Joint Industry Plan; Notice of Filing of the Fifth 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.

Federal Register, Volume 78 Issue 170 (Tuesday, September 3, 2013)

Federal Register Volume 78, Number 170 (Tuesday, September 3, 2013)

Notices

Pages 54305-54320

From the Federal Register Online via the Government Printing Office www.gpo.gov

FR Doc No: 2013-21302

Page 54305

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SECURITIES AND EXCHANGE COMMISSION

Release No. 34-70274; File No. 4-631

Joint Industry Plan; Notice of Filing of the Fifth 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.

August 27, 2013.

Pursuant to Section 11A of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that, on July 18, 2013, 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 fifth amendment to the Plan (``Fifth Amendment''), and reflects changes unanimously approved by the Participants. The Fifth Amendment to the Plan: (i) Provides that, if a Trading Pause is triggered in the last ten minutes of trading before the end of Regular Trading Hours, then the NMS Stock shall not reopen for continuous trading and shall close pursuant to established closing procedures of the Primary Listing Exchange; and (ii) revises the definition of which Exchange Traded Products (``ETPs'') are eligible to be included in the list of Tier 1 NMS Stocks under the Plan. 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 Fifth Amendment to the Plan.

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\1\ 15 U.S.C. 78k-1.

\2\ 17 CFR 242.608.

\3\ See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated July 17, 2013 (``Transmittal Letter'').

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  1. Rule 608(a) of Regulation NMS

    1. 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).

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

      \5\ See Section V of the Plan.

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      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.

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

      \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'').

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      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

      Page 54306

      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.

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      \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.

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      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.

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

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

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      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\

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      \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).

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      The following summarizes the Fifth Amendment to the Plan and the rationale behind those changes:

      1. Proposed Amendment to Section VII(C)

        The Participants propose to amend Section VII(C)(1) of the Plan to provide that if a Trading Pause is declared for an NMS Stock in the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen for trading and shall attempt to execute a closing transaction using its established closing procedures. Section VII(C) of the Plan currently addresses only the situation of when a Trading Pause is declared less than five minutes before the end of Regular Trading Hours. In such case, because a Trading Pause is a minimum of five minutes and trading would not reopen, the Plan contemplates that the Primary Listing Exchange shall attempt a closing transaction using its established closing procedures.

        Based on feedback from SIFMA and other market participants, the Participants believe it is appropriate to amend the Plan to provide that if a Trading Pause is declared in the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen the NMS Stock for trading. Rather, such stock shall remain in a Trading Pause state, and at the end of regular trading hours, the Primary Listing Exchange shall attempt to close the NMS Stock using its established closing procedures.

        The Participants note that SIFMA raised issues concerning how the Plan operates at the close in its comment letter on the initial filing of the Plan.\19\ Based on additional concerns recently raised by SIFMA regarding its members' ability to effectively participate in the closing transaction if there is a Trading Pause declared near the close of trading and then reopening of continuous trading shortly before the close, the Participants propose a modified approach to how the Plan operates near the close. As currently provided for, the Participants believe that the manner by which Trading Pauses are declared should not change, meaning that a Trading Pause could be triggered up to the close of trading. The Participants note that the Plan already contemplates additional volatility near the close by providing for the doubling of the Percentage Parameters in the last 25 minutes of trading (see Section V(A)(1) of the Plan). The Participants propose to modify the Plan, however, to provide that if a Trading Pause were to be declared in the last ten minutes of Regular Trading Hours, the Primary Listing Exchange would not reopen for continuous trading but rather would close the NMS Stock pursuant to established closing procedures.

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        \19\ See Letter from Ann L. Vlcek, Managing Director and Associated General Counsel, SIFMA, to Elizabeth M. Murphy, Secretary, Commission dated June 22, 2011.

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        The Participants believe that the proposed amendment meets the goals of the Plan, which is to address extraordinary market volatility. Specifically, the Participants believe that reopening trading within five minutes of the closing transaction could introduce additional volatility into trading for that particular symbol. The Participants believe it would be more prudent to use the time during the Trading Pause and the period preceding the end of Regular Trading Hours for interest to be entered for the closing auction, rather than to hold a reopening auction that would be followed shortly by a closing auction. Holding two auctions so near in time may introduce additional uncertainty into the market as market participants may not want to enter interest for a reopening auction if the security is going to close shortly thereafter. This could cause price dislocations, uncertainty of executions, and added confusion during an already volatile period. As such, the Participants note that certain Primary Listing Exchanges will be filing rule changes with the Commission to update their respective closing procedures to address the ability to permit additional interest to be entered for the purpose of a closing auction if there is a Trading Pause declared near the end of Regular Trading Hours.

      2. Proposed Amendment to Section I of Appendix A

        The Participants propose to amend Section I of Appendix A of the Plan to revise the definition of which ETPs are eligible to be included in the list of Tier 1 NMS Stocks under the Plan by deleting the following language: ``To ensure that ETPs that track similar benchmarks but that do not meet this volume criterion do not become subject to pricing volatility when a component security is the subject of a trading pause, non-leveraged ETPs that have traded below this volume criterion, but that track the same benchmark as an ETP that does meet the volume criterion,

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        will be deemed-eligible to be included as a Tier 1 NMS Stock.''

