[Federal Register Volume 78, Number 38 (Tