Joint Industry Plan; Notice of Filing of the Eighteenth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC, and NYSE Arca, Inc.
| Citation | 83 FR 66464 |
| Record Number | 2018-27819 |
| Published date | 26 December 2018 |
| Section | Notices |
| Court | Securities And Exchange Commission |
Federal Register, Volume 83 Issue 246 (Wednesday, December 26, 2018)
[Federal Register Volume 83, Number 246 (Wednesday, December 26, 2018)]
[Notices]
[Pages 66464-66511]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-27819]
[[Page 66463]]
Vol. 83
Wednesday,
No. 246
December 26, 2018
Part IIISecurities and Exchange Commission-----------------------------------------------------------------------Joint Industry Plan; Notice of Filing of the Eighteenth Amendment to
the National Market System Plan To Address Extraordinary Market
Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe
EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange,
Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange
LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC,
NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC,
and NYSE Arca, Inc.; Notice
Federal Register / Vol. 83 , No. 246 / Wednesday, December 26, 2018 /
Notices
[[Page 66464]]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-84843; File No. 4-631]
Joint Industry Plan; Notice of Filing of the Eighteenth Amendment
to the National Market System Plan To Address Extraordinary Market
Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe
EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange,
Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange
LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC,
NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC,
and NYSE Arca, Inc.
December 18, 2018.
I. Introduction
On November 5, 2018, NYSE Group, Inc., on behalf of the following
parties to the National Market System Plan to Address Extraordinary
Market Volatility (``the Plan''): \1\ Cboe BZX Exchange, Inc., Cboe BYX
Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc.,
Chicago Stock Exchange, Inc., the Financial Industry Regulatory
Authority, Inc. (``FINRA''), Investors Exchange LLC, NASDAQ BX, Inc.,
NASDAQ PHLX LLC, The NASDAQ Stock Market LLC (``Nasdaq''), New York
Stock Exchange LLC (``NYSE''), NYSE Arca, Inc., NYSE National Inc., and
NYSE American LLC (collectively, the ``Participants'') filed with the
Securities and Exchange Commission (``Commission'') pursuant to Section
11A(a)(3) of the Securities Exchange Act of 1934 (``Exchange Act'') \2\
and Rule 608 thereunder,\3\ a proposal to amend the Plan (``Eighteenth
Amendment'').\4\ The proposal reflects changes unanimously approved by
the Participants. The Eighteenth Amendment proposes to: (i) Amend
Section VIII of the Plan to transition the Plan from operating on a
pilot to a permanent basis; (ii) adopt a mechanism for periodic review
and assessment of the Plan; (iii) eliminate the doubling of the
Percentage Parameters \5\ between 9:30 a.m. and 9:45 a.m.; \6\ and (iv)
eliminate the doubling of the Percentage Parameters between 3:35 p.m.
and 4:00 p.m., or in the case of an early scheduled close, during the
last 25 minutes of trading before the early scheduled close, for Tier 2
NMS Stocks with a Reference Price above $3.00., as discussed below. 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 Eighteenth Amendment.\7\
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\1\ On May 31, 2012, the Commission approved the Plan, as
modified by Amendment No. 1. See Securities Exchange Act Release No.
67091, 77 FR 33498 (June 6, 2012) (File No. 4-631) (``Approval
Order''). On February 20, 2013, the Commission noticed for immediate
effectiveness the Second Amendment to the Plan. See Securities
Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On
April 3, 2013, the Commission approved the Third Amendment to the
Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483
(April 10, 2013). On August 27, 2013, the Commission noticed for
immediate effectiveness the Fourth Amendment to the Plan. See
Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3,
2013). On September 26, 2013, the Commission approved the Fifth
Amendment to the Plan. See Securities Exchange Act Release No.
70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the
Commission noticed for immediate effectiveness the Sixth Amendment
to the Plan. See Securities Exchange Act Release No. 71247, 79 FR
2204 (January 13, 2014). On April 3, 2014, the Commission approved
the Seventh Amendment to the Plan. See Securities Exchange Act
Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19,
2015, the Commission approved the Eight Amendment to the Plan. See
Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25,
2015). On October 22, 2015, the Commission approved the Ninth
Amendment to the Plan. See Securities Exchange Act Release No.
76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the
Commission approved the Tenth Amendment to the Plan. See Securities
Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On
August 26, 2016, the Commission noticed for immediate effectiveness
the Eleventh Amendment to the Plan. See Securities Exchange Act
Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19,
2017, the Commission approved the Twelfth Amendment to the Plan. See
Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26,
2017). On April 13, 2017, the Commission approved the Thirteenth
Amendment to the Plan. See Securities Exchange Act Release No.
80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the
Commission noticed for immediate effectiveness the Fourteenth
Amendment to the Plan. See Securities Exchange Act Release No.
80549, 82 FR 20928 (May 4, 2017). On September 26, 2017, the
Commission noticed for immediate effectiveness the Fifteenth
Amendment to Plan. See Securities Exchange Act Release No. 81720, 82
FR 45922 (October 2, 2017). On March 15, 2018, the Commission
noticed for immediate effectiveness the Sixteenth Amendment to the
Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414
(March 21, 2018) (File No. 4-631). On April 12, 2018, the Commission
approved the Seventeenth Amendment to the Plan. See Securities
Exchange Act Release No. 83044, 83 FR 17205 (April 18, 2018).
\2\ 15 U.S.C. 78k-1(a)(3).
\3\ 17 CFR 242.608.
\4\ See Letter from Elizabeth King, General Counsel and
Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission,
dated November 2, 2018 (``Transmittal Letter'').
\5\ Unless otherwise specified, the terms used herein have the
same meaning as set forth in the Plan.
\6\ All times are Eastern Standard or ET.
\7\ 17 CFR 242.608.
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II. Description of the Plan
Set forth in this Section II is the statement of the purpose and
summary of the Eighteenth Amendment, along with the information
required by Rule 608(a)(4) and (5) under the Exchange Act,\8\
substantially prepared and submitted by the Participants to the
Commission.\9\
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\8\ See 17 CFR 242.608(a)(4) and (a)(5).
\9\ See Transmittal Letter, supra note 4. The statement of the
purpose and summary of the amendment and the information required by
Rule 608(a)(4) and (5) is reproduced verbatim from the Transmittal
Letter unless otherwise noted; cross-references have been revised to
conform with the footnote sequencing of this notice.
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A. Statement of Purpose and Summary of the Plan Amendment
The Participants filed the Plan with the Commission on April 5,
2011 to create a market-wide limit up-limit down mechanism intended to
address extraordinary market volatility in NMS Stocks, as defined in
Rule 600(b)(47) of Regulation NMS under the Exchange Act.\10\ The Plan
sets forth procedures that provide for market-wide limit up-limit down
requirements to prevent trades in individual NMS Stocks from occurring
outside of the specified Price Bands. These limit up-limit down
requirements are coupled with Trading Pauses, as defined in Section
I(Y) of the Plan, to accommodate more fundamental price moves. In
particular, the Participants adopted this Plan to address extraordinary
volatility in the securities markets, i.e., significant fluctuations in
individual securities' prices over a short period of time, such as
those experienced during the ``Flash Crash'' on the afternoon of May 6,
2010.
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\10\ 17 CFR 242.600(b)(47).
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As set forth in more detail in the Plan, all Trading Centers in NMS
Stocks, including both those operated by Participants and those
operated by members of Participants, shall establish, maintain, and
enforce written policies and procedures that are reasonably designed to
comply with the limit up-limit down requirements specified in the Plan.
More specifically, the single plan processor (``Processors'')
responsible for consolidation of information for an NMS Stock pursuant
to Rule 603(b) of Regulation NMS under the Exchange Act is responsible
for calculating and disseminating a lower Price Band and upper Price
Band, as provided for in Section V of the Plan. Section VI of the Plan
sets forth the limit up-limit down requirements of the Plan, and in
particular, that all Trading Centers in NMS Stocks, including both
those operated by Participants and those operated by members of
Participants, shall establish, maintain, and enforce written policies
and procedures that are reasonably designed to prevent trades at prices
that are below the lower Price Band or above the upper Price Band for
an NMS Stock, consistent with the Plan.
[[Page 66465]]
As set forth in Section V of the Plan, the Price Bands consist of a
Lower Price Band and an Upper Price Band for each NMS Stock. The Price
Bands are calculated by the Processor responsible for consolidation of
information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS
under the Act.\11\ Those Price Bands are 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. The Price Bands for an NMS Stock are 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. Between 9:30 a.m. and 9:45 a.m. and 3:35
p.m. and 4:00 p.m., or in the case of an early scheduled close, during
the last 25 minutes of trading before the early scheduled close, the
Price Bands are calculated by applying double the Percentage
Parameters.
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\11\ 17 CFR 242.603(b). The Plan refers to this entity as the
Processor.
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The Processors 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 does not move by one percent or more from the
Reference Price in effect, no new Price Bands are disseminated, and the
current Reference Price remains the effective Reference Price. If the
Pro-Forma Reference Price moves by one percent or more from the
Reference Price in effect, the Pro-Forma Reference Price becomes the
Reference Price, and the Processors disseminates new Price Bands based
on the new Reference Price. Each new Reference Price remains in effect
for at least 30 seconds. When the other side of the market reaches the
applicable Price Band, the market for an individual security enters a
Limit State, and the Processors are required to disseminate such
National Best Offer or National Best Bid with an appropriate flag
identifying it as a Limit State Quotation. All trading immediately
enters 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.
Trading for an NMS Stock exits a Limit State if, within 15 seconds of
entering the Limit State, all Limit State Quotations were executed or
canceled in their entirety.
With respect to Trading Pauses, Section VII(A)(1) of the Plan
provides that if trading for an NMS Stock does not exit a Limit State
within 15 seconds of entry during Regular Trading Hours, the Primary
Listing Exchange declares a Trading Pause for such NMS Stock and shall
notify the Processor. Section VII(B)(1) of the Plan further provides
that 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 procedures and the Trading Pause shall end when the Primary
Listing Exchange reports a Reopening Price. Section VII(B)(3) of the
Plan provides that Trading Centers may not resume trading in an NMS
Stock following a Trading Pause without Price Bands in such NMS Stock.
The Plan was initially approved for a one-year pilot period, which
began on April 8, 2013.\12\ Accordingly, the pilot period was scheduled
to end on April 8, 2014. As initially contemplated, the Plan would have
been fully implemented across all NMS Stocks within six months of
initial Plan operations, which meant there would have been full
implementation of the Plan for six months before the end of the pilot
period. However, pursuant to the fourth amendment to the Plan,\13\ the
Participants modified the implementation schedule of Phase II of the
Plan to extend the time period as to when the Plan would fully apply to
all NMS Stocks. Accordingly, the Plan was not implemented across all
NMS Stocks until December 8, 2013. Pursuant to the sixth amendment to
the Plan,\14\ which further modified the implementation schedule of
Phase II of the Plan, the date for full implementation of the Plan was
moved to February 24, 2014. Pursuant to the seventh, ninth, tenth, and
thirteenth amendments to the Plan,\15\ the pilot period was extended
from April 8, 2014 to February 20, 2015, from February 20, 2015 to
April 22, 2016, from April 22, 2016 to April 17, 2017, from April 17,
2017 to April 16, 2018, and from April 16, 2018 to April 15, 2019.
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\12\ See Section VIII of the Plan.
\13\ See supra note 1.
\14\ See id.
\15\ See id.
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The Participants now propose to: (i) Amend Section VIII of the Plan
to transition the Plan from operating on a pilot to a permanent basis;
(ii) adopt a mechanism for periodic review and assessment of the Plan;
(iii) eliminate the doubling of the Percentage Parameters between 9:30
a.m. and 9:45 a.m.; and (iv) eliminate the doubling of the Percentage
Parameters between 3:35 p.m. and 4:00 p.m., or in the case of an early
scheduled close, during the last 25 minutes of trading before the early
scheduled close, for Tier 2 NMS Stocks with a Reference Price above
$3.00.
The Plan Should Operate on a Permanent Basis
As mentioned above, the Plan was designed to prevent potentially
harmful price volatility in NMS Stocks, including the kind of
volatility experienced during the market disruption that occurred on
May 6, 2010, often referred to as the ``Flash Crash''. Among other
things, the prices of a large number of individual securities suddenly
declined by significant amounts in a very short time period, before
suddenly reversing to prices consistent with their pre-decline levels.
This severe price volatility led to a large number of trades being
executed at temporarily depressed prices, including many that were more
than 60% away from pre-decline prices and were broken by the exchanges
and FINRA. Occasionally a sudden and unanticipated price movement,
unrelated to a security's fundamental and/or fair value, can be so
drastic that market orders and stop loss orders face an increased risk
of being executed at prices far away from their fundamental and/or fair
values. Such extreme volatility causing significant fluctuations in an
individual security`s price over short periods of time can undermine
the integrity of the securities market. Key features of the Plan--Price
Bands, Trading Pauses, and Limit States--are intended to reduce the
frequency of these large, transitory price movements.
The Plan was implemented in phases beginning on April 8, 2013.\16\
Prior to the operation of the Plan, each Participant adopted uniform
rules on a pilot basis in response to the market events of May 6, 2010
that paused
[[Page 66466]]
trading in individual securities during times of price volatility
(``Single-Stock Circuit Breaker'' or ``SSCB'').\17\ The SSCB rules were
an earlier attempt to address extraordinary market volatility under
which a Participant paused an individual security for five minutes
across all exchanges if the security experienced a 10% change in price
over the preceding five minutes.\18\ The SSCB pilot mechanism was later
replaced by the Plan, which is a more finely calibrated mechanism to
address extraordinary price volatility.\19\ Specifically and unlike
SSCB wherein a security was halted only after three trades at an
extreme price, the Plan's mechanism suspends trading before such
execution occurs.
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\16\ The implementation of Phase I of the Plan began on April 8,
2013 and ended on May 31, 2013. Phase I applied to securities
included in the S&P 500 and Russell 1000 and some high volume ETPs
from 9:45 a.m. to 3:30 p.m. During Phase I, the Plan did not operate
during the market open and close. The implementation of the first
part of Phase II began on August 5, 2013 and ended on September 3,
2013. The first part of Phase II applied to all NMS securities
beginning at 9:30 a.m. and ending at 3:45 p.m. Price Bands were
calculated by applying double the Percentage Parameters during 9:30
to 9:45 a.m. and during 3:35 to 3:45 p.m. The implementation of the
second part of Phase II began on February 24, 2014. The second part
of Phase II added Price Bands for the last 15 minutes of trading
from 3:45 to 4:00 p.m. and applied to all exchange-listed securities
except for Nasdaq. On May 12, 2104, the second part of Phase 2 was
implemented for Nasdaq-listed securities.
\17\ See Securities Exchange Act Release No. 62252 (June 10,
2010), 75 FR 34186 (June 16, 2010) (SR-BATS-2010-014; SR-EDGA-2010-
01; SR-EDGX2010-01; SR-BX-2010-037; SR-ISE-2010-48; SR-NYSE-2010-39;
SR-NYSEAmex-2010-46; SR-NYSEArca-2010-41; SR-NASDAQ-2010-061; SR-
CHX-2010-10; SR-NSX-2010-05; SR-CBOE-2010-047) (Order Granting
Accelerated Approval to Proposed Rule Changes Relating to Trading
Pauses Due to Extraordinary Market Volatility).
\18\ The 10% threshold is for securities in the S&P 500. A 30%
price movement is required for all other listed securities priced
above $1.00 and a 50% price movement is for all listed securities
priced below $1.00. Calculation of whether a securities price meets
the required threshold is based on the price of executed trades.
\19\ For example, the number of multiple cancellation events
decreased after the implementation of the Plan. See page 34, Table
15 of the Limit Up--Limit Down; National Market System Plan
Assessment to Address Extraordinary Market Volatility (the
``Supplemental Joint Assessment'' or ``Assessment''), available
athttps://www.sec.gov/comments/4-631/4631-39.pdf (indicating a
decrease from an average of 35.63 to 13.45 multiple cancelation
events per month from the time during the SSCB Pilot Mechanism was
in effect to after the Plan was fully implemented). For purposes of
the Joint Assessment, a multiple cancellation event is an event in
which there were six or more cancelled trade reports for a single
stock during the day.
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The Plan was approved on a pilot basis to allow the Participants
and the public to gain valuable practical experience with the Plan's
operations during the pilot period. This experience has proven
instructive to the Participants and the public in assessing whether
further modifications to the Plan were necessary and whether the Plan
should operate on a permanent basis. During the pilot period, the
Participants provided the Commission and the public \20\ with a
significant amount of data bearing on the Plan's performance to aid in
an assessment of its operations. Based on the Plan's performance, the
Participants now propose to implement the Plan on a permanent basis.
