket Shares NYSE Arca GMF SPDR S&P Emerging Asia Pacific ETF NYSE Arca GMM SPDR S&P Emerging Markets ETF NYSE Arca GNR SPDR S&P Global Natural Resources ETF NYSE Arca GSG iShares S&P GSCI Commodity Indexed Trust NYSE Arca GSY Guggenheim Enhanced Short Duration ETF NYSE Arca GUNR FlexShares Global Upstream Natural Resources Index Fund NYSE Arca GURU Global X Guru Index ETF NYSE Arca GVI iShares Intermediate Government/Credit Bond ETF NYSE Arca GWL SPDR S&P World ex-US ETF NYSE Arca GWX SPDR S&P International Small Cap ETF NYSE Arca GXC SPDR S&P China ETF NYSE Arca GXG Global X FTSE Colombia 20 ETF NYSE Arca HAO Guggenheim China Small Cap ETF NYSE Arca HDGE Ranger Equity Bear ETF NYSE Arca HDV iShares High Dividend ETF NYSE Arca HEDJ WisdomTree Europe Hedged Equity Fund NYSE Arca HYD Market Vectors High Yield Municipal Index ETF NYSE Arca HYEM Market Vectors Emerging High Yield Bond ETF NYSE Arca HYG iShares iBoxx $ High Yield Corporate Bond ETF NYSE Arca HYLD Peritus High Yield ETF NYSE Arca HYMB SPDR Nuveen S&P High Yield Municipal Bond ETF NYSE Arca HYS PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund NYSE Arca IAI iShares U.S. Broker-Dealers ETF NYSE Arca IAT iShares US Regional Banks ETF NYSE Arca IAU iShares Gold Trust NYSE Arca IBB iShares Nasdaq Biotechnology ETF NASDAQ GM IBND SPDR Barclays International Corporate Bond ETF NYSE Arca ICF iShares Cohen & Steers REIT ETF NYSE Arca IDU iShares US Utilities ETF NYSE Arca IDV iShares International Select Dividend ETF NYSE Arca IDX Market Vectors Indonesia Index ETF NYSE Arca IEF iShares 7-10 Year Treasury Bond ETF NYSE Arca IEFA iShares Core MSCI EAFE ETF NYSE Arca IEI iShares 3-7 Year Treasury Bond ETF NYSE Arca IEMG iShares Core MSCI Emerging Markets ETF NYSE Arca IEO iShares U.S. Oil & Gas Exploration & Production ETF NYSE Arca IEV iShares Europe ETF NYSE Arca IEZ iShares U.S. Oil Equipment & Services ETF NYSE Arca IFGL iShares International Developed Real Estate ETF NASDAQ GM IGE iShares North American Natural Resources ETF NYSE Arca IGF iShares Global Infrastructure ETF NYSE Arca IGM iShares North American Tech ETF NYSE Arca IGOV iShares International Treasury Bond ETF NASDAQ GM IGV iShares North American Tech-Software ETF NYSE Arca IHE iShares US Pharmaceuticals ETF NYSE Arca IHF iShares U.S. Healthcare Providers ETF NYSE Arca IHI iShares U.S. Medical Devices ETF NYSE Arca IHY Market Vectors International High Yield Bond ETF NYSE Arca IJH iShares Core S&P Mid-Cap ETF NYSE Arca IJJ iShares S&P Mid-Cap 400 Value ETF NYSE Arca IJK iShares S&P Mid-Cap 400 Growth ETF NYSE Arca IJR iShares Core S&P Small-Cap ETF NYSE Arca IJS iShares S&P Small-Cap 600 Value ETF NYSE Arca IJT iShares S&P Small-Cap 600 Growth ETF NYSE Arca ILF iShares Latin America 40 ETF NYSE Arca INDA iShares MSCI India ETF BATS INDY iShares India 50 ETF NASDAQ GM INP iPath MSCI India Index ETN NYSE Arca IOO iShares Global 100 ETF NYSE Arca IPE SPDR Barclays TIPS ETF NYSE Arca ITA iShares U.S. Aerospace & Defense ETF NYSE Arca ITB iShares U.S. Home Construction ETF NYSE Arca ITM Market Vectors Intermediate Municipal ETF NYSE Arca ITOT iShares Core S&P Total US Stock Market ETF NYSE Arca ITR SPDR Barclays Intermediate Term Corporate Bond ETF NYSE Arca IVE iShares S&P 500 Value ETF NYSE Arca IVV iShares Core S&P 500 ETF NYSE Arca IVW iShares S&P 500 Growth ETF NYSE Arca IWB iShares Russell 1000 ETF NYSE Arca IWC iShares