[Federal Register Volume 76, Number 105 (Wednesday, June 1, 2011)]
[Notices]
[Pages 31647-31659]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2011-13472]
[[Page 31647]]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-64547; File No. 4-631]
Joint Industry Plan; Notice of Filing of a 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 Amex LLC, and NYSE
Arca, Inc.
May 25, 2011.
Pursuant to Section 11A of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 608 thereunder \2\, notice is hereby given that,
on April 5, 2011, NYSE Euronext, on behalf of New York Stock Exchange
LLC (``NYSE''), NYSE Amex LLC (``NYSE Amex''), and NYSE Arca, Inc.
(``NYSE Arca''), and the following parties to the proposed 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 Amex, and NYSE Arca, the ``Participants''), filed with the
Securities and Exchange Commission (the ``Commission'') a proposed Plan
to Address Extraordinary Market Volatility (``Plan'').\3\ A copy of the
proposed Plan is attached as Exhibit A hereto. The Commission is
publishing this notice to solicit comments on the proposed Plan from
interested persons.\4\
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\1\ 15 U.S.C. 78k-1.
\2\ 17 CFR 242.608.
\3\ See Letter from Janet M. McGinness, Senior Vice President,
Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M.
Murphy, Secretary, Commission, dated April 5, 2011.
\4\ For additional discussion about the Plan, including its
relation to the single-stock circuit breakers, see discussion in
Section II, infra.
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I. Rule 608(a) of Regulation NMS
A. Purpose of the Plan
The Participants filed the proposed 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 proposed Plan sets
forth proposed 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(X) of the proposed 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 proposed
Plan.
\6\ As set forth in Section V of the proposed Plan, the Price
Bands shall consist of a Lower Price Band and an Upper Price Band
for each NMS Stock. The Price Bands shall be 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. As defined in the proposed Plan, Eligible Reported
Transactions shall have the meaning prescribed by the Operating
Committee for the proposed Plan, and generally mean transactions
that are eligible to update the sale price of an NMS Stock.
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As set forth in more detail in the proposed Plan, all trading
centers \7\ 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 proposed
Plan.
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\7\ As defined in Section I(W) of the proposed Plan, a trading
center shall have the meaning provided in Rule 600(b)(78) of
Regulation NMS under the Exchange Act.
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The single plan processor responsible for consolidation of
information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS
under the Act \8\ would be responsible for calculating and
disseminating the applicable Price Bands as provided for in Section V
of the proposed Plan. The Processor for each NMS stock would calculate
and disseminate to the public a lower Price Band and an upper Price
Band during regular trading hours, as defined in Section I(R) of the
proposed Plan, for such NMS Stock. The Price Bands would 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). The Price Bands for an NMS Stock would be
calculated by applying the Percentage Parameter\9\ 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.
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\8\ 17 CFR 242.603(b). The proposed Plan refers to this entity
as the Processor.
\9\ As defined in Section (I)(M) of the proposed Plan, the
Percentage Parameter shall mean the percentages for each tier of NMS
Stocks set forth in Appendix A of the Plan. As such, the Percentage
Parameters for Tier 1 NMS Stocks with a Reference Price of $1.00 or
more shall be 5%, and the Percentage Parameters for Tier 2 NMS
Stocks with a Reference Price of $1.00 or more shall be 10%. For
Tier 1 and Tier 2 NMS Stocks with a Reference Price less than $1.00,
the Percentage Parameters shall be the lesser of $0.15 or 75%. The
Percentage Parameters for a Tier 2 NMS Stock that is a leveraged
exchange-traded product shall be the applicable Percentage Parameter
multiplied by the leverage ratio of such product.
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Section VI of the proposed Plan sets forth the details of the
operation of the limit up-limit down mechanism. Section VI of the
proposed Plan provides that all trading centers 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
prevent trades at prices that are below the lower Price Band or above
the upper Price Band for an NMS Stock, consistent with the proposed
Plan.
As set forth in Section VI, when one side of the market for an
individual security is outside the applicable Price Band (i.e., when
the National Best Bid \10\ is below the Lower Limit Band or the
National Best Offer \11\ is above the Upper Limit Band for an NMS
Stock), the Processor would be required to disseminate such National
Best Bid or National Best Offer with an appropriate flag identifying it
as non-executable. When the other side of the market reaches the
applicable Price Band (i.e., when the National Best Offer is equal to
the Lower Limit Band or the National Best Bid is equal to the Upper
Limit Band for an NMS Stock), the market for an individual security
would enter a Limit State,\12\ and the Processor would be required to
disseminate such National Best Offer or National Best Bid with an
appropriate flag identifying it as a Limit State Quotation.\13\ Trading
for an NMS Stock would exit a Limit State if, within 15 seconds of
entering the Limit State, the entire size of all Limit State Quotations
is executed or cancelled. If
[[Page 31648]]
the market does not exit a Limit State within 15 seconds, then the
Primary Listing Exchange \14\ would declare a five-minute Trading Pause
pursuant to Section VII of the proposed Plan.
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\10\ 17 CFR 242.600(b)(42). See also Section I(G) of the
proposed Plan.
\11\ Id.
\12\ As set forth in Section VI(B) of the proposed Plan, when
trading for an NMS Stock enters a Limit State, 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 of the proposed Plan.
\13\ See Section I(D) of the proposed Plan.
\14\ See Section I(O) of the proposed Plan.
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The Participants believe that, if implemented, the limit up-limit
down mechanism specified in the proposed Plan will reduce the negative
impacts of sudden, unanticipated price movements in NMS Stocks, thereby
protecting investors and promoting a fair and orderly market. In
particular, the Participants are proposing to adopt the Plan to address
the type of sudden price movements that the market experienced on the
afternoon of May 6, 2010.\15\
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\15\ The limit up-limit down mechanism set forth in the proposed
Plan would replace the existing single-stock circuit breaker pilot,
described more fully in Section II, Solicitation of Comments. 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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B. Governing or Constituent Documents
The governing documents of the Processor, as defined in Section
I(P) of the proposed Plan, would not be affected by the proposed Plan,
but if the proposed Plan is implemented, the Processor's obligations
would change, as set forth in detail in the proposed Plan. In
particular, as set forth in Section V of the proposed Plan, the
Processor would be responsible for calculating and disseminating Price
Bands during Regular Trading Hours, as defined in Section I(R) of the
proposed Plan. Each Participant would take such actions as are
necessary and appropriate as a party to the Market Data Plans, as
defined in Section I(F) of the proposed Plan, to cause and enable the
Processor for each NMS Stock to fulfill the functions set forth in the
proposed Plan.
C. Implementation of Plan
The Participants propose that the initial date of the proposed Plan
operations would be 120 calendar days following the publication of the
Commission's order approving the proposed Plan in the Federal Register.
D. Development and Implementation Phases
The Participants propose that the Plan would be implemented as a
one-year pilot program in two Phases, consistent with Section VIII of
the proposed Plan. Phase I of proposed Plan implementation would apply
immediately following the initial date of proposed Plan operations;
Phase II of proposed Plan would commence six months after the initial
date of the proposed Plan or such earlier date as may be announced by
the Processor with at least 30 days notice. During Phase I, the
proposed Plan would apply only to Tier 1 NMS Stocks, as defined in
Appendix A of the proposed Plan, and the first Price Bands would be
calculated and disseminated 15 minutes after the start of Regular
Trading Hours, as specified in Section V(A) of the proposed Plan, and
no Price Bands would be calculated and disseminated less than 30
minutes before the end of Regular Trading Hours. In Phase II, the
proposed Plan would fully apply to all NMS Stocks beginning at 9:30
a.m. ET and ending at 4 p.m. ET each trading day.
E. Analysis of Impact on Competition
The Participants do not believe that the proposed 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 proposed Plan introduces terms that are unreasonably
discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.\16\
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\16\ 15 U.S.C. 78k-1(c)(1)(D).
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F. Written Understanding or Agreements relating to Interpretation of,
or Participation in, Plan
The Participants state that they have no written understandings or
agreements relating to interpretation of the proposed Plan. Section
II(C) of the proposed Plan sets forth how any entity registered as a
national securities exchange or national securities association may
become a Plan Participant.
G. Approval of Amendment of the Plan
Not applicable.
H. Terms and Conditions of Access
Section II(C) of the proposed 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 proposed 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 proposed Plan.
I. Method of Determination and Imposition, and Amount of, Fees and
Charges
Not applicable.
J. Method and Frequency of Processor Evaluation
Not applicable.
K. Dispute Resolution
The proposed Plan does not include specific provisions regarding
resolution of disputes between or among Participants. Section III(C) of
the proposed Plan provides for each Participant to designate an
individual to represent the Participant as a member of an Operating
Committee.\17\ 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 would 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, would
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.\18\
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\17\ See Section I(J) of the proposed Plan.
\18\ 17 CFR 242.608.
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II. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed
National Market System Plan is consistent with the Act. A stated
purpose of the proposed Plan is to address extraordinary market
volatility, such as the sudden price movements that the market
experienced on the afternoon of May 6, 2010. Since the events of May 6,
2010, staff of the Commission and the SROs have been working on a
variety of initiatives to reduce the risk of a recurrence of the
extraordinary market volatility in NMS stocks that was experienced on
that day. One such initiative is the single-stock circuit breaker pilot
program, which currently extends to securities included in the S&P 500
index, the Russell 1000[supreg] index, and select exchange-traded
products.\19\ The circuit breaker pilot is currently set to expire the
earlier of August 11, 2011 or the date on which the limit up-limit down
mechanism to
[[Page 31649]]
address extraordinary market volatility, if adopted, applies.\20\
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\19\ 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).
\20\ See e.g., Securities Exchange Act Release No. 64174 (April
4, 2011), 76 FR 19819 (April 8, 2011) (SR-NASDAQ-2011-042).
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To the extent that the proposed Plan, if approved, would
replace the current single-stock circuit breaker pilot, what are the
advantages of a limit up-limit down mechanism over the current circuit
breaker pilot? How would the limit up-limit down mechanism improve upon
the current circuit breaker pilot? Would the proposed limit up-limit
down mechanism prevent erroneous trades from occurring? What, if any,
are the advantages of the current circuit breaker pilot over the
proposed limit up-limit down mechanism?
With respect to competition, would the proposed Plan
impact one category of market participants more than others? What, if
any, costs would market participants incur as a result of the proposed
Plan? Would different market participants bear any such costs
differently? How would any such competitive impacts under the proposed
Plan differ from the competitive impact, if any, that market
participants have experienced under the current circuit breaker pilot?
What is ``excessive short-term volatility?'' Put another
way, what level of volatility is appropriate in continuous trading, and
at what point should circuit breakers or the proposed limit up-limit
down mechanism take effect?
Section IX of the proposed Plan provides that a
Participant may withdraw from the Plan, upon obtaining approval from
the Commission and upon providing not less than 30 days written notice
to the other participants. How, if at all, does the analysis of the
impact of the proposed Plan upon competition change if one or more
participants are permitted to withdraw from the proposed Plan? Would
the operation of the proposed Plan be impaired if one or more
participants were permitted to withdraw from the Plan?
Are the proposed percentage levels for the Price Bands
appropriate? Are they sufficiently narrow to guard against excessive
market volatility while sufficiently broad to allow trading to occur
without triggering a Limit State too frequently? If not, what alternate
percentage levels would be preferable?
Is 15 seconds an appropriate maximum length of time for a
particular security to be in a Limit State? Is it long enough to
reasonably attract additional available liquidity without recourse to a
Trading Pause? Is it short enough to reasonably limit any market
uncertainty that might accompany a Limit State?
Are the triggers for the Limit State appropriate? Would
alternative triggers for entering the Limit State be more appropriate?
For example, should a Limit State be entered when the National Best Bid
falls below the Lower Limit Band (or the National Best Offer exceeds
the Upper Limit Band), because at that point a seller (buyer) cannot
submit a marketable order? What are the advantages and disadvantages of
the proposed approach? What, if any, are the advantages of alternative
approaches? Please describe any other potential alternative trigger, as
well as its relative strengths and weaknesses.
Are the conditions required to exit the Limit State
appropriate? Should alternative or additional conditions be imposed in
order to exit the Limit State, and why might those conditions be
appropriate? For example, should more be required to confirm that the
market for a particular security has rebounded from a Limit State than
the removal of a Limit State Quotation, such as a confirming quote or
trade within the Price Bands?
Are the proposed procedures relating to the functioning of
the Operating Committee appropriate? Do they appropriately balance the
protection of individual Participant interests with the efficient
operation of the Plan? Are there ways to improve the proposed
procedures for handling a recommendation from the Operating Committee
for an amendment to the Plan that receives substantial, but less than
unanimous, support from Participants?