The Participants believe that the Plan has been beneficial to the
national market system by serving to dampen price volatility and
prevent unwarranted Trading Pauses that are unrelated to volatility, as
intended. Therefore, the Participants believe that the Plan should be
approved to operate on a permanent basis.
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\20\ See Supplemental Joint Assessment, id.
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The data collected during the pilot period and numerous studies
conducted by the Participants and the Commission's Department of
Economic and Risk Analysis (``DERA'') have shown that the Plan has been
beneficial to the markets by serving to dampen price volatility. For
instance, DERA issued a number of papers studying the operation of the
Plan. In one paper, DERA described their study of the Plan's effect on
extraordinary transitory volatility and found evidence that the Plan's
mechanism reduced extraordinary transitory volatility relative to the
prior SSCB mechanism depending on which methodology was employed.\21\
In particular, DERA found evidence that the magnitude of the largest
price reversals that occurred each day for both Tier 1 and Tier 2 NMS
Stocks were smaller during the Plan time period than during the SSCB
Pilot time period or the time period before the SSCB Pilot went into
effect. DERA also found evidence that the frequency of moderate price
reversal decreased during the eight week phase-in implementation during
which Tier 1 NMS Stocks were subject to the Plan and Tier 2 NMS Stocks
were subject to the SSCB mechanism.
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\21\ See `` `Limit Up-Limit Down'' Pilot Plan and Extraordinary
Transitory Volatility'', by Paul Hughes, John Ritter, and Hao Zhang,
DERA, dated December 2017, available at https://www.sec.gov/comments/4-631/4631-2830173-161647.pdf.
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Moreover, pursuant to the Plan's requirements,\22\ the Participants
provided the Commission with an assessment relating to the impact of
the Plan and calibration of the Percentage Parameters on May 28,
2015.\23\ In performing the Joint Assessment, the Participants, in
conjunction with a third party consultant, studied data from each
exchange and FINRA for the time period from the implementation of the
Plan on April 2012 through December 2014. The Participants studied the
impact of approaching Price Bands on limit order books, the Plan's
impact on erroneous executions, appropriateness of Percentage
Parameters, length of Limit States, concerns by options market
participants regarding limit states, the process for entering Limit
States and the impact of Straddle States, exiting Limit States, as well
as the length of Trading Pauses and the reopening process.
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\22\ See Appendix B, Section III of the Plan.
\23\ See the Supplemental Joint Assessment, supra note 19.
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Based on the data analyzed, the Supplemental Joint Assessment found
that the Plan has been largely effective at reducing the negative
impacts of sudden, unanticipated price movements in NMS Stocks, thereby
protecting investors and promoting a fair and orderly market. In
particular, the data in the Supplemental Joint Assessment had shown
that the Price Bands dampened price volatility by keeping prices within
the Price Bands. For instance, the data in the Supplemental Joint
Assessment showed that even in the cases where a Limit State is
reached, a majority (63.3%) of those Limit States naturally resolved
themselves within one second without triggering a Trading Pause.\24\
Only 4.08% of Limit States resulted in a Trading Pause.\25\ The data in
the Supplemental Joint Assessment further showed that the Percentage
Parameters used to determine the width of the Price Bands were
reasonably designed to ensure that they were not too wide as to permit
trades to occur at prices that do not properly reflect supply and
demand, and not too narrow as to cause excessive disruptions,
inhibiting the price discovery process.\26\ In reaching this
conclusion, the Supplemental Joint Assessment examined, among other
things, the frequency distribution of intraday stock returns to gain
insight on reasonable price moves that could take place within a day as
well as frequency of Reference Price changes. Based on this study, the
Supplemental Joint Assessment stated that the ``relative rarity of
large price updates of comparable magnitude to the wider Price Bands
indicate that the Price Bands could be narrowed substantially without
causing undue restrictions on trading.'' \27\ The Supplemental Joint
Assessment also examined minute by minute changes in stock prices to
examine short-term price reversals for the month of October 2014, the
most volatile month in the sample period. It further found the five
minute time period within which Reference Prices are calculated
provided a representative measure of price trends on which to base such
calculation.\28\
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\24\ Id. at page 19.
\25\ Id.
\26\ Id. at page 35.
\27\ Id. at page 39.
\28\ See the Supplemental Joint Assessment, supra note 19, at
page 39.
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The data in the Supplemental Joint Assessment also showed that the
length of Limit States is clearly adequate for the markets in
individual stocks to revert to normal market condition. The
[[Page 66467]]
Supplemental Joint Assessment observed that over 99% of the Limit
States in stocks with a market capitalization of over $1 billion
resolved themselves without a Trading Pause, and the vast majority of
them were resolved in one second.\29\ The same general pattern was also
true for small capitalization NMS Stocks.
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\29\ Id.
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In its conclusion, the Supplemental Joint Assessment found that
cancellation events decreased significantly under the Plan and that the
Plan's parameters are successful in preventing trades from occurring
outside of the Price Bands, avoiding the types of mispriced trades that
resulted in the Flash Crash.\30\ However, the Supplemental Joint
Assessment expressed concern regarding potential disruption in the
price discovery process around the opening of trading due to the
possible calculation of an inaccurate Reference Price, which may
trigger Limit States or Trading Pauses for reasons unrelated to the
market for the security. Therefore, the Supplemental Joint Assessment
recommended that the previous day's closing price be used as the
Reference Price where there are no trades in the opening auction. Based
on these findings, the Supplemental Joint Assessment recommended that
the Plan be made permanent with the one modification to the Reference
Price calculation,\31\ which the Participants later adopted in
Amendment No. 10 discussed below.
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\30\ Id. at page 54.
\31\ Id.
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Notwithstanding the Plan's positive impact on the markets, the
Participants continued to monitor the scope and operation of the Plan
during the pilot period. As a result, the Participants identified two
areas of the Plan that needed improvement; namely, the calculation of
Reference Prices during the opening of trading and the performance of
the reopening process following a Trading Pause. As a result, the
Participants filed Amendments Nos. 10 and 12 to the Plan proposing
modifications that the Participants deemed necessary and appropriate to
improve the Plan's performance in these two areas.
Amendment No. 10. First, in Amendment No. 10, the Participants
amended the Plan to modify the definition of Opening Price, which is
used to determine the first Reference Price of the day.\32\ Prior to
Amendment No. 10, the Opening Price was defined as the first trade or
the midpoint of the Primary Listing Exchange's best bid and offer where
the Primary Listing Exchange opened with a quotation, if such Opening
Price occurred within the first five minutes of the start of Regular
Trading Hours. Amendment No. 10 changed the definition of Opening Price
where the Primary Listing Exchange opens with a quotation from the
midpoint of that quotation to the previous day's official closing
price. In proposing Amendment No. 10, the Participants noted that the
midpoint of the bid and offer often resulted in an unrealistic
Reference Price \33\ where a security opens on quotes that are
extremely wide or improperly skewed. The Participants noted that this
could, in turn, trigger Limit States and Trading Pauses at inaccurate
price levels.\34\
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\32\ Section V(B)(1) of the Plan provides that 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.
\33\ See Securities Exchange Act Release No. 77205 (February 22,
2016), 81 FR 10315 (February 29, 2016) (``Amendment No. 10
Notice'').
\34\ Id.
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The revised definition of Opening Price in Amendment No. 10 altered
the determination of a security's first Reference Price when that
security does not trade in an opening auction in an effort to reduce
the incidence of unnecessary price moves and reduce the number of
unwarranted \35\ Trading Pauses and Limit States during the
commencement of Regular Trading Hours.
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\35\ An ``unwarranted Trading Pause'' is one that occurs because
of factors unrelated to trading volatility. For example, if the
Price Bands based on poor Reference Prices result in a Trading
Pause, such Trading Pause would be considered unwarranted.
Unwarranted Trading Pauses in illiquid stocks are typically
characterized by wide or skewed spreads between buy and sell orders
and no trading activity leading into the Trading Pause. Another
example of an unwarranted Trading Pause is discussed below under the
section entitled Proposal to Amend Calculation of Percentage
Parameters beginning on page 21.
---------------------------------------------------------------------------
Amendment No. 10 improved the operation of the Plan. Since its
implementation on July 18, 2016, Amendment No. 10 reduced the number of
unwarranted Trading Pauses and Limit States during the commencement of
Regular Trading Hours as intended. Chart A sets forth the number of
Trading Pauses in all NMS Stocks across all Primary Listing Exchanges
from January 4, 2016 through August 30, 2018. The data in Chart A
illustrates the decrease in Trading Pauses for all NMS Stocks in the
time since Amendment No. 10 was implemented in July 2016. Trading
Pauses dropped from an average of 64.4 per day to an average of 9.2 per
after Amendment No. 10 was implemented.
[[Page 66468]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.000
Further, as evidenced by the data in Chart B, Trading Pauses in
ETPs declined from 13.7 per day to 2.2 per day since Amendment No. 10
was implemented.
[[Page 66469]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.001
In addition, DERA issued a white paper studying the impact of
Amendment No. 10 and found that Trading Pauses for both Tier 1 and Tier
2 NMS Stocks were less frequent following the implementation of the
amendment.\36\ DERA found that the ``decrease in the frequency of
Trading Pauses was largest for Tier 2 securities, relative to Tier 1,
and also larger in the first 30 minutes after the opening of the
trading day.'' \37\ In particular, from May 12, 2014 (the day Phase 2
of the Plan was implemented) to December 31, 2016, DERA found that the
number of Trading Pauses decreased by nearly 80%.\38\ Since the
implementation of Amendment No. 10, DERA found a further decrease in
Trading Pauses, with the largest decrease occurring prior to 10:00 a.m.
As evidenced by the above data and DERA's study, Amendment No. 10
improved the performance of the Plan during the commencement of trading
by refining the selection method of an NMS Stock's Reference Price,
resulting in a decrease in the number of Trading Pauses at the open.
---------------------------------------------------------------------------
\36\ See ``The Effects of Amendment No. 10 of the `Limit Up-
Limit Down'' Pilot Plan'', by Paul Hughes, DERA, dated December
2017, available at https://www.sec.gov/comments/4-631/4631-2830189-161648.pdf.
\37\ Id. at 2.
\38\ Id. at page 4.
---------------------------------------------------------------------------
Amendments Nos. 12 and 13. On August 24, 2015, the U.S. markets
experienced extraordinary equities market volatility in which 257
securities triggered more than one halt, and those multi-halt
securities accounted for 1,064 of the 1,278 total halts.\39\ Following
this event, the Participants focused on a method to improve the
accuracy of the reopening price so as to avoid triggering repeated
Trading Pauses and adopted a set of common elements across all Primary
Listing Exchanges for automated reopenings. The overarching objective
was to ensure consistent and standardized behavior across markets,
while carefully balancing Halt Auction price quality and the speed with
which continuous trading can be resumed.
---------------------------------------------------------------------------
\39\ See Research Note: Equity Market Volatility on August 24,
2015, by Commission Staff of the Office of Analytics and Research,
Division of Trading and Markets, dated December 2015, available at
https://www.sec.gov/marketstructure/research/equity_market_volatility.pdf.
---------------------------------------------------------------------------
The process of reopening a security after a Trading Pause prior to
Amendment No. 12, provided that the Primary Listing Exchange would
attempt to open the paused symbol five minutes after the commencement
of the pause and, if unsuccessful, again 10 minutes later. If the
Primary Listing Market was unable to reopen 10 minutes after the
commencement of the pause, other markets were permitted to resume
trading that symbol. Amendment No. 12 improved and standardized the
automated reopening process following a Trading Pause. The Primary
Listing Exchanges also adopted rules revising their automated reopening
processes following a Trading Pause consistent with Amendment No.
12.\40\
---------------------------------------------------------------------------
\40\ See Securities Exchange Act Release Nos. 79846 (January 19,
2017), 82 FR 8548 (January 26, 2017) (SR-NYSEArca-2016-130)
(Approval Order); 79884 (January 26, 2017), 82 FR 8968 (February 1,
2017) (SR-BatsBZX-2016-61) (Approval Order); 79876 (January 25,
2017), 82 FR 8888 (January 31, 2017) (SR-Nasdaq-2016-131) (Approval
Order). The Primary Listing Exchanges implemented these changes to
their automated reopenings on November 20, 2017.
---------------------------------------------------------------------------
Under the original reopening process after a Trading Pause, the
Primary Listing Exchange would attempt to open the paused symbol at
five minutes and then again at 10 minutes after the initial
[[Page 66470]]
pause. If the Primary Listing Market was unable to reopen at 10 minutes
under its own auction rules (e.g., a market order imbalance was
remaining or the auction clearing price is outside of the auction
collar bands), other markets were permitted to resume trading that
symbol. Amendment No. 12 changed this reopening process by generally
requiring a Primary Listing Exchange to conduct a reopening auction
prior to trade resumption by other Trading Centers. Specifically,
Amendment No. 12 provided that, if the Primary Listing Exchange is
unable to reopen after 10 minutes following a Trading Pause, non-
primary markets would no longer be allowed to resume trading. Instead,
Amendment No. 12 required that the Trading Pause continue until the
Primary Listing Exchange reopens and non-primary exchanges have
received Price Bands from the Processor.
In tandem with Amendment No. 12, the Primary Listing Exchanges
amended their rules to harmonize certain aspects of their automated re-
opening procedures following a Trading Pause. The amended rules require
that the Primary Listing Exchange publish auction price collars, which
use a Reference Price based on the upper or lower Price Band that
triggered the Trading Pause.\41\ The initial Trading Pause remains in
effect for a full five minute period. If the Primary Listing Exchange
is unable to reopen, a second full five minute Trading Pause begins and
the auction price collar will be widened by another 5% (based on the
last Reference Price. Price collars will be widened with each
extension. Subsequent Trading Pause time periods also have a five
minute duration, however re-openings after the initial 10 minutes can
occur whenever the re-opening criteria have been met, without waiting
for a full five minutes. In the event a Trading Pause is in effect and
trading has not resumed by 3:50 p.m., trading in the NMS Stock will be
deferred until 4:00 p.m. and combined with the closing auction process
at each exchange.
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\41\ For example, if there is selling pressure, the auction
reference price will be the lower Price Band. The lower Auction
Collars would be 5% below that auction reference price (or $0.15 for
stocks with a reference price below $3.00). To address mean price
reversion, the upper Auction Collar will be the upper Price Band.
---------------------------------------------------------------------------
To preclude potential scenarios when trading may resume without
Price Bands, Amendment No. 12 also prohibits a Trading Center from
resuming trading in an NMS Stock following a Trading Pause in the
absence of Price Bands. In addition, to address potential scenarios in
which there is no Reopening Price from the Primary Listing Exchange to
use to calculate Price Bands, Amendment No. 12 also addressed when
trading may resume if the Primary Listing Exchange is unable to reopen
due to a systems or technology issue. Lastly, Amendment No. 12 also
addressed how an NMS Stock's Reference Price would be determined in
such a scenario as well as where the Primary Listing Exchange reopens
trading on a zero bid or zero offer, or both. The Participants
subsequently submitted Amendment No. 13 to build upon Amendment No. 12
by providing that the Processor will publish the following information
provided by a Primary Listing Exchange in connection with the reopening
of trading following a Trading Pause: Auction reference price; upper
auction collar; lower auction collar; and number of extensions to the
reopening auction. This information provides greater transparency
regarding the price range in which an NMS Stock can reopen and the
elapsed time duration of the reopening process.
The Commission-empaneled Equity Structure Advisory Committee
(``EMSAC'') tasked its Market Quality Subcommittee to examine the
events of August 24, 2015 and to recommend changes as needed. Like the
Participants, the Market Quality Subcommittee (``Subcommittee'')
studied mechanisms and functions that ``could fix the auction process
so that it would more successfully re-price securities to its new fair
range.'' \42\ The Subcommittee recommended that, instead of halting
trading when a stock hits a Price Band as provided in the Plan, trading
should continue within the current Price Bands for four minutes and
then new Price Bands should be reset using the limit Price Band as the
Reference Price for those Price Bands. Several members of the
Subcommittee were also members of the Plan's Advisory Committee and the
Subcommittee recommendations were discussed over a number of Operating
Committee meetings on fixing the auction process. The Participants
raised concerns that continued trading at the Price Bands would expose
retail investors to disadvantageous pricing and determined to address
the reopening auction process as described in Amendment No. 12.\43\
---------------------------------------------------------------------------
\42\ See U.S. Securities and Exchange Commission Equity Market
Structure Advisory Committee, Recommendations for Rulemaking on
Issues of Market Quality, dated November 29, 2016, available at
https://www.sec.gov/spotlight/emsac/emsac-recommendations-rulemaking-market-quality.pdf.
\43\ The Participants will address the EMSAC recommendations in
their first annual report regarding the Plan's operation, proposed
herein and discussed below.
