Joint Industry Plan; Notice of Filing and Immediate Effectiveness of the Fourth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc.
Federal Register, Volume 78 Issue 170 (Tuesday, September 3, 2013)
Federal Register Volume 78, Number 170 (Tuesday, September 3, 2013)
Notices
Pages 54321-54336
From the Federal Register Online via the Government Printing Office www.gpo.gov
FR Doc No: 2013-21301
Page 54321
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SECURITIES AND EXCHANGE COMMISSION
Release No. 34-70273; File No. 4-631
Joint Industry Plan; Notice of Filing and Immediate Effectiveness of the Fourth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-
Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc.
August 27, 2013.
Pursuant to Section 11A of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that, on July 18, 2013, NYSE Euronext, on behalf of New York Stock Exchange LLC (``NYSE''), NYSE MKT LLC (``NYSE MKT''), and NYSE Arca, Inc. (``NYSE Arca''), and the following parties to the National Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc. (collectively with NYSE, NYSE MKT, and NYSE Arca, the ``Participants''), filed with the Securities and Exchange Commission (the ``Commission'') for a proposal to amend the Plan to Address Extraordinary Market Volatility (``Plan'').\3\ The proposal represents the fourth amendment to the Plan (``Fourth Amendment''), and reflects changes unanimously approved by the Participants. The Fourth Amendment to the Plan proposes to make technical changes to the implementation schedule of the Plan. A copy of the Plan, as proposed to be amended, is attached as Exhibit A hereto. Pursuant to Rule 608(b)(3)(iii) under Regulation NMS,\4\ the Participants designate the amendment as involving solely technical or ministerial matters. As a result, the amendment becomes effective upon filing with the Commission. The Commission is publishing this notice to solicit comments from interested persons on the Fourth Amendment to the Plan.
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\1\ 15 U.S.C. 78k-1.
\2\ 17 CFR 242.608.
\3\ See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated July 17, 2013 (``Transmittal Letter'').
\4\ 17 CFR 242.608(b)(3)(iii).
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Rule 608(a) of Regulation NMS
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Purpose of the Plan
The Participants filed the Plan in order to create a market-wide limit up-limit down mechanism that is intended to address extraordinary market volatility in ``NMS Stocks,'' as defined in Rule 600(b)(47) of Regulation NMS under the Act.\5\ The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would be designed to prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands.\6\ These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity).
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\5\ 17 CFR 242.600(b)(47). See also Section I(H) of the Plan.
\6\ See Section V of the Plan.
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As set forth in Section V of the Plan, the price bands would consist of a Lower Price Band and an Upper Price Band for each NMS Stock.\7\ The price bands would be calculated by the Securities Information Processors (``SIPs'' or ``Processors'') responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act.\8\ Those price bands would be based on a Reference Price \9\ for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period. The price bands for an NMS Stock would be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter \10\ below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. Between 9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price bands would be calculated by applying double the Percentage Parameters.
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\7\ Capitalized terms used herein but not otherwise defined shall have the meaning ascribed to such terms in the Plan. See Exhibit A, infra.
\8\ 17 CFR 242.603(b). The Plan refers to this entity as the Processor.
\9\ See Section I(T) of the Plan.
\10\ As initially proposed by the Participants, the Percentage Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index or Russell 1000 Index and certain ETPs) with a Reference Price of $1.00 or more would be five percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for Tier 2 NMS Stocks (i.e., all NMS Stocks other than those in Tier 1) with a Reference Price of $1.00 or more would be 10 percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP would be the applicable Percentage Parameter set forth above multiplied by the leverage ratio of such product. On May 24, 2012, the Participants amended the Plan to create a 20% price band for Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and up to and including $3.00. The Percentage Parameter for stocks with a Reference Price below $0.75 would be the lesser of (a) $0.15 or (b) 75 percent. See Letter from Janet M. McGinness, Senior Vice President, Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012 (``First Amendment'').
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The Processors would also calculate a Pro-Forma Reference Price for each NMS Stock on a continuous basis during Regular Trading Hours. If a Pro-Forma Reference Price did not move by one percent or more from the Reference Price in effect, no new price bands would be disseminated, and the current Reference Price would remain the effective Reference Price. If the Pro-Forma Reference Price moved by one percent or more from the Reference Price in effect, the Pro-Forma Reference Price would become the Reference Price, and the Processors would disseminate new price bands based on the new Reference Price. Each new Reference Price would remain in effect for at least 30 seconds.
When one side of the market for an individual security is outside the applicable price band, the Processors would be required to disseminate such National Best Bid \11\ or National Best Offer \12\ with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable price band, the market for an individual security would enter a Limit State,\13\ and the Processors would be required to disseminate such National Best Offer or National Best Bid with an appropriate flag identifying it as a Limit State Quotation.\14\ All trading would immediately enter a Limit State if the National Best Offer equals the Lower Limit Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Limit Band and does not cross the National Best Offer. Trading for an NMS Stock would exit a Limit State if, within 15 seconds of entering the Limit State, all Limit State
Page 54322
Quotations were executed or canceled in their entirety. If the market did not exit a Limit State within 15 seconds, then the Primary Listing Exchange would declare a five-minute trading pause, which would be applicable to all markets trading the security.
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\11\ 17 CFR 242.600(b)(42). See also Section I(G) of the Plan.
\12\ Id.
\13\ A stock enters the Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer. See Section VI(B) of the Plan.
\14\ See Section I(D) of the Plan.
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These limit up-limit down requirements would be coupled with trading pauses \15\ to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the Plan, all trading centers \16\ in NMS Stocks, including both those operated by Participants and those operated by members of Participants, would be required to establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down and trading pause requirements specified in the Plan.
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\15\ The primary listing market would declare a trading pause in an NMS Stock; upon notification by the primary listing market, the Processor would disseminate this information to the public. No trades in that NMS Stock could occur during the trading pause, but all bids and offers may be displayed. See Section VII(A) of the Plan.
\16\ As defined in Section I(X) of the Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Act.
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Under the Plan, all trading centers would be required to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processors would disseminate an offer below the Lower Price Band or bid above the Upper Price Band that nevertheless inadvertently may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; such bid or offer would not be included in National Best Bid or National Best Offer calculations. In addition, all trading centers would be required to develop, maintain, and enforce policies and procedures reasonably designed to prevent trades at prices outside the price bands, with the exception of single-priced opening, reopening, and closing transactions on the Primary Listing Exchange.
As stated by the Participants in the Plan, the limit up-limit down mechanism is intended to reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks,\17\ thereby protecting investors and promoting a fair and orderly market.\18\ In particular, the Plan is designed to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010.\19\
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\17\ 17 CFR 242.600(b)(47).
\18\ See Transmittal Letter, supra note 3.
\19\ The limit up-limit down mechanism set forth in the Plan would replace the existing single-stock circuit breaker pilot. See e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033).
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The following summarizes the Fourth Amendment to the Plan and the rationale behind those changes:
The Participants propose to amend Section VIII.B of the Plan to establish a new implementation schedule for Phase II of the Plan. The Plan currently provides that six months after the initial date of Plan operations, the Plan shall fully apply (i) to all NMS Stocks and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close. Because the initial date of Plan operations was April 8, 2013, the Plan currently provides that it shall be fully implemented by October 8, 2013. The Participants propose to amend Section VIII.B to provide that the Plan shall fully apply (i) to all NMS Stocks and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close, eight months after the initial date of Plan operations. This will extend the time to fully implement the Plan to December 8, 2013.
The Participants propose to make this change to accommodate a longer implementation period for Phase II of the Plan, which is currently scheduled to begin on August 5, 2013, that will separate the implementation of Phase II into two stages. During the first stage of Phase II, the Plan will be rolled out to all NMS Stocks beginning at 9:30 a.m. E.T. and ending at 3:45 p.m. ET each trading day, or fifteen minutes before the close in the case of an early scheduled close. Once this stage is complete, the Participants will extend the time of Plan operations to 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close.
The Participants believe that this proposed amendment is technical and ministerial in nature because it simply extends the implementation period of the Plan and does not change any substantive elements of the Plan. The proposed modification to the implementation schedule is in response to requests by the securities industry for additional time for systems testing by Participants and the securities industry, particularly around the close.\20\ The Participants believe that providing additional time for the Participants and the securities industry to test the manner by which the Plan operates around the close, particularly when there is a trading pause less than five minutes before the scheduled close of trading, is necessary and appropriate in the public interest and for the protection of investors. In addition, the Participants note that they plan to file an additional amendment to the Plan \21\ to revise the manner by which the Plan would operate near the close. Specifically, the Participants will be proposing to provide that if a Trading Pause is declared for an NMS Stock within the last ten minutes of trading, the Primary Listing Exchange will not reopen the NMS Stock and will instead attempt to close the NMS Stock using established closing procedures. The Participants believe that the proposal to extend the implementation period is necessary to provide additional time for the amendment to the Plan to go through an appropriate notice and comment period and approval process.
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\20\ See Letter from T.R. Lazo, Managing Director and Associate General Counsel, SIFMA to John Ramsey, Acting Director, Division of Trading and Markets, Commission, dated July 10, 2013. The Participants noted that SIFMA supports the proposed adjustment to the implementation schedule of Phase II of the Plan. See also Letter from Kimberly Unger, Chief Executive Office and Executive Director, STANY, to Elizabeth M. Murphy, Secretary, Commission, dated July 10, 2013.
\21\ See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated July 17, 2013 (``Fifth Amendment''). See also Securities Exchange Act Release No. XXXX (July X, 2013).
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The Participants also propose a technical, non-substantive amendment to Section VIII(A)(3) to fix a typographical error. The amended version of the Plan also includes the revised Appendix A--
Schedule 1, which was updated for trading beginning on July 1, 2013. As set forth in Appendix A--Percentage Parameters, the Primary Listing Exchanges update Scheduled 1 to Appendix A semi-annually based on the fiscal year and such updates do not require a Plan amendment.
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Governing or Constituent Documents
The governing documents of the Processor, as defined in Section I(P) of the Plan, will not be affected by the Plan, but once the Plan is implemented, the Processor's obligations will change, as set forth in detail in the Plan.
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Implementation of Plan
The initial date of the Plan operations was April 8, 2013.
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Development and Implementation Phases
The Plan will be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the Plan: Phase I of Plan implementation began on April 8, 2013 and was completed on May 3, 2013 The Participants currently anticipate that Phase II of Plan implementation will begin on August 5, 2013. Phase II of the Plan may be rolled out to applicable NMS Stocks over a period not to exceed four months and will be in two stages: (1) Applying the Plan to all NMS Stocks beginning at 9:30 a.m. ET and ending at 3:45 p.m. ET, or fifteen minutes before the close in the case of an early scheduled close; and (2) extending Plan operations to 4:00 p.m. ET, or earlier in the case of an early scheduled close. Any such roll-out period will be made available in advance of the implementation dates for Phase II of the Plan via the Participants' Web sites and trader updates, as applicable.
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Analysis of Impact on Competition
The Participants do not believe that the Plan imposes any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants also do not believe that the Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.\22\
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\22\ 15 U.S.C. 78k-1(c)(1)(D).
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Written Understanding or Agreements Relating to Interpretation of, or Participation in, Plan
The Participants state that they have no written understandings or agreements relating to interpretation of the Plan. Section II(C) of the Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Participant.
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Approval of Amendment of the Plan
Each of the Plan's Participants has executed a written amended Plan.
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Terms and Conditions of Access
Section II(C) of the Plan provides that any entity registered as a national securities exchange or national securities association under the Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans, as defined in Section I(F) of the Plan; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan.
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Method of Determination and Imposition, and Amount of, Fees and Charges
Not applicable.
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Method and Frequency of Processor Evaluation
Not applicable.
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Dispute Resolution
The Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee.\23\ No later than the initial date of the Plan, the Operating Committee would be required to designate one member of the Operating Committee to act as the Chair of the Operating Committee. The Operating Committee shall monitor the procedures established pursuant to the Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS under the Act.\24\
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\23\ See Section I(J) of the Plan.
\24\ 17 CFR 242.608.
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Solicitation of Comments
Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Fourth Amendment to the Plan is consistent with the Act. Comments may be submitted by any of the following methods:
Electronic Comments
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include File Number 4-631 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
All submissions should refer to File Number 4-631. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Fourth Amendment to the Plan that are filed with the Commission, and all written communications relating to the Fourth Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission's Public Reference Room, 100 F Street NE., Washington, DC 20549 on official business days between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be available for inspection and copying at the Participants' principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4-631 and should be submitted on or before September 24, 2013.
By the Commission.
Kevin M. O'Neill,
Deputy Secretary.
EXHIBIT A
Proposed new language is italicized; proposed deletions are in brackets.
PLAN TO ADDRESS EXTRAORDINARY MARKET VOLATILITY SUBMITTED TO THE SECURITIES AND EXCHANGE COMMISSION PURSUANT TO RULE 608 OF REGULATION NMS UNDER THE SECURITIES EXCHANGE ACT OF 1934
Table of Contents
Section Page
Preamble....................................................... .......
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Definitions................................................. .......
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Parties.................................................... .......
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Amendments to Plan........................................ .......
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Trading Center Policies and Procedures..................... .......
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Price Bands................................................. .......
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Limit Up-Limit Down Requirements........................... .......
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Trading Pauses............................................ .......
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Implementation........................................... .......
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Withdrawal from Plan....................................... .......
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Counterparts and Signatures................................. .......
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Appendix A--Percentage Parameters.............................. .......
Appendix A--Schedule 1......................................... .......
Appendix B--Data............................................... .......
Preamble
The Participants submit to the SEC this Plan establishing procedures to address extraordinary volatility in NMS Stocks. The procedures provide for market-wide limit up-limit down requirements that prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. These limit up-limit down requirements are coupled with Trading Pauses to accommodate more fundamental price 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.
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Definitions
(A) ``Eligible Reported Transactions'' shall have the meaning prescribed by the Operating Committee and shall generally mean transactions that are eligible to update the last sale price of an NMS Stock.
(B) ``Exchange Act'' means the Securities Exchange Act of 1934, as amended.
(C) ``Limit State'' shall have the meaning provided in Section VI of the Plan.
(D) ``Limit State Quotation'' shall have the meaning provided in Section VI of the Plan.
(E) ``Lower Price Band'' shall have the meaning provided in Section V of the Plan.
(F) ``Market Data Plans'' shall mean the effective national market system plans through which the Participants act jointly to disseminate consolidated information in compliance with Rule 603(b) of Regulation NMS under the Exchange Act.
(G) ``National Best Bid'' and ``National Best Offer'' shall have the meaning provided in Rule 600(b)(42) of Regulation NMS under the Exchange Act.
(H) ``NMS Stock'' shall have the meaning provided in Rule 600(b)(47) of Regulation NMS under the Exchange Act.
(I) ``Opening Price'' shall mean the price of a transaction that opens trading on the Primary Listing Exchange, or, if the Primary Listing Exchange opens with quotations, the midpoint of those quotations.
(J) ``Operating Committee'' shall have the meaning provided in Section III(C) of the Plan.
(K) ``Participant'' means a party to the Plan.
(L) ``Plan'' means the plan set forth in this instrument, as amended from time to time in accordance with its provisions.
(M) ``Percentage Parameter'' shall mean the percentages for each tier of NMS Stocks set forth in Appendix A of the Plan.
(N) ``Price Bands'' shall have the meaning provided in Section V of the Plan.
(O) ``Primary Listing Exchange'' shall mean the Participant on which an NMS Stock is listed. If an NMS Stock is listed on more than one Participant, the Participant on which the NMS Stock has been listed the longest shall be the Primary Listing Exchange.
(P) ``Processor'' shall mean the single plan processor responsible for the consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act.
(Q) ``Pro-Forma Reference Price'' shall have the meaning provided in Section V(A)(2) of the Plan.
(R) ``Regular Trading Hours'' shall have the meaning provided in Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in the case of an early scheduled close.
(S) ``Regulatory Halt'' shall have the meaning specified in the Market Data Plans.
(T) ``Reference Price'' shall have the meaning provided in Section V of the Plan.
(U) ``Reopening Price'' shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations.
(V) ``SEC'' shall mean the United States Securities and Exchange Commission.
(W) ``Straddle State'' shall have the meaning provided in Section VII(A)(2) of the Plan.
(X) ``Trading center'' shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act.
(Y) ``Trading Pause'' shall have the meaning provided in Section VII of the Plan.
(Z) ``Upper Price Band'' shall have the meaning provided in Section V of the Plan.
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Parties
(A) List of Parties
The parties to the Plan are as follows:
(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle Street, Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey City, NJ 07310
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street NW., Washington, DC 20006
(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006
(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey City, NJ 07302
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005
(13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 60606
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan.
(C) New Participants
The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by: (1) becoming a participant in the applicable Market
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Data Plans; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan.
(D) Advisory Committee
(1) Formation. Notwithstanding other provisions of this Plan, an Advisory Committee to the Plan shall be formed and shall function in accordance with the provisions set forth in this section.
(2) Composition. Members of the Advisory Committee shall be selected for two-year terms as follows:
(A) Advisory Committee Selections. By affirmative vote of a majority of the Participants, the Participants shall select at least one representatives from each of the following categories to be members of the Advisory Committee: (1) a broker-dealer with a substantial retail investor customer base; (2) a broker-dealer with a substantial institutional investor customer base; (3) an alternative trading system; (4) a broker-dealer that primarily engages in trading for its own account; and (5) an investor.
(3) Function. Members of the Advisory Committee shall have the right to submit their views to the Operating Committee on Plan matters, prior to a decision by the Operating Committee on such matters. Such matters shall include, but not be limited to, proposed material amendments to the Plan.
(4) Meetings and Information. Members of the Advisory Committee shall have the right to attend meetings of the Operating Committee and to receive any information concerning Plan matters; provided, however, that the Operating Committee may meet in executive session if, by affirmative vote of a majority of the Participants, the Operating Committee determines that an item of Plan business requires confidential treatment.
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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.
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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.
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Price Bands
(A) Calculation and Dissemination of Price Bands
(1) The Processor for each NMS stock shall calculate and disseminate to the public a Lower Price Band and an Upper Price Band during Regular Trading Hours for such NMS Stock. The Price Bands shall be based on a Reference Price for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS stock over the immediately preceding five-minute period (except for periods following openings and reopenings, which are addressed below). If no Eligible Reported Transactions for the NMS Stock have occurred over the immediately preceding five-minute period, the previous Reference Price shall remain in effect. The Price Bands for an NMS Stock shall be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. The Price Bands shall be calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before the early scheduled close, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If a Reopening Price does not occur within ten minutes after the beginning of a Trading Pause, the Price Band, for the first 30 seconds following the reopening after that Trading Pause, shall be calculated by applying triple the Percentage Parameters set forth in Appendix A.
(2) The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new Price Bands based on the new Reference
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Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds.
(B) Openings
(1) Except when a Regulatory Halt is in effect at the start of Regular Trading Hours, the first Reference Price for a trading day shall be the Opening Price on the Primary Listing Exchange in an NMS Stock if such Opening Price occurs less than five minutes after the start of Regular Trading Hours. During the period less than five minutes after the Opening Price, a Pro-Forma Reference Price shall be updated on a continuous basis to be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock during the period following the Opening Price (including the Opening Price), and if it differs from the current Reference Price by 1% or more shall become the new Reference Price, except that a new Reference Price shall remain in effect for at least 30 seconds. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2) If the Opening Price on the Primary Listing Exchange in an NMS Stock does not occur within five minutes after the start of Regular Trading Hours, the first Reference Price for a trading day shall be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(C) Reopenings
(1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange if such Reopening Price occurs within ten minutes after the beginning of the Trading Pause, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Reopening Price does not occur within ten minutes after the beginning of the Trading Pause, the first Reference Price following the Trading Pause shall be equal to the last effective Reference Price before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the Primary Listing Exchange if such Opening or Reopening Price occurs within five minutes after the end of the Regulatory Halt, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Opening or Reopening Price has not occurred within five minutes after the end of the Regulatory Halt, the Reference Price shall be equal to the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
-
Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent trades at prices that are below the Lower Price Band or above the Upper Price Band for an NMS Stock. Single-priced opening, reopening, and closing transactions on the Primary Listing Exchange, however, shall be excluded from this limitation. In addition, any transaction that both (i) does not update the last sale price (except if solely because the transaction was reported late or because the transaction was an odd-lot sized transaction), and (ii) is excepted or exempt from Rule 611 under Regulation NMS shall be excluded from this limitation.
(2) When a National Best Bid is below the Lower Price Band or a National Best Offer is above the Upper Price Band for an NMS Stock, the Processor shall disseminate such National Best Bid or National Best Offer with an appropriate flag identifying it as non-executable. When a National Best Offer is equal to the Lower Price Band or a National Best Bid is equal to the Upper Price Band for an NMS Stock, the Processor shall distribute such National Best Bid or National Best Offer with an appropriate flag identifying it as a ``Limit State Quotation''.
(3) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processor shall disseminate an offer below the Lower Price Band or bid above the Upper Price Band that may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; provided, however, that any such bid or offer shall not be included in National Best Bid or National Best Offer calculations.
(B) Entering and Exiting a Limit State
(1) All trading for an NMS Stock shall immediately enter a Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer.
(2) When trading for an NMS Stock enters a Limit State, the Processor shall disseminate this information by identifying the relevant quotation (i.e., a National Best Offer that equals the Lower Price Band or a National Best Bid that equals the Upper Price Band) as a Limit State Quotation. At this point, the Processor shall cease calculating and disseminating updated Reference Prices and Price Bands for the NMS Stock until either trading exits the Limit State or trading resumes with an opening or re-opening as provided in Section V.
(3) Trading for an NMS Stock shall exit a Limit State if, within 15 seconds of entering the Limit State, the entire size of all Limit State Quotations are executed or cancelled.
(4) If trading for an NMS Stock exits a Limit State within 15 seconds of entry, the Processor shall immediately calculate and disseminate updated Price Bands based on a Reference Price that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period (including the period of the Limit State).
(5) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry, the Limit State will terminate when the Primary Listing Exchange declares a Trading Pause pursuant to Section VII of the Plan or at the end of Regular Trading Hours.
-
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
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declaring a Trading Pause would support the Plan's goal to address extraordinary market volatility. The Primary Listing Exchange shall develop policies and procedures for determining when it would declare a Trading Pause in such circumstances. If a Trading Pause is declared for an NMS Stock under this provision, the Primary Listing Exchange shall notify the Processor.
(3) The Processor shall disseminate Trading Pause information to the public. No trades in an NMS Stock shall occur during a Trading Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
(1) Five minutes after declaring a Trading Pause for an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the Primary Listing Exchange shall attempt to reopen trading using its established reopening procedures. The Trading Pause shall end when the Primary Listing Exchange reports a Reopening Price.
(2) The Primary Listing Exchange shall notify the Processor if it is unable to reopen trading in an NMS Stock for any reason other than a significant order imbalance and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public, and all trading centers may begin trading the NMS Stock at this time.
(3) If the Primary Listing Exchange does not report a Reopening Price within ten minutes after the declaration of a Trading Pause in an NMS Stock, and has not declared a Regulatory Halt, all trading centers may begin trading the NMS Stock.
(4) When trading begins after a Trading Pause, the Processor shall update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C) Trading Pauses Within Five Minutes of the End of Regular Trading Hours
(1) If a Trading Pause for an NMS Stock is declared less than five minutes before the end of Regular Trading Hours, the Primary Listing Exchange 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.
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Implementation
The initial date of Plan operations shall be April 8, 2013.
(A) Phase I
(1) On the initial date of Plan operations, Phase I of Plan implementation shall begin in select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan.
(2) Three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified in Appendix A of the Plan.
(3) During Phase I, the first Price Bands for a trading day shall be calculated and disseminated 15 minutes after the start of Regular Trading Hours as specified in Section (V)(A) of the Plan. No Price Bands shall be calculated and disseminated disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours.
(B) Phase II--Full Implementation
Six Eight months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close.
(C) Pilot
The Plan shall be implemented on a one-year pilot basis.
-
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.
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Counterparts and Signatures
The Plan may be executed in any number of counterparts, no one of which need contain all signatures of all Participants, and as many of such counterparts as shall together contain all such signatures shall constitute one and the same instrument.
IN WITNESS THEREOF, this Plan has been executed as of the ------ day of July 2013 by each of the parties hereto.
BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------
BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------
CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------
THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------
NATIONAL STOCK EXCHANGE, INC.------------------------------------------
BY:--------------------------------------------------------------------
NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------
NYSE MKT LLC
BY:--------------------------------------------------------------------
NYSE ARCA, INC.
BY:--------------------------------------------------------------------
Appendix A--Percentage Parameters
-
Tier 1 NMS Stocks
(1) Tier 1 NMS Stocks shall include all NMS Stocks included in the S&P 500 Index, the Russell 1000 Index, and the exchange-traded products (``ETP'') listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume (``CADV''). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS Stock. To ensure that ETPs that track similar benchmarks but that do not meet this volume criterion do not become subject to pricing volatility when a component security is the subject of a trading pause, non-leveraged ETPs that have traded below this volume criterion, but that track the same benchmark as an ETP that does meet the volume criterion,
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will be deemed eligible to be included as a Tier 1 NMS Stock. The semi-
annual updates to Schedule 1 do not require an amendment to the Plan. The Primary Listing Exchanges will maintain the updated Schedule 1 on their respective Web sites.
(2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than $3.00 shall be 5%.
(3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.
(5) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary 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.
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Tier 2 NMS Stocks
(1) Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1, provided, however, that all rights and warrants are excluded from the Plan.
(2) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price more than $3.00 shall be 10%.
(3) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.
(5) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or (4) above, multiplied by the leverage ratio of such product.
(6) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.
Appendix A--Schedule 1
------------------------------------------------------------------------
Ticker Name Primary exchange
------------------------------------------------------------------------
AAXJ................ iShares MSCI All Country NASDAQ GM
Asia ex Japan Index
Fund.
ACWI................ iShares MSCI ACWI Index NASDAQ GM
Fund.
ACWV................ iShares MSCI All Country NYSE Arca
World Minimum
Volatility Index Fund.
ACWX................ iShares MSCI ACWI ex US NASDAQ GM
Index Fund.
AGG................. iShares Core Total US NYSE Arca
Bond Market ETF.
AGOL................ ETFS Asian Gold Trust... NYSE Arca
AGZ................. iShares Barclays Agency NYSE Arca
Bond Fund.
ALD................. WisdomTree Asia Local NYSE Arca
Debt Fund.
AMJ................. JPMorgan Alerian MLP NYSE Arca
Index ETN.
AMLP................ Alerian MLP ETF......... NYSE Arca
AMU................. ETRACS Alerian MLP Index NYSE Arca
ETN.
BAB................. PowerShares Build NYSE Arca
America Bond Portfolio.
BAL................. iPath Dow Jones-UBS NYSE Arca
Cotton Subindex Total
Return Callable ETN.
BBH................. Market Vectors Biotech NYSE Arca
ETF.
BDG................. PowerShares DB Base NYSE Arca
Metals Long ETN.
BFOR................ Barron's 400 ETF........ NYSE Arca
BIK................. SPDR S&P BRIC 40 ETF.... NYSE Arca
BIL................. SPDR Barclays 1-3 Month NYSE Arca
T-Bill.
BIV................. Vanguard Intermediate- NYSE Arca
Term Bond ETF.
BKF................. iShares MSCI BRIC Index NYSE Arca
Fund.
BKLN................ PowerShares Senior Loan NYSE Arca
Portfolio.
BLV................. Vanguard Long-Term Bond NYSE Arca
ETF.
BND................. Vanguard Total Bond NYSE Arca
Market ETF.
BNDX................ Vanguard Total NASDAQ GM
International Bond ETF.
BNO................. United States Brent Oil NYSE Arca
Fund LP.
BOND................ Pimco Total Return ETF.. NYSE Arca
BOS................. PowerShares DB Base NYSE Arca
Metals Short ETN.
BRF................. Market Vectors Brazil NYSE Arca
Small-Cap ETF.
BSJE................ Guggenheim BulletShares NYSE Arca
2014 High Yield
Corporate Bond ETF.
BSJF................ Guggenheim BulletShares NYSE Arca
2015 High Yield
Corporate Bond ETF.
BSV................. Vanguard Short-Term Bond NYSE Arca
ETF.
BWV................. iPath CBOE S&P 500 NYSE Arca
BuyWrite Index ETN.
BWX................. SPDR Barclays NYSE Arca
International Treasury
Bond ETF.
CEW................. WisdomTree Emerging NYSE Arca
Currency Fund.
CFT................. iShares Barclays Credit NYSE Arca
Bond Fund.
CHIQ................ Global X China Consumer NYSE Arca
ETF.
CIU................. iShares Barclays NYSE Arca
Intermediate Credit
Bond Fund.
CLY................. iShares 10+ Year Credit NYSE Arca
Bond Fund.
CMF................. iShares S&P California NYSE Arca
AMT-Free Municipal Bond
Fund.
CORN................ Teucrium Corn Fund...... NYSE Arca
CSD................. Guggenheim Spin-Off ETF. NYSE Arca
CSJ................. iShares Barclays 1-3 NYSE Arca
Year Credit Bond Fund.
CUT................. Guggenheim Timber ETF... NYSE Arca
CVY................. Guggenheim Multi-Asset NYSE Arca
Income ETF.
CWB................. SPDR Barclays NYSE Arca
Convertible Securities
ETF.
CWI................. SPDR MSCI ACWI ex-US ETF NYSE Arca
DBA................. PowerShares DB NYSE Arca
Agriculture Fund.
DBB................. PowerShares DB Base NYSE Arca
Metals Fund.
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DBC................. PowerShares DB Commodity NYSE Arca
Index Tracking Fund.
DBE................. PowerShares DB Energy NYSE Arca
Fund.
DBJP................ db X-trackers MSCI Japan NYSE Arca
Hedged Equity Fund.
DBO................. PowerShares DB Oil Fund. NYSE Arca
DBP................. PowerShares DB Precious NYSE Arca
Metals Fund.
DBV................. PowerShares DB G10 NYSE Arca
Currency Harvest Fund.
DEM................. WisdomTree Emerging NYSE Arca
Markets Equity Income
Fund.
DES................. WisdomTree SmallCap NYSE Arca
Dividend Fund.
DFJ................. WisdomTree Japan NYSE Arca
SmallCap Dividend Fund.
DGL................. PowerShares DB Gold Fund NYSE Arca
DGS................. WisdomTree Emerging NYSE Arca
Markets SmallCap
Dividend Fund.
DGZ................. PowerShares DB Gold NYSE Arca
Short ETN.
DHS................. WisdomTree Equity Income NYSE Arca
Fund.
DIA................. SPDR Dow Jones NYSE Arca
Industrial Average ETF
Trust.
DJCI................ ETRACS DJ-UBS Commodity NYSE Arca
Index Total Return ETN.
DJP................. iPath Dow Jones-UBS NYSE Arca
Commodity Index Total
Return ETN.
DLN................. WisdomTree LargeCap NYSE Arca
Dividend Fund.
DLS................. WisdomTree International NYSE Arca
SmallCap Dividend Fund.
DOG................. ProShares Short Dow30... NYSE Arca
DON................. WisdomTree MidCap NYSE Arca
Dividend Fund.
DTN................. WisdomTree Dividend Ex- NYSE Arca
Financials Fund.
DVY................. iShares Dow Jones Select NYSE Arca
Dividend Index Fund.
DWX................. SPDR S&P International NYSE Arca
Dividend ETF.
DXJ................. WisdomTree Japan Hedged NYSE Arca
Equity Fund.
EBND................ SPDR Barclays Emerging NYSE Arca
Markets Local Bond ETF.
ECH................. iShares MSCI Chile NYSE Arca
Capped Investable
Market Index Fund.
ECON................ EGShares Emerging NYSE Arca
Markets Consumer ETF.
EDIV................ SPDR S&P Emerging NYSE Arca
Markets Dividend ETF.
EDV................. Vanguard Extended NYSE Arca
Duration Treasury ETF.
EEM................. iShares MSCI Emerging NYSE Arca
Markets Index Fund.
EEMA................ iShares MSCI Emerging NASDAQ GM
Markets Asia Index.
EEMV................ iShares MSCI Emerging NYSE Arca
Markets Minimum
Volatility Index Fund.
EFA................. iShares MSCI EAFE Index NYSE Arca
Fund.
EFAV................ iShares MSCI EAFE NYSE Arca
Minimum Volatility
Index Fund.
EFG................. iShares MSCI EAFE Growth NYSE Arca
Index.
EFV................. iShares MSCI EAFE Value NYSE Arca
Index.
EFZ................. ProShares Short MSCI NYSE Arca
EAFE.
EIDO................ iSHARES MSCI Indonesia NYSE Arca
Investable Market Index
Fund.
ELD................. WisdomTree Emerging NYSE Arca
Markets Local Debt Fund.
ELR................. SPDR Dow Jones Large Cap NYSE Arca
ETF.
EMB................. iShares JPMorgan USD NYSE Arca
Emerging Markets Bond
Fund.
EMLC................ Market Vectors Emerging NYSE Arca
Markets Local Currency
Bond ETF.
EMM................. SPDR Dow Jones Mid Cap NYSE Arca
ETF.
ENZL................ iShares MSCI New Zealand NYSE Arca
Capped Investable
Market Index Fund.
EPHE................ iShares MSCI Philippines NYSE Arca
Investable Market Index
Fund.
EPI................. WisdomTree India NYSE Arca
Earnings Fund.
EPOL................ iShares MSCI Poland NYSE Arca
Capped Investable
Market Index Fund.
EPP................. iShares MSCI Pacific ex- NYSE Arca
Japan Index Fund.
EPU................. iShares MSCI All Peru NYSE Arca
Capped Index Fund.
ERUS................ iShares MSCI Russia NYSE Arca
Capped Index Fund.
EUM................. ProShares Short MSCI NYSE Arca
Emerging Markets.
EWA................. iShares MSCI Australia NYSE Arca
Index Fund.
EWC................. iShares MSCI Canada NYSE Arca
Index Fund.
EWD................. iShares MSCI Sweden NYSE Arca
Index Fund.
EWG................. iShares MSCI Germany NYSE Arca
Index Fund.
EWH................. iShares MSCI Hong Kong NYSE Arca
Index Fund.
EWI................. iShares MSCI Italy NYSE Arca
Capped Index Fund.
EWJ................. iShares MSCI Japan Index NYSE Arca
Fund.
EWL................. iShares MSCI Switzerland NYSE Arca
Capped Index Fund.
EWM................. iShares MSCI Malaysia NYSE Arca
Index Fund.
EWN................. iShares MSCI Netherlands NYSE Arca
Investable Market Index
Fund.
EWO................. iShares MSCI Austria NYSE Arca
Capped Investable
Market Index Fund.
EWP................. iShares MSCI Spain NYSE Arca
Capped Index Fund.
EWQ................. iShares MSCI France NYSE Arca
Index Fund.
EWS................. iShares MSCI Singapore NYSE Arca
Index Fund.
EWT................. iShares MSCI Taiwan NYSE Arca
Index Fund.
EWU................. iShares MSCI United NYSE Arca
Kingdom Index Fund.
EWW................. iShares MSCI Mexico NYSE Arca
Capped Investable
Market Index Fund.
EWX................. SPDR S&P Emerging NYSE Arca
Markets SmallCap ETF.
EWY................. iShares MSCI South Korea NYSE Arca
Capped Index Fund.
EWZ................. iShares MSCI Brazil NYSE Arca
Capped Index Fund.
Page 54330
EXI................. iShares S&P Global NYSE Arca
Industrials Sector
Index Fund.
EZA................. iShares MSCI South NYSE Arca
Africa Index Fund.
EZU................. iShares MSCI EMU Index NYSE Arca
Fund.
FBT................. First Trust NYSE Arca NYSE Arca
Biotechnology Index
Fund.
FCG................. First Trust ISE-Revere NYSE Arca
Natural Gas Index Fund.
FDL................. First Trust Morningstar NYSE Arca
Dividend Leaders Index.
FDN................. First Trust Dow Jones NYSE Arca
Internet Index Fund.
FEM................. First Trust Emerging NYSE Arca
Markets AlphaDEX Fund.
FEX................. First Trust Large Cap NYSE Arca
Core AlphaDEX Fund.
FEZ................. SPDR EURO STOXX 50 ETF.. NYSE Arca
FGD................. First Trust DJ Global NYSE Arca
Select Dividend Index
Fund.
FLOT................ iShares Floating Rate NYSE Arca
Note Fund.
FLRN................ SPDR Barclays Investment NYSE Arca
Grade Floating Rate ETF.
FM.................. iShares MSCI Frontier NYSE Arca
100 ETF.
FNX................. First Trust Mid Cap Core NYSE Arca
AlphaDEX Fund.
FRI................. First Trust S&P REIT NYSE Arca
Index Fund.
FTA................. First Trust Large Cap NYSE Arca
Value AlphaDEX Fund.
FVD................. First Trust Value Line NYSE Arca
Dividend Index Fund.
FXA................. CurrencyShares NYSE Arca
Australian Dollar Trust.
FXB................. CurrencyShares British NYSE Arca
Pound Sterling Trust.
FXC................. CurrencyShares Canadian NYSE Arca
Dollar Trust.
FXD................. First Trust Consumer NYSE Arca
Discretionary AlphaDEX
Fund.
FXE................. CurrencyShares Euro NYSE Arca
Trust.
FXF................. CurrencyShares Swiss NYSE Arca
Franc Trust.
FXG................. First Trust Consumer NYSE Arca
Staples AlphaDEX Fund.
FXH................. First Trust Health Care NYSE Arca
AlphaDEX Fund.
FXI................. iShares FTSE China 25 NYSE Arca
Index Fund.
FXL................. First Trust Technology NYSE Arca
AlphaDEX Fund.
FXO................. First Trust Financial NYSE Arca
AlphaDEX Fund.
FXY................. CurrencyShares Japanese NYSE Arca
Yen Trust.
FXZ................. First Trust Materials NYSE Arca
AlphaDEX Fund.
GCC................. GreenHaven Continuous NYSE Arca
Commodity Index Fund.
GDX................. Market Vectors Gold NYSE Arca
Miners ETF.
GDXJ................ Market Vectors Junior NYSE Arca
Gold Miners ETF.
GII................. SPDR S&P Global NYSE Arca
Infrastructure ETF.
GIY................. Guggenheim Enhanced Core NYSE Arca
Bond ETF.
GLD................. SPDR Gold Shares........ NYSE Arca
GMF................. SPDR S&P Emerging Asia NYSE Arca
Pacific ETF.
GMM................. SPDR S&P Emerging NYSE Arca
Markets ETF.
GMTB................ Columbia Core Bond ETF.. NYSE Arca
GNR................. SPDR S&P Global Natural NYSE Arca
Resources ETF.
GOVT................ iShares Barclays U.S. NYSE Arca
Treasury Bond Fund.
GSG................. iShares S&P GSCI NYSE Arca
Commodity Indexed Trust.
GSP................. iPath GSCI Total Return NYSE Arca
Index ETN.
GSY................. Guggenheim Enhanced NYSE Arca
Short Duration Bond ETF.
GUNR................ FlexShares Global NYSE Arca
Upstream Natural
Resources Index Fund.
GVI................. iShares Barclays NYSE Arca
Intermediate Government/
Credit Bond Fund.
GWL................. SPDR S&P World ex-US ETF NYSE Arca
GWX................. SPDR S&P International NYSE Arca
Small Cap ETF.
GXC................. SPDR S&P China ETF...... NYSE Arca
GXG................. Global X FTSE Colombia NYSE Arca
20 ETF.
HAO................. Guggenheim China Small NYSE Arca
Cap ETF.
HDGE................ Ranger Equity Bear ETF.. NYSE Arca
HDV................. iShares High Dividend NYSE Arca
Equity Fund.
HEDJ................ WisdomTree Europe Hedged NYSE Arca
Equity Fund.
HUSE................ Huntington US Equity NYSE Arca
Rotation Strategy ETF.
HYD................. Market Vectors High NYSE Arca
Yield Municipal Index
ETF.
HYG................. iShares iBoxx $ High NYSE Arca
Yield Corporate Bond
Fund.
HYLD................ Peritus High Yield ETF.. NYSE Arca
HYMB................ SPDR Nuveen S&P High NYSE Arca
Yield Municipal Bond
ETF.
HYS................. PIMCO 0-5 Year High NYSE Arca
Yield Corporate Bond
Index Exchange-Traded
Fund.
IAI................. iShares Dow Jones US NYSE Arca
Broker Dealers Index
Fund.
IAT................. iShares Dow Jones US NYSE Arca
Regional Banks Index
Fund.
IAU................. iShares Gold Trust...... NYSE Arca
IBB................. iShares Nasdaq NASDAQ GM
Biotechnology Index
Fund.
IBND................ SPDR Barclays NYSE Arca
International Corporate
Bond ETF.
ICF................. iShares Cohen & Steers NYSE Arca
Realty Majors Index
Fund.
IDU................. iShares Dow Jones US NYSE Arca
Utilities Sector Index
Fund.
IDV................. iShares Dow Jones NYSE Arca
International Select
Dividend Index Fund.
IDX................. Market Vectors Indonesia NYSE Arca
Index ETF.
IEF................. iShares Barclays 7-10 NYSE Arca
Year Treasury Bond Fund.
Page 54331
IEFA................ iShares Core MSCI EAFE NYSE Arca
ETF.
IEI................. iShares Barclays 3-7 NYSE Arca
Year Treasury Bond Fund.
IELG................ iShares Enhanced U.S. NYSE Arca
Large-Cap ETF.
IEMG................ iShares Core MSCI NYSE Arca
Emerging Markets ETF.
IEO................. iShares Dow Jones US Oil NYSE Arca
& Gas Exploration &
Production Index Fund.
IESM................ iShares Enhanced U.S. NYSE Arca
Small-Cap ETF.
IEV................. iShares S&P Europe 350 NYSE Arca
Index Fund.
IEZ................. iShares Dow Jones US Oil NYSE Arca
Equipment & Services
Index Fund.
IFGL................ iShares FTSE EPRA/NAREIT NASDAQ GM
Developed Real Estate
ex-US Index Fund.
IGE................. iShares S&P North NYSE Arca
American Natural
Resources Sector Index
Fund.
IGF................. iShares S&P Global NYSE Arca
Infrastructure Index
Fund.
IGM................. iShares S&P North NYSE Arca
American Technology
Sector Index Fund.
IGN................. iShares S&P North NYSE Arca
American Technology-
Multimedia Networking
Index Fund.
IGOV................ iShares S&P/Citigroup NASDAQ GM
International Treasury
Bond Fund.
IGS................. ProShares Short NYSE Arca
Investment Grade
Corporate.
IGV................. iShares S&P North NYSE Arca
American Technology-
Software Index Fund.
IHE................. iShares Dow Jones US NYSE Arca
Pharmaceuticals Index
Fund.
IHF................. iShares Dow Jones US NYSE Arca
Healthcare Providers
Index Fund.
IHI................. iShares Dow Jones US NYSE Arca
Medical Devices Index
Fund.
IHY................. Market Vectors NYSE Arca
International High
Yield Bond ETF.
IJH................. iShares Core S&P Mid-Cap NYSE Arca
ETF.
IJJ................. iShares S&P MidCap 400/ NYSE Arca
BARRA Value Index Fund.
IJK................. iShares S&P MidCap 400 NYSE Arca
Growth Index Fund.
IJR................. iShares Core S&P Small- NYSE Arca
Cap ETF.
IJS................. iShares S&P SmallCap 600 NYSE Arca
Value Index Fund.
IJT................. iShares S&P SmallCap 600/ NYSE Arca
BARRA Growth Index Fund.
ILF................. iShares S&P Latin NYSE Arca
America 40 Index Fund.
ILTB................ iShares Core Long-Term NYSE Arca
US Bond ETF.
INDA................ iShares MSCI India Index BATS
Fund.
INDY................ iShares India 50 ETF.... NASDAQ GM
INP................. iPath MSCI India Index NYSE Arca
ETN.
IOO................. iShares S&P Global 100 NYSE Arca
Index Fund.
IPE................. SPDR Barclays TIPS ETF.. NYSE Arca
ISHG................ iShares S&P/Citigroup 1- NASDAQ GM
3 Year International
Treasury Bond Fund.
ITB................. iShares Dow Jones US NYSE Arca
Home Construction Index
Fund.
ITM................. Market Vectors NYSE Arca
Intermediate Municipal
ETF.
ITOT................ iShares Core S&P Total NYSE Arca
US Stock Market ETF.
ITR................. SPDR Barclays NYSE Arca
Intermediate Term
Corporate Bond ETF.
IVE................. iShares S&P 500 Value NYSE Arca
Index Fund.
IVOO................ Vanguard S&P Mid-Cap 400 NYSE Arca
ETF.
IVV................. iShares Core S&P 500 ETF NYSE Arca
IVW................. iShares S&P 500 Growth NYSE Arca
Index Fund.
IWB................. iShares Russell 1000 NYSE Arca
Index Fund.
IWC................. iShares Russell Microcap NYSE Arca
Index Fund.
IWD................. iShares Russell 1000 NYSE Arca
Value Index Fund.
IWF................. iShares Russell 1000 NYSE Arca
Growth Index Fund.
IWM................. iShares Russell 2000 NYSE Arca
Index Fund.
IWN................. iShares Russell 2000 NYSE Arca
Value Index Fund.
IWO................. iShares Russell 2000 NYSE Arca
Growth Index Fund.
IWP................. iShares Russell Midcap NYSE Arca
Growth Index Fund.
IWR................. iShares Russell Midcap NYSE Arca
Index Fund.
IWS................. iShares Russell Midcap NYSE Arca
Value Index Fund.
IWV................. iShares Russell 3000 NYSE Arca
Index Fund.
IXC................. iShares S&P Global NYSE Arca
Energy Sector Index
Fund.
IXG................. iShares S&P Global NYSE Arca
Financials Sector Index
Fund.
IXJ................. iShares S&P Global NYSE Arca
Healthcare Sector Index
Fund.
IXN................. iShares S&P Global NYSE Arca
Technology Sector Index
Fund.
IXP................. iShares S&P Global NYSE Arca
Telecommunications
Sector Index Fund.
IYC................. iShares Dow Jones US NYSE Arca
Consumer Services
Sector Index Fund.
IYE................. iShares Dow Jones US NYSE Arca
Energy Sector Index
Fund.
IYF................. iShares Dow Jones US NYSE Arca
Financial Sector Index
Fund.
IYG................. iShares Dow Jones US NYSE Arca
Financial Services
Index Fund.
IYH................. iShares Dow Jones US NYSE Arca
Healthcare Sector Index
Fund.
IYJ................. iShares Dow Jones US NYSE Arca
Industrial Sector Index
Fund.
IYK................. iShares Dow Jones US NYSE Arca
Consumer Goods Sector
Index Fund.
IYM................. iShares Dow Jones US NYSE Arca
Basic Materials Sector
Index Fund.
IYR................. iShares Dow Jones US NYSE Arca
Real Estate Index Fund.
IYT................. iShares Dow Jones NYSE Arca
Transportation Average
Index Fund.
IYW................. iShares Dow Jones US NYSE Arca
Technology Sector Index
Fund.
IYY................. iShares Dow Jones US NYSE Arca
Index Fund.
IYZ................. iShares Dow Jones US NYSE Arca
Telecommunications
Sector Index Fund.
Page 54332
JJC................. iPath Dow Jones-UBS NYSE Arca
Copper Subindex Total
Return ETN.
JJG................. iPath Dow Jones-UBS NYSE Arca
Grains Subindex Total
Return ETN.
JKF................. iShares Morningstar NYSE Arca
Large Value Index Fund.
JKL................. iShares Morningstar NYSE Arca
Small Value Index Fund.
JNK................. SPDR Barclays High Yield NYSE Arca
Bond ETF.
JO.................. iPath Dow Jones-UBS NYSE Arca
Coffee Subindex Total
Return ETN.
JXI................. iShares S&P Global NYSE Arca
Utilities Sector Index
Fund.
KBE................. SPDR S&P Bank ETF....... NYSE Arca
KBWB................ PowerShares KBW Bank NYSE Arca
Portfolio.
KBWD................ PowerShares KBW High NYSE Arca
Dividend Yield
Financial Portfolio.
KIE................. SPDR S&P Insurance ETF.. NYSE Arca
KOL................. Market Vectors Coal ETF. NYSE Arca
KRE................. SPDR S&P Regional NYSE Arca
Banking ETF.
KXI................. iShares S&P Global NYSE Arca
Consumer Staples Sector
Index Fund.
LAG................. SPDR Barclays Aggregate NYSE Arca
Bond ETF.
LEMB................ iShares Emerging Markets NYSE Arca
Local Currency Bond
Fund.
LQD................. iShares iBoxx Investment NYSE Arca
Grade Corporate Bond
Fund.
LTPZ................ PIMCO 15+ Year U.S. TIPS NYSE Arca
Index Exchange-Traded
Fund.
LWC................. SPDR Barclays Long Term NYSE Arca
Corporate Bond ETF.
MBB................. iShares Barclays MBS NYSE Arca
Bond Fund.
MBG................. SPDR Barclays Mortgage NYSE Arca
Backed Bond ETF.
MCHI................ iShares MSCI China Index NYSE Arca
Fund.
MDIV................ First Trust NASDAQ US NASDAQ GM
Multi-Asset Diversified
Income Index Fund.
MDY................. SPDR S&P MidCap 400 ETF NYSE Arca
Trust.
MGC................. Vanguard Mega Cap ETF... NYSE Arca
MGK................. Vanguard Mega Cap Growth NYSE Arca
ETF.
MGV................. Vanguard Mega Cap Value NYSE Arca
ETF.
MINT................ PIMCO Enhanced Short NYSE Arca
Maturity Exchange-
Traded Fund.
MLPI................ ETRACS Alerian MLP NYSE Arca
Infrastructure Index
ETN.
MLPN................ Credit Suisse Cushing 30 NYSE Arca
MLP Index ETN.
MOO................. Market Vectors NYSE Arca
Agribusiness ETF.
MUB................. iShares S&P National NYSE Arca
Municipal Bond Fund.
MXI................. iShares S&P Global NYSE Arca
Materials Sector Index
Fund.
MYY................. ProShares Short MidCap NYSE Arca
400.
NKY................. MAXIS Nikkei 225 Index NYSE Arca
Fund ETF.
OEF................. iShares S&P 100 Index NYSE Arca
Fund.
OIH................. Market Vectors Oil NYSE Arca
Service ETF.
OIL................. iPath Goldman Sachs NYSE Arca
Crude Oil Total Return
Index ETN.
PALL................ ETFS Physical Palladium NYSE Arca
Shares.
PBJ................. Powershares Dynamic Food NYSE Arca
& Beverage Portfolio.
PBP................. PowerShares S&P 500 NYSE Arca
BuyWrite Portfolio.
PBS................. Powershares Dynamic NYSE Arca
Media Portfolio.
PCEF................ PowerShares CEF Income NYSE Arca
Composite Portfolio.
PCY................. PowerShares Emerging NYSE Arca
Markets Sovereign Debt
Portfolio.
PDP................. Powershares DWA NYSE Arca
Technical Leaders
Portfolio.
PFF................. iShares S&P US Preferred NYSE Arca
Stock Index Fund.
PGF................. PowerShares Financial NYSE Arca
Preferred Portfolio.
PGX................. PowerShares Preferred NYSE Arca
Portfolio.
PHB................. PowerShares Fundamental NYSE Arca
High Yield Corporate
Bond Portfolio.
PHDG................ PS S&P Downside Hdgd.... NYSE Arca
PHO................. PowerShares Water NYSE Arca
Resources Portfolio.
PHYS................ Sprott Physical Gold NYSE Arca
Trust.
PID................. PowerShares NYSE Arca
International Dividend
Achievers Portfolio.
PIE................. PowerShares DWA Emerging NYSE Arca
Markets Technical
Leaders Portfolio.
PIN................. PowerShares India NYSE Arca
Portfolio.
PIZ................. PowerShares DWA NYSE Arca
Developed Markets
Technical Leaders
Portfolio.
PJP................. Powershares Dynamic NYSE Arca
Pharmaceuticals
Portfolio.
PKW................. PowerShares Buyback NYSE Arca
Achievers Portfolio.
PPH................. Market Vectors NYSE Arca
Pharmaceutical ETF.
PPLT................ ETFS Platinum Trust..... NYSE Arca
PRF................. Powershares FTSE RAFI US NYSE Arca
1000 Portfolio.
PRFZ................ PowerShares FTSE RAFI US NASDAQ GM
1500 Small-Mid
Portfolio.
PSK................. SPDR Wells Fargo NYSE Arca
Preferred Stock ETF.
PSLV................ Sprott Physical Silver NYSE Arca
Trust.
PSP................. PowerShares Global NYSE Arca
Listed Private Equity
Portfolio.
PSQ................. ProShares Short QQQ..... NYSE Arca
PWV................. PowerShares Dynamic NYSE Arca
Large Cap Value
Portfolio.
PXF................. PowerShares FTSE RAFI NYSE Arca
Developed Markets ex-
U.S. Portfolio.
PXH................. PowerShares FTSE RAFI NYSE Arca
Emerging Markets
Portfolio.
PZA................. PowerShares Insured NYSE Arca
National Municipal Bond
Portfolio.
QAI................. IndexIQ ETF Trust--IQ NYSE Arca
Hedge Multi-Strategy
Tracker ETF.
Page 54333
QQQ................. Powershares QQQ Trust NASDAQ GM
Series 1.
REM................. iShares FTSE NAREIT NYSE Arca
Mortgage Plus Capped
Index Fund.
REZ................. iShares FTSE NAREIT NYSE Arca
Residential Plus Capped
Index Fund.
RFG................. Guggenheim S&P Midcap NYSE Arca
400 Pure Growth ETF.
RJA................. ELEMENTS Linked to the NYSE Arca
Rogers International
Commodity Index--Agri
Tot Return.
RJI................. ELEMENTS Linked to the NYSE Arca
Rogers International
Commodity Index--Total
Return.
RPG................. Guggenheim S&P 500 Pure NYSE Arca
Growth ETF.
RPV................. Guggenheim S&P 500 Pure NYSE Arca
Value ETF.
RSP................. Guggenheim S&P 500 Equal NYSE Arca
Weight ETF.
RSX................. Market Vectors Russia NYSE Arca
ETF.
RTH................. Market Vectors Retail NYSE Arca
ETF.
RWM................. ProShares Short NYSE Arca
Russell2000.
RWO................. SPDR Dow Jones Global NYSE Arca
Real Estate ETF.
RWR................. SPDR Dow Jones REIT ETF. NYSE Arca
RWX................. SPDR Dow Jones NYSE Arca
International Real
Estate ETF.
RXI................. iShares S&P Global NYSE Arca
Consumer Discretionary
Sector Index Fund.
SAGG................ Direxion Daily Total NYSE Arca
Bond Market Bear 1x
Shares.
SBB................. ProShares Short NYSE Arca
SmallCap600.
SCHA................ Schwab US Small-Cap ETF. NYSE Arca
SCHB................ Schwab US Broad Market NYSE Arca
ETF.
SCHD................ Schwab US Dividend NYSE Arca
Equity ETF.
SCHE................ Schwab Emerging Markets NYSE Arca
Equity ETF.
SCHF................ Schwab International NYSE Arca
Equity ETF.
SCHG................ Schwab U.S. Large-Cap NYSE Arca
Growth ETF.
SCHH................ Schwab U.S. REIT ETF.... NYSE Arca
SCHM................ Schwab U.S. Mid-Cap ETF. NYSE Arca
SCHO................ Schwab Short-Term U.S. NYSE Arca
Treasury ETF.
SCHP................ Schwab U.S. TIPs ETF.... NYSE Arca
SCHR................ Schwab Intermediate-Term NYSE Arca
U.S. Treasury ETF.
SCHV................ Schwab U.S. Large-Cap NYSE Arca
Value ETF.
SCHX................ Schwab US Large-Cap ETF. NYSE Arca
SCHZ................ Schwab U.S. Aggregate NYSE Arca
Bond ETF.
SCIF................ Market Vectors India NYSE Arca
Small-Cap Index ETF.
SCPB................ SPDR Barclays Short Term NYSE Arca
Corporate Bond ETF.
SCZ................. iShares MSCI EAFE Small NYSE Arca
Cap Index Fund.
SDIV................ Global X SuperDividend NYSE Arca
ETF.
SDY................. SPDR S&P Dividend ETF... NYSE Arca
SGOL................ ETFS Gold Trust......... NYSE Arca
SH.................. ProShares Short S&P500.. NYSE Arca
SHM................. SPDR Nuveen Barclays NYSE Arca
Short Term Municipal
Bond ETF.
SHV................. iShares Barclays Short NYSE Arca
Treasury Bond Fund.
SHY................. iShares Barclays 1-3 NYSE Arca
Year Treasury Bond Fund.
SIL................. Global X Silver Miners NYSE Arca
ETF.
SIVR................ ETFS Physical Silver NYSE Arca
Shares.
SJB................. ProShares Short High NYSE Arca
Yield.
SJNK................ SPDR Barclays Short Term NYSE Arca
High Yield Bond ETF.
SLV................. iShares Silver Trust.... NYSE Arca
SLX................. Market Vectors Steel NYSE Arca
Index Fund.
SLY................. SPDR S&P 600 Small NYSE Arca
CapETF.
SMH................. Market Vectors NYSE Arca
Semiconductor ETF.
SNLN................ Highland/iBoxx Senior NYSE Arca
Loan ETF.
SOXX................ iShares PHLX SOX NASDAQ GM
Semiconductor Sector
Index Fund.
SPHB................ PowerShares S&P 500 High NYSE Arca
Beta Port ETF.
SPHD................ PowerShares S&P 500 High NYSE Arca
Dividend Portfolio.
SPLV................ PowerShares S&P 500 Low NYSE Arca
Volatility Portfolio.
SPPP................ Sprott Physical Platinum NYSE Arca
& Palladium Trust.
SPY................. SPDR S&P 500 ETF Trust.. NYSE Arca
SPYG................ SPDR S&P 500 Growth ETF. NYSE Arca
SPYV................ SPDR S&P 500 Value ETF.. NYSE Arca
SRLN................ SPDR Blackstone/GSO NYSE Arca
Senior Loan ETF.
STIP................ iShares Barclays 0-5 NYSE Arca
Year TIPS Bond Fund.
STPZ................ PIMCO 1-5 Year U.S. TIPS NYSE Arca
Index Exchange-Traded
Fund.
SUB................. iShares S&P Short Term NYSE Arca
National AMT-Free
Municipal Bond Fund.
SVXY................ ProShares Short VIX NYSE Arca
Short-Term Futures ETF.
SYLD................ Cambria Shareholder NYSE Arca
Yield ETF.
TAN................. Guggenheim Solar ETF.... NYSE Arca
TAO................. Guggenheim China Real NYSE Arca
Estate ETF.
TBF................. ProShares Short 20+ Year NYSE Arca
Treasury.
TBX................. ProShares Short 7-10 NYSE Arca
Treasury.
TDTT................ FlexShares iBoxx 3-Year NYSE Arca
Target Duration TIPS
Index Fund.
TFI................. SPDR Nuveen Barclays NYSE Arca
Municipal Bond ETF.
Page 54334
THD................. iShares MSCI Thailand NYSE Arca
Capped Investable
Market Index Fund.
TIP................. iShares Barclays TIPS NYSE Arca
Bond Fund.
TLH................. iShares Barclays 10-20 NYSE Arca
Year Treasury Bond Fund.
TLT................. iShares Barclays 20+ NYSE Arca
Year Treasury Bond Fund.
TUR................. iShares MSCI Turkey NYSE Arca
Index Fund.
UNG................. United States Natural NYSE Arca
Gas Fund LP.
USCI................ United States Commodity NYSE Arca
Index Fund.
USMV................ iShares MSCI USA Minimum NYSE Arca
Volatility Index Fund.
USO................. United States Oil Fund NYSE Arca
LP.
UUP................. PowerShares DB US Dollar NYSE Arca
Index Bullish Fund.
VAW................. Vanguard Materials ETF.. NYSE Arca
VB.................. Vanguard Small-Cap ETF.. NYSE Arca
VBK................. Vanguard Small-Cap NYSE Arca
Growth ETF.
VBR................. Vanguard Small-Cap Value NYSE Arca
ETF.
VCIT................ Vanguard Intermediate- NASDAQ GM
Term Corporate Bond ETF.
VCLT................ Vanguard Long-Term NASDAQ GM
Corporate Bond ETF.
VCR................. Vanguard Consumer NYSE Arca
Discretionary ETF.
VCSH................ Vanguard Short-Term NASDAQ GM
Corporate Bond ETF.
VDC................. Vanguard Consumer NYSE Arca
Staples ETF.
VDE................. Vanguard Energy ETF..... NYSE Arca
VEA................. Vanguard FTSE Developed NYSE Arca
Markets ETF.
VEU................. Vanguard FTSE All-World NYSE Arca
ex-US ETF.
VFH................. Vanguard Financials ETF. NYSE Arca
VGIT................ Vanguard Intermediate- NASDAQ GM
Term Government Bond
ETF.
VGK................. Vanguard FTSE Europe ETF NYSE Arca
VGLT................ Vanguard Long-Term NASDAQ GM
Government Bond ETF.
VGSH................ Vanguard Short-Term NASDAQ GM
Government Bond ETF.
VGT................. Vanguard Information NYSE Arca
Technology ETF.
VHT................. Vanguard Health Care ETF NYSE Arca
VIG................. Vanguard Dividend NYSE Arca
Appreciation ETF.
VIIX................ VelocityShares VIX Short NYSE Arca
Term ETN.
VIIZ................ VelocityShares VIX NYSE Arca
Medium Term ETN.
VIOO................ Vanguard S&P Small-Cap NYSE Arca
600 ETF.
VIS................. Vanguard Industrials ETF NYSE Arca
VIXM................ ProShares VIX Mid-Term NYSE Arca
Futures ETF.
VIXY................ ProShares VIX Short-Term NYSE Arca
Futures ETF.
VMBS................ Vanguard Mortgage-Backed NASDAQ GM
Securities ETF.
VNM................. Market Vectors Vietnam NYSE Arca
ETF.
VNQ................. Vanguard REIT ETF....... NYSE Arca
VNQI................ Vanguard Global ex-U.S. NASDAQ GM
Real Estate ETF.
VO.................. Vanguard Mid-Cap ETF.... NYSE Arca
VOE................. Vanguard Mid-Cap Value NYSE Arca
ETF.
VONE................ Vanguard Russell 1000... NASDAQ GM
VONG................ Vanguard Russell 1000 NASDAQ GM
Growth ETF.
VONV................ Vanguard Russell 1000 NASDAQ GM
Value.
VOO................. Vanguard S&P 500 ETF.... NYSE Arca
VOOG................ Vanguard S&P 500 Growth NYSE Arca
ETF.
VOOV................ Vanguard S&P 500 Value NYSE Arca
ETF.
VOT................. Vanguard Mid-Cap Growth NYSE Arca
ETF.
VOX................. Vanguard NYSE Arca
Telecommunication
Services ETF.
VPL................. Vanguard FTSE Pacific NYSE Arca
ETF.
VPU................. Vanguard Utilities ETF.. NYSE Arca
VQT................. Barclays ETN+ ETNs NYSE Arca
Linked to the S&P 500
Dynamic VEQTORTM TotaL
Return Index.
VSS................. Vanguard FTSE All World NYSE Arca
ex-US Small-Cap ETF.
VT.................. Vanguard Total World NYSE Arca
Stock ETF.
VTHR................ Vanguard Russell 3000... NASDAQ GM
VTI................. Vanguard Total Stock NYSE Arca
Market ETF.
VTIP................ Vanguard Short-Term NASDAQ GM
Inflation-Protected
Securities ETF.
VTV................. Vanguard Value ETF...... NYSE Arca
VTWG................ Vanguard Russell 2000 NASDAQ GM
Growth.
VTWO................ Vanguard Russell 2000... NASDAQ GM
VTWV................ Vanguard Russell 2000 NASDAQ GM
Value.
VUG................. Vanguard Growth ETF..... NYSE Arca
VV.................. Vanguard Large-Cap ETF.. NYSE Arca
VWO................. Vanguard FTSE Emerging NYSE Arca
Markets ETF.
VWOB................ Vanguard Emerging NASDAQ GM
Markets Government Bond
ETF.
VXF................. Vanguard Extended Market NYSE Arca
ETF.
VXUS................ Vanguard Total NASDAQ GM
International Stock ETF.
VXX................. iPATH S&P 500 VIX Short- NYSE Arca
Term Futures ETN.
VXZ................. iPATH S&P 500 VIX Mid- NYSE Arca
Term Futures ETN.
VYM................. Vanguard High Dividend NYSE Arca
Yield ETF.
Page 54335
WIP................. SPDR DB International NYSE Arca
Government Inflation-
Protected Bond ETF.
WOOD................ iShares S&P Global NASDAQ GM
Timber & Forestry Index
Fund.
XBI................. SPDR S&P Biotech ETF.... NYSE Arca
XES................. SPDR S&P Oil & Gas NYSE Arca
Equipment & Services
ETF.
XHB................. SPDR S&P Homebuilders NYSE Arca
ETF.
XIV................. VelocityShares Daily NYSE Arca
Inverse VIX Short Term
ETN.
XLB................. Materials Select Sector NYSE Arca
SPDR Fund.
XLE................. Energy Select Sector NYSE Arca
SPDR Fund.
XLF................. Financial Select Sector NYSE Arca
SPDR Fund.
XLG................. Guggenheim Russell Top NYSE Arca
50 Mega Cap ETF.
XLI................. Industrial Select Sector NYSE Arca
SPDR Fund.
XLK................. Technology Select Sector NYSE Arca
SPDR Fund.
XLP................. Consumer Staples Select NYSE Arca
Sector SPDR Fund.
XLU................. Utilities Select Sector NYSE Arca
SPDR Fund.
XLV................. Health Care Select NYSE Arca
Sector SPDR Fund.
XLY................. Consumer Discretionary NYSE Arca
Select Sector SPDR Fund.
XME................. SPDR S&P Metals & Mining NYSE Arca
ETF.
XOP................. SPDR S&P Oil & Gas NYSE Arca
Exploration &
Production ETF.
XPH................. SPDR S&P Pharmaceuticals NYSE Arca
ETF.
XRT................. SPDR S&P Retail ETF..... NYSE Arca
XSD................. SPDR S&P Semiconductor NYSE Arca
ETF.
XVZ................. iPath S&P 500 Dynamic NYSE Arca
VIX ETN.
YMLP................ Yorkville High Income NYSE Arca
MLP.
ZIV................. VelocityShares Daily NYSE Arca
Inverse VIX Medium Term
ETN.
ZROZ................ PIMCO 25+ Year Zero NYSE Arca
Coupon U.S. Treasury
Index Exchange-Traded
Fund.
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Appendix B--Data
Unless otherwise specified, the following data shall be collected and transmitted to the SEC in an agreed-upon format on a monthly basis, to be provided 30 calendar days following month end. Unless otherwise specified, the Primary Listing Exchanges shall be responsible for collecting and transmitting the data to the SEC. Data collected in connection with Sections II(E)-(G) below shall be transmitted to the SEC with a request for confidential treatment under the Freedom of Information Act. 5 U.S.C. 552, and the SEC's rules and regulations thereunder.
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Summary Statistics
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Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows:
1. Partition stocks by category
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Tier 1 non-ETP issues > $3.00
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Tier 1 non-ETP issues >= $0.75 and shares, limit/market, side, Limit State side
2. Pipe delimited with field name as first record
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Data set of order events received during Limit States
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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
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Count
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Shares
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Shares executed
2. Market/marketable buy orders arrivals and executions
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Count
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Shares
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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
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sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period
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At least two months prior to the end of the Pilot Period, all Participants shall provide to the SEC assessments relating to the impact of the Plan and calibration of the Percentage Parameters as follows:
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Assess the statistical and economic impact on liquidity of approaching Price Bands.
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Assess the statistical and economic impact of the Price Bands on erroneous trades.
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Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands.
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Assess whether the Limit State is the appropriate length to allow for liquidity replenishment when a Limit State is reached because of a temporary liquidity gap.
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Evaluate concerns from the options markets regarding the statistical and economic impact of Limit States on liquidity and market quality in the options markets. (Participants that operate options exchange should also prepare such assessment reports.)
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Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic.
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Assess whether the process for exiting a Limit State should be adjusted.
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Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted.
FR Doc. 2013-21301 Filed 8-30-13; 8:45 am
BILLING CODE 8011-01-P
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