        The current definition of which ETPs are eligible to be included in the list of Tier 1 NMS Stocks under the Plan is based on a definition that was adopted in 2010 in connection with which ETPs were eligible for the pilot program for single-stock trading pauses (``trading pause pilot rules'').\20\ The goal of the 2010 amendment was to add more liquid ETPs, specifically, those with a minimum average daily volume (``ADV'') of $2,000,000, to the list of securities eligible for the trading pause pilot rules because those ETPs tend to have similar trading characteristics as securities in the S&P 500 Index and Russell 1000 Index, and therefore using the 10% threshold for triggering a trading pause for those specified ETPs was appropriate. To assure that related ETPs were subject to a comparable circuit breaker, ETPs that did not meet the $2,000,000 ADV threshold, but tracked similar stocks and indices as ETPs meeting the volume criterion, were also included.

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        \20\ See Securities Exchange Act Release No. 62884 (Sept. 10, 2010), 75 FR 56618 (Sept. 16, 2010) (SR-BATS-2010-018; SR-BX-2010-

        044; SR-CBOE-2010-065; SR-CHX-2010-14; SR-EDGA-2010-05; SR-EDGX-

        2010-05; SR-ISE-2010-66; SR-NASDAQ-2010-079; SR-NYSE-2010-49; SR-

        NYSEAmex-2010-63; SR-NYSEArca-2010-61; SR-NSX-2010-08) (Order approving amendment to pilot rule for trading pauses due to extraordinary volatility to expand the availability of the rule to Russell 1000 Index and specified ETPs).

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        Based on experience to date with the Plan, the Participants believe that ETPs that do not meet the volume criterion are not as actively traded as other NMS Stocks included as Tier 1 NMS Stocks, and therefore the applicable Percentage Parameters are too narrow for such ETPs, even if they track the same index as an ETP that meets the volume criterion. The Participants note that this issue did not arise under the trading pause pilot rules because of the differing mechanisms for triggering a trading pause pursuant to the Plan and the trading pause pilot rules. Under the trading pause pilot rules, a trading pause is triggered if the last consolidated sale price of the security moves 10% or more over a five-minute period. Because a transaction is required before a trading pause may be triggered, a thinly traded stock may not have triggered any trading pauses.

        In contrast, under the Plan, a bid or offer that crosses the applicable Price Band can result first in a Limit State Quotation, and if that Limit State Quotation is not exited within 15 seconds, a Trading Pause. Therefore, under the Plan, a transaction does not need to occur before a Trading Pause can be triggered. Based on experience thus far with the Plan, certain thinly traded ETPs with wide quotes that are included as Tier 1 NMS Stocks because they track an index of an ETP that meets the volume criterion are triggering trading pauses because of bids or offers that cross the Price Band rather than because of an execution of a security. This results in certain ETPs that have not traded during the day triggering Trading Pauses and requiring a reopening auction process, despite the lack of trading in that security. For example, since the initial date of Plan operations through to July 8, 2013, there have been 32 Trading Pauses in NYSE Arca-listed securities triggered pursuant to the Plan. These Trading Pauses have been in only ten NMS Stocks,\21\ some more than once a day, and all are ETPs with less than $2,000,000 notional ADV.

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        \21\ The symbols are BXDB, BDG, GIY, VIOO, BOS, SAGG, IELG, IESM, HUSE, and GMTB.

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        The Participants believe that amending the Plan to delete ETPs that do not meet the volume criterion from the definition of Tier 1 NMS Stocks is necessary for the maintenance of a fair and orderly market and removes impediments to and perfects the mechanism of a national market system because it reduces the potential for a thinly-traded NMS Stock that has not experienced any trading volatility to be halted and then have to go through a reopening auction process. The Participants therefore believe that the proposed amendment supports the original purpose of the Plan, which is to reduce extraordinary market volatility for NMS Stocks. The Participants believe that such thinly-traded ETPs are better suited for the applicable Percentage Parameters for NMS Stocks that are not S&P 500 or Russell 1000 stocks, which includes other thinly traded securities.

        The Participants will continue to assess during Plan operations whether the existing Percentage Parameters are appropriate for thinly-

        traded NMS Stocks, and will have more experience with this issue after Phase II of the Plan has been implemented across all NMS Stocks. In the meantime, the Participants believe that amending the Plan to revise the Percentage Parameters that will be applicable to ETPs with less than $2,000,000 notional ADV is an appropriate measure based on experience with the Plan to date.

    2. 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.

    3. Implementation of Plan

      The initial date of the Plan operations was April 8, 2013.

    4. 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. The Participants currently anticipate that Phase II of Plan implementation will begin on August 5, 2013.

      The Participants propose that if this amendment is approved before August 5, 2013, ETPs that currently meet the definition of Tier 1 NMS Stocks and have already been added to the Plan pursuant to Phase I of the Plan, but that would not meet the proposed amended definition of Tier 1 NMS Stocks will no longer participate in Phase I of the Plan. Instead, those ETPs will be added to the Plan pursuant to Phase II of the Plan implementation. If approved after August 5, 2013 but during Phase II of the Plan implementation, those ETPs will be added to the Phase II implementation schedule. If approved after Phase II of the Plan has been fully implemented, the Primary Listing Exchange will provide notice via Trader Update within 30 days of approval of this amendment of when those ETPs will be moved to the new Percentage Parameter.

    5. Analysis of Impact on Competition

      The Participants do not believe that the Plan imposes any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants also do not believe that the Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.\22\

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      \22\ 15 U.S.C. 78k-1(c)(1)(D).