Micro-Cap ETF NYSE Arca IWD iShares Russell 1000 Value ETF NYSE Arca IWF iShares Russell 1000 Growth ETF NYSE Arca IWM iShares Russell 2000 ETF NYSE Arca IWN iShares Russell 2000 Value ETF NYSE Arca IWO iShares Russell 2000 Growth ETF NYSE Arca IWP iShares Russell Mid-Cap Growth ETF NYSE Arca IWR iShares Russell Mid-Cap ETF NYSE Arca IWS iShares Russell Mid-Cap Value ETF NYSE Arca IWV iShares Russell 3000 ETF NYSE Arca IWW iShares Russell 3000 Value ETF NYSE Arca IXC iShares Global Energy ETF NYSE Arca IXG iShares Global Financials ETF NYSE Arca IXJ iShares Global Healthcare ETF NYSE Arca IXN iShares Global Tech ETF NYSE Arca IXP iShares Global Telecom ETF NYSE Arca IXUS iShares Core MSCI Total International Stock ETF NYSE Arca IYC iShares U.S. Consumer Services ETF NYSE Arca IYE iShares U.S. Energy ETF NYSE Arca IYF iShares US Financials ETF NYSE Arca IYG iShares U.S. Financial Services ETF NYSE Arca IYH iShares U.S. Healthcare ETF NYSE Arca IYJ iShares U.S. Industrials ETF NYSE Arca IYM iShares U.S. Basic Materials ETF NYSE Arca IYR iShares US Real Estate ETF NYSE Arca IYT iShares Transportation Average ETF NYSE Arca IYW iShares US Technology ETF NYSE Arca IYY iShares Dow Jones U.S. ETF NYSE Arca IYZ iShares US Telecommunications ETF NYSE Arca JKE iShares Morningstar Large-Cap Growth ETF NYSE Arca JKF iShares Morningstar Large-Cap Value ETF NYSE Arca JNK SPDR Barclays High Yield Bond ETF NYSE Arca JO iPath Dow Jones-UBS Coffee Subindex Total Return ETN NYSE Arca KBE SPDR S&P Bank ETF NYSE Arca KBWB PowerShares KBW Bank Portfolio NYSE Arca KIE SPDR S&P Insurance ETF NYSE Arca KOL Market Vectors Coal ETF NYSE Arca KRE SPDR S&P Regional Banking ETF NYSE Arca KXI iShares Global Consumer Staples ETF NYSE Arca LAG SPDR Barclays Aggregate Bond ETF NYSE Arca LEMB iShares Emerging Markets Local Currency Bond ETF NYSE Arca LQD iShares iBoxx $ Investment Grade Corporate Bond ETF NYSE Arca MBB iShares MBS ETF NYSE Arca MCHI iShares MSCI China ETF NYSE Arca MDIV First Trust NASDAQ US Multi-Asset Diversified Income Index Fun NASDAQ GM MDY SPDR S&P MidCap 400 ETF Trust NYSE Arca MGC Vanguard Mega Cap ETF NYSE Arca MGK Vanguard Mega Cap Growth ETF NYSE Arca MGV Vanguard Mega Cap Value ETF NYSE Arca MINT PIMCO Enhanced Short Maturity Exchange-Traded Fund NYSE Arca MLPI ETRACS Alerian MLP Infrastructure Index ETN NYSE Arca MLPN Credit Suisse MLP Equal Weight Index ETN NYSE Arca MOAT Market Vectors Wide Moat ETF NYSE Arca MOO Market Vectors Agribusiness ETF NYSE Arca MUB iShares National AMT-Free Muni Bond ETF NYSE Arca MUNI PIMCO Intermediate Municipal Bond Exchange-Traded Fund NYSE Arca MXI iShares Global Materials ETF NYSE Arca NEAR iShares Short Maturity Bond ETF BATS NKY MAXIS Nikkei 225 Index Fund ETF NYSE Arca NOBL ProShares S&P 500 Aristocrats ETF NYSE Arca OEF iShares S&P 100 ETF NYSE Arca OIH Market Vectors Oil Service ETF NYSE Arca OIL iPath Goldman Sachs Crude Oil Total Return Index ETN NYSE Arca ONEQ Fidelity NASDAQ Composite Index Tracking Stock ETF NASDAQ GM PALL ETFS Physical Palladium Shares NYSE Arca PBE Powershares Dynamic Biotechnology & Genome Portfolio NYSE Arca PBS Powershares Dynamic Media Portfolio NYSE Arca PBW Powershares WilderHill Clean Energy Portfolio NYSE Arca PCEF PowerShares CEF Income Composite Portfolio NYSE Arca PCY PowerShares Emerging Markets Sovereign Debt Portfolio NYSE Arca PDP PowerShares DWA Momentum Portfolio NYSE Arca PFF