Should the list of exchange-traded products proposed to be
included in Phase I of the proposed Plan be expanded to include
additional such products, i.e., other exchange-traded products that
have component securities that largely track the securities included in
the S&P 500 and Russell 1000?
Is the proposed phased-in implementation schedule
workable? Why or why not? Should the implementation of Phase II of the
proposed Plan be conditioned upon Commission approval?
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 e-mail to [email protected]. 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 e-mail 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 proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change 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 a.m. and 3 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 June 22, 2011.
By the Commission.
Elizabeth M. Murphy,
Secretary.
EXHIBIT A
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
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Table of Contents
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Section Page
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Preamble.................................................... 1
I. Definitions.............................................. 2
II. Parties................................................. 4
III. Amendments to Plan..................................... 6
IV. Trading Center Policies and Procedures.................. 7
V. Price Bands.............................................. 8
VI. Limit Up-Limit Down Requirements........................ 10
VII. Trading Pauses......................................... 12
VIII. Implementation........................................ 14
IX. Withdrawal from Plan.................................... 14
X. Counterparts and Signatures.............................. 15
Appendix A--Percentage Parameters........................... 17
Appendix A--Schedule 1...................................... 18
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Preamble
The Participants submit to the SEC this Plan establishing
procedures to address extraordinary volatility in NMS Stocks. The
procedures provide for market-wide limit up-limit down requirements
that prevent trades in individual NMS Stocks from occurring outside of
the specified Price Bands. These limit up-limit down requirements are
coupled with Trading Pauses to accommodate more fundamental price
moves. The Plan procedures are designed, among other things, to protect
investors and promote fair and orderly markets. The Participants
developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under
the Exchange Act, which authorizes the Participants to act jointly in
preparing, filing, and implementing national market system plans.
I. Definitions
(A) ``Eligible Reported Transactions'' shall have the meaning
prescribed by the Operating Committee and shall generally mean
transactions that are eligible to update the last sale price of an NMS
Stock.
(B) ``Exchange Act'' means the Securities Exchange Act of 1934, as
amended.
(C) ``Limit State'' shall have the meaning provided in Section VI
of the Plan.
(D) ``Limit State Quotation'' shall have the meaning provided in
Section VI of the Plan.
(E) ``Lower Price Band'' shall have the meaning provided in Section
V of the Plan.
(F) ``Market Data Plans'' shall mean the effective national market
system plans through which the Participants act jointly to disseminate
consolidated information in compliance with Rule 603(b) of Regulation
NMS under the Exchange Act.
(G) ``National Best Bid'' and ``National Best Offer'' shall have
the meaning provided in Rule 600(b)(42) of Regulation NMS under the
Exchange Act.
(H) ``NMS Stock'' shall have the meaning provided in Rule
600(b)(47) of Regulation NMS under the Exchange Act.
(I) ``Opening Price'' shall mean the price of a transaction that
opens trading on the Primary Listing Exchange, or, if the Primary
Listing Exchange opens with quotations, the midpoint of those
quotations.
(J) ``Operating Committee'' shall have the meaning provided in
Section III(C) of the Plan.
(K) ``Participant'' means a party to the Plan.
(L) ``Plan'' means the plan set forth in this instrument, as
amended from time to time in accordance with its provisions.
(M) ``Percentage Parameter'' shall mean the percentages for each
tier of NMS Stocks set forth in Appendix A of the Plan.
(N) ``Price Bands'' shall have the meaning provided in Section V of
the Plan.
(O) ``Primary Listing Exchange'' shall mean the Participant on
which an NMS Stock is listed. If an NMS Stock is listed on more than
one Participant, the Participant on which the NMS Stock has been listed
the longest shall be the Primary Listing Exchange.
(P) ``Processor'' shall mean the single plan processor responsible
for the consolidation of information for an NMS Stock pursuant to Rule
603(b) of Regulation NMS under the Exchange Act.
(Q) ``Pro-Forma Reference Price'' shall have the meaning provided
in Section V(A)(2) of the Plan.
(R) ``Regular trading hours'' shall have the meaning provided in
Rule 600(b)(64) of Regulation NMS under the Exchange Act.
(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) ``Trading center'' shall have the meaning provided in Rule
600(b)(78) of Regulation NMS under the Exchange Act.
(X) ``Trading Pause'' shall have the meaning provided in Section
VII of the Plan.
(Y) ``Upper Price Band'' shall have the meaning provided in Section
V of the Plan.
II. Parties
(A) List of Parties
The parties to the Plan are as follows:
(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle
Street, Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago,
Illinois 60605
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey
City, NJ 07310
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey
City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street, NW.,
Washington, DC 20006
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(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 Amex LLC, 20 Broad Street, New York, New York 10005
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL
60606
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the SEC,
each Participant agrees to comply with and to enforce compliance, as
required by Rule 608(c) of Regulation NMS under the Exchange Act, by
its members with the provisions of the Plan. To this end, each
Participant shall adopt a rule requiring compliance by its members with
the provisions of the Plan, and each Participant shall take such
actions as are necessary and appropriate as a participant of the Market
Data Plans to cause and enable the Processor for each NMS Stock to
fulfill the functions set forth in this Plan.
(C) New Participants
The Participants agree that any entity registered as a national
securities exchange or national securities association under the
Exchange Act may become a Participant by: (1) Becoming a participant in
the applicable Market Data Plans; (2) executing a copy of the Plan, as
then in effect; (3) providing each then-current Participant with a copy
of such executed Plan; and (4) effecting an amendment to the Plan as
specified in Section III(B) of the Plan.
III. Amendments to Plan
(A) General Amendments
Except with respect to the addition of new Participants to the
Plan, any proposed change in, addition to, or deletion from the Plan
shall be effected by means of a written amendment to the Plan that: (1)
Sets forth the change, addition, or deletion; (2) is executed on behalf
of each Participant; and, (3) is approved by the SEC pursuant to Rule
608 of Regulation NMS under the Exchange Act, or otherwise becomes
effective under Rule 608 of Regulation NMS under the Exchange Act.
(B) New Participants
With respect to new Participants, an amendment to the Plan may be
effected by the new national securities exchange or national securities
association executing a copy of the Plan, as then in effect (with the
only changes being the addition of the new Participant's name in
Section II(A) of the Plan) and submitting such executed Plan to the SEC
for approval. The amendment shall be effective when it is approved by
the SEC in accordance with Rule 608 of Regulation NMS under the
Exchange Act or otherwise becomes effective pursuant to Rule 608 of
Regulation NMS under the Exchange Act.
(C) Operating Committee
(1) Each Participant shall select from its staff one individual to
represent the Participant as a member of an Operating Committee,
together with a substitute for such individual. The substitute may
participate in deliberations of the Operating Committee and shall be
considered a voting member thereof only in the absence of the primary
representative. Each Participant shall have one vote on all matters
considered by the Operating Committee. No later than the initial date
of Plan operations, the Operating Committee shall designate one member
of the Operating Committee to act as the Chair of the Operating
Committee.
(2) The Operating Committee shall monitor the procedures
established pursuant to this Plan and advise the Participants with
respect to any deficiencies, problems, or recommendations as the
Operating Committee may deem appropriate. The Operating Committee shall
establish specifications and procedures for the implementation and
operation of the Plan that are consistent with the provisions of this
Plan and the Appendixes thereto. With respect to matters in this
paragraph, Operating Committee decisions shall be approved by a simple
majority vote.
(3) Any recommendation for an amendment to the Plan from the
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be
submitted to the SEC as a request for an amendment to the Plan
initiated by the Commission under Rule 608 of Regulation NMS.
IV. Trading Center Policies and Procedures
All trading centers in NMS Stocks, including both those operated by
Participants and those operated by members of Participants, shall
establish, maintain, and enforce written policies and procedures that
are reasonably designed to comply with the limit up--limit down
requirements specified in Sections VI of the Plan, and to comply with
the Trading Pauses specified in Section VII of the Plan.
V. Price Bands
(A) Calculation and Dissemination of Price Bands
(1) The Processor for each NMS stock shall calculate and
disseminate to the public a Lower Price Band and an Upper Price Band
during Regular Trading Hours for such NMS Stock. The Price Bands shall
be based on a Reference Price for each NMS Stock that equals the
arithmetic mean price of Eligible Reported Transactions for the NMS
stock over the immediately preceding five-minute period (except for
periods following openings and reopenings, which are addressed below).
If no Eligible Reported Transactions for the NMS Stock have occurred
over the immediately preceding five-minute period, the previous
Reference Price shall remain in effect. The Price Bands for an NMS
Stock shall be calculated by applying the Percentage Parameter for such
NMS Stock to the Reference Price, with the Lower Price Band being a
Percentage Parameter below the Reference Price, and the Upper Price
Band being a Percentage Parameter above the Reference Price. The Price
Bands shall be calculated beginning at 9:30 a.m. ET, and ending at 4:00
p.m. ET. 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 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
[[Page 31652]]
Price Bands based on the new Reference Price; provided, however, that
each new Reference Price shall remain in effect for at least 30
seconds.
(B) Openings
(1) Except when a Regulatory Halt is in effect at the start of
regular trading hours, the first Reference Price for a trading day
shall be the Opening Price on the Primary Listing Exchange in an NMS
Stock if such Opening Price occurs less than five minutes after the
start of regular trading hours. During the period less than five
minutes after the Opening Price, a Pro-Forma Reference Price shall be
updated on a continuous basis to be the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock during the period
following the Opening Price (including the Opening Price), and if it
differs from the current Reference Price by 1% or more shall become the
new Reference Price, except that a new Reference Price shall remain in
effect for at least 30 seconds. Subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
(2) If the Opening Price on the Primary Listing Exchange in an NMS
Stock does not occur within five minutes after the start of Regular
Trading Hours, the first Reference Price for a trading day shall be the
arithmetic mean price of Eligible Reported Transactions for the NMS
Stock over the preceding five minute time period, and subsequent
Reference Prices shall be calculated as specified in Section V(A) of
the Plan.
(C) Reopenings
(1) Following a Trading Pause in an NMS Stock, and if the Primary
Listing Exchange has not declared a Regulatory Halt, the next Reference
Price shall be the Reopening Price on the Primary Listing Exchange if
such Reopening Price occurs within ten minutes after the beginning of
the Trading Pause, and subsequent Reference Prices shall be determined
in the manner prescribed for normal openings, as specified in Section
V(B)(1) of the Plan. If such Reopening Price does not occur within ten
minutes after the beginning of the Trading Pause, the first Reference
Price following the Trading Pause shall be equal to the last effective
Reference Price before the Trading Pause. Subsequent Reference Prices
shall be calculated as specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be
the Opening or Reopening Price on the Primary Listing Exchange if such
Opening or Reopening Price occurs within five minutes after the end of
the Regulatory Halt, and subsequent Reference Prices shall be
determined in the manner prescribed for normal openings, as specified
in Section V(B)(1) of the Plan. If such Opening or Reopening Price has
not occurred within five minutes after the end of the Regulatory Halt,
the Reference Price shall be equal to the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock over the preceding
five minute time period, and subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those
operated by Participants and those operated by members of Participants,
shall establish, maintain, and enforce written policies and procedures
that are reasonably designed to prevent trades at prices that are below
the Lower Limit Band or above the Upper Limit Band for an NMS Stock.
Single-priced opening, reopening, and closing transactions on the
Primary Listing Exchange, however, shall be excluded from this
limitation.
(2) When a National Best Bid is below the Lower Limit Band or a
National Best Offer is above the Upper Limit 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 Limit Band or a National Best
Bid is equal to the Upper Limit 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 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.
(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. If trading for an NMS Stock is in a Limit State at the end of
Regular Trading Hours, the Limit State will terminate when the Primary
Listing Exchange executes a closing transaction in the NMS Stock or
five minutes after the end of Regular Trading Hours, whichever is
earlier.
VII. Trading Pauses
(A) Declaration of Trading Pauses
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. The Processor shall disseminate this information
to the public. No trades in an NMS Stock shall occur during a Trading
Pause, but all bids and offers may be displayed.
[[Page 31653]]
(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.
VIII. Implementation
(A) Phase I
(1) Phase I of Plan implementation shall apply immediately
following the initial date of Plan operations.
(2) During Phase I, the Plan shall apply only to the 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 less than 30 minutes before
the end of Regular Trading Hours, and trading shall not enter a Limit
State less than 25 minutes before the end of Regular Trading Hours.
(B) Phase II--Full Implementation
(1) Six 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.
IX. Withdrawal from Plan
If a Participant obtains SEC approval to withdraw from the Plan,
such Participant may withdraw from the Plan at any time on not less
than 30 days' prior written notice to each of the other Participants.