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    6. 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.

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    7. Approval of Amendment of the Plan

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

    8. 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.

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

    Not applicable.

    1. Method and Frequency of Processor Evaluation

      Not applicable.

    2. 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.\23\ 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.\24\

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      \23\ See Section I(J) of the Plan.

      \24\ 17 CFR 242.608.

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  3. Solicitation of Comments

    Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Fifth 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 Fifth Amendment to the Plan that are filed with the Commission, and all written communications relating to the Fifth 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 September 24, 2013.

    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................................................... ...........

  4. Definitions............................................. ...........

  5. Parties................................................ ...........

  6. Amendments to Plan.................................... ...........

  7. Trading Center Policies and Procedures................. ...........

  8. Price Bands............................................. ...........

  9. Limit Up-Limit Down Requirements....................... ...........

  10. Trading Pauses........................................ ...........

  11. Implementation....................................... ...........

  12. Withdrawal from Plan................................... ...........

  13. Counterparts and Signatures............................. ...........

    Appendix A--Percentage Parameters.......................... ...........

    Appendix A--Schedule 1..................................... ...........

    Appendix B--Data........................................... ...........

    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

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    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.

  14. 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.

  15. 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

    Page 54310

    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.

  16. 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.

  17. 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.

  18. 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,

    Page 54311

    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.

  19. 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.

  20. 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

    Page 54312

    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 Five Ten Minutes of the End of Regular Trading Hours

    (1) If a Trading Pause for an NMS Stock is declared less than five minutes 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.

  21. 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

    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 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.

  22. 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.

  23. 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 July 2013 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

  24. 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. To ensure that ETPs that track similar benchmarks but that do not meet this volume criterion do not become subject to pricing volatility when a component security is the subject of a trading pause, non-leveraged ETPs that have traded below this volume criterion, but that track the same benchmark as an ETP that does meet the volume criterion, will be deemed 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

    Page 54313

    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.

  25. 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 Index Fund...... NASDAQ GM

    ACWI............................ iShares MSCI ACWI Index Fund........................... NASDAQ GM

    ACWV............................ iShares MSCI All Country World Minimum Volatility Index NYSE Arca

    Fund.

    ACWX............................ iShares MSCI ACWI ex US Index Fund..................... NASDAQ GM

    AGG............................. iShares Core Total US Bond Market ETF.................. NYSE Arca

    AGOL............................ ETFS Asian Gold Trust.................................. NYSE Arca

    AGZ............................. iShares Barclays Agency Bond Fund...................... NYSE Arca

    ALD............................. WisdomTree Asia Local Debt Fund........................ NYSE Arca

    AMJ............................. JPMorgan Alerian MLP Index ETN......................... NYSE Arca

    AMLP............................ Alerian MLP ETF........................................ NYSE Arca

    AMU............................. ETRACS Alerian MLP Index ETN........................... NYSE Arca

    BAB............................. PowerShares Build America Bond Portfolio............... NYSE Arca

    BAL............................. iPath Dow Jones-UBS Cotton Subindex Total Return NYSE Arca

    Callable ETN.

    BBH............................. Market Vectors Biotech ETF............................. NYSE Arca

    BDG............................. PowerShares DB Base Metals Long ETN.................... NYSE Arca

    BFOR............................ Barron's 400 ETF....................................... NYSE Arca

    BIK............................. SPDR S&P BRIC 40 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 Index Fund........................... 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

    BOS............................. PowerShares DB Base Metals Short ETN................... NYSE Arca

    BRF............................. Market Vectors Brazil Small-Cap ETF.................... NYSE Arca

    BSJE............................ Guggenheim BulletShares 2014 High Yield Corporate Bond NYSE Arca

    ETF.

    BSJF............................ Guggenheim BulletShares 2015 High Yield Corporate Bond NYSE Arca

    ETF.

    BSV............................. Vanguard Short-Term Bond ETF........................... NYSE Arca

    BWV............................. iPath CBOE S&P 500 BuyWrite Index ETN.................. NYSE Arca

    BWX............................. SPDR Barclays International Treasury Bond ETF.......... NYSE Arca

    CEW............................. WisdomTree Emerging Currency Fund...................... NYSE Arca

    CFT............................. iShares Barclays Credit Bond Fund...................... NYSE Arca

    CHIQ............................ Global X China Consumer ETF............................ NYSE Arca

    CIU............................. iShares Barclays Intermediate Credit Bond Fund......... NYSE Arca

    CLY............................. iShares 10+ Year Credit Bond Fund...................... NYSE Arca

    CMF............................. iShares S&P California AMT-Free Municipal Bond Fund.... NYSE Arca

    CORN............................ Teucrium Corn Fund..................................... NYSE Arca

    CSD............................. Guggenheim Spin-Off ETF................................ NYSE Arca

    CSJ............................. iShares Barclays 1-3 Year Credit Bond Fund............. NYSE Arca

    CUT............................. Guggenheim Timber ETF.................................. NYSE Arca

    CVY............................. Guggenheim Multi-Asset Income ETF...................... NYSE Arca

    CWB............................. SPDR Barclays Convertible Securities ETF............... NYSE Arca

    CWI............................. SPDR MSCI ACWI ex-US 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

    DBE............................. PowerShares DB Energy 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

    DFJ............................. WisdomTree Japan SmallCap Dividend Fund................ NYSE Arca

    DGL............................. PowerShares DB Gold Fund............................... NYSE Arca

    Page 54314

    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

    DJCI............................ ETRACS DJ-UBS Commodity Index Total Return ETN......... 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

    DVY............................. iShares Dow Jones Select Dividend Index Fund........... 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 Investable Market Index Fund. 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

    EEM............................. iShares MSCI Emerging Markets Index Fund............... NYSE Arca

    EEMA............................ iShares MSCI Emerging Markets Asia Index............... NASDAQ GM

    EEMV............................ iShares MSCI Emerging Markets Minimum Volatility Index NYSE Arca

    Fund.