iShares US Preferred Stock ETF NYSE Arca PGF PowerShares Financial Preferred Portfolio NYSE Arca PGJ Powershares Golden Dragon China Portfolio NYSE Arca PGX PowerShares Preferred Portfolio NYSE Arca PHB PowerShares Fundamental High Yield Corporate Bond Portfolio NYSE Arca PHO PowerShares Water Resources Portfolio NYSE Arca PHYS Sprott Physical Gold Trust NYSE Arca PID PowerShares International Dividend Achievers Portfolio NYSE Arca PIE PowerShares DWA Emerging Markets Momentum Portfolio NYSE Arca PIN PowerShares India Portfolio NYSE Arca PIZ PowerShares DWA Developed Markets Momentum Portfolio NYSE Arca PJP Powershares Dynamic Pharmaceuticals Portfolio NYSE Arca PKW PowerShares Buyback Achievers Portfolio NYSE Arca PNQI PowerShares NASDAQ Internet Portfolio NASDAQ GM PPH Market Vectors Pharmaceutical ETF NYSE Arca PPLT ETFS Platinum Trust NYSE Arca PRF Powershares FTSE RAFI US 1000 Portfolio NYSE Arca PRFZ PowerShares FTSE RAFI US 1500 Small-Mid Portfolio NASDAQ GM PSK SPDR Wells Fargo Preferred Stock ETF NYSE Arca PSLV Sprott Physical Silver Trust NYSE Arca PSP PowerShares Global Listed Private Equity Portfolio NYSE Arca PSQ ProShares Short QQQ NYSE Arca PWV PowerShares Dynamic Large Cap Value Portfolio NYSE Arca PXF PowerShares FTSE RAFI Developed Markets ex-U.S. Portfolio NYSE Arca PZA PowerShares Insured National Municipal Bond Portfolio NYSE Arca QAI IndexIQ ETF Trust—IQ Hedge Multi-Strategy Tracker ETF NYSE Arca QQEW First Trust NASDAQ-100 Equal Weighted Index Fund NASDAQ GM QQQ Powershares QQQ Trust Series 1 NASDAQ GM REM iShares Mortgage Real Estate Capped ETF NYSE Arca REZ iShares Residential Real Estate Capped ETF NYSE Arca RFG Guggenheim S&P Midcap 400 Pure Growth ETF NYSE Arca RIGS Riverfront Strategic Income Fund NYSE Arca RJI ELEMENTS Linked to the Rogers International Commodity Index—Total Return NYSE Arca RPG Guggenheim S&P 500 Pure Growth ETF NYSE Arca RPV Guggenheim S&P 500 Pure Value ETF NYSE Arca RSP Guggenheim S&P 500 Equal Weight ETF NYSE Arca RSX Market Vectors Russia ETF NYSE Arca RTH Market Vectors Retail ETF NYSE Arca RWM ProShares Short Russell2000 NYSE Arca RWO SPDR Dow Jones Global Real Estate ETF NYSE Arca RWR SPDR Dow Jones REIT ETF NYSE Arca RWX SPDR Dow Jones International Real Estate ETF NYSE Arca RXI iShares Global Consumer Discretionary ETF NYSE Arca RYH Guggenheim S&P 500 Equal Weight Healthcare ETF NYSE Arca RYT Guggenheim S&P 500 Equal Weight Technology ETF NYSE Arca SCHA Schwab US Small-Cap ETF NYSE Arca SCHB Schwab US Broad Market ETF NYSE Arca SCHD Schwab US Dividend Equity ETF NYSE Arca SCHE Schwab Emerging Markets Equity ETF NYSE Arca SCHF Schwab International Equity ETF NYSE Arca SCHG Schwab U.S. Large-Cap Growth ETF NYSE Arca SCHH Schwab U.S. REIT ETF NYSE Arca SCHM Schwab U.S. Mid-Cap ETF NYSE Arca SCHO Schwab Short-Term U.S. Treasury ETF NYSE Arca SCHP Schwab U.S. TIPs ETF NYSE Arca SCHR Schwab Intermediate-Term U.S. Treasury ETF NYSE Arca SCHV Schwab U.S. Large-Cap Value ETF NYSE Arca SCHX Schwab US Large-Cap ETF NYSE Arca SCHZ Schwab U.S. Aggregate Bond ETF NYSE Arca SCIF Market Vectors India Small-Cap Index ETF NYSE Arca SCPB SPDR Barclays Short Term Corporate Bond ETF NYSE Arca SCZ iShares MSCI EAFE Small-Cap ETF NYSE Arca SDIV Global X SuperDividend ETF NYSE Arca SDOG ALPS Sector Dividend Dogs ETF NYSE Arca SDY SPDR S&P Dividend ETF NYSE Arca SGOL ETFS Gold Trust NYSE Arca SH ProShares Short S&P500 