At such time, the withdrawing Participant shall have no further rights
or obligations under the Plan.
X. Counterparts and Signatures
The Plan may be executed in any number of counterparts, no one of
which need contain all signatures of all Participants, and as many of
such counterparts as shall together contain all such signatures shall
constitute one and the same instrument.
IN WITNESS THEREOF, this Plan has been executed as of the ---- day
of ------ 2011 by each of the parties hereto.
BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------
EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------
NATIONAL STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
NYSE AMEX LLC
BY:--------------------------------------------------------------------
BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------
THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------
NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------
NYSE ARCA, INC.
BY:--------------------------------------------------------------------
Appendix A--Percentage Parameters
I. Tier 1 NMS Stocks
(1) Tier 1 NMS Stocks shall include all NMS Stocks included in
the S&P 500 Index, the Russell 1000 Index, and the exchange-traded
products listed on Schedule 1 to this Appendix.
(2) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price of $1.00 or more shall be 5%.
(3) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price less than $1.00 shall be the lesser of (a) $0.15 or
(b) 75%.
II. Tier 2 NMS Stocks
(1) Tier 2 NMS Stocks shall include all NMS Stocks other than
those in Tier 1.
(2) The Percentage Parameters for Tier 2 NMS Stocks with a
Reference Price of $1.00 or more shall be 10%.
(3) The Percentage Parameters for Tier 2 NMS Stocks with a
Reference Price less than $1.00 shall be the lesser of (a) $0.15 or
(b) 75%.
(4) Notwithstanding the foregoing, the Percentage Parameters for
a Tier 2 NMS Stock that is a leveraged exchange-traded product shall
be the applicable Percentage Parameter set forth in clauses (2) or
(3) above, multiplied by the leverage ratio of such product.
Appendix A--Schedule 1
------------------------------------------------------------------------
Symbol Name
------------------------------------------------------------------------
AAXJ......................... iShares MSCI All Country Asia ex Japan
Index Fund.
ACWI......................... iShares MSCI ACWI Index Fund.
ACWX......................... iShares MSCI ACWI ex US Index Fund.
ADRE......................... BLDRS Emerging Markets 50 ADR Index Fund.
[[Page 31654]]
AGG.......................... iShares Barclays Aggregate Bond Fund.
AGZ.......................... iShares Barclays Agency Bond Fund.
AMJ.......................... JPMorgan Alerian MLP Index ETN.
BAB.......................... PowerShares Build America Bond Portfolio.
BBH.......................... Biotech HOLDRs Trust.
BDG.......................... PowerShares DB Base Metals Long ETN.
BIK.......................... SPDR S&P BRIC 40 ETF.
BIL.......................... SPDR Barclays Capital 1-3 Month T-Bill
ETF.
BIV.......................... Vanguard Intermediate-Term Bond ETF.
BKF.......................... iShares MSCI BRIC Index Fund.
BLV.......................... Vanguard Long-Term Bond ETF.
BND.......................... Vanguard Total Bond Market ETF.
BOS.......................... PowerShares DB Base Metals Short ETN.
BRF.......................... Market Vectors Brazil Small-Cap ETF.
BSV.......................... Vanguard Short-Term Bond ETF.
BWX.......................... SPDR Barclays Capital International
Treasury Bond ETF.
CEW.......................... WisdomTree Dreyfus Emerging Currency
Fund.
CFT.......................... iShares Barclays Credit Bond Fund.
CIU.......................... iShares Barclays Intermediate Credit Bond
Fund.
CSJ.......................... iShares Barclays 1-3 Year Credit Bond
Fund.
CUT.......................... Claymore/Beacon Global Timber Index ETF.
CVY.......................... Claymore/Zacks Multi-Asset Income Index
ETF.
CWB.......................... SPDR Barclays Capital Convertible
Securities ETF.
CYB.......................... WisdomTree Dreyfus Chinese Yuan Fund.
DBA.......................... PowerShares DB Agriculture Fund.
DBB.......................... PowerShares DB Base Metals Fund.
DBC.......................... PowerShares DB Commodity Index Tracking
Fund.
DBO.......................... PowerShares DB Oil Fund.
DBP.......................... PowerShares DB Precious Metals Fund.
DBV.......................... PowerShares DB G10 Currency Harvest Fund.
DDG.......................... ProShares Short Oil & Gas.
DEM.......................... WisdomTree Emerging Markets Equity Income
Fund.
DFJ.......................... WisdomTree Japan SmallCap Dividend Fund.
DGS.......................... WisdomTree Emerging Markets SmallCap
Dividend Fund.
DIA.......................... SPDR Dow Jones Industrial Average ETF
Trust.
DJP.......................... iPath Dow Jones-UBS Commodity Index Total
Return ETN/United States.
DNO.......................... United States Short Oil Fund.
DOG.......................... ProShares Short Dow30.
DVY.......................... iShares Dow Jones Select Dividend Index
Fund.
DWM.......................... WisdomTree DEFA Fund.
DWX.......................... SPDR S&P International Dividend ETF.
ECH.......................... iShares MSCI Chile Investable Market
Index Fund.
EEB.......................... Claymore/BNY BRIC ETF.
EEM.......................... iShares MSCI Emerging Markets Index Fund/
United States.
EFA.......................... iShares MSCI EAFE Index Fund.
EFG.......................... iShares MSCI EAFE Growth Index.
EFV.......................... iShares MSCI EAFE Value Index.
EFZ.......................... ProShares Short MSCI EAFE.
EIS.......................... iShares MSCI Israel Capped Index Fund.
EMB.......................... iShares JPMorgan USD Emerging Markets
Bond Fund.
EPI.......................... WisdomTree India Earnings Fund.
EPP.......................... iShares MSCI Pacific ex-Japan Index Fund.
EPU.......................... iShares MSCI All Peru Capped Index Fund.
EUM.......................... ProShares Short MSCI Emerging Markets.
EWA.......................... iShares MSCI Australia Index Fund.
EWC.......................... iShares MSCI Canada Index Fund.
EWD.......................... iShares MSCI Sweden Index Fund.
EWG.......................... iShares MSCI Germany Index Fund.
EWH.......................... iShares MSCI Hong Kong Index Fund.
EWI.......................... iShares MSCI Italy Index Fund.
EWJ.......................... iShares MSCI Japan Index Fund.
EWK.......................... iShares MSCI Belgium Investable Market
Index Fund.