    EFA............................. iShares MSCI EAFE Index Fund........................... NYSE Arca

    EFAV............................ iShares MSCI EAFE Minimum Volatility Index Fund........ NYSE Arca

    EFG............................. iShares MSCI EAFE Growth Index......................... NYSE Arca

    EFV............................. iShares MSCI EAFE Value Index.......................... NYSE Arca

    EFZ............................. ProShares Short MSCI EAFE.............................. NYSE Arca

    EIDO............................ iSHARES MSCI Indonesia Investable Market Index Fund.... NYSE Arca

    ELD............................. WisdomTree Emerging Markets Local Debt Fund............ NYSE Arca

    ELR............................. SPDR Dow Jones Large Cap ETF........................... NYSE Arca

    EMB............................. iShares JPMorgan USD Emerging Markets Bond Fund........ NYSE Arca

    EMLC............................ Market Vectors Emerging Markets Local Currency Bond ETF NYSE Arca

    EMM............................. SPDR Dow Jones Mid Cap ETF............................. NYSE Arca

    ENZL............................ iShares MSCI New Zealand Capped Investable Market Index NYSE Arca

    Fund.

    EPHE............................ iShares MSCI Philippines Investable Market Index Fund.. NYSE Arca

    EPI............................. WisdomTree India Earnings Fund......................... NYSE Arca

    EPOL............................ iShares MSCI Poland Capped Investable Market Index Fund NYSE Arca

    EPP............................. iShares MSCI Pacific ex-Japan Index Fund............... NYSE Arca

    EPU............................. iShares MSCI All Peru Capped Index Fund................ NYSE Arca

    ERUS............................ iShares MSCI Russia Capped Index Fund.................. NYSE Arca

    EUM............................. ProShares Short MSCI Emerging Markets.................. NYSE Arca

    EWA............................. iShares MSCI Australia Index Fund...................... NYSE Arca

    EWC............................. iShares MSCI Canada Index Fund......................... NYSE Arca

    EWD............................. iShares MSCI Sweden Index Fund......................... NYSE Arca

    EWG............................. iShares MSCI Germany Index Fund........................ NYSE Arca

    EWH............................. iShares MSCI Hong Kong Index Fund...................... NYSE Arca

    EWI............................. iShares MSCI Italy Capped Index Fund................... NYSE Arca

    EWJ............................. iShares MSCI Japan Index Fund.......................... NYSE Arca

    EWL............................. iShares MSCI Switzerland Capped Index Fund............. NYSE Arca

    EWM............................. iShares MSCI Malaysia Index Fund....................... NYSE Arca

    EWN............................. iShares MSCI Netherlands Investable Market Index Fund.. NYSE Arca

    EWO............................. iShares MSCI Austria Capped Investable Market Index NYSE Arca

    Fund.

    EWP............................. iShares MSCI Spain Capped Index Fund................... NYSE Arca

    EWQ............................. iShares MSCI France Index Fund......................... NYSE Arca

    EWS............................. iShares MSCI Singapore Index Fund...................... NYSE Arca

    EWT............................. iShares MSCI Taiwan Index Fund......................... NYSE Arca

    EWU............................. iShares MSCI United Kingdom Index Fund................. NYSE Arca

    EWW............................. iShares MSCI Mexico Capped Investable Market Index Fund NYSE Arca

    EWX............................. SPDR S&P Emerging Markets SmallCap ETF................. NYSE Arca

    EWY............................. iShares MSCI South Korea Capped Index Fund............. NYSE Arca

    EWZ............................. iShares MSCI Brazil Capped Index Fund.................. NYSE Arca

    EXI............................. iShares S&P Global Industrials Sector Index Fund....... NYSE Arca

    EZA............................. iShares MSCI South Africa Index Fund................... NYSE Arca

    EZU............................. iShares MSCI EMU Index Fund............................ 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

    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 Note Fund........................ NYSE Arca

    Page 54315

    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

    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 FTSE China 25 Index Fund....................... NYSE Arca

    FXL............................. First Trust Technology AlphaDEX Fund................... NYSE Arca

    FXO............................. First Trust Financial AlphaDEX Fund.................... NYSE Arca

    FXY............................. CurrencyShares Japanese Yen Trust...................... NYSE Arca

    FXZ............................. First Trust Materials 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

    GII............................. SPDR S&P Global Infrastructure ETF..................... NYSE Arca

    GIY............................. Guggenheim Enhanced Core Bond ETF...................... NYSE Arca

    GLD............................. SPDR Gold Shares....................................... NYSE Arca

    GMF............................. SPDR S&P Emerging Asia Pacific ETF..................... NYSE Arca