NYSE Arca SHM SPDR Nuveen Barclays Short Term Municipal Bond ETF NYSE Arca SHV iShares Short Treasury Bond ETF NYSE Arca SHY iShares 1-3 Year Treasury Bond ETF NYSE Arca SIL Global X Silver Miners ETF NYSE Arca SIVR ETFS Physical Silver Shares NYSE Arca SJNK SPDR Barclays Short Term High Yield Bond ETF NYSE Arca SLV iShares Silver Trust NYSE Arca SLX Market Vectors Steel Index Fund NYSE Arca SLY SPDR S&P 600 Small CapETF NYSE Arca SMH Market Vectors Semiconductor ETF NYSE Arca SOCL Global X Social Media Index ETF NASDAQ GM SOXX iShares PHLX Semiconductor ETF NASDAQ GM SPHB PowerShares S&P 500 High Beta Port ETF NYSE Arca SPLV PowerShares S&P 500 Low Volatility Portfolio NYSE Arca SPY SPDR S&P 500 ETF Trust NYSE Arca SRLN SPDR Blackstone/GSO Senior Loan ETF NYSE Arca STIP iShares 0-5 Year TIPS Bond ETF NYSE Arca STPZ PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund NYSE Arca SUB iShares Short-Term National AMT-Free Muni Bond ETF NYSE Arca SVXY ProShares Short VIX Short-Term Futures ETF NYSE Arca TAN Guggenheim Solar ETF NYSE Arca TBF ProShares Short 20+ Year Treasury NYSE Arca TDTF FlexShares iBoxx 5-Year Target Duration TIPS Index Fund NYSE Arca TDTT FlexShares iBoxx 3-Year Target Duration TIPS Index Fund NYSE Arca TFI SPDR Nuveen Barclays Municipal Bond ETF NYSE Arca THD iShares MSCI Thailand Capped ETF NYSE Arca TIP iShares TIPS Bond ETF NYSE Arca TLH iShares 10-20 Year Treasury Bond ETF NYSE Arca TLT iShares 20+ Year Treasury Bond ETF NYSE Arca TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt Index Fund NYSE Arca TOK iShares MSCI Kokusai ETF NYSE Arca TUR iShares MSCI Turkey ETF NYSE Arca UNG United States Natural Gas Fund LP NYSE Arca USCI United States Commodity Index Fund NYSE Arca USDU WisdomTree Bloomberg U.S. Dollar Bullish Fund NYSE Arca USMV iShares MSCI USA Minimum Volatility ETF NYSE Arca USO United States Oil Fund LP NYSE Arca UUP PowerShares DB US Dollar Index Bullish Fund NYSE Arca VAW Vanguard Materials ETF NYSE Arca VB Vanguard Small-Cap ETF NYSE Arca VBK Vanguard Small-Cap Growth ETF NYSE Arca VBR Vanguard Small-Cap Value ETF NYSE Arca VCIT Vanguard Intermediate-Term Corporate Bond ETF NASDAQ GM VCLT Vanguard Long-Term Corporate Bond ETF NASDAQ GM VCR Vanguard Consumer Discretionary ETF NYSE Arca VCSH Vanguard Short-Term Corporate Bond ETF NASDAQ GM VDC Vanguard Consumer Staples ETF NYSE Arca VDE Vanguard Energy ETF NYSE Arca VEA Vanguard FTSE Developed Markets ETF NYSE Arca VEU Vanguard FTSE All-World ex-US ETF NYSE Arca VFH Vanguard Financials ETF NYSE Arca VGK Vanguard FTSE Europe ETF NYSE Arca VGSH Vanguard Short-Term Government Bond ETF NASDAQ GM VGT Vanguard Information Technology ETF NYSE Arca VHT Vanguard Health Care ETF NYSE Arca VIDI Vident International Equity Fund NASDAQ GM VIG Vanguard Dividend Appreciation ETF NYSE Arca VIIX VelocityShares VIX Short Term ETN NASDAQ GM VIS Vanguard Industrials ETF NYSE Arca VIXM ProShares VIX Mid-Term Futures ETF NYSE Arca VIXY ProShares VIX Short-Term Futures ETF NYSE Arca VMBS Vanguard Mortgage-Backed Securities ETF NASDAQ GM VNM Market Vectors Vietnam ETF NYSE Arca VNQ Vanguard REIT ETF NYSE Arca VNQI Vanguard Global ex-U.S. Real Estate ETF NASDAQ GM VO Vanguard Mid-Cap ETF NYSE Arca VOE Vanguard Mid-Cap Value ETF NYSE Arca VOO Vanguard S&P 500 ETF NYSE Arca VOT Vanguard Mid-Cap Growth ETF NYSE Arca VOX Vanguard Telecommunication Services ETF NYSE Arca VPL Vanguard