---------------------------------------------------------------------------
The changes adopted by the Primary Listing Exchanges to extend the
Trading Pause and widen the Reopening Auction Collar on the side of the
Impermissible Price set forth a measured approach to provide additional
time to attract offsetting interest, to help to address an imbalance
that may not be resolved within the prior Halt Auction Collars, and to
reduce the potential for triggering another Trading Pause.
Conclusion. As supported by the above data and the Plan's overall
performance, the Plan has proved to be a valuable tool in dampening and
preventing extreme price volatility. Therefore, the Participants
believe that the above data justifies the Plan being approved to
operate on a permanent, rather than pilot, basis. Operation of the Plan
on a permanent basis would provide market participants with greater
assurance regarding the ongoing operation of the Plan and application
of controls reasonably designed to stifle extraordinary price
volatility.
The Plan has been in effect for over five years since it commenced
operation on April 18, 2013. The improvements made to the Plan in
Amendments Nos. 10, 12, and 13 have been in place in since July 18,
2016 (for Amendment No. 10) and November 20, 2017 (for Amendments Nos.
12 and 13). In Amendment No. 17 to the Plan, the Participants extended
the pilot period until April 15, 2019 to provide additional time for
the public, the Participants, and the Commission to assess the
operation of Amendment No. 12. The extension of the pilot period was
also intended to provide additional time for the Participants, the
Commission, and the public to consider other potential modifications to
the Plan, including changes to how NMS Stocks are tiered under the
Plan, and the applicable Percentage Parameters associated with such
tiers, as well as the EMSAC recommendations.
Since the implementation of Amendment Nos. 10, 12, and 13, the U.S.
equity markets have not experienced a disruption similar to what had
occurred on August 24, 2015, with stable price continuity occurring at
the open and following reopenings after a Trading Pause. Nonetheless,
the amended Plan has worked well during normal market conditions as
well as the volatile market activity that occurred in February 2018.
The Plan met the expectations of the Pilot by preventing unwarranted
Trading Pauses that are unrelated to volatility while also
[[Page 66471]]
reducing the negative impacts of sudden, unanticipated price movements
in NMS Stocks, as evidenced by the above data. Amendment No. 10 has
served to greatly reduce the potential for a Reference Price to invoke
an unwarranted Trading Pause. The Participants also believe that
Amendment No. 12 will continue to perform as expected and will do so
during times of potential future market volatility. In addition, the
Participants propose to adopt a mechanism for the periodic review and
assessment of the Plan's performance discussed below. That assessment
would encompass an ongoing review of the Plan's operation generally,
including the effectiveness of Amendments Nos. 12 and 13.
The Participants believe that the five year pilot period has
provided a robust sample size for ``the public, the Participants, and
the Commission to assess the operation of the Plan and whether the Plan
should be modified prior to approval on a permanent basis.'' \44\ In
particular, this time has also allowed the public, the Participants,
and the Commission time to assess the operation of the Plan as amended
by Amendment Nos. 10 and 12. The Participants believe that the amended
Plan has positively impacted the markets by meeting its intended goal,
to dampen and prevent extreme price volatility, and should therefore be
approved to operate on a permanent basis.
---------------------------------------------------------------------------
\44\ See supra note 1, 77 FR 33498 at 33508.
---------------------------------------------------------------------------
Proposed Mechanism for Periodic Review and Assessment
As part of its proposal to operate the Plan on a permanent basis,
the Participants propose a periodic reporting mechanism by which they,
along with the Commission and other market participants may continue to
monitor the Plan's ongoing operation. The proposed structure would
allow for the continued evaluation of the Plan's performance while
accounting for an evolving market structure. The proposed mechanism
would also ensure that the Plan continues to be monitored in a data-
driven manner by requiring data, analyses and reporting on a periodic
basis. The proposed mechanism would provide transparency into the
effectiveness of the Plan and allow the public and the Commission to
examine its ongoing performance.
Appendix B of the Plan currently requires that the Participants
collect and transmit to the Commission certain information on a monthly
basis, to be provided 30 calendar days following month end. Unless
otherwise specified in Appendix B, the Primary Listing Exchanges are
responsible for collecting and transmitting the data to the SEC. In
sum, Sections I and II of Appendix B of the Plan require the
Participants to produce the following data to the Commission as set
forth in the Plan:
Summary statistics concerning the frequency with which NMS
Stocks enter a Limit State and when a Trading Pause has been declared
for an NMS Stock;
Raw Data concerning a record of every Straddle State,
Price Band, Limit State, Trading Pause or halt;
Data set of orders entered into reopening auctions during
halts or Trading Pauses;
Data set of order events received during Limit States;
and,
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.
The Plan also includes a provision under Appendix B, Section III
that required the Participants to produce a one-time report to the
Commission relating to the impact of the Plan and calibration of the
Percentage Parameters, as discussed above. The Participants produced
that report to the Commission on May 25, 2015.\45\ As part of its
proposal to operate the Plan on a permanent basis, the Participants
propose to replace the current reporting provision under Appendix B,
Section III with a reporting mechanism by which the performance of the
Plan would be reviewed and assessed on an ongoing basis.
---------------------------------------------------------------------------
\45\ See Supplemental Joint Assessment, supra note 19.
---------------------------------------------------------------------------
As described earlier, Appendix B, Section III of the Plan required
the Participants to provide the Commission at least two months prior to
the end of the initial pilot period with an assessment relating to the
impact of the Plan and calibration of the Percentage Parameters.\46\
The Participants submitted their Supplemental Joint Assessment on May
28, 2015.\47\
---------------------------------------------------------------------------
\46\ See Appendix B, Section III of the Plan.
\47\ See Supplemental Joint Assessment, supra note 19.
---------------------------------------------------------------------------
As part of its proposal to implement the Plan on a permanent basis,
the Participants propose to replace these data reporting requirements
with a mechanism by which the Participants would periodically review
and assess the performance of the Plan.
Data Provision. The Participants believe that regular, ongoing
provision of data to the Commission is no longer necessary as public
information provided in standard data products provides much of the
information currently required by Appendix B.I and B.II.A through
B.II.D. With respect to the data that is not publicly available, the
Participants propose that the Plan would require the Participants to
provide certain data listed below to the Commission upon request.
As proposed, the Commission may request from the Primary Listing
Exchanges the following data elements:
A. Data set of all orders entered during halts or Trading Pauses
1. Normal or Auction Only orders, Arrivals, Changes, Cancels, #
shares, limit/market, side, Limit State side
2. Pipe delimited with field name as first record
B. Data set of order events received during Limit States
C. Summary data on order flow of arrivals and cancellations for each
15-second period for discrete time periods and sample stocks to be
determined by the SEC in subsequent data requests. Must indicate
side(s) of Limit State
1. Market/marketable sell orders arrivals and executions
a. Count
b. Shares
c. Shares executed
2. Market/marketable buy orders arrivals and executions
a. Count
b. Shares
c. Shares executed
3. Count arriving, volume arriving and shares executing in limit
sell orders above 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.
These data elements are substantially similar to that currently
required to be
[[Page 66472]]
produced monthly under Appendix B.II.E through G. The only difference
is that amended Appendix B.I.A would require data for all orders
entered during a halt or Trading Pause as well as identifying whether
an order was an auction-eligible order. The requested data would be
collected and transmitted to the Commission in an agreed-upon format,
and would be provided 30 calendar days following the date of the
request, or such other date as agreed upon by the Commission and
Primary Listing Exchange(s). As is the case today, the proposed data
collected and provided to the Commission under the Plan would be
transmitted to the Commission with a request for confidential treatment
under the Freedom of Information Act. 5 U.S.C. 552, and the
Commission's rules and regulations thereunder.\48\ The proposed data
collection requirements under Appendix B.I would expire at the time the
above data becomes available via the National Market System Plan
Governing the Consolidated Audit Trail or becomes publicly available.
---------------------------------------------------------------------------
\48\ The Participants understand the data requested pursuant to
proposed Appendix B.I may be used by the Commission for analysis and
assessment of the Plan and that any portion of the data utilized as
part of a public report produced by the Commission would be included
on an anonymous and aggregated basis.
---------------------------------------------------------------------------
Reporting. The Participants propose to provide the Commission, and
make publicly available, three categories of reports concerning the
Plan's ongoing operation on either a periodic or ad hoc basis, as
described below. Specifically, the Participants propose to submit to
the Commission an annual report assessing the Plan's performance,
quarterly reports providing basic statistics, as well as an ad hoc
report on the effectiveness of LULD following a significant market
event if requested by the Commission. The Participants would perform
the proposed ongoing assessment and reporting concerning the Plan's
performance based on an empirical analysis of relevant data. Each
report proposed herein and provided to the Commission would be made
publicly available and published on the Plan's website.
Annual Report. As amended, Appendix B, Section III of the Plan
would require that by no later than March 31, 2020 and annually
thereafter, the Operating Committee would provide the Commission and
make publicly available a report containing key information concerning
the Plan's performance during the preceding calendar year (``Annual
Report''). The proposed Annual Report would be produced in consultation
with the Advisory Committee and include the following items: (i) An
update on the Plan's operations; (ii) an analysis of any amendments to
the Plan implemented during the period covered by the report; and (iii)
an analysis of potential material emerging issues that may directly
impact the operation of the Plan.
Update on the Plan's Operations. This section of the
Annual Report would analyze the Plan's operation during the covered
period, including a discussion of any areas of the Plan's operation
that require additional analysis. In particular, this section of the
Annual Report would examine the calibration of the parameters set forth
in the Plan (e.g., Price Bands, duration of Limit States, impact of
Straddle States, duration of Trading Pauses, and the performance of
reopening procedures following a Trading Pause). This section of the
Annual Report also would consider stock characteristics and variations
in market conditions over time, and will include tests that
differentiate results for different characteristics, both in isolation
and in combination.
Analysis of Amendments Implemented. This section of the
Annual Report would provide an analysis of any amendments implemented
during the covered period. The analysis would include a discussion of
the amendment's operation and its impact on the overall operation of
the Plan. For example, this section of the Annual Report would include
an analysis of the amendments proposed herein to Section V.A. I of the
Plan concerning the calculation of the Percentage Parameters should
those changes be approved by the Commission and implemented by the
Participants during the period covered by that Annual Report.
Analysis of Emerging Issues. This section of the Annual
Report should vary from year-to-year and would include a discussion and
analysis of the Plan's operation during a significant market event that
may have occurred during the covered period. This section shall also
include any additional analyses performed during the covered period on
issues that were raised in previous Annual Reports. In this section of
the first Annual Report to be produced by March 31, 2020, the
Participants intend to discuss the November 29, 2016 recommendations
made by EMSAC's Market Quality Subcommittee.\49\
---------------------------------------------------------------------------
\49\ See U.S. Securities and Exchange Commission Equity Market
Structure Advisory Committee, Recommendations for Rulemaking on
Issues of Market Quality, dated November 29, 2016, available at
https://www.sec.gov/spotlight/emsac/emsac-recommendations-rulemaking-market-quality.pdf.
---------------------------------------------------------------------------
The Participants would perform the proposed ongoing assessment and
reporting concerning the Plan's performance based on an empirical
analysis of relevant data. Any analysis conducted by the Participants
and included in the Annual Report would be based on aggregated data
from all relevant exchanges and FINRA, depending on the issue that is
being analyzed. The Annual Report would be published on the Plan's
website.\50\
---------------------------------------------------------------------------
\50\ As is the case today with proposed amendments to National
Market System Plan submitted pursuant to Rule 608 of Regulation NMS,
17 CFR 242.608, and published by the Commission for public comment,
the Participants would consult with Commission staff when evaluating
comments submitted by the public on the Annual Report and whether a
response is necessary. The Participants note that a similar process
is also currently in place when evaluating public comments submitted
on proposed rule changes submitted by self-regulatory organizations
under Section 19(b) of the Exchange Act. Neither Rule 608 nor
Section 19(b) of the Exchange Act, 15 U.S.C. 78s(b), require that
the Participants respond to each comment submitted on a proposed
amendment to a National Market System Plan or rule change proposed
to an individual exchange rule. Nonetheless, as with current
practice, potential public comments on the reports proposed herein
that raise material issues relevant to the Plan's operation would
likely warrant a response from the Participants.
---------------------------------------------------------------------------
Quarterly Data. 30 days following the end of each calendar quarter,
the Participants would provide the Commission and make publicly
available a report including basic statistics regarding the Plan's
operation (``Monitoring Report'') during the preceding calendar quarter
as well as aggregated data from the previous 12 quarters beginning with
the calendar quarter covered by the first Monitoring Report. The data
included in the Monitoring Report would be collected and transmitted to
the Commission in an agreed-upon format that would allow for the
download and analysis by the Commission and the public. The purpose of
the Monitoring Report is to identify trends in the performance and
impact of the Plan on market activity. The Monitoring Report would
include data, for example, of the number and rate of recurrence of
Limit States, Straddle States and Trading Pauses for each month during
the calendar quarter. The Monitoring Report would also examine the
number of Clearly Erroneous Executions that occur during the operation
of the Plan and the performance of reopening procedures following a
Trading Pause. Appendix B.II.B would require the quarterly data
production to include the following data for each month during the
preceding calendar quarter:
A. Events Data.
[[Page 66473]]
1. Number of Limit States, Trading Pauses, and Straddle States per
day, including distribution statics such as the mean, median, minimum
and maximum percentiles
2. Number of NMS Stocks that experience more than one Limit State,
Trading Pause, or Straddle State in a single day including the length
of each Limit State, Trading Pause, and Straddle State per day
B. The number of Clearly Erroneous Events per day for all NMS Stocks
that occurred during the time when Price Bands are disseminated by the
Processor
C. Reopening Data
1. Number of times an automated reopening process is extended for
and the length of the Trading Pause
2. Whether the reopening process ended in a trade
3. The price calculated by an automated reopening process for an
NMS Stock exiting a Trading Pause
4. For the five minutes following the conclusion of a Trading
Pause, the highest price of all last sale eligible trades, the lowest
price of all last sale eligible trades, and the average price of all
last sale eligible trades
Appendix B.II.B would also require that the data production
partition stocks by the following categories, which are identical to
that currently required for the monthly data productions under the
existing text to Appendix B.I.A.1.
A. Tier 1 non-ETP issues >$3.00
B. Tier 1 non-ETP issues >=$0.75 and =$3.00
C. Tier 1 non-ETP issues https://www.sciencedirect.com/science/article/pii/S0304405X18302356.
---------------------------------------------------------------------------
5. Charts G and H demonstrate a spike in actual and projected limit
states and trading pauses during February 2018. This spike appears to
have occurred during the volatile trading day of February 5, 2018. Are
commenters concerned about the impact of narrowing double-wide bands
between 9:30 a.m. and 9:45 a.m. on volatile trading days? Please
support any response with data, if possible.
6. Is there a disproportionate number of Limit States and Trading
Pauses that occur at or shortly after 9:45 a.m.? \56\ Are these Limit
States and Trading Pauses caused by the contraction of the Price Bands
rather than an increase in volatility of the type the Plan is designed
to prevent? Would the proposed narrower Price Bands reduce the
occurrence of Limit States and Trading Pauses that presently occur at
or shortly after the Price Bands contract at 9:45 a.m.?
---------------------------------------------------------------------------
\56\ Another DERA study looked at the frequency of Trading
Pauses around the introduction of Limit up Limit Down and found that
a disproportionate number of trading pauses occurred during the five
minutes after the opening bands contracted, i.e. 9:45-9:50 a.m. See
Moise, C. and P. Flaherty, 2017. ``Limit Up-Limit Down Pilot Plan
and Associated Events'', SEC White Paper, available at https://www.sec.gov/dera/staff-papers/whitepapers/10mar17moiseflahertyluld.
---------------------------------------------------------------------------
7. Would the proposed narrower Price Bands reduce the number of
clearly erroneous executions that occur between 9:30 a.m. and 9:45
a.m.?
Proposal to Narrow Bands Between 3:35 and 4:00
8. Is the proposal to amend the Plan to eliminate the doubling of
Percentage Parameters of Tier 2 NMS Stocks with a Reference Price above
$3.00 between 3:35 p.m. and 4:00 p.m. appropriate?
9. Alternatively, would it be preferable and appropriate to
maintain the current provision that doubles the Percentage Parameters
of Tier 2 NMS Stocks with a Reference Price above $3.00 between 3:45
p.m. and 4:00 p.m.? Please support any response with data, if possible.
10. The requirement to double the Percentage Parameters of Tier 2
NMS Stocks with a Reference Price above $3.00 between 3:35 p.m. and
4:00 p.m. for purposes of calculating the Price Bands was established
in light of the higher volatility at the end of the trading day. Chart
D shows that the volatility gradually increases as the trading day
progresses towards the close of trading. Would the proposed narrower
Price Bands between 3:35 p.m. and 4:00 p.m. increase the occurrence of
Limit States and Trading Pauses that occur during that time period? Are
there any concerns that narrowing the Price Bands between 3:35 p.m. and
4:00 p.m. as proposed would impede an orderly trading environment
during this more volatile period of the trading day? Would an increase
in Limit States and Trading Pauses between 3:35 p.m. and 4:00 p.m.
impact negatively the primary listing exchange closing auction
processes? Please support any response with data, if possible.
11. Do commenters agree with the Participants that market
participant behavior would change such that eliminating double-wide
bands at the close would not result in an increase in limit states and
trading pauses similar to what the Participants project based on Chart
K? If the double-wide bands did in fact result in a higher incidence of
trading pauses and limit states as estimated based on Chart K, would
market participants be concerned about impacts of the Plan on trading
between 3:35 p.m. and 4:00 p.m. or the primary listing exchange closing
auction processes? Please support any response with data, if possible.
12. Are commenters concerned about the impact of narrowing double-
wide
[[Page 66482]]
bands between 3:35 p.m. and 4:00 p.m. on volatile trading days? Please
support any response with data, if possible.
13. Would the proposed narrower Price Bands increase the occurrence
of Limit States and Trading Pauses near the close? Is the current
doubling of Percentage Parameters for such stocks near the close
unwarranted? Are potential price swings of as much as 40% for such
stocks inconsistent with the Plan's goal of addressing extraordinary
market volatility in NMS Stocks?
Proposal To Provide Data to the Commission That Would Not Be Made
Public
14. The Participants propose to provide certain data to the
Commission upon request that would not be made publicly available.
Should any data that is provided to the Commission also be made
publicly available? Please describe any concerns with respect to making
public, or not making public, the data that will be provided to the
Commission.
Participant Statement Regarding Competition
15. The Participants state that Plan does not impose any burden on
competition that is not necessary or appropriate in furtherance of the
purposes of the Exchange Act. Do commenters believe that the Plan
imposes any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Exchange Act?
16. Further, would the proposal have a positive, negative, or
neutral impact on competition? Please explain. How would any impact on
competition from the proposal benefit or harm the national market
system or the various market participants? Please describe and explain
how, if at all, aspects of the national market system or different
market participants would be affected. Please support any response with
data, if possible.
17. More generally, to the extent possible please provide specific
data, analyses, or studies for support regarding any impacts of the
proposal on competition.
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 Brent J. Fields,
Secretary, Securities and Exchange Commission, 100 F Street NE,
Washington, DC 20549-1090.
All submissions should refer to File Number 4-631.This file number
should be included on the subject line if email is used. To help the
Commission process and review your comments more efficiently, please
use only one method. The Commission will post all comments on the
Commission's internet website (http://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed plan amendment that are filed
with the Commission, and all written communications relating to the
amendment between the Commission and any person, other than those that
may be withheld from the public in accordance with the provisions of 5
U.S.C. 552, will be available for website viewing and printing in the
Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of such filing also will be available for inspection
and copying at the Participants' offices. All comments received will be
posted without change. Persons submitting comments are cautioned that
we do not redact or edit personal identifying information from comment
submissions. You should submit only information that you wish to make
available publicly. All submissions should refer to File Number 4-631
and should be submitted on or before January 16, 2019.
By the Commission.
Eduardo A. Aleman,
Deputy Secretary.
[[Page 66483]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.014
[[Page 66484]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.015
[[Page 66485]]
Preamble
The Participants submit to the SEC this Plan establishing
procedures to address extraordinary volatility in NMS Stocks. The
procedures provide for market-wide limit up-limit down requirements
that prevent trades in individual NMS Stocks from occurring outside of
the specified Price Bands. These limit up-limit down requirements are
coupled with Trading Pauses to accommodate more fundamental price
moves. The Plan procedures are designed, among other things, to protect
investors and promote fair and orderly markets. The Participants
developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under
the Exchange Act, which authorizes the Participants to act jointly in
preparing, filing, and implementing national market system plans.
I. Definitions
(A) ``Eligible Reported Transactions'' shall have the meaning
prescribed by the Operating Committee and shall generally mean
transactions that are eligible to update the last sale price of an NMS
Stock.
(B) ``Exchange Act'' means the Securities Exchange Act of 1934, as
amended.
(C) ``Limit State'' shall have the meaning provided in Section VI
of the Plan.
(D) ``Limit State Quotation'' shall have the meaning provided in
Section VI of the Plan.
(E) ``Lower Price Band'' shall have the meaning provided in Section
V of the Plan.
(F) ``Market Data Plans'' shall mean the effective national market
system plans through which the Participants act jointly to disseminate
consolidated information in compliance with Rule 603(b) of Regulation
NMS under the Exchange Act.
(G) ``National Best Bid'' and ``National Best Offer'' shall have
the meaning provided in Rule 600(b)(42) of Regulation NMS under the
Exchange Act.
(H) ``NMS Stock'' shall have the meaning provided in Rule
600(b)(47) of Regulation NMS under the Exchange Act.
(I) ``Opening Price'' shall mean the price of a transaction that
opens trading on the Primary Listing Exchange. If the Primary Listing
Exchange opens with quotations, the ``Opening Price'' shall mean the
closing price of the NMS Stock on the Primary Listing Exchange on the
previous trading day, or if no such closing price exists, the last sale
on the Primary Listing Exchange.
(J) ``Operating Committee'' shall have the meaning provided in
Section III(C) of the Plan.
(K) ``Participant'' means a party to the Plan.
(L) ``Plan'' means the plan set forth in this instrument, as
amended from time to time in accordance with its provisions.
(M) ``Percentage Parameter'' shall mean the percentages for each
tier of NMS Stocks set forth in Appendix A of the Plan.
(N) ``Price Bands'' shall have the meaning provided in Section V of
the Plan.
(O) ``Primary Listing Exchange'' shall mean the Participant on
which an NMS Stock is listed. If an NMS Stock is listed on more than
one Participant, the Participant on which the NMS Stock has been listed
the longest shall be the Primary Listing Exchange.
(P) ``Processor'' shall mean the single plan processor responsible
for the consolidation of information for an NMS Stock pursuant to Rule
603(b) of Regulation NMS under the Exchange Act.
(Q) ``Pro-Forma Reference Price'' shall have the meaning provided
in Section V(A)(2) of the Plan.
(R) ``Reference Price'' shall have the meaning provided in Section
V of the Plan.
(S) ``Regular Trading Hours'' shall have the meaning provided in
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes
of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in
the case of an early scheduled close.
(T) ``Regulatory Halt'' shall have the meaning specified in the
Market Data Plans.
(U) ``Reopening Price'' shall mean the price of a transaction that
reopens trading on the Primary Listing Exchange following a Trading
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens
with quotations, the midpoint of those quotations.
(V) ``SEC'' shall mean the United States Securities and Exchange
Commission.
(W) ``Straddle State'' shall have the meaning provided in Section
VII(A)(2) of the Plan.
(X) ``Trading center'' shall have the meaning provided in Rule
600(b)(78) of Regulation NMS under the Exchange Act.
(Y) ``Trading Pause'' shall have the meaning provided in Section
VII of the Plan.
(Z) ``Upper Price Band'' shall have the meaning provided in Section
V of the Plan.
II. Parties
(A) List of Parties
The parties to the Plan are as follows:
(1) Cboe BZX Exchange, Inc., 400 South LaSalle Street, Chicago,
Illinois 60605
(2) Cboe BYX Exchange, Inc., 400 South LaSalle Street, Chicago,
Illinois 60605
(3) Cboe EDGA Exchange, Inc., 400 South LaSalle Street, Chicago,
Illinois 60605
(4) Cboe EDGX Exchange, Inc., 400 South LaSalle Street, Chicago,
Illinois 60605
(5) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago,
Illinois 60605
(6) Financial Industry Regulatory Authority, Inc., 1735 K Street NW,
Washington, DC 20006
(7) Investors Exchange LLC, 4 World Trade Center, 44th Floor, New York,
New York 10007
(8) NASDAQ BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania
19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New
York, NY 10006
(11) NYSE National, Inc., 11 Wall Street, New York, NY 10005
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York
10005
(13) NYSE American LLC, 11 Wall Street, New York, New York 10005
(14) NYSE Arca, Inc., 11 Wall Street, New York, New York 10005
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the SEC,
each Participant agrees to comply with and to enforce compliance, as
required by Rule 608(c) of Regulation NMS under the Exchange Act, by
its members with the provisions of the Plan. To this end, each
Participant shall adopt a rule requiring compliance by its members with
the provisions of the Plan, and each Participant shall take such
actions as are necessary and appropriate as a participant of the Market
Data Plans to cause and enable the Processor for each NMS Stock to
fulfill the functions set forth in this Plan.
(C) New Participants
The Participants agree that any entity registered as a national
securities exchange or national securities association under the
Exchange Act may become a Participant by: (1) Becoming a participant in
the applicable Market Data Plans; (2) executing a copy of the
[[Page 66486]]
Plan, as then in effect; (3) providing each then-current Participant
with a copy of such executed Plan; and (4) effecting an amendment to
the Plan as specified in Section III (B) of the Plan.
(D) Advisory Committee
(1) Formation. Notwithstanding other provisions of this Plan, an
Advisory Committee to the Plan shall be formed and shall function in
accordance with the provisions set forth in this section.
(2) Composition. Members of the Advisory Committee shall be
selected for two-year terms as follows:
(A) Advisory Committee Selections. By affirmative vote of a
majority of the Participants, the Participants shall select at least
one representatives from each of the following categories to be members
of the Advisory Committee: (1) A broker-dealer with a substantial
retail investor customer base; (2) a broker-dealer with a substantial
institutional investor customer base; (3) an alternative trading
system; (4) a broker-dealer that primarily engages in trading for its
own account; and (5) an investor.
(3) Function. Members of the Advisory Committee shall have the
right to submit their views to the Operating Committee on Plan matters,
prior to a decision by the Operating Committee on such matters. Such
matters shall include, but not be limited to, proposed material
amendments to the Plan.
(4) Meetings and Information. Members of the Advisory Committee
shall have the right to attend meetings of the Operating Committee and
to receive any information concerning Plan matters; provided, however,
that the Operating Committee may meet in executive session if, by
affirmative vote of a majority of the Participants, the Operating
Committee determines that an item of Plan business requires
confidential treatment.
III. Amendments to Plan
(A) General Amendments
Except with respect to the addition of new Participants to the
Plan, any proposed change in, addition to, or deletion from the Plan
shall be effected by means of a written amendment to the Plan that: (1)
Sets forth the change, addition, or deletion; (2) is executed on behalf
of each Participant; and, (3) is approved by the SEC pursuant to Rule
608 of Regulation NMS under the Exchange Act, or otherwise becomes
effective under Rule 608 of Regulation NMS under the Exchange Act.
(B) New Participants
With respect to new Participants, an amendment to the Plan may be
effected by the new national securities exchange or national securities
association executing a copy of the Plan, as then in effect (with the
only changes being the addition of the new Participant's name in
Section II(A) of the Plan) and submitting such executed Plan to the SEC
for approval. The amendment shall be effective when it is approved by
the SEC in accordance with Rule 608 of Regulation NMS under the
Exchange Act or otherwise becomes effective pursuant to Rule 608 of
Regulation NMS under the Exchange Act.
(C) Operating Committee
(1) Each Participant shall select from its staff one individual to
represent the Participant as a member of an Operating Committee,
together with a substitute for such individual. The substitute may
participate in deliberations of the Operating Committee and shall be
considered a voting member thereof only in the absence of the primary
representative. Each Participant shall have one vote on all matters
considered by the Operating Committee. No later than the initial date
of Plan operations, the Operating Committee shall designate one member
of the Operating Committee to act as the Chair of the Operating
Committee.
(2) The Operating Committee shall monitor the procedures
established pursuant to this Plan and advise the Participants with
respect to any deficiencies, problems, or recommendations as the
Operating Committee may deem appropriate. The Operating Committee shall
establish specifications and procedures for the implementation and
operation of the Plan that are consistent with the provisions of this
Plan and the Appendixes thereto. With respect to matters in this
paragraph, Operating Committee decisions shall be approved by a simple
majority vote.
(3) Any recommendation for an amendment to the Plan from the
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be
submitted to the SEC as a request for an amendment to the Plan
initiated by the Commission under Rule 608 of Regulation NMS.
IV. Trading Center Policies and Procedures
All trading centers in NMS Stocks, including both those operated by
Participants and those operated by members of Participants, shall
establish, maintain, and enforce written policies and procedures that
are reasonably designed to comply with the limit up--limit down
requirements specified in Sections VI of the Plan, and to comply with
the Trading Pauses specified in Section VII of the Plan.
V. Price Bands
(A) Calculation and Dissemination of Price Bands
[[Page 66487]]
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[[Page 66488]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.017
(B) Openings
(1) Except when a Regulatory Halt is in effect at the start of
Regular Trading Hours, the first Reference Price for a trading day
shall be the Opening Price on the Primary Listing Exchange in an NMS
Stock if such Opening Price occurs less than five minutes after the
start of Regular Trading Hours. During the period less than five
minutes after the Opening Price, a Pro-Forma Reference Price shall be
updated on a continuous basis to be the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock during the period
following the Opening Price (including the Opening Price), and if it
differs from the current Reference Price by 1% or more shall become the
new Reference Price, except that a new Reference Price shall remain in
effect for at least 30 seconds. Subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
(2) If the Opening Price on the Primary Listing Exchange in an NMS
Stock does not occur within five minutes after the start of Regular
Trading Hours, the first Reference Price for a trading day shall be the
arithmetic mean price of Eligible Reported Transactions for the NMS
Stock over the preceding five minute time period, and subsequent
Reference Prices shall be calculated as specified in Section V(A) of
the Plan.
(C) Reopenings
(1) Following a Trading Pause in an NMS Stock, and if the Primary
Listing Exchange has not declared a Regulatory Halt, if the Primary
Listing Exchange reopens trading with a transaction or quotation that
does not include a zero bid or zero offer, the next Reference Price
shall be the Reopening Price on the Primary Listing Exchange.
Subsequent Reference Prices shall be determined in the manner
prescribed for normal openings, as specified in Section V(B)(1) of the
Plan. If the Primary Listing Exchange notifies the Processor that it is
unable to reopen an NMS Stock due to a systems or technology issue, or
if the Primary Listing Exchange reopens trading with a quotation that
has a zero bid or zero offer, or both, the next Reference Price shall
be the last effective Price Band that was in a Limit State before the
Trading Pause. Subsequent Reference Prices shall be calculated as
specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be
the Opening or Reopening Price on the Primary Listing Exchange if such
Opening or Reopening Price occurs within five minutes after the end of
the Regulatory Halt, and subsequent Reference Prices shall be
determined in the manner prescribed for normal openings, as specified
in Section V(B)(1) of the Plan. If such Opening or Reopening Price has
not occurred within five minutes after the end of the Regulatory Halt,
the Reference Price shall be equal to the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock over the preceding
five minute time period, and subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those
operated by Participants and those operated by members of Participants,
shall establish, maintain, and enforce written policies and procedures
that are reasonably designed to prevent trades at prices that are below
the Lower Price Band or above the Upper Price Band for an NMS Stock.
Single-priced opening, reopening, and closing transactions on the
Primary Listing Exchange, however, shall be excluded from this
limitation. In addition, any transaction that both (i) does not update
the last sale price (except if solely because the transaction was
reported late or because the transaction was an odd-lot sized
transaction), and (ii) is excepted or exempt from Rule 611 under
Regulation NMS shall be excluded from this limitation.
(2) When a National Best Bid is below the Lower Price Band or a
National Best Offer is above the Upper Price Band for an NMS Stock, the
Processor shall disseminate such National Best Bid or National Best
Offer with an appropriate flag identifying it as non-executable.
[[Page 66489]]
When a National Best Offer is equal to the Lower Price Band or a
National Best Bid is equal to the Upper Price Band for an NMS Stock,
the Processor shall distribute such National Best Bid or National Best
Offer with an appropriate flag identifying it as a ``Limit State
Quotation''.
(3) All trading centers in NMS Stocks, including both those
operated by Participants and those operated by members of Participants,
shall establish, maintain, and enforce written policies and procedures
that are reasonably designed to prevent the display of offers below the
Lower Price Band and bids above the Upper Price Band for an NMS Stock.
The Processor shall disseminate an offer below the Lower Price Band or
bid above the Upper Price Band that may be submitted despite such
reasonable policies and procedures, but with an appropriate flag
identifying it as non-executable; provided, however, that any such bid
or offer shall not be included in National Best Bid or National Best
Offer calculations.
(B) Entering and Exiting a Limit State
(1) All trading for an NMS Stock shall immediately enter a Limit
State if the National Best Offer equals the Lower Price Band and does
not cross the National Best Bid, or the National Best Bid equals the
Upper Price Band and does not cross the National Best Offer.
(2) When trading for an NMS Stock enters a Limit State, the
Processor shall disseminate this information by identifying the
relevant quotation (i.e., a National Best Offer that equals the Lower
Price Band or a National Best Bid that equals the Upper Price Band) as
a Limit State Quotation. At this point, the Processor shall cease
calculating and disseminating updated Reference Prices and Price Bands
for the NMS Stock until either trading exits the Limit State or trading
resumes with an opening or re-opening as provided in Section V.
(3) Trading for an NMS Stock shall exit a Limit State if, within 15
seconds of entering the Limit State, the entire size of all Limit State
Quotations are executed or cancelled.
(4) If trading for an NMS Stock exits a Limit State within 15
seconds of entry, the Processor shall immediately calculate and
disseminate updated Price Bands based on a Reference Price that equals
the arithmetic mean price of Eligible Reported Transactions for the NMS
Stock over the immediately preceding five-minute period (including the
period of the Limit State).
(5) If trading for an NMS Stock does not exit a Limit State within
15 seconds of entry, the Limit State will terminate when the Primary
Listing Exchange declares a Trading Pause pursuant to Section VII of
the Plan or at the end of Regular Trading Hours.
VII. Trading Pauses
(A) Declaration of Trading Pauses
(1) If trading for an NMS Stock does not exit a Limit State within
15 seconds of entry during Regular Trading Hours, then the Primary
Listing Exchange shall declare a Trading Pause for such NMS Stock and
shall notify the Processor.
(2) The Primary Listing Exchange may also declare a Trading Pause
for an NMS Stock when an NMS Stock is in a Straddle State, which is
when National Best Bid (Offer) is below (above) the Lower (Upper) Price
Band and the NMS Stock is not in a Limit State, and trading in that NMS
Stock deviates from normal trading characteristics such that declaring
a Trading Pause would support the Plan's goal to address extraordinary
market volatility. The Primary Listing Exchange shall develop policies
and procedures for determining when it would declare a Trading Pause in
such circumstances. If a Trading Pause is declared for an NMS Stock
under this provision, the Primary Listing Exchange shall notify the
Processor.
(3) The Processor shall disseminate Trading Pause information to
the public. No trades in an NMS Stock shall occur during a Trading
Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
(1) Five minutes after declaring a Trading Pause for an NMS Stock,
and if the Primary Listing Exchange has not declared a Regulatory Halt,
the Primary Listing Exchange shall attempt to reopen trading using its
established reopening procedures. The Processor will publish the
following information that the Primary Listing Exchange provides to the
Processor in connection with such reopening: Auction reference price;
auction collars; and number of extensions to the reopening auction. The
Trading Pause shall end when the Primary Listing Exchange reports a
Reopening PPrice.
(2) The Primary Listing Exchange shall notify the Processor if it
is unable to reopen trading in an NMS Stock due to a systems or
technology issue and if it has not declared a Regulatory Halt. The
Processor shall disseminate this information to the public.
(3) Trading centers may not resume trading in an NMS Stock
following a Trading Pause without Price Bands in such NMS Stock.
(4) The Processor shall update the Price Bands as set forth in
Section V(C)(1)-(2) of the Plan after receiving notification from the
Primary Listing Exchange of a Reopening Price following a Trading Pause
(or a resume message in the case of a reopening quote that has a zero
bid or zero offer, or both) or that it is unable to reopen trading
following a Trading Pause due to a systems or technology issue,
provided that if the Primary Listing Exchange is unable to reopen due
to a systems or technology issue, the update to the Price Bands will be
no earlier than ten minutes after the beginning of the Trading Pause.
(C) Trading Pauses Within Ten Minutes of the End of Regular Trading
Hours
(1) If an NMS Stock is in a Trading Pause during the last ten
minutes of trading before the end of Regular Trading Hours, the Primary
Listing Exchange shall not reopen trading and shall attempt to execute
a closing transaction using its established closing procedures. All
trading centers may begin trading the NMS Stock when the Primary
Listing Exchange executes a closing transaction.
(2) If the Primary Listing Exchange does not execute a closing
transaction within five minutes after the end of Regular Trading Hours,
all trading centers may begin trading the NMS Stock.
VIII. Implementation
IX. Withdrawal From Plan
If a Participant obtains SEC approval to withdraw from the Plan,
such Participant may withdraw from the Plan at any time on not less
than 30 days' prior written notice to each of the other Participants.
At such time, the withdrawing Participant shall have no further rights
or obligations under the Plan.
X. Counterparts and Signatures
The Plan may be executed in any number of counterparts, no one of
which need contain all signatures of all Participants, and as many of
such counterparts as shall together contain all such signatures shall
constitute one and the same instrument.
[[Page 66490]]
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[GRAPHIC] [TIFF OMITTED] TN26DE18.019
[[Page 66491]]
Appendix A--Percentage Parameters
I. Tier 1 NMS Stocks
(2) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price more than $3.00 shall be 5%.
(3) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price equal to $0.75 and up to and including $3.00 shall be
20%.
(4) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b)
75%.
(5) The Reference Price used for determining which Percentage
Parameter shall be applicable during a trading day shall be based on
the closing price of the NMS Stock on the Primary Listing Exchange on
the previous trading day, or if no closing price exists, the last sale
on the Primary Listing Exchange reported by the Processor.
[GRAPHIC] [TIFF OMITTED] TN26DE18.020
II. Tier 2 NMS Stocks
[[Page 66492]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.021
Appendix A--Schedule 1
(as of July 2, 2018)
------------------------------------------------------------------------
Ticker ETP name Exchange
------------------------------------------------------------------------
SPY........................ SPDR S&P 500 ETF NYSE Arca.
Trust.
QQQ........................ Invesco QQQ Trust.... NASDAQ.
IWM........................ iShares Russell 2000 NYSE Arca.
ETF.
EEM........................ iShares MSCI Emerging NYSE Arca.
Markets ETF.
EFA........................ iShares MSCI EAFE ETF NYSE Arca.
XLF........................ Financial Select NYSE Arca.
Sector SPDR Fund.
VXX........................ iPath S&P 500 VIX NYSE Arca.
Short-Term Futures
ETN Class A.
DIA........................ SPDR Dow Jones NYSE Arca.
Industrial Average
ETF Trust.
HYG........................ iShares iBoxx $ High NYSE Arca.
Yield Corporate Bond
ETF.
IVV........................ iShares Core S&P 500 NYSE Arca.
ETF.
XLE........................ Energy Select Sector NYSE Arca.
SPDR Fund.
FXI........................ iShares China Large- NYSE Arca.
Cap ETF.
TLT........................ iShares 20+ Year NASDAQ.
Treasury Bond ETF.
XLI........................ Industrial Select NYSE Arca.
Sector SPDR Fund.
XLK........................ Technology Select NYSE Arca.
Sector SPDR Fund.
GLD........................ SPDR Gold Trust...... NYSE Arca.
EWZ........................ iShares MSCI Brazil NYSE Arca.
ETF.
XLU........................ Utilities Select NYSE Arca.
Sector SPDR Fund.
GDX........................ VanEck Vectors Gold NYSE Arca.
Miners ETF.
XLP........................ Consumer Staples NYSE Arca.
Select Sector SPDR
Fund.
XLV........................ Health Care Select NYSE Arca.
Sector SPDR Fund.
VOO........................ Vanguard S&P 500 ETF. NYSE Arca.
LQD........................ iShares iBoxx $ NYSE Arca.
Investment Grade
Corporate Bond ETF.
XOP........................ SPDR S&P Oil & Gas NYSE Arca.
Exploration &
Production ETF.
[[Page 66493]]
IEMG....................... iShares Core MSCI NYSE Arca.
Emerging Markets ETF.
IYR........................ iShares U.S. Real NYSE Arca.
Estate ETF.
VWO........................ Vanguard FTSE NYSE Arca.
Emerging Markets ETF.
XLY........................ Consumer NYSE Arca.
Discretionary Select
Sector SPDR Fund.
SMH........................ VanEck Vectors NYSE Arca.
Semiconductor ETF.
EWJ........................ iShares MSCI Japan NYSE Arca.
ETF.
IEFA....................... iShares Core MSCI Cboe BZX.
EAFE ETF.
JNK........................ SPDR Bloomberg NYSE Arca.
Barclays High Yield
Bond ETF.
VNQ........................ Vanguard Real Estate NYSE Arca.
ETF.
XBI........................ SPDR S&P BIOTECH ETF. NYSE Arca.
VEA........................ Vanguard FTSE NYSE Arca.
Developed Markets
ETF.
AGG........................ iShares Core U.S. NYSE Arca.
Aggregate Bond ETF.
MDY........................ SPDR S&P Midcap 400 NYSE Arca.
ETF Trust.
XLB........................ Materials Select NYSE Arca.
Sector SPDR Fund.
GDXJ....................... VanEck Vectors Junior NYSE Arca.
Gold Miners ETF.
KRE........................ SPDR S&P Regional NYSE Arca.
Banking ETF.
VTI........................ Vanguard Total Stock NYSE Arca.
Market ETF.
SVXY....................... ProShares Short VIX NYSE Arca.
Short-Term Futures
ETF.
EMB........................ iShares JP Morgan USD NASDAQ.
Emerging Markets
Bond ETF.
EZU........................ iShares MSCI Eurozone Cboe BZX.
ETF.
IEF........................ iShares 7-10 Year NASDAQ.
Treasury Bond ETF.
IBB........................ iShares NASDAQ. NASDAQ.
Biotechnology ETF.
VGK........................ Vanguard FTSE Europe NYSE Arca.
ETF.
IJR........................ iShares Core S&P NYSE Arca.
Small Cap ETF.
IWF........................ iShares Russell 1000 NYSE Arca.
Growth ETF.
USO........................ United States Oil NYSE Arca.
Fund LP.
IWD........................ iShares Russell 1000 NYSE Arca.
Value ETF.
IJH........................ iShares Core S&P Mid- NYSE Arca.
Cap ETF.
XRT........................ SPDR S&P Retail ETF.. NYSE Arca.
EWY........................ iShares MSCI South NYSE Arca.
Korea ETF.
MCHI....................... iShares MSCI China NASDAQ.
ETF.
OIH........................ VanEck Vectors Oil NYSE Arca.
Services ETF.
RSX........................ VanEck Vectors Russia NYSE Arca.
ETF.
EWT........................ iShares MSCI Taiwan NYSE Arca.
ETF.
EWW........................ iShares MSCI Mexico NYSE Arca.
ETF.
BND........................ Vanguard Total Bond NYSE Arca.
Market ETF.
IWB........................ iShares Russell 1000 NYSE Arca.
ETF.
VTV........................ Vanguard Value ETF... NYSE Arca.
ACWI....................... iShares MSCI ACWI ETF NASDAQ.
AMLP....................... Alerian MLP ETF...... NYSE Arca.
DXJ........................ WisdomTree Japan NYSE Arca.
Hedged Equity Fund.
IAU........................ iShares Gold Trust... NYSE Arca.
TIP........................ iShares TIPS Bond ETF NYSE Arca.
FEZ........................ SPDR EURO STOXX 50 NYSE Arca.
ETF.
SHV........................ iShares Short NASDAQ.
Treasury Bond ETF.
SHY........................ iShares 1-3 Year NASDAQ.
Treasury Bond ETF.
EWG........................ iShares MSCI Germany NYSE Arca.
ETF.
BSV........................ Vanguard Short-Term NYSE Arca.
Bond ETF.
VEU........................ Vanguard FTSE All- NYSE Arca.
World ex-US Index
Fund.
VUG........................ Vanguard Growth ETF.. NYSE Arca.
IVE........................ iShares S&P 500 Value NYSE Arca.
ETF.
INDA....................... iShares MSCI India Cboe BZX.
ETF.
SH......................... ProShares Short S&P NYSE Arca.
500.
EWH........................ iShares MSCI Hong NYSE Arca.
Kong ETF.
SLV........................ iShares Silver Trust. NYSE Arca.
IVW........................ iShares S&P 500 NYSE Arca.
Growth ETF.
VCSH....................... Vanguard Short-Term NASDAQ.
Corporate Bond ETF.
ITB........................ iShares U.S. Home Cboe BZX.
Construction ETF.
IWN........................ iShares Russell 2000 NYSE Arca.
Value ETF.
SOXX....................... iShares PHLX NASDAQ.
Semiconductor ETF.
KBE........................ SPDR S&P Bank ETF.... NYSE Arca.
VGT........................ Vanguard Information NYSE Arca.
Technology ETF.
IWO........................ iShares Russell 2000 NYSE Arca.
Growth ETF.
MTUM....................... iShares Edge MSCI USA Cboe BZX.
Momentum Factor ETF.
XHB........................ SPDR S&P Homebuilders NYSE Arca.
ETF.
XME........................ SPDR S&P Metals & NYSE Arca.
Mining ETF.
XLRE....................... Real Estate Select NYSE Arca.
Sector SPDR Fund.
VCIT....................... Vanguard Intermediate- NASDAQ.
Term Corporate Bond
ETF.
VT......................... Vanguard Total World NYSE Arca.
Stock ETF.
USMV....................... iShares Edge MSCI Min Cboe BZX.
Vol USA ETF.
BKLN....................... Invesco Senior Loan NYSE Arca.
ETF.
EWC........................ iShares MSCI Canada NYSE Arca.
ETF.
PFF........................ iShares U.S. NASDAQ.
Preferred Stock ETF.
FLOT....................... iShares Floating Rate Cboe BZX.
Bond ETF.
[[Page 66494]]
BIL........................ SPDR Bloomberg NYSE Arca.
Barclays 1-3 Month T-
Bill ETF.
OEF........................ iShares S&P 100 ETF.. NYSE Arca.
UNG........................ United States Natural NYSE Arca.
Gas Fund LP.
VB......................... Vanguard Small-Cap NYSE Arca.
ETF.
MINT....................... PIMCO Enhanced Short NYSE Arca.
Maturity Active ETF.
SPLV....................... Invesco S&P 500 Low NYSE Arca.
Volatility ETF.
VIG........................ Vanguard Dividend NYSE Arca.
Appreciation ETF.
HEDJ....................... WisdomTree Europe NYSE Arca.
Hedged Equity Fund.
SCZ........................ iShares MSCI EAFE NASDAQ.
Small-Cap ETF.
EWU........................ iShares MSCI United NYSE Arca.
Kingdom ETF.
VYM........................ Vanguard High NYSE Arca.
Dividend Yield Yield
Index Fund.
SCHF....................... Schwab International NYSE Arca.
Equity ETF.
AAXJ....................... iShares MSCI All NASDAQ.
Country Asia ex
Japan ETF.
FDN........................ First Trust Dow Jones NYSE Arca.
Internet Index Fund.
EMLC....................... VanEck Vectors J.P. NYSE Arca.
Morgan EM Local
Currency Bond ETF.
VIXY....................... ProShares VIX Short- NYSE Arca.
Term Futures ETF.
BNDX....................... Vanguard Total NASDAQ.
International Bond
ETF.
MUB........................ iShares National Muni NYSE Arca.
Bond ETF.
DVY........................ iShares Select NASDAQ.
Dividend ETF.
ITA........................ iShares U.S. Cboe BZX.
Aerospace & Defense
ETF.
AMJ........................ J.P. Morgan Alerian NYSE Arca.
MLP Index ETN.
MBB........................ iShares MBS ETF...... NASDAQ.
RSP........................ Invesco S&P 500 Equal NYSE Arca.
Weight ETF.
ITOT....................... iShares Core S&P NYSE Arca.
Total U.S. Stock
Market ETF.
SJNK....................... SPDR Bloomberg NYSE Arca.
Barclays Short Term
High Yield Bond ETF.
BIV........................ Vanguard Intermediate- NYSE Arca.
Term Bond ETF.
ILF........................ iShares Latin America NYSE Arca.
40 ETF.
CWB........................ SPDR Bloomberg NYSE Arca.
Barclays Convertible
Securities ETF.
VO......................... Vanguard Mid-Cap ETF. NYSE Arca.
IWV........................ iShares Russell 3000 NYSE Arca.
ETF.
CSJ........................ iShares 1-3 Year NASDAQ.
Credit Bond ETF.
SCHX....................... Schwab U.S. Large-Cap NYSE Arca.
ETF.
IEI........................ iShares 3-7 Year NASDAQ.
Treasury Bond ETF.
SCHB....................... Schwab U.S. Broad NYSE Arca.
Market ETF.
PCY........................ Invesco Emerging NYSE Arca.
Markets Sovereign
Debt ETF.
DBC........................ Invesco DB Commodity NYSE Arca.
Index Tracking Fund.
EPI........................ WisdomTree India NYSE Arca.
Earnings Fund.
SDY........................ SPDR S&P Dividend ETF NYSE Arca.
VFH........................ Vanguard Financials NYSE Arca.
ETF.
SCHD....................... Schwab US Dividend NYSE Arca.
Equity ETF.
PSQ........................ ProShares Short QQQ.. NYSE Arca.
HYS........................ PIMCO 0-5 Year High NYSE Arca.
Yield Corporate Bond
Index ETF.
VXUS....................... Vanguard Total NASDAQ.
International Stock
ETF.
EWA........................ iShares MSCI NYSE Arca.
Australia ETF.
VV......................... Vanguard Large-Cap NYSE Arca.
ETF.
IYT........................ iShares Cboe BZX.
Transportation
Average ETF.
EUFN....................... iShares MSCI Europe NASDAQ.
Financials ETF.
IYW........................ iShares U.S. NYSE Arca.
Technology ETF.
EWI........................ iShares MSCI Italy NYSE Arca.
ETF.
FXE........................ Invesco NYSE Arca.
CurrencyShares Euro
Trust.
IWS........................ iShares Russell Mid- NYSE Arca.
Cap Value ETF.
IYF........................ iShares U.S. NYSE Arca.
Financials ETF.
DBEF....................... Xtrackers MSCI EAFE NYSE Arca.
Hedged Equity ETF.
EFV........................ iShares MSCI EAFE Cboe BZX.
Value ETF.
IWR........................ iShares Russell NYSE Arca.
Midcap ETF.
BOTZ....................... Global X Robotics & NASDAQ.
Artificial
Intelligence ETF.
IGV........................ iShares North Cboe BZX.
American Tech-
Software ETF.
VBR........................ Vanguard Small Cap NYSE Arca.
Value ETF.
KWEB....................... KraneShares CSI China NYSE Arca.
Internet ETF.
NEAR....................... iShares Short Cboe BZX.
Maturity Bond ETF.
IXUS....................... iShares Core MSCI NASDAQ.
Total International
Stock ETF.
IWP........................ iShares Russell Mid- NYSE Arca.
Cap Growth ETF.
GOVT....................... iShares U.S. Treasury Cboe BZX.
Bond ETF.
CIU........................ iShares Intermediate NASDAQ.
Credit Bond ETF.
EWM........................ iShares MSCI Malaysia NYSE Arca.
ETF.
EFAV....................... iShares Edge MSCI Min Cboe BZX.
Vol EAFE ETF.
EWP........................ iShares MSCI Spain NYSE Arca.
ETF.
HDV........................ iShares Core High NYSE Arca.
Dividend ETF.
SCHP....................... Schwab US TIPS ETF... NYSE Arca.
SHYG....................... iShares 0-5 Year High NYSE Arca.
Yield Corporate Bond
ETF.
EZA........................ iShares MSCI South NYSE Arca.
Africa ETF.
IEV........................ iShares Europe ETF... NYSE Arca.
EWQ........................ iShares MSCI France NYSE Arca.
ETF.
EWL........................ iShares MSCI NYSE Arca.
Switzerland ETF.
[[Page 66495]]
ASHR....................... Xtrackers Harvest CSI NYSE Arca.
300 China A-Shares
ETF.
SCHE....................... Schwab Emerging NYSE Arca.
Markets Equity ETF.
VTIP....................... Vanguard Short-Term NASDAQ.
Inflation-Protected
Securities ETF.
VMBS....................... Vanguard Mortgage- NASDAQ.
Backed Securities
ETF.
VOE........................ Vanguard Mid-Cap NYSE Arca.
Value ETF.
ACWX....................... iShares MSCI ACWI ex NASDAQ.
U.S. ETF.
QUAL....................... iShares Edge MSCI USA Cboe BZX.
Quality Factor ETF.
HEWJ....................... iShares Currency NYSE Arca.
Hedged MSCI Japan
ETF.
VDE........................ Vanguard Energy ETF.. NYSE Arca.
EIDO....................... iShares MSCI NYSE Arca.
Indonesia ETF.
IJK........................ iShares S&P Mid-Cap NYSE Arca.
400 Growth ETF.
KBWB....................... Invesco KBW Bank ETF. NASDAQ.
HEZU....................... iShares Currency NYSE Arca.
Hedged MSCI Eurozone
ETF.
VHT........................ Vanguard Health Care NYSE Arca.
ETF.
VXF........................ Vanguard Extended NYSE Arca.
Market ETF.
VLUE....................... iShares Edge MSCI USA Cboe BZX.
Value Factor ETF.
HEFA....................... iShares Currency Cboe BZX.
Hedged MSCI EAFE ETF.
SPIB....................... SPDR Portfolio NYSE Arca.
Intermediate Term
Corporate Bond ETF.
UUP........................ Invesco DB US Dollar NYSE Arca.
Index Bullish Fund.
SRLN....................... SPDR Blackstone/GSO NYSE Arca.
Senior Loan ETF.
VNQI....................... Vanguard Global ex- NASDAQ.
U.S. Real Estate ETF.
SCHA....................... Schwab U.S. Small-Cap NYSE Arca.
ETF.
SPYG....................... SPDR Portfolio S&P NYSE Arca.
500 Growth ETF.
SCHH....................... Schwab U.S. REIT ETF. NYSE Arca.
SCHG....................... Schwab U.S. Large-Cap NYSE Arca.
Growth ETF.
PGX........................ Invesco Preferred ETF NYSE Arca.
FLRN....................... SPDR Bloomberg NYSE Arca.
Barclays Investment
Grade Floating Rate
ETF.
VPL........................ Vanguard FTSE Pacific NYSE Arca.
ETF.
VTEB....................... Vanguard Tax-Exempt NYSE Arca.
Bond ETF.
FTSM....................... First Trust Enhanced NASDAQ.
Short Maturity ETF.
FTEC....................... Fidelity MSCI NYSE Arca.
Information
Technology Index ETF.
SPSB....................... SPDR Portfolio Short NYSE Arca.
Term Corporate Bond
ETF.
EPP........................ iShares MSCI Pacific NYSE Arca.
ex-Japan ETF.
DOG........................ ProShares Short Dow30 NYSE Arca.
EEMV....................... iShares Edge MSCI Min Cboe BZX.
Vol Emerging Markets
ETF.
IUSG....................... iShares Core S&P U.S. NASDAQ.
Growth ETF.
VSS........................ Vanguard FTSE All- NYSE Arca.
World ex-US Small-
Cap ETF.
BWX........................ SPDR Bloomberg NYSE Arca.
Barclays
International
Treasury Bond ETF.
TFI........................ SPDR Nuveen Bloomberg NYSE Arca.
Barclays Municipal
Bond ETF.
SHM........................ SPDR Nuveen Bloomberg NYSE Arca.
Barclays Short Term
Municipal Bond ETF.
IJS........................ iShares S&P Small-Cap NYSE Arca.
600 Value ETF.
ROBO....................... ROBO Global Robotics NYSE Arca.
and Automation Index
ETF.
EWS........................ iShares MSCI NYSE Arca.
Singapore ETF.
VBK........................ Vanguard Small-Cap NYSE Arca.
Growth ETF.
RWX........................ SPDR Dow Jones NYSE Arca.
International Real
Estate ETF.
DGRO....................... iShares Core Dividend NYSE Arca.
Growth ETF.
IYE........................ iShares U.S. Energy NYSE Arca.
ETF.
IJT........................ iShares S&P Small-Cap NASDAQ.
600 Growth ETF.
IDV........................ iShares International Cboe BZX.
Select Dividend ETF.
HYLB....................... Xtrackers USD High NYSE Arca.
Yield Corporate Bond
ETF.
JUST....................... Goldman Sachs JUST NYSE Arca.
U.S. Large Cap
Equity ETF.
EFG........................ iShares MSCI EAFE Cboe BZX.
Growth ETF.
MJ......................... ETFMG Alternative NYSE Arca.
Harvest ETF.
SPHD....................... Invesco S&P 500 High NYSE Arca.
Dividend Low
Volatility ETF.
THD........................ iShares MSCI Thailand NYSE Arca.
ETF.
IHI........................ iShares U.S. Medical NYSE Arca.
Devices ETF.
SCHZ....................... Schwab US Aggregate NYSE Arca.
Bond ETF.
VPU........................ Vanguard Utilities NYSE Arca.
ETF.
SPAB....................... SPDR Portfolio NYSE Arca.
Aggregate Bond ETF.
HYD........................ VanEck Vectors High- NYSE Arca.
Yield Municipal
Index ETF.
SPTM....................... SPDR Portfolio Total NYSE Arca.
Stock Market ETF.
NOBL....................... ProShares S&P 500 Cboe BZX.
Dividend Aristocrats
ETF.
MGK........................ Vanguard Mega Cap NYSE Arca.
Growth ETF.
ECH........................ iShares MSCI Chile Cboe BZX.
ETF.
SCHO....................... Schwab Short-Term US NYSE Arca.
Treasury ETF.
VCLT....................... Vanguard Long-Term NASDAQ.
Corporate Bond ETF.
RWR........................ SPDR Dow Jones REIT NYSE Arca.
ETF.
VIS........................ Vanguard Industrials NYSE Arca.
ETF.
DBEU....................... Xtrackers MSCI Europe NYSE Arca.
Hedged Equity ETF.
IUSV....................... iShares Core S&P US NASDAQ.
Value ETF.
VAW........................ Vanguard Materials NYSE Arca.
ETF.
VGSH....................... Vanguard Short-Term NASDAQ.
Treasury ETF.
DBJP....................... Xtrackers MSCI Japan NYSE Arca.
Hedged Equity ETF.
VDC........................ Vanguard Consumer NYSE Arca.
Staples ETF.
[[Page 66496]]
BLV........................ Vanguard Long-Term NYSE Arca.
Bond ETF.
SPYV....................... SPDR Portfolio S&P NYSE Arca.
500 Value ETF.
SPDW....................... SPDR Portfolio NYSE Arca.
Developed World ex-
US ETF.
VOT........................ Vanguard Mid-Cap NYSE Arca.
Growth ETF.
PDBC....................... Invesco Optimum Yield NASDAQ.
Diversified
Commodity Strategy K-
1 ETF.
SCHR....................... Schwab Intermediate- NYSE Arca.
Term US Treasury ETF.
FPE........................ First Trust Preferred NYSE Arca.
Securities & Income
ETF.
ERUS....................... iShares MSCI Russia NYSE Arca.
ETF.
IYG........................ iShares US Financial NYSE Arca.
Services ETF.
LIT........................ Global X Lithium & NYSE Arca.
Battery Tech ETF.
IEUR....................... iShares Core MSCI NYSE Arca.
Europe ETF.
SCHM....................... Schwab U.S. Mid-Cap NYSE Arca.
ETF.
PRF........................ Invesco FTSE RAFI US NYSE Arca.
1000 ETF.
SPEM....................... SPDR Portfolio NYSE Arca.
Emerging Markets ETF.
SCHV....................... Schwab U.S. Large-Cap NYSE Arca.
Value ETF.
QTEC....................... First Trust NASDAQ- NASDAQ.
100 Technology
Sector Index Fund.
VCR........................ Vanguard Consumer NYSE Arca.
Discretionary ETF.
TOTL....................... SPDR DoubleLine Total NYSE Arca.
Return Tactical ETF.
FXY........................ Invesco NYSE Arca.
CurrencyShares
Japanese Yen Trust.
FVD........................ First Trust Value NYSE Arca.
Line Dividend Index
Fund.
TUR........................ iShares MSCI Turkey NASDAQ.
ETF.
GSY........................ Invesco Ultra Short NYSE Arca.
Duration ETF.
ARKK....................... ARK Innovation ETF... NYSE Arca.
RPG........................ Invesco S&P 500 Pure NYSE Arca.
Growth ETF.
IYM........................ iShares U.S. Basic NYSE Arca.
Materials ETF.
PHB........................ Invesco Fundamental NYSE Arca.
High Yield Corporate
Bond ETF.
ISTB....................... iShares Core 1-5 Year NASDAQ.
USD Bond ETF.
EMLP....................... First Trust North NYSE Arca.
American Energy
Infrastructure Fund.
ACWV....................... iShares Edge MSCI Min Cboe BZX.
Vol Global ETF.
SPLG....................... SPDR Portfolio Large NYSE Arca.
Cap ETF.
RWO........................ SPDR Dow Jones Global NYSE Arca.
Real Estate ETF.
SKYY....................... First Trust Cloud NASDAQ.
Computing ETF.
ICF........................ iShares Cohen & Cboe BZX.
Steers REIT ETF.
IYH........................ iShares U.S. NYSE Arca.
Healthcare ETF.
IXC........................ iShares Global Energy NYSE Arca.
ETF.
ANGL....................... VanEck Vectors Fallen NYSE Arca.
Angel High Yield
Bond ETF.
XES........................ SPDR S&P Oil & Gas NYSE Arca.
Equipment & Services
ETF.
RWM........................ ProShares Short NYSE Arca.
Russell2000.
DBO........................ Invesco DB Oil Fund.. NYSE Arca.
IJJ........................ iShares S&P Mid-Cap NYSE Arca.
400 Value ETF.
DBA........................ Invesco DB NYSE Arca.
Agriculture Fund.
TBF........................ Proshares Short 20+ NYSE Arca.
Year Treasury.
GSLC....................... Goldman Sachs NYSE Arca.
ActiveBeta U.S.
Large Cap Equity ETF.
FNCL....................... Fidelity MSCI NYSE Arca.
Financials Index ETF.
IGF........................ iShares Global NASDAQ.
Infrastructure ETF.
FNDX....................... Schwab Fundamental US NYSE Arca.
Large Co. Index ETF.
REM........................ iShares Mortgage Real Cboe BZX.
Estate ETF.
KIE........................ SPDR S&P Insurance NYSE Arca.
ETF.
ONEQ....................... Fidelity NASDAQ NASDAQ.
Composite Index
Tracking Stock.
LMBS....................... First Trust Low NASDAQ.
Duration
Opportunities ETF.
GUNR....................... FlexShares NYSE Arca.
Morningstar Global
Upstream Natural
Resources Index Fund.
HACK....................... ETFMG Prime Cyber NYSE Arca.
Security ETF.
EWD........................ iShares MSCI Sweden NYSE Arca.
ETF.
AIA........................ iShares Asia 50 ETF.. NASDAQ.
IGOV....................... iShares International NASDAQ.
Treasury Bond ETF.
ARKW....................... ARK Web x.0 ETF...... NYSE Arca.
IXN........................ iShares Global Tech NYSE Arca.
ETF.
STIP....................... iShares 0-5 Year TIPS NYSE Arca.
Bond ETF.
VOOG....................... Vanguard S&P 500 NYSE Arca.
Growth ETF.
XAR........................ SPDR S&P Aerospace & NYSE Arca.
Defense ETF.
RYT........................ Invesco S&P 500 Equal NYSE Arca.
Weight Technology
ETF.
INDY....................... iShares India 50 ETF. NASDAQ.
SCJ........................ iShares MSCI Japan NYSE Arca.
Small-Cap ETF.
DEM........................ WisdomTree Emerging NYSE Arca.
Markets High
Dividend Fund.
IYJ........................ iShares U.S. Cboe BZX.
Industrials ETF.
XT......................... iShares Exponential NASDAQ.
Technologies ETF.
FNDF....................... Schwab Fundamental NYSE Arca.
International Large
Co. Index ETF.
MLPI....................... ETRACS Alerian MLP NYSE Arca.
Infrastructure Index
ETN.
VGIT....................... Vanguard Intermediate- NASDAQ.
Term Treasury ETF.
JPST....................... JPMorgan Ultra-Short Cboe BZX.
Income ETF.
GVI........................ iShares Intermediate Cboe BZX.
Government/Credit
Bond ETF.
BOND....................... PIMCO Active Bond ETF NYSE Arca.
SLYV....................... SPDR S&P 600 Small NYSE Arca.
Cap Value ETF.
ZIV........................ VelocityShares Daily NASDAQ.
Inverse VIX Medium-
Term ETN.
[[Page 66497]]
SPHB....................... Invesco S&P 500 High NYSE Arca.
Beta ETF.
HEWG....................... iShares Currency NASDAQ.
Hedged MSCI Germany
ETF.
AMZA....................... InfraCap MLP ETF..... NYSE Arca.
FNDA....................... Schwab Fundamental US NYSE Arca.
Small Co. Index ETF.
XLC........................ Communication NYSE Arca.
Services Select
Sector SPDR Fund.
BBRE....................... JPMorgan BetaBuilders Cboe BZX.
MSCI U.S. REIT ETF.
XSD........................ SPDR S&P NYSE Arca.
Semiconductor ETF.
EUM........................ ProShares Short MSCI NYSE Arca.
Emerging Markets.
EPOL....................... iShares MSCI Poland NYSE Arca.
ETF.
SLYG....................... SPDR S&P 600 Small NYSE Arca.
Cap Growth ETF.
DJP........................ iPath Bloomberg NYSE Arca.
Commodity Index
Total Return ETN.
GSG........................ iShares S&P GSCI NYSE Arca.
Commodity Indexed
Trust.
FDT........................ First Trust Developed NASDAQ.
Markets ex-US
AlphaDEX Fund.
VOX........................ Vanguard NYSE Arca.
Communication
Services ETF.
VRP........................ Invesco Variable Rate NYSE Arca.
Preferred ETF.
FFTY....................... Innovator IBD 50 ETF. NYSE Arca.
IAT........................ iShares U.S. Regional NYSE Arca.
Banks ETF.
EBND....................... SPDR Bloomberg NYSE Arca.
Barclays Emerging
Markets Local Bond
ETF.
DGRW....................... WisdomTree US Quality NASDAQ.
Dividend Growth Fund.
ITM........................ VanEck Vectors AMT- NYSE Arca.
Free Intermediate
Municipal Index ETF.
SGOL....................... ETFS Physical Swiss NYSE Arca.
Shares.
FBT........................ First Trust NYSE Arca NYSE Arca.
Biotechnology Index
Fund.
VONG....................... Vanguard Russell 1000 NASDAQ.
Growth ETF.
FXL........................ First Trust NYSE Arca.
Technology AlphaDEX
Fund.
FTSL....................... First Trust Senior NASDAQ.
Loan Fund.
DON........................ WisdomTree U.S. NYSE Arca.
MidCap Dividend Fund.
SPSM....................... SPDR Portfolio Small NYSE Arca.
Cap ETF.
GXC........................ SPDR S&P China ETF... NYSE Arca.
FV......................... First Trust Dorsey NASDAQ.
Wright Focus 5 ETF.
CEF........................ Sprott Physical Gold NYSE Arca.
and Silver Trust
Units.
SPMD....................... SPDR Portfolio Mid NYSE Arca.
Cap ETF.
IDU........................ iShares U.S. NYSE Arca.
Utilities ETF.
MDYG....................... SPDR S&P 400 Mid Cap NYSE Arca.
Growth ETF.
IYZ........................ iShares U.S. Cboe BZX.
Telecommunications
ETF.
FNDE....................... Schwab Fundamental NYSE Arca.
Emerging Markets
Large Co. Index ETF.
CQQQ....................... Invesco China NYSE Arca.
Technology ETF.
IGM........................ iShares North NYSE Arca.
American Tech ETF.
GBIL....................... Goldman Sachs NYSE Arca.
TreasuryAccess 0-1
Year ETF.
VGLT....................... Vanguard Long-Term NASDAQ.
Treasury ETF.
EPHE....................... iShares MSCI NYSE Arca.
Philippines ETF.
MLPA....................... Global X MLP ETF..... NYSE Arca.
EWN........................ iShares MSCI NYSE Arca.
Netherlands ETF.
FM......................... iShares MSCI Frontier NYSE Arca.
100 ETF.
IVOG....................... Vanguard S&P Mid-Cap NYSE Arca.
400 Growth ETF.
LRGF....................... iShares Edge MSCI NYSE Arca.
Multifactor USA ETF.
DFJ........................ WisdomTree Japan NYSE Arca.
SmallCap Dividend
Fund.
KBA........................ KraneShares Bosera NYSE Arca.
MSCI China A Share
ETF.
CWI........................ SPDR MSCI ACWI ex-US NYSE Arca.
ETF.
SPTL....................... SPDR Portfolio Long NYSE Arca.
Term Treasury ETF.
SUB........................ iShares Short-Term NYSE Arca.
National Muni Bond
ETF.
FHLC....................... Fidelity MSCI Health NYSE Arca.
Care Index ETF.
GNR........................ SPDR S&P Global NYSE Arca.
Natural Resources
ETF.
IUSB....................... iShares Core Total NASDAQ.
USD Bond Market ETF.
USMC....................... Principal U.S. Mega- NASDAQ.
Cap Multi-Factor
Index ETF.
SPYD....................... SPDR Portfolio S&P NYSE Arca.
500 High Dividend
ETF.
GREK....................... Global X MSCI Greece NYSE Arca.
ETF.
EDV........................ Vanguard Extended NYSE Arca.
Duration Treasury
ETF.
VWOB....................... Vanguard Emerging NASDAQ.
Markets Government
Bond ETF.
CLY........................ iShares 10+ Year NYSE Arca.
Credit Bond ETF.
JPIN....................... J.P. Morgan NYSE Arca.
Diversified Return
International Equity
ETF.
SCHC....................... Schwab International NYSE Arca.
Small-Cap Equity ETF.
SDOG....................... ALPS Sector Dividend NYSE Arca.
Dogs ETF.
FEP........................ First Trust Europe NASDAQ.
AlphaDEX Fund.
VNM........................ VanEck Vectors NYSE Arca.
Vietnam ETF.
INTF....................... iShares Edge MSCI NYSE Arca.
Multifactor Intl ETF.
VTWO....................... Vanguard Russell 2000 NASDAQ.
ETF.
PICK....................... iShares MSCI Global Cboe BZX.
Metals & Mining
Producers ETF.
XMLV....................... Invesco S&P MidCap NYSE Arca.
Low Volatility ETF.
VYMI....................... Vanguard NASDAQ.
International High
Dividend Yield ETF.
PXH........................ Invesco FTSE RAFI NYSE Arca.
Emerging Markets ETF.
XSLV....................... Invesco S&P SmallCap NYSE Arca.
Low Volatility ETF.
CRED....................... iShares U.S. Credit NASDAQ.
Bond ETF.
FENY....................... Fidelity MSCI Energy NYSE Arca.
Index ETF.
PZA........................ Invesco National AMT- NYSE Arca.
Free Municipal Bond
ETF.
[[Page 66498]]
EMQQ....................... Emerging Markets NYSE Arca.
Internet & Ecommerce
ETF.
PPA........................ Invesco Aerospace & NYSE Arca.
Defense ETF.
HYLS....................... First Trust Tactical NASDAQ.
High Yield ETF.
VONV....................... Vanguard Russell 1000 NASDAQ.
Value ETF.
DGS........................ WisdomTree Emerging NYSE Arca.
Markets SmallCap
Dividend Fund.
PSCH....................... Invesco S&P SmallCap NASDAQ.
Health Care ETF.
FIDU....................... Fidelity MSCI NYSE Arca.
Industrials Index
ETF.
FEM........................ First Trust Emerging NASDAQ.
Markets AlphaDEX
Fund.
FXO........................ First Trust NYSE Arca.
Financials AlphaDEX
Fund.
SPLB....................... SPDR Portfolio Long NYSE Arca.
Term Corporate Bond
ETF.
IXG........................ iShares Global NYSE Arca.
Financials ETF.
IPE........................ SPDR Bloomberg NYSE Arca.
Barclays TIPS ETF.
CORP....................... PIMCO Investment NYSE Arca.
Grade Corporate Bond
Index ETF.
WIP........................ SPDR FTSE NYSE Arca.
International
Government Inflation-
Protected Bond ETF.
RPV........................ Invesco S&P 500 Pure NYSE Arca.
Value ETF.
BSJI....................... Invesco BulletShares NYSE Arca.
2018 High Yield
Corporate Bond ETF.
IEO........................ iShares U.S. Oil & Cboe BZX.
Gas Exploration &
Production ETF.
PRFZ....................... Invesco FTSE RAFI US NASDAQ.
1500 Small-Mid ETF.
FXR........................ First Trust NYSE Arca.
Industrials/Producer
Durables AlphaDEX
Fund.
FEX........................ First Trust Large Cap NASDAQ.
Core AlphaDEX Fund.
DLS........................ WisdomTree NYSE Arca.
International
SmallCap Dividend
Fund.
DFE........................ WisdomTree Europe NYSE Arca.
SmallCap Dividend
Fund.
FTCS....................... First Trust Capital NASDAQ.
Strength ETF.
BSJJ....................... Invesco BulletShares NYSE Arca.
2019 High Yield
Corporate Bond ETF.
PNQI....................... Invesco NASDAQ NASDAQ.
Internet ETF.
TLH........................ iShares 10-20 Year NYSE Arca.
Treasury Bond ETF.
SLQD....................... iShares 0-5 Year NASDAQ.
Investment Grade
Corporate Bond ETF.
EXI........................ iShares Global NYSE Arca.
Industrials ETF.
PGF........................ Invesco Financial NYSE Arca.
Preferred ETF.
GEM........................ Goldman Sachs NYSE Arca.
ActiveBeta Emerging
Markets Equity ETF.
PPH........................ VanEck Vectors NASDAQ.
Pharmaceutical ETF.
PDP........................ Invesco DWA Momentum NASDAQ.
ETF.
FDIS....................... Fidelity MSCI NYSE Arca.
Consumer
Discretionary Index
ETF.
FXB........................ Invesco NYSE Arca.
CurrencyShares
British Pound
Sterling Trust.
PHYS....................... Sprott Physical Gold NYSE Arca.
Trust Units.
IAI........................ iShares U.S. Broker- NYSE Arca.
Dealers & Securities
Exchanges ETF.
LEMB....................... iShares J.P. Morgan NYSE Arca.
EM Local Currency
Bond ETF.
BLOK....................... Amplify NYSE Arca.
Transformational
Data Sharing ETF.
USRT....................... iShares Core U.S. NYSE Arca.
REIT ETF.
SPTS....................... SPDR Portfolio Short NYSE Arca.
Term Treasury ETF.
IYC........................ iShares U.S. Consumer NYSE Arca.
Services ETF.
CMF........................ iShares California NYSE Arca.
Muni Bond ETF.
FXH........................ First Trust Health NYSE Arca.
Care AlphaDEX Fund.
FNDC....................... Schwab Fundamental NYSE Arca.
International Small
Co. Index ETF.
OGIG....................... O'Shares Global NYSE Arca.
Internet Giants ETF.
IGHG....................... ProShares Investment Cboe BZX.
Grade-Interest Rate
Hedged.
MGC........................ Vanguard Mega Cap ETF NYSE Arca.
DES........................ WisdomTree U.S. NYSE Arca.
SmallCap Dividend
Fund.
DWX........................ SPDR S&P NYSE Arca.
International
Dividend ETF.
PTLC....................... Pacer Trendpilot US Cboe BZX.
Large Cap ETF.
MGV........................ Vanguard Mega Cap NYSE Arca.
Value ETF.
BSJK....................... Invesco BulletShares NYSE Arca.
2020 High Yield
Corporate Bond ETF.
MOAT....................... VanEck Vectors NYSE Arca.
Morningstar Wide
Moat ETF.
EELV....................... Invesco S&P Emerging NYSE Arca.
Markets Low
Volatility ETF.
SDIV....................... Global X NYSE Arca.
Superdividend ETF.
DSI........................ iShares MSCI KLD 400 NYSE Arca.
Social ETF.
VIGI....................... Vanguard NASDAQ.
International
Dividend
Appreciation ETF.
MDYV....................... SPDR S&P 400 Mid Cap NYSE Arca.
Value ETF.
REET....................... iShares Global REIT NYSE Arca.
ETF.
ITE........................ SPDR Bloomberg NYSE Arca.
Barclays
Intermediate Term
Treasury ETF.
IWY........................ iShares Russell Top NYSE Arca.
200 Growth ETF.
QDF........................ FlexShares Quality NYSE Arca.
Dividend Index Fund.
FDL........................ First Trust NYSE Arca.
Morningstar Dividend
Leaders Index Fund.
SPHQ....................... Invesco S&P 500 NYSE Arca.
Quality ETF.
AOR........................ iShares Core Growth NYSE Arca.
Allocation ETF.
AOM........................ iShares Core Moderate NYSE Arca.
Allocation ETF.
COMT....................... iShares Commodities NASDAQ.
Select Strategy ETF.
IBND....................... SPDR Bloomberg NYSE Arca.
Barclays
International
Corporate Bond ETF.
EMHY....................... iShares Emerging Cboe BZX.
Markets High Yield
Bond ETF.
WPS........................ iShares International NYSE Arca.
Developed Property
ETF.
FXZ........................ First Trust Materials NYSE Arca.
AlphaDEX Fund.
ECON....................... Columbia Emerging NYSE Arca.
Markets Consumer ETF.
DLN........................ WisdomTree U.S. NYSE Arca.
LargeCap Dividend
Fund.
MOO........................ VanEck Vectors NYSE Arca.
Agribusiness ETF.
[[Page 66499]]
IBUY....................... Amplify Online Retail NASDAQ.
ETF.
BSCJ....................... Invesco BulletShares NYSE Arca.
2019 Corporate Bond
ETF.
GSIE....................... Goldman Sachs NYSE Arca.
ActiveBeta
International Equity
ETF.
TAN........................ Invesco Solar ETF.... NYSE Arca.
RING....................... iShares MSCI Global NASDAQ.
Gold Miners ETF.
VNLA....................... Janus Henderson Short NYSE Arca.
Duration Income ETF.
FXN........................ First Trust Energy NYSE Arca.
AlphaDEX Fund.
PPLT....................... ETFS Physical NYSE Arca.
Platinum Shares.
EEMO....................... Invesco S&P Emerging NYSE Arca.
Markets Momentum ETF.
VXZ........................ iPath S&P 500 VIX Mid- NYSE Arca.
Term Futures ETN
Class A.
RODM....................... Hartford Multifactor NYSE Arca.
Developed Markets
(ex-US) ETF.
VIOO....................... Vanguard S&P Small- NYSE Arca.
Cap 600 ETF.
EEMA....................... iShares MSCI Emerging NASDAQ.
Markets Asia ETF.
URA........................ Global X Uranium ETF. NYSE Arca.
BSCK....................... Invesco BulletShares NYSE Arca.
2020 Corporate Bond
ETF.
QAI........................ IQ Hedge Multi- NYSE Arca.
Strategy Tracker ETF.
REMX....................... VanEck Vectors Rare NYSE Arca.
Earth/Strategic
Metals ETF.
STPZ....................... PIMCO 1-5 Year US NYSE Arca.
TIPS Index ETF.
FPX........................ First Trust US Equity NYSE Arca.
Opportunities ETF.
FXC........................ Invesco NYSE Arca.
CurrencyShares
Canadian Dollar
Trust.
IAGG....................... iShares Core Cboe BZX.
International
Aggregate Bond ETF.
PXF........................ Invesco FTSE RAFI NYSE Arca.
Developed Markets ex-
U.S. ETF.
BBH........................ VanEck Vectors NASDAQ.
Biotech ETF.
BSCI....................... Invesco BulletShares NYSE Arca.
2018 Corporate Bond
ETF.
VONE....................... Vanguard Russell 1000 NASDAQ.
ETF.
PWV........................ Invesco Dynamic Large NYSE Arca.
Cap Value ETF.
CIBR....................... First Trust NASDAQ. NASDAQ.
Cybersecurity ETF.
TOK........................ iShares MSCI Kokusai NYSE Arca.
ETF.
ARGT....................... Global X MSCI NYSE Arca.
Argentina ETF.
IYK........................ iShares U.S. Consumer NYSE Arca.
Goods ETF.
IYY........................ iShares Dow Jones NYSE Arca.
U.S. ETF.
IHF........................ iShares U.S. NYSE Arca.
Healthcare Providers
ETF.
TDTT....................... FlexShares iBoxx 3 NYSE Arca.
Year Target Duration
TIPS Index Fund.
CFO........................ VictoryShares US 500 NASDAQ.
Enhanced Volatility
Wtd ETF.
CLRG....................... IQ Chaikin U.S. Large NASDAQ.
Cap ETF.
RTM........................ Invesco S&P 500 Equal NYSE Arca.
Weight Materials ETF.
SMIN....................... iShares MSCI India Cboe BZX.
Small Cap ETF.
RWL........................ Oppenheimer S&P 500 NYSE Arca.
Revenue ETF.
SCHK....................... Schwab 1000 Index ETF NYSE Arca.
PSI........................ Invesco Dynamic NYSE Arca.
Semiconductors ETF.
RHS........................ Invesco S&P 500 Equal NYSE Arca.
Weight Consumer
Staples ETF.
FTA........................ First Trust Large Cap NASDAQ.
Value AlphaDEX Fund.
FCG........................ First Trust Natural NYSE Arca.
Gas ETF.
DDWM....................... WisdomTree Dynamic Cboe BZX.
Currency Hedged
International Equity
Fund.
DBB........................ Invesco DB Base NYSE Arca.
Metals Fund.
MNA........................ IQ Merger Arbitrage NYSE Arca.
ETF.
PKW........................ Invesco Buyback NASDAQ.
Achievers ETF.
EWO........................ iShares MSCI Austria NYSE Arca.
ETF.
NANR....................... SPDR S&P North NYSE Arca.
American Natural
Resources ETF.
HYMB....................... SPDR Nuveen S&P High NYSE Arca.
Yield Municipal Bond
ETF.
IWC........................ iShares Micro-Cap ETF NYSE Arca.
XLG........................ Invesco S&P 500 Top NYSE Arca.
50 ETF.
SIL........................ Global X Silver NYSE Arca.
Miners ETF.
FXD........................ First Trust Consumer NYSE Arca.
Discretionary
AlphaDEX Fund.
BSCL....................... Invesco BulletShares NYSE Arca.
2021 Corporate Bond
ETF.
ICVT....................... iShares Convertible Cboe BZX.
Bond ETF.
BAB........................ Invesco Taxable NYSE Arca.
Municipal Bond ETF.
FLTR....................... VanEck Vectors NYSE Arca.
Investment Grade
Floating Rate ETF.
PSK........................ SPDR Wells Fargo NYSE Arca.
Preferred Stock ETF.
IXJ........................ iShares Global NYSE Arca.
Healthcare ETF.
EEMS....................... iShares MSCI Emerging NYSE Arca.
Markets Small Cap
ETF.
AOA........................ iShares Core NYSE Arca.
Aggressive
Allocation ETF.
GWX........................ SPDR S&P NYSE Arca.
International Small
Cap ETF.
FREL....................... Fidelity MSCI Real NYSE Arca.
Estate Index ETF.
RFDI....................... First Trust NASDAQ.
Riverfront Dynamic
Developed
International ETF.
FMAT....................... Fidelity MSCI NYSE Arca.
Materials Index ETF.
SLX........................ VanEck Vectors Steel NYSE Arca.
ETF.
WOOD....................... iShares Global Timber NASDAQ.
& Forestry ETF.
IEZ........................ iShares U.S. Oil NYSE Arca.
Equipment & Services
ETF.
FEMS....................... First Trust Emerging NASDAQ.
Markets Small Cap
AlphaDEX Fund.
CHIQ....................... Global X China NYSE Arca.
Consumer ETF.
JKD........................ iShares Morningstar NYSE Arca.
Large-Cap ETF.
IFV........................ First Trust Dorsey NASDAQ.
Wright International
Focus 5 ETF.
BSCM....................... Invesco BulletShares NYSE Arca.
2022 Corporate Bond
ETF.
[[Page 66500]]
FTXO....................... First Trust NASDAQ. NASDAQ.
Bank ETF.
SCIF....................... VanEck Vectors India NYSE Arca.
Small-Cap Index ETF.
IPAC....................... iShares Core MSCI NYSE Arca.
Pacific ETF.
FTC........................ First Trust Large Cap NASDAQ.
Growth AlphaDEX Fund.
PALL....................... ETFS Physical NYSE Arca.
Palladium Shares.
RDVY....................... First Trust Rising NASDAQ.
Dividend Achievers
ETF.
XPH........................ SPDR S&P NYSE Arca.
Pharmaceuticals ETF.
HYEM....................... VanEck Vectors NYSE Arca.
Emerging Markets
High Yield Bond ETF.
ICSH....................... iShares Ultra Short- Cboe BZX.
Term Bond ETF.
URTH....................... iShares MSCI World NYSE Arca.
ETF.
BAR........................ GraniteShares Gold NYSE Arca.
Shares.
BNO........................ United States Brent NYSE Arca.
Oil Fund LP.
RYH........................ Invesco S&P 500 Equal NYSE Arca.
Weight Health Care
ETF.
BSJL....................... Invesco Bulletshares NYSE Arca.
2021 High Yield
Corporate Bond ETF.
USCI....................... United States NYSE Arca.
Commodity Index Fund.
RYF........................ Invesco S&P 500 Equal NYSE Arca.
Weight Financials
ETF.
IVOO....................... Vanguard S&P Mid-Cap NYSE Arca.
400 ETF.
SLY........................ SPDR S&P 600 Small NYSE Arca.
Cap ETF.
XHE........................ SPDR S&P Health Care NYSE Arca.
Equipment ETF.
IBDL....................... iShares iBonds Dec NYSE Arca.
2020 Term Corporate
ETF.
AGGY....................... WisdomTree Barclays NYSE Arca.
Yield Enhanced U.S.
Aggregate Bond Fund.
FMB........................ First Trust Managed NASDAQ.
Municipal ETF.
IFGL....................... iShares International NASDAQ.
Developed Real
Estate ETF.
IBDK....................... iShares iBonds Dec NYSE Arca.
2019 Term Corporate
ETF.
IBDM....................... iShares iBonds Dec NYSE Arca.
2021 Term Corporate
ETF.
IQDF....................... FlexShares NYSE Arca.
International
Quality Dividend
Index Fund.
FLTB....................... Fidelity Limited Term NYSE Arca.
Bond ETF.
KSA........................ iShares MSCI Saudi NYSE Arca.
Arabia ETF.
BLCN....................... Reality Shares Nasdaq NASDAQ.
NextGen Economy ETF.
IOO........................ iShares Global 100 NYSE Arca.
ETF.
VOOV....................... Vanguard S&P 500 NYSE Arca.
Value ETF.
EWX........................ SPDR S&P Emerging NYSE Arca.
Markets Small Cap
ETF.
OUSA....................... O'Shares FTSE US NYSE Arca.
Quality Dividend ETF.
FNX........................ First Trust Mid Cap NASDAQ.
Core AlphaDEX Fund.
FUTY....................... Fidelity MSCI NYSE Arca.
Utilities Index ETF.
DHS........................ WisdomTree U.S. High NYSE Arca.
Dividend Fund.
DVYE....................... iShares Emerging NYSE Arca.
Markets Dividend ETF.
HYGH....................... iShares Interest Rate NYSE Arca.
Hedged High Yield
Bond ETF.
MLPX....................... Global X MLP & Energy NYSE Arca.
Infrastructure ETF.
AGZ........................ iShares Agency Bond NYSE Arca.
ETF.
FDD........................ First Trust Stoxx NYSE Arca.
European Select
Dividend Index Fund.
RGI........................ Invesco S&P 500 Equal NYSE Arca.
Weight Industrials
ETF.
SOCL....................... Global X Social Media NASDAQ.
ETF.
IGE........................ iShares North Cboe BZX.
American Natural
Resources ETF.
TDTF....................... FlexShares iBoxx 5 NYSE Arca.
Year Target Duration
TIPS Index Fund.
IPAY....................... ETFMG Prime Mobile NYSE Arca.
Payments ETF.
TDIV....................... First Trust NASDAQ NASDAQ.
Technology Dividend
Index Fund.
JKE........................ iShares Morningstar NYSE Arca.
Large-Cap Growth ETF.
RYE........................ Invesco S&P 500 Equal NYSE Arca.
Weight Energy ETF.
IHE........................ iShares U.S. NYSE Arca.
Pharmaceuticals ETF.
PJP........................ Invesco Dynamic NYSE Arca.
Pharmaceuticals ETF.
PID........................ Invesco International NASDAQ.
Dividend Achievers
ETF.
PEY........................ Invesco High Yield NASDAQ.
Equity Dividend
Achievers ETF.
ILTB....................... iShares Core 10+ Year NYSE Arca.
USD Bond ETF.
RDIV....................... Oppenheimer S&P Ultra NYSE Arca.
Dividend Revenue ETF.
LVHD....................... Legg Mason Low NASDAQ.
Volatility High
Dividend ETF.
EZM........................ WisdomTree U.S. NYSE Arca.
MidCap Earnings Fund.
ARKG....................... ARK Genomic NYSE Arca.
Revolution Multi-
Sector ETF.
HFXI....................... IQ 50 Percent Hedged NYSE Arca.
FTSE International
ETF.
SNLN....................... Highland iBoxx Senior NASDAQ.
Loan ETF.
CSML....................... IQ Chaikin U.S. Small NASDAQ.
Cap ETF.
FXU........................ First Trust Utilities NYSE Arca.
AlphaDEX Fund.
PSLV....................... Sprott Physical NYSE Arca.
Silver Trust.
QQEW....................... First Trust Nasdaq- NASDAQ.
100 Equal Weighted
Index Fund.
EMGF....................... iShares Edge MSCI Cboe BZX.
Multifactor Emerging
Markets ETF.
FXF........................ Invesco NYSE Arca.
CurrencyShares Swiss
Franc Trust.
HYZD....................... WisdomTree Interest NASDAQ.
Rate Hedged High
Yield Bond Fund.
AGGP....................... IQ Enhanced Core Plus NYSE Arca.
Bond U.S. ETF.
AIEQ....................... AI Powered Equity ETF NYSE Arca.
PCEF....................... Invesco CEF Income NYSE Arca.
Composite ETF.
KBWY....................... Invesco KBW Premium NASDAQ.
Yield Equity REIT
ETF.
IBDN....................... iShares iBonds Dec NYSE Arca.
2022 Term Corporate
ETF.
PBP........................ Invesco S&P 500 NYSE Arca.
BuyWrite ETF.
CFA........................ VictoryShares US 500 NASDAQ.
Volatility Wtd ETF.
[[Page 66501]]
BWZ........................ SPDR Bloomberg NYSE Arca.
Barclays Short Term
International
Treasury Bond ETF.
VIIX....................... VelocityShares VIX NASDAQ.
Short-Term ETN.
SJB........................ ProShares Short High NYSE Arca.
Yield.
FSTA....................... Fidelity MSCI NYSE Arca.
Consumer Staples
Index ETF.
DWM........................ WisdomTree NYSE Arca.
International Equity
Fund.
ESGE....................... iShares MSCI EM ESG NASDAQ.
Optimized ETF.
FXG........................ First Trust Consumer NYSE Arca.
Staples AlphaDEX
Fund.
CXSE....................... WisdomTree China ex- NASDAQ.
State-Owned
Enterprises Fund.
EQAL....................... Invesco Russell 1000 NYSE Arca.
Equal Weight ETF.
SMDV....................... ProShares Russell Cboe BZX.
2000 Dividend
Growers ETF.
MXI........................ iShares Global NYSE Arca.
Materials ETF.
IHDG....................... WisdomTree NYSE Arca.
International Hedged
Quality Dividend
Growth Fund.
FYX........................ First Trust Small Cap NASDAQ.
Core AlphaDEX Fund.
JPUS....................... JPMorgan Diversified NYSE Arca.
Return U.S. Equity
ETF.
CGW........................ Invesco S&P Global NYSE Arca.
Water Index ETF.
SIZE....................... iShares Edge MSCI USA NYSE Arca.
Size Factor ETF.
XNTK....................... SPDR NYSE Technology NYSE Arca.
ETF.
CDC........................ VictoryShares US EQ NASDAQ.
Income Enhanced
Volatility Wtd ETF.
SIVR....................... ETFS Physical Silver NYSE Arca.
Shares.
IDLV....................... Invesco S&P NYSE Arca.
International
Developed Low
Volatility ETF.
FBND....................... Fidelity Total Bond NYSE Arca.
ETF.
VRIG....................... Invesco Variable Rate NASDAQ.
Investment Grade ETF.
XMX........................ WisdomTree Global ex- NYSE Arca.
Mexico Equity Fund.
QABA....................... First Trust NASDAQ NASDAQ.
ABA Community Bank
Index Fund.
RIGS....................... RiverFront Strategic NYSE Arca.
Income Fund.
FDRR....................... Fidelity Dividend ETF NYSE Arca.
for Rising Rates.
EPU........................ iShares MSCI Peru ETF NYSE Arca.
QYLD....................... Recon Capital NASDAQ NASDAQ.
100 Covered Call ETF.
CSM........................ ProShares Large Cap Cboe BZX.
Core Plus.
FINX....................... Global X FinTech ETF. NASDAQ.
GLTR....................... ETFS Physical NYSE Arca.
Precious Metals
Basket Shares.
MDIV....................... First Trust Multi- NASDAQ.
Asset Diversified
Income Index Fund.
AADR....................... AdvisorShares Dorsey NYSE Arca.
Wright ADR ETF.
PFXF....................... VanEck Vectors NYSE Arca.
Preferred Securities
ex Financials ETF.
PGHY....................... Invesco Global Short NYSE Arca.
Term High Yield Bond
ETF.
BKF........................ iShares MSCI BRIC ETF NYSE Arca.
PSCT....................... Invesco S&P SmallCap NASDAQ.
Information
Technology ETF.
JPN........................ Xtrackers Japan JPX- NYSE Arca.
Nikkei 400 Equity
ETF.
ULVM....................... USAA MSCI USA Value NYSE Arca.
Momentum Blend Index
ETF.
AMU........................ ETRACS Alerian MLP NYSE Arca.
Index ETN.
TFLO....................... iShares Treasury NYSE Arca.
Floating Rate Bond
ETF.
FIXD....................... First Trust TCW NASDAQ.
Opportunistic Fixed
Income ETF.
EES........................ WisdomTree U.S. NYSE Arca.
SmallCap Earnings
Fund.
FVC........................ First Trust Dorsey NASDAQ.
Wright Dynamic Focus
5 ETF.
EDIV....................... SPDR S&P Emerging NYSE Arca.
Markets Dividend ETF.
FCVT....................... First Trust SSI NASDAQ.
Strategic
Convertible
Securities ETF.
HDGE....................... AdvisorShares Ranger NYSE Arca.
Equity Bear ETF.
IBDO....................... iShares iBonds Dec NYSE Arca.
2023 Term Corporate
ETF.
TMFC....................... Motley Fool 100 Index Cboe BZX.
ETF.
FEU........................ SPDR STOXX Europe 50 NYSE Arca.
ETF.
PKB........................ Invesco Dynamic NYSE Arca.
Building &
Construction ETF.
PTMC....................... Pacer Trendpilot US Cboe BZX.
Mid Cap ETF.
FTGC....................... First Trust Global NASDAQ.
Tactical Commodity
Strategy Fund.
ESGD....................... iShares MSCI EAFE ESG NASDAQ.
Optimized ETF.
KXI........................ iShares Global NYSE Arca.
Consumer Staples ETF.
PWB........................ Invesco Dynamic Large NYSE Arca.
Cap Growth ETF.
FXA........................ Invesco NYSE Arca.
CurrencyShares
Australian Dollar
Trust.
REGL....................... ProShares S&P MidCap Cboe BZX.
400 Dividend
Aristocrats ETF.
JPGE....................... J.P. Morgan NYSE Arca.
Diversified Return
Global Equity ETF.
BSCN....................... Invesco Bulletshares NYSE Arca.
2023 Corporate Bond
ETF.
JKG........................ iShares Morningstar NYSE Arca.
Mid-Cap ETF.
GMF........................ SPDR S&P Emerging NYSE Arca.
Asia Pacific ETF.
NUAG....................... NuShares Enhanced NYSE Arca.
Yield U.S. Aggregate
Bond ETF.
NIB........................ iPath Bloomberg Cocoa NYSE Arca.
Subindex Total
Return ETN.
PIE........................ Invesco DWA Emerging NASDAQ.
Markets Momentum ETF.
PUTW....................... WisdomTree CBOE S&P NYSE Arca.
500 PutWrite
Strategy Fund.
FYC........................ First Trust Small Cap NASDAQ.
Growth AlphaDEX Fund.
SUSA....................... iShares MSCI USA ESG NYSE Arca.
Select ETF.
RXI........................ iShares Global NYSE Arca.
Consumer
Discretionary ETF.
IPKW....................... Invesco International NASDAQ.
BuyBack Achievers
ETF.
TLTE....................... FlexShares NYSE Arca.
Morningstar Emerging
Markets Factor Tilt
Index.
UDN........................ Invesco DB US Dollar NYSE Arca.
Index Bearish Fund.
HDEF....................... Xtrackers MSCI EAFE NYSE Arca.
High Dividend Yield
Equity ETF.
ELD........................ WisdomTree Emerging NYSE Arca.
Markets Local Debt
Fund.
[[Page 66502]]
XTL........................ SPDR S&P Telecom ETF. NYSE Arca.
ZROZ....................... PIMCO 25+ Year Zero NYSE Arca.
Coupon US Treasury
Index ETF.
ATMP....................... Barclays ETN+ Select NYSE Arca.
MLP ETN.
------------------------------------------------------------------------
BILLING CODE 8011-01-P
[[Page 66503]]
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[[Page 66505]]
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[[Page 66506]]
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[[Page 66507]]
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[[Page 66508]]
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[[Page 66509]]
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[[Page 66510]]
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[[Page 66511]]
[GRAPHIC] [TIFF OMITTED] TN26DE18.030
[FR Doc. 2018-27819 Filed 12-21-18 8:45 am]
BILLING CODE 8011-01-C