    GMM............................. SPDR S&P Emerging Markets ETF.......................... NYSE Arca

    GMTB............................ Columbia Core Bond ETF................................. NYSE Arca

    GNR............................. SPDR S&P Global Natural Resources ETF.................. NYSE Arca

    GOVT............................ iShares Barclays U.S. Treasury Bond Fund............... NYSE Arca

    GSG............................. iShares S&P GSCI Commodity Indexed Trust............... NYSE Arca

    GSP............................. iPath GSCI Total Return Index ETN...................... NYSE Arca

    GSY............................. Guggenheim Enhanced Short Duration Bond ETF............ NYSE Arca

    GUNR............................ FlexShares Global Upstream Natural Resources Index Fund NYSE Arca

    GVI............................. iShares Barclays Intermediate Government/Credit Bond NYSE Arca

    Fund.

    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 Equity Fund...................... NYSE Arca

    HEDJ............................ WisdomTree Europe Hedged Equity Fund................... NYSE Arca

    HUSE............................ Huntington US Equity Rotation Strategy ETF............. NYSE Arca

    HYD............................. Market Vectors High Yield Municipal Index ETF.......... NYSE Arca

    HYG............................. iShares iBoxx $ High Yield Corporate Bond Fund......... 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- NYSE Arca

    Traded Fund.

    IAI............................. iShares Dow Jones US Broker Dealers Index Fund......... NYSE Arca

    IAT............................. iShares Dow Jones US Regional Banks Index Fund......... NYSE Arca

    IAU............................. iShares Gold Trust..................................... NYSE Arca

    IBB............................. iShares Nasdaq Biotechnology Index Fund................ NASDAQ GM

    IBND............................ SPDR Barclays International Corporate Bond ETF......... NYSE Arca

    ICF............................. iShares Cohen & Steers Realty Majors Index Fund........ NYSE Arca

    IDU............................. iShares Dow Jones US Utilities Sector Index Fund....... NYSE Arca

    IDV............................. iShares Dow Jones International Select Dividend Index NYSE Arca

    Fund.

    IDX............................. Market Vectors Indonesia Index ETF..................... NYSE Arca

    IEF............................. iShares Barclays 7-10 Year Treasury Bond Fund.......... NYSE Arca

    IEFA............................ iShares Core MSCI EAFE ETF............................. NYSE Arca

    IEI............................. iShares Barclays 3-7 Year Treasury Bond Fund........... NYSE Arca

    IELG............................ iShares Enhanced U.S. Large-Cap ETF.................... NYSE Arca

    IEMG............................ iShares Core MSCI Emerging Markets ETF................. NYSE Arca

    IEO............................. iShares Dow Jones US Oil & Gas Exploration & Production NYSE Arca

    Index Fund.

    IESM............................ iShares Enhanced U.S. Small-Cap ETF.................... NYSE Arca

    IEV............................. iShares S&P Europe 350 Index Fund...................... NYSE Arca

    IEZ............................. iShares Dow Jones US Oil Equipment & Services Index NYSE Arca

    Fund.

    IFGL............................ iShares FTSE EPRA/NAREIT Developed Real Estate ex-US NASDAQ GM

    Index Fund.

    IGE............................. iShares S&P North American Natural Resources Sector NYSE Arca

    Index Fund.

    IGF............................. iShares S&P Global Infrastructure Index Fund........... NYSE Arca

    IGM............................. iShares S&P North American Technology Sector Index Fund NYSE Arca

    IGN............................. iShares S&P North American Technology-Multimedia NYSE Arca

    Networking Index Fund.

    IGOV............................ iShares S&P/Citigroup International Treasury Bond Fund. NASDAQ GM

    Page 54316

    IGS............................. ProShares Short Investment Grade Corporate............. NYSE Arca

    IGV............................. iShares S&P North American Technology-Software Index NYSE Arca

    Fund.

    IHE............................. iShares Dow Jones US Pharmaceuticals Index Fund........ NYSE Arca

    IHF............................. iShares Dow Jones US Healthcare Providers Index Fund... NYSE Arca

    IHI............................. iShares Dow Jones US Medical Devices Index Fund........ 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 MidCap 400/BARRA Value Index Fund.......... NYSE Arca

    IJK............................. iShares S&P MidCap 400 Growth Index Fund............... NYSE Arca

    IJR............................. iShares Core S&P Small-Cap ETF......................... NYSE Arca

    IJS............................. iShares S&P SmallCap 600 Value Index Fund.............. NYSE Arca

    IJT............................. iShares S&P SmallCap 600/BARRA Growth Index Fund....... NYSE Arca

    ILF............................. iShares S&P Latin America 40 Index Fund................ NYSE Arca

    ILTB............................ iShares Core Long-Term US Bond ETF..................... NYSE Arca

    INDA............................ iShares MSCI India Index Fund.......................... BATS

    INDY............................ iShares India 50 ETF................................... NASDAQ GM

    INP............................. iPath MSCI India Index ETN............................. NYSE Arca

    IOO............................. iShares S&P Global 100 Index Fund...................... NYSE Arca

    IPE............................. SPDR Barclays TIPS ETF................................. NYSE Arca

    ISHG............................ iShares S&P/Citigroup 1-3 Year International Treasury NASDAQ GM

    Bond Fund.