EWL.......................... iShares MSCI Switzerland Index Fund.
EWM.......................... iShares MSCI Malaysia Index Fund.
EWN.......................... iShares MSCI Netherlands Investable
Market Index Fund.
EWO.......................... iShares MSCI Austria Investable Market
Index Fund.
EWP.......................... iShares MSCI Spain Index Fund.
EWQ.......................... iShares MSCI France Index Fund.
EWS.......................... iShares MSCI Singapore Index Fund.
EWT.......................... iShares MSCI Taiwan Index Fund.
EWU.......................... iShares MSCI United Kingdom Index Fund.
EWW.......................... iShares MSCI Mexico Investable Market
Index Fund.
[[Page 31655]]
EWX.......................... SPDR S&P Emerging Small Cap ETF.
EWY.......................... iShares MSCI South Korea Index Fund.
EWZ.......................... iShares MSCI Brazil Index Fund.
EZA.......................... iShares MSCI South Africa Index Fund.
EZU.......................... iShares MSCI EMU Index Fund.
FBT.......................... First Trust NYSE Arca Biotechnology Index
Fund.
FCG.......................... First Trust ISE-Revere Natural Gas Index
Fund.
FDN.......................... First Trust Dow Jones Internet Index
Fund.
FNI.......................... First Trust ISE Chindia Index Fund.
FXA.......................... CurrencyShares Australian Dollar Trust.
FXB.......................... CurrencyShares British Pound Sterling
Trust.
FXC.......................... CurrencyShares Canadian Dollar Trust.
FXD.......................... First Trust Consumer Discretionary
AlphaDEX Fund.
FXE.......................... CurrencyShares Euro Trust.
FXF.......................... CurrencyShares Swiss Franc Trust.
FXI.......................... iShares FTSE/Xinhua China 25 Index Fund.
FXY.......................... CurrencyShares Japanese Yen Trust.
FXZ.......................... First Trust Materials AlphaDEX Fund.
GAZ.......................... iPath Dow Jones-UBS Natural Gas Subindex
Total Return ETN.
GCC.......................... GreenHaven Continous Commodity Index
Fund.
GD........................... Market Vectors--Gold Miners ETF.
GDXJ......................... Market Vectors Junior Gold Miners ETF.
GLD.......................... SPDR Gold Trust.
GMF.......................... SPDR S&P Emerging Asia Pacific ETF.
GML.......................... SPDR S&P Emerging Latin America ETF.
GSG.......................... iShares S&P GSCI Commodity Indexed Trust.
GSP.......................... iPath GSCI Total Return Index ETN.
GUR.......................... SPDR S&P Emerging Europe ETF.
GVI.......................... iShares Barclays Intermediate Government/
Credit Bond Fund.
GVT.......................... Grail American Beacon Large Cap Value
ETF.
GWX.......................... SPDR S&P International Small Cap ETF.
GXC.......................... SPDR S&P China ETF.
HAO.......................... Claymore/AlphaShares China Small Cap
Index ETF.
HYG.......................... iShares iBoxx $ High Yield Corporate Bond
Fund.
IAI.......................... iShares Dow Jones US Broker Dealers Index
Fund.
IAT.......................... iShares Dow Jones US Regional Banks Index
Fund.
IAU.......................... iShares COMEX Gold Trust.
IBB.......................... iShares Nasdaq Biotechnology Index Fund.
ICF.......................... iShares Cohen & Steers Realty Majors
Index Fund.
IDU.......................... iShares Dow Jones US Utilities Sector
Index Fund.
IDX.......................... Market Vectors--Indonesia Index ETF.
IEF.......................... iShares Barclays 7-10 Year Treasury Bond
Fund.
IEI.......................... iShares Barclays 3-7 Year Treasury Bond
Fund.
IEO.......................... iShares Dow Jones US Oil & Gas
Exploration & Production Index Fund.
IEV.......................... iShares S&P Europe 350 Index Fund.
IEZ.......................... iShares Dow Jones US Oil Equipment &
Services Index Fund.
IFGL......................... iShares FTSE EPRA/NAREIT Developed Real
Estate ex-US Index Fund.
IGE.......................... iShares S&P North American Natural
Resources Sector Index Fund.
IGF.......................... iShares S&P Global Infrastructure Index
Fund.
IGM.......................... iShares S&P North American Technology
Sector Index Fund.
IGN.......................... iShares S&P North American Technology-
Multimedia Networking Index Fund.
IGV.......................... iShares S&P North American Technology-
Software Index Fund.
IGW.......................... iShares S&P North American Technology-
Semiconductors Index Fund.
IHE.......................... iShares Dow Jones US Pharmaceuticals
Index Fund.
IHF.......................... iShares Dow Jones US Healthcare Providers
Index Fund.
IHI.......................... iShares Dow Jones US Medical Devices
Index Fund.
IJH.......................... iShares S&P MidCap 400 Index Fund.
IJJ.......................... iShares S&P MidCap 400/BARRA Value Index
Fund.
IJK.......................... iShares S&P MidCap 400 Growth Index Fund.
IJR.......................... iShares S&P SmallCap 600 Index Fund.
IJS.......................... iShares S&P SmallCap 600 Value Index
Fund.
IJT.......................... iShares S&P SmallCap 600/BARRA Growth
Index Fund.
ILF.......................... iShares S&P Latin America 40 Index Fund.
INP.......................... iPath MSCI India Index ETN.
IOO.......................... iShares S&P Global 100 Index Fund.
IPE.......................... SPDR Barclays Capital TIPS ETF.
ITA.......................... iShares Dow Jones US Aerospace & Defense
Index Fund.
ITB.......................... iShares Dow Jones US Home Construction
Index Fund.
IVE.......................... iShares S&P 500 Value Index Fund.
IVV.......................... iShares S&P 500 Index Fund/US.
IVW.......................... iShares S&P 500 Growth Index Fund.
IWB.......................... iShares Russell 1000 Index Fund.
[[Page 31656]]
IWC.......................... iShares Russell Microcap Index Fund.
IWD.......................... iShares Russell 1000 Value Index Fund.
IWF.......................... iShares Russell 1000 Growth Index Fund.
IWL.......................... iShares Russell Top 200 Index Fund.
IWM.......................... iShares Russell 2000 Index Fund.
IWN.......................... iShares Russell 2000 Value Index Fund.
IWO.......................... iShares Russell 2000 Growth Index Fund.
IWP.......................... iShares Russell Midcap Growth Index Fund.
IWR.......................... iShares Russell Midcap Index Fund.
IWS.......................... iShares Russell Midcap Value Index Fund.
IWV.......................... iShares Russell 3000 Index Fund.
IWW.......................... iShares Russell 3000 Value Index Fund.
IWX.......................... iShares Russell Top 200 Value Index Fund.
IWY.......................... iShares Russell Top 200 Growth Index
Fund.
IXC.......................... iShares S&P Global Energy Sector Index
Fund.
IXG.......................... iShares S&P Global Financials Sector
Index Fund.
IXJ.......................... iShares S&P Global Healthcare Sector
Index Fund.
IXN.......................... iShares S&P Global Technology Sector
Index Fund.
IXP.......................... iShares S&P Global Telecommunications
Sector Index Fund.
IYC.......................... iShares Dow Jones US Consumer Services
Sector Index Fund.
IYE.......................... iShares Dow Jones US Energy Sector Index
Fund.
IYF.......................... iShares Dow Jones US Financial Sector
Index Fund.
IYG.......................... iShares Dow Jones US Financial Services
Index Fund.
IYH.......................... iShares Dow Jones US Healthcare Sector
Index Fund.
IYJ.......................... iShares Dow Jones US Industrial Sector
Index Fund.
IYK.......................... iShares Dow Jones US Consumer Goods
Sector Index Fund.
IYM.......................... iShares Dow Jones US Basic Materials
Sector Index Fund.
IYR.......................... iShares Dow Jones US Real Estate Index
Fund.
IYT.......................... iShares Dow Jones Transportation Average
Index Fund.
IYW.......................... iShares Dow Jones US Technology Sector
Index Fund.
IYY.......................... iShares Dow Jones US Index Fund.
IYZ.......................... iShares Dow Jones US Telecommunications
Sector Index Fund.
JJC.......................... iPath Dow Jones-UBS Copper Subindex Total
Return ETN.
JJG.......................... iPath Dow Jones-UBS Grains Subindex Total
Return ETN.
JKE.......................... iShares Morningstar Large Growth Index
Fund.
JKL.......................... iShares Morningstar Small Value Index
Fund.
JNK.......................... SPDR Barclays Capital High Yield Bond
ETF.
JXI.......................... iShares S&P Global Utilities Sector Index
Fund.
KBE.......................... SPDR KBW Bank ETF.
KCE.......................... SPDR KBW Capital Markets ETF.
KIE.......................... SPDR KBW Insurance ETF.
KOL.......................... Market Vectors--Coal ETF.
KRE.......................... SPDR KBW Regional Banking ETF.
KXI.......................... iShares S&P Global Consumer Staples
Sector Index Fund.
LQD.......................... iShares iBoxx Investment Grade Corporate
Bond Fund.
MBB.......................... iShares Barclays MBS Bond Fund.
MBG.......................... SPDR Barclays Capital Mortgage Backed
Bond ETF.
MDY.......................... SPDR S&P MidCap 400 ETF Trust.
MINT......................... PIMCO Enhanced Short Maturity Strategy
Fund.
MLPI......................... UBS E-TRACS Alerian MLP Infrastructure
ETN.
MLPN......................... Credit Suisse Cushing 30 MLP Index ETN.
MOO.......................... Market Vectors--Agribusiness ETF.
MUB.......................... iShares S&P National Municipal Bond Fund.
MXI.......................... iShares S&P Global Materials Sector Index
Fund.
MYY.......................... ProShares Short MidCap400.
OEF.......................... iShares S&P 100 Index Fund.
OIH.......................... Oil Services Holders Trust.
OIL.......................... iPath Goldman Sachs Crude Oil Total
Return Index ETN.
OLO.......................... PowerShares DB Crude Oil Long ETN.
ONEQ......................... Fidelity NASDAQ Composite Index Tracking
Stock ETF.
PALL......................... ETFS Palladium Trust.
PBW.......................... Powershares WilderHill Clean Energy
Portfolio.
PCEF......................... PowerShares CEF Income Composite
Portfolio.
PCY.......................... PowerShares Emerging Markets Sovereign
Debt Portfolio.
PFF.......................... iShares S&P US Preferred Stock Index
Fund.
PGF.......................... PowerShares Financial Preferred
Portfolio.
PGJ.......................... Powershares Golden Dragon Halter USX
China Portfolio.
PG........................... PowerShares Preferred Portfolio.
PHB.......................... PowerShares High Yield Corporate Bond
Portfolio.
PHO.......................... PowerShares Water Resources Portfolio.
PHYS......................... Sprott Physical Gold Trust.
PID.......................... PowerShares International Dividend
Achievers Portfolio.
[[Page 31657]]
PIN.......................... PowerShares India Portfolio.
PIO.......................... PowerShares Global Water Portfolio.
PMA.......................... PowerShares Active Mega Cap Fund.
PPH.......................... Pharmaceutical HOLDRs Trust.
PPLT......................... ETFS Platinum Trust.
PQY.......................... PowerShares Active AlphaQ Fund.
PRF.......................... Powershares FTSE RAFI US 1000 Portfolio.
PRFZ......................... PowerShares FTSE RAFI US 1500 Small-Mid
Portfolio.
PSQ.......................... ProShares Short QQQ.
PVI.......................... PowerShares VRDO Tax Free Weekly
Portfolio.
PWV.......................... PowerShares Dynamic Large Cap Value
Portfolio.
PXH.......................... PowerShares FTSE RAFI Emerging Markets
Portfolio.
PZA.......................... PowerShares Insured National Municipal
Bond Portfolio.
QQQQ......................... Powershares QQQ.
QTEC......................... First Trust NASDAQ-100 Technology Index
Fund.
REK.......................... ProShares Short Real Estate.
RFG.......................... Rydex S&P Midcap 400 Pure Growth ETF.
RJA.......................... ELEMENTS Linked to the Rogers
International Commodity Index--Agri Tot
Return.
RJI.......................... ELEMENTS Linked to the Rogers
International Commodity Index--Total
Return.
RKH.......................... Regional Bank HOLDRs Trust.
RPV.......................... Rydex S&P 500 Pure Value ETF.
RSP.......................... Rydex S&P Equal Weight ETF.
RSX.......................... Market Vectors--Russia ETF.
RTH.......................... Retail HOLDRs Trust.
RWJ.......................... RevenueShares Small Cap Fund.
RWK.......................... RevenueShares Mid Cap Fund.