FTSE Pacific ETF NYSE Arca VPU Vanguard Utilities ETF NYSE Arca VQT Barclays ETN+ ETNs Linked to the S&P 500 Dynamic VEQTORTM TotaL Return Index NYSE Arca VSS Vanguard FTSE All World ex-US Small-Cap ETF NYSE Arca VT Vanguard Total World Stock ETF NYSE Arca VTI Vanguard Total Stock Market ETF NYSE Arca VTIP Vanguard Short-Term Inflation-Protected Securities ETF NASDAQ GM VTV Vanguard Value ETF NYSE Arca VTWO Vanguard Russell 2000 NASDAQ GM VUG Vanguard Growth ETF NYSE Arca VV Vanguard Large-Cap ETF NYSE Arca VWO Vanguard FTSE Emerging Markets ETF NYSE Arca VXF Vanguard Extended Market ETF NYSE Arca VXUS Vanguard Total International Stock ETF NASDAQ GM VXX iPATH S&P 500 VIX Short-Term Futures ETN NYSE Arca VXZ iPATH S&P 500 VIX Mid-Term Futures ETN NYSE Arca VYM Vanguard High Dividend Yield ETF NYSE Arca WIP SPDR DB International Government Inflation-Protected Bond ETF NYSE Arca XBI SPDR S&P Biotech ETF NYSE Arca XES SPDR S&P Oil & Gas Equipment & Services ETF NYSE Arca XHB SPDR S&P Homebuilders ETF NYSE Arca XIV VelocityShares Daily Inverse VIX Short Term ETN NASDAQ GM XLB Materials Select Sector SPDR Fund NYSE Arca XLE Energy Select Sector SPDR Fund NYSE Arca XLF Financial Select Sector SPDR Fund NYSE Arca XLG Guggenheim Russell Top 50 Mega Cap ETF NYSE Arca XLI Industrial Select Sector SPDR Fund NYSE Arca XLK Technology Select Sector SPDR Fund NYSE Arca XLP Consumer Staples Select Sector SPDR Fund NYSE Arca XLU Utilities Select Sector SPDR Fund NYSE Arca XLV Health Care Select Sector SPDR Fund NYSE Arca XLY Consumer Discretionary Select Sector SPDR Fund NYSE Arca XME SPDR S&P Metals & Mining ETF NYSE Arca XOP SPDR S&P Oil & Gas Exploration & Production ETF NYSE Arca XPH SPDR S&P Pharmaceuticals ETF NYSE Arca XRT SPDR S&P Retail ETF NYSE Arca XSD SPDR S&P Semiconductor ETF NYSE Arca ZIV VelocityShares Daily Inverse VIX Medium Term ETN NASDAQ GM ZROZ PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund NYSE Arca Appendix B—Data Unless otherwise specified, the following data shall be collected and transmitted to the SEC in an agreed-upon format on a monthly basis, to be provided 30 calendar days following month end. Unless otherwise specified, the Primary Listing Exchanges shall be responsible for collecting and transmitting the data to the SEC. Data collected in connection with Sections II(E)-(G) below shall be transmitted to the SEC with a request for confidential treatment under the Freedom of Information Act. 5 U.S.C. 552, and the SEC's rules and regulations thereunder. I. *Summary Statistics* A. Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows: 1. Partition stocks by category a. Tier 1 non-ETP issues > $3.00 b. Tier 1 non-ETP issues >= $0.75 and <= $3.00 c. Tier 1 non-ETP issues < $0.75 d. Tier 1 non-leveraged ETPs in each of above categories e. Tier 1 leveraged ETPs in each of above categories f. Tier 2 non-ETPs in each of above categories g. Tier 2 non-leveraged ETPs in each of above categories h. Tier 2 leveraged ETPs in each of above categories 2. Partition by time of day a. Opening (prior to 9:45 a.m. ET) b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET) c. Closing (after 3:35 p.m. ET) d. Within five minutes of a Trading Pause re-open or IPO open 3. Track reasons for entering a Limit State, such as: a. Liquidity gap—price reverts from a Limit State Quotation and returns to trading within the Price Bands b. Broken trades c. Primary Listing Exchange manually declares a Trading Pause pursuant to Section (VII)(2) of the Plan d. Other B. Determine (1),
(2)and
(3)for when a Trading Pause has been declared for an NMS Stock pursuant to the Plan. II. **Raw Data** *(all Participants, except A-E, which are for the Primary Listing Exchanges only)* A. Record of every Straddle State. 1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for ending with manual override. 2. Pipe delimited with field names as first record. B. Record of every Price Band 1. Ticker, date, time at beginning of Price Band, Upper Price Band, Lower Price Band 2. Pipe delimited with field names as first record C. Record of every Limit State 1. Ticker, date, time entered, time exited, flag for halt 2. Pipe delimited with field names as first record D. Record of every Trading Pause or halt 1. Ticker, date, time entered, time exited, type of halt (i.e., regulatory halt, non-regulatory halt, Trading Pause pursuant to the Plan, other) 2. Pipe delimited with field names as first record E. Data set or orders entered into reopening auctions during halts or Trading Pauses 1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side 2. Pipe delimited with field name as first record F. Data set of order events received during Limit States G. Summary data on order flow of arrivals and cancellations for each 15-second period for discrete time periods and sample stocks to be determined by the SEC in subsequent data requests. Must indicate side(s) of Limit State. 1. Market/marketable sell orders arrivals and executions a. Count b. Shares c. Shares executed 2. Market/marketable buy orders arrivals and executions a. Count b. Shares c. Shares executed 3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point 4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable) 5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable) 6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point 7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05 8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05 9. Count and volume of (3-8) for cancels 10. Include: ticker, date, time at start, time of Limit S *t* ate, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period III. **[At least two months prior to the end of the Pilot Period,]** By September 30, 2014, **all Participants shall provide to the SEC assessments relating to the impact of the Plan and calibration of the Percentage Parameters as follows:** A. Assess the statistical and economic impact on liquidity of approaching Price Bands. B. Assess the statistical and economic impact of the Price Bands on erroneous trades. C. Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands. D. Assess whether the Limit State is the appropriate length to allow for liquidity replenishment when a Limit State is reached because of a temporary liquidity gap. E. Evaluate concerns from the options markets regarding the statistical and economic impact of Limit States on liquidity and market quality in the options markets. (Participants that operate options exchange should also prepare such assessment reports.) F. Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic. G. Assess whether the process for exiting a Limit State should be adjusted. H. Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted. [FR Doc. 2014-05175 Filed 3-10-14; 8:45 am]
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