    ITB............................. iShares Dow Jones US Home Construction Index Fund...... 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 Index Fund....................... NYSE Arca

    IVOO............................ Vanguard S&P Mid-Cap 400 ETF........................... NYSE Arca

    IVV............................. iShares Core S&P 500 ETF............................... NYSE Arca

    IVW............................. iShares S&P 500 Growth Index Fund...................... NYSE Arca

    IWB............................. iShares Russell 1000 Index Fund........................ NYSE Arca

    IWC............................. iShares Russell Microcap Index Fund.................... NYSE Arca

    IWD............................. iShares Russell 1000 Value Index Fund.................. NYSE Arca

    IWF............................. iShares Russell 1000 Growth Index Fund................. NYSE Arca

    IWM............................. iShares Russell 2000 Index Fund........................ NYSE Arca

    IWN............................. iShares Russell 2000 Value Index Fund.................. NYSE Arca

    IWO............................. iShares Russell 2000 Growth Index Fund................. NYSE Arca

    IWP............................. iShares Russell Midcap Growth Index Fund............... NYSE Arca

    IWR............................. iShares Russell Midcap Index Fund...................... NYSE Arca

    IWS............................. iShares Russell Midcap Value Index Fund................ NYSE Arca

    IWV............................. iShares Russell 3000 Index Fund........................ NYSE Arca

    IXC............................. iShares S&P Global Energy Sector Index Fund............ NYSE Arca

    IXG............................. iShares S&P Global Financials Sector Index Fund........ NYSE Arca

    IXJ............................. iShares S&P Global Healthcare Sector Index Fund........ NYSE Arca

    IXN............................. iShares S&P Global Technology Sector Index Fund........ NYSE Arca

    IXP............................. iShares S&P Global Telecommunications Sector Index Fund NYSE Arca

    IYC............................. iShares Dow Jones US Consumer Services Sector Index NYSE Arca

    Fund.

    IYE............................. iShares Dow Jones US Energy Sector Index Fund.......... NYSE Arca

    IYF............................. iShares Dow Jones US Financial Sector Index Fund....... NYSE Arca

    IYG............................. iShares Dow Jones US Financial Services Index Fund..... NYSE Arca

    IYH............................. iShares Dow Jones US Healthcare Sector Index Fund...... NYSE Arca

    IYJ............................. iShares Dow Jones US Industrial Sector Index Fund...... NYSE Arca

    IYK............................. iShares Dow Jones US Consumer Goods Sector Index Fund.. NYSE Arca

    IYM............................. iShares Dow Jones US Basic Materials Sector Index Fund. NYSE Arca

    IYR............................. iShares Dow Jones US Real Estate Index Fund............ NYSE Arca

    IYT............................. iShares Dow Jones Transportation Average Index Fund.... NYSE Arca

    IYW............................. iShares Dow Jones US Technology Sector Index Fund...... NYSE Arca

    IYY............................. iShares Dow Jones US Index Fund........................ NYSE Arca

    IYZ............................. iShares Dow Jones US Telecommunications Sector Index NYSE Arca

    Fund.

    JJC............................. iPath Dow Jones-UBS Copper Subindex Total Return ETN... NYSE Arca

    JJG............................. iPath Dow Jones-UBS Grains Subindex Total Return ETN... NYSE Arca

    JKF............................. iShares Morningstar Large Value Index Fund............. NYSE Arca

    JKL............................. iShares Morningstar Small Value Index Fund............. NYSE Arca

    JNK............................. SPDR Barclays High Yield Bond ETF...................... NYSE Arca

    JO.............................. iPath Dow Jones-UBS Coffee Subindex Total Return ETN... NYSE Arca

    JXI............................. iShares S&P Global Utilities Sector Index Fund......... NYSE Arca

    KBE............................. SPDR S&P Bank ETF...................................... NYSE Arca

    KBWB............................ PowerShares KBW Bank Portfolio......................... NYSE Arca

    KBWD............................ PowerShares KBW High Dividend Yield Financial 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 S&P Global Consumer Staples Sector Index Fund.. NYSE Arca

    LAG............................. SPDR Barclays Aggregate Bond ETF....................... NYSE Arca

    LEMB............................ iShares Emerging Markets Local Currency Bond Fund...... NYSE Arca

    Page 54317

    LQD............................. iShares iBoxx Investment Grade Corporate Bond Fund..... NYSE Arca

    LTPZ............................ PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund.... NYSE Arca

    LWC............................. SPDR Barclays Long Term Corporate Bond ETF............. NYSE Arca

    MBB............................. iShares Barclays MBS Bond Fund......................... NYSE Arca

    MBG............................. SPDR Barclays Mortgage Backed Bond ETF................. NYSE Arca

    MCHI............................ iShares MSCI China Index Fund.......................... NYSE Arca

    MDIV............................ First Trust NASDAQ US Multi-Asset Diversified Income NASDAQ GM

    Index Fund.

    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 Cushing 30 MLP Index ETN................. NYSE Arca

    MOO............................. Market Vectors Agribusiness ETF........................ NYSE Arca

    MUB............................. iShares S&P National Municipal Bond Fund............... NYSE Arca

    MXI............................. iShares S&P Global Materials Sector Index Fund......... NYSE Arca

    MYY............................. ProShares Short MidCap 400............................. NYSE Arca

    NKY............................. MAXIS Nikkei 225 Index Fund ETF........................ NYSE Arca

    OEF............................. iShares S&P 100 Index Fund............................. NYSE Arca

    OIH............................. Market Vectors Oil Service ETF......................... NYSE Arca

    OIL............................. iPath Goldman Sachs Crude Oil Total Return Index ETN... NYSE Arca

    PALL............................ ETFS Physical Palladium Shares......................... NYSE Arca

    PBJ............................. Powershares Dynamic Food & Beverage Portfolio.......... NYSE Arca

    PBP............................. PowerShares S&P 500 BuyWrite Portfolio................. NYSE Arca

    PBS............................. Powershares Dynamic Media Portfolio.................... NYSE Arca

    PCEF............................ PowerShares CEF Income Composite Portfolio............. NYSE Arca

    PCY............................. PowerShares Emerging Markets Sovereign Debt Portfolio.. NYSE Arca

    PDP............................. Powershares DWA Technical Leaders Portfolio............ NYSE Arca

    PFF............................. iShares S&P US Preferred Stock Index Fund.............. NYSE Arca

    PGF............................. PowerShares Financial Preferred Portfolio.............. NYSE Arca

    PGX............................. PowerShares Preferred Portfolio........................ NYSE Arca

    PHB............................. PowerShares Fundamental High Yield Corporate Bond NYSE Arca

    Portfolio.

    PHDG............................ PS S&P Downside Hdgd................................... 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 Technical Leaders NYSE Arca

    Portfolio.

    PIN............................. PowerShares India Portfolio............................ NYSE Arca

    PIZ............................. PowerShares DWA Developed Markets Technical Leaders NYSE Arca

    Portfolio.

    PJP............................. Powershares Dynamic Pharmaceuticals Portfolio.......... NYSE Arca

    PKW............................. PowerShares Buyback Achievers Portfolio................ NYSE Arca

    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. NYSE Arca

    Portfolio.

    PXH............................. PowerShares FTSE RAFI Emerging Markets Portfolio....... NYSE Arca

    PZA............................. PowerShares Insured National Municipal Bond Portfolio.. NYSE Arca

    QAI............................. IndexIQ ETF Trust--IQ Hedge Multi-Strategy Tracker ETF. NYSE Arca

    QQQ............................. Powershares QQQ Trust Series 1......................... NASDAQ GM

    REM............................. iShares FTSE NAREIT Mortgage Plus Capped Index Fund.... NYSE Arca

    REZ............................. iShares FTSE NAREIT Residential Plus Capped Index Fund. NYSE Arca

    RFG............................. Guggenheim S&P Midcap 400 Pure Growth ETF.............. NYSE Arca

    RJA............................. ELEMENTS Linked to the Rogers International Commodity NYSE Arca

    Index--Agri Tot Return.

    RJI............................. ELEMENTS Linked to the Rogers International Commodity NYSE Arca

    Index--Total Return.

    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 S&P Global Consumer Discretionary Sector Index NYSE Arca

    Fund.

    SAGG............................ Direxion Daily Total Bond Market Bear 1x Shares........ NYSE Arca

    SBB............................. ProShares Short SmallCap600............................ NYSE Arca

    Page 54318

    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 Index Fund................. NYSE Arca

    SDIV............................ Global X SuperDividend 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 Barclays Short Treasury Bond Fund.............. NYSE Arca

    SHY............................. iShares Barclays 1-3 Year Treasury Bond Fund........... NYSE Arca

    SIL............................. Global X Silver Miners ETF............................. NYSE Arca

    SIVR............................ ETFS Physical Silver Shares............................ NYSE Arca

    SJB............................. ProShares Short High Yield............................. 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

    SNLN............................ Highland/iBoxx Senior Loan ETF......................... NYSE Arca

    SOXX............................ iShares PHLX SOX Semiconductor Sector Index Fund....... NASDAQ GM

    SPHB............................ PowerShares S&P 500 High Beta Port ETF................. NYSE Arca

    SPHD............................ PowerShares S&P 500 High Dividend Portfolio............ NYSE Arca

    SPLV............................ PowerShares S&P 500 Low Volatility Portfolio........... NYSE Arca

    SPPP............................ Sprott Physical Platinum & Palladium Trust............. NYSE Arca

    SPY............................. SPDR S&P 500 ETF Trust................................. NYSE Arca

    SPYG............................ SPDR S&P 500 Growth ETF................................ NYSE Arca

    SPYV............................ SPDR S&P 500 Value ETF................................. NYSE Arca

    SRLN............................ SPDR Blackstone/GSO Senior Loan ETF.................... NYSE Arca

    STIP............................ iShares Barclays 0-5 Year TIPS Bond Fund............... NYSE Arca

    STPZ............................ PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund.... NYSE Arca

    SUB............................. iShares S&P Short Term National AMT-Free Municipal Bond NYSE Arca

    Fund.

    SVXY............................ ProShares Short VIX Short-Term Futures ETF............. NYSE Arca

    SYLD............................ Cambria Shareholder Yield ETF.......................... NYSE Arca

    TAN............................. Guggenheim Solar ETF................................... NYSE Arca

    TAO............................. Guggenheim China Real Estate ETF....................... NYSE Arca

    TBF............................. ProShares Short 20+ Year Treasury...................... NYSE Arca

    TBX............................. ProShares Short 7-10 Treasury.......................... 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 Investable Market Index NYSE Arca

    Fund.

    TIP............................. iShares Barclays TIPS Bond Fund........................ NYSE Arca

    TLH............................. iShares Barclays 10-20 Year Treasury Bond Fund......... NYSE Arca

    TLT............................. iShares Barclays 20+ Year Treasury Bond Fund........... NYSE Arca

    TUR............................. iShares MSCI Turkey Index Fund......................... NYSE Arca

    UNG............................. United States Natural Gas Fund LP...................... NYSE Arca

    USCI............................ United States Commodity Index Fund..................... NYSE Arca

    USMV............................ iShares MSCI USA Minimum Volatility Index Fund......... 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

    Page 54319

    VEA............................. Vanguard FTSE Developed Markets ETF.................... NYSE Arca

    VEU............................. Vanguard FTSE All-World ex-US ETF...................... NYSE Arca

    VFH............................. Vanguard Financials ETF................................ NYSE Arca

    VGIT............................ Vanguard Intermediate-Term Government Bond ETF......... NASDAQ GM

    VGK............................. Vanguard FTSE Europe ETF............................... NYSE Arca

    VGLT............................ Vanguard Long-Term Government Bond ETF................. NASDAQ GM

    VGSH............................ Vanguard Short-Term Government Bond ETF................ NASDAQ GM

    VGT............................. Vanguard Information Technology ETF.................... NYSE Arca

    VHT............................. Vanguard Health Care ETF............................... NYSE Arca

    VIG............................. Vanguard Dividend Appreciation ETF..................... NYSE Arca

    VIIX............................ VelocityShares VIX Short Term ETN...................... NYSE Arca

    VIIZ............................ VelocityShares VIX Medium Term ETN..................... NYSE Arca

    VIOO............................ Vanguard S&P Small-Cap 600 ETF......................... NYSE Arca

    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

    VONE............................ Vanguard Russell 1000.................................. NASDAQ GM

    VONG............................ Vanguard Russell 1000 Growth ETF....................... NASDAQ GM

    VONV............................ Vanguard Russell 1000 Value............................ NASDAQ GM

    VOO............................. Vanguard S&P 500 ETF................................... NYSE Arca

    VOOG............................ Vanguard S&P 500 Growth ETF............................ NYSE Arca

    VOOV............................ Vanguard S&P 500 Value 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 NYSE Arca

    VEQTORTM TotaL Return Index.

    VSS............................. Vanguard FTSE All World ex-US Small-Cap ETF............ NYSE Arca

    VT.............................. Vanguard Total World Stock ETF......................... NYSE Arca

    VTHR............................ Vanguard Russell 3000.................................. NASDAQ GM

    VTI............................. Vanguard Total Stock Market ETF........................ NYSE Arca

    VTIP............................ Vanguard Short-Term Inflation-Protected Securities ETF. NASDAQ GM

    VTV............................. Vanguard Value ETF..................................... NYSE Arca

    VTWG............................ Vanguard Russell 2000 Growth........................... NASDAQ GM

    VTWO............................ Vanguard Russell 2000.................................. NASDAQ GM

    VTWV............................ Vanguard Russell 2000 Value............................ NASDAQ GM

    VUG............................. Vanguard Growth ETF.................................... NYSE Arca

    VV.............................. Vanguard Large-Cap ETF................................. NYSE Arca

    VWO............................. Vanguard FTSE Emerging Markets ETF..................... NYSE Arca

    VWOB............................ Vanguard Emerging Markets Government Bond ETF.......... NASDAQ GM

    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 NYSE Arca

    Bond ETF.

    WOOD............................ iShares S&P Global Timber & Forestry Index Fund........ NASDAQ GM

    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........ NYSE Arca

    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

    XVZ............................. iPath S&P 500 Dynamic VIX ETN.......................... NYSE Arca

    Page 54320

    YMLP............................ Yorkville High Income MLP.............................. NYSE Arca

    ZIV............................. VelocityShares Daily Inverse VIX Medium Term ETN....... NYSE Arca

    ZROZ............................ PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- NYSE Arca

    Traded Fund.

    ----------------------------------------------------------------------------------------------------------------

    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.

  26. Summary Statistics

    1. Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows:

      1. Partition stocks by category

        1. Tier 1 non-ETP issues > $3.00

        2. Tier 1 non-ETP issues >= $0.75 and shares, limit/market, side, Limit State side

      2. Pipe delimited with field name as first record

    2. Data set of order events received during Limit States

    3. 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

        1. Count

        2. Shares

        3. Shares executed

      2. Market/marketable buy orders arrivals and executions

        1. Count

        2. Shares

        3. Shares executed

      3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point

      4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable)

      5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable)

      6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point

      7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05

      8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05

      9. Count and volume of (3-8) for cancels

      10. Include: ticker, date, time at start, time of Limit State, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-

        second period

  27. At least two months prior to the end of the Pilot Period, all Participants shall provide to the SEC assessments relating to the impact of the Plan and calibration of the Percentage Parameters as follows:

    1. Assess the statistical and economic impact on liquidity of approaching Price Bands.

    2. Assess the statistical and economic impact of the Price Bands on erroneous trades.

    3. Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands.

    4. 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.

    5. 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.)

    6. Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic.

    7. Assess whether the process for exiting a Limit State should be adjusted.

    8. Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted.

    FR Doc. 2013-21302 Filed 8-30-13; 8:45 am

    BILLING CODE 8011-01-P

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