RWL.......................... RevenueShares Large Cap Fund.
RWM.......................... ProShares Short Russell2000.
RWR.......................... SPDR Dow Jones REIT ETF.
RWX.......................... SPDR Dow Jones International Real Estate
ETF.
RZV.......................... Rydex S&P Smallcap 600 Pure Value ETF.
SBB.......................... ProShares Short SmallCap600.
SBM.......................... ProShares Short Basic Materials.
SCHA......................... Schwab US Small-Cap ETF.
SCHB......................... Schwab US Broad Market ETF.
SCHE......................... Schwab Emerging Markets Equity ETF.
SCHF......................... Schwab International Equity ETF.
SCHX......................... Schwab US Large-Cap ETF.
SCZ.......................... iShares MSCI EAFE Small Cap Index Fund.
SDY.......................... SPDR S&P Dividend ETF.
SEF.......................... ProShares Short Financials.
SGG.......................... iPath Dow Jones-UBS Sugar Subindex Total
Return ETN.
SGOL......................... ETFS Gold Trust.
SH........................... ProShares Short S&P500.
SHM.......................... SPDR Nuveen Barclays Capital Short Term
Municipal Bond ETF.
SHV.......................... iShares Barclays Short Treasury Bond
Fund.
SHY.......................... iShares Barclays 1-3 Year Treasury Bond
Fund.
SIL.......................... Global X Silver Miners ETF.
SIVR......................... ETFS Silver Trust.
SLV.......................... iShares Silver Trust.
SLX.......................... Market Vectors--Steel Index Fund.
SMH.......................... Semiconductor HOLDRs Trust.
SPY.......................... SPDR S&P 500 ETF Trust.
STPZ......................... PIMCO 1-5 Year US TIPS Index Fund.
SUB.......................... iShares S&P Short Term National AMT-Free
Municipal Bond Fund.
TAN.......................... Claymore/MAC Global Solar Energy Index
ETF.
TBF.......................... ProShares Short 20+ Year Treasury.
TFI.......................... SPDR Nuveen Barclays Capital Municipal
Bond ETF.
THD.......................... iShares MSCI Thailand Index Fund.
TIP.......................... iShares Barclays TIPS Bond Fund.
TLH.......................... iShares Barclays 10-20 Year Treasury Bond
Fund.
TLT.......................... iShares Barclays 20+ Year Treasury Bond
Fund.
TUR.......................... iShares MSCI Turkey Index Fund.
TUZ.......................... PIMCO 1-3 Year U.S. Treasury Index Fund.
UDN.......................... PowerShares DB US Dollar Index Bearish
Fund.
UGA.......................... United States Gasoline Fund LP.
UNG.......................... United States Natural Gas Fund LP.
USO.......................... United States Oil Fund LP.
UUP.......................... PowerShares DB US Dollar Index Bullish
Fund.
VAW.......................... Vanguard Materials ETF.
VB........................... Vanguard Small-Cap ETF.
VBK.......................... Vanguard Small-Cap Growth ETF.
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VBR.......................... Vanguard Small-Cap Value ETF.
VCIT......................... Vanguard Intermediate-Term Corporate Bond
ETF.
VCR.......................... Vanguard Consumer Discretionary ETF.
VCSH......................... Vanguard Short-Term Corporate Bond ETF.
VDC.......................... Vanguard Consumer Staples ETF.
VD........................... Vanguard Energy ETF.
VEA.......................... Vanguard Europe Pacific ETF.
VEU.......................... Vanguard FTSE All-World ex-US ETF.
VFH.......................... Vanguard Financials ETF.
VGK.......................... Vanguard European ETF.
VGT.......................... Vanguard Information Technology ETF.
VHT.......................... Vanguard Health Care ETF.
VIG.......................... Vanguard Dividend Appreciation ETF.
VIS.......................... Vanguard Industrials ETF.
VNM.......................... Market Vectors Vietnam ETF.
VNQ.......................... Vanguard REIT ETF.
VO........................... Vanguard Mid-Cap ETF.
VOE.......................... Vanguard Mid-Cap Value Index Fund.
VOT.......................... Vanguard Mid-Cap Growth Index Fund.
VPL.......................... Vanguard Pacific ETF.
VPU.......................... Vanguard Utilities ETF.
VSS.......................... Vanguard FTSE All World ex-US Small-Cap
ETF.
VT........................... Vanguard Total World Stock Index Fund
ETF.
VTI.......................... Vanguard Total Stock Market ETF.
VTV.......................... Vanguard Value ETF.
VUG.......................... Vanguard Growth ETF.
VV........................... Vanguard Large-Cap ETF.
VWO.......................... Vanguard Emerging Markets ETF.
VXF.......................... Vanguard Extended Market ETF.
VXX.......................... iPATH S&P 500 VIX Short-Term Futures ETN.
VXZ.......................... iPATH S&P 500 VIX Mid-Term Futures ETN.
VYM.......................... Vanguard High Dividend Yield ETF.
WIP.......................... SPDR DB International Government
Inflation-Protected Bond ETF.
XBI.......................... SPDR S&P Biotech ETF.
XES.......................... SPDR S&P Oil & Gas Equipment & Services
ETF.
XHB.......................... SPDR S&P Homebuilders ETF.
XLB.......................... Materials Select Sector SPDR Fund.
XLE.......................... Energy Select Sector SPDR Fund.
XLF.......................... Financial Select Sector SPDR Fund.
XLG.......................... Rydex Russell Top 50 ETF.
XLI.......................... Industrial Select Sector SPDR Fund.
XLK.......................... Technology Select Sector SPDR Fund.
XLP.......................... Consumer Staples Select Sector SPDR Fund.
XLU.......................... Utilities Select Sector SPDR Fund.
XLV.......................... Health Care Select Sector SPDR Fund.
XLY.......................... Consumer Discretionary Select Sector SPDR
Fund.
XME.......................... SPDR S&P Metals & Mining ETF.
XOP.......................... SPDR S&P Oil & Gas Exploration &
Production ETF.
XPH.......................... SPDR S&P Pharmaceuticals ETF.
XRT.......................... SPDR S&P Retail ETF.
XSD.......................... SPDR S&P Semiconductor ETF.
YXI.......................... ProShares Short FTSE/Xinhua China 25.
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[[Page 31659]]
[FR Doc. 2011-13472 Filed 5-31-11; 8:45 am]
BILLING CODE 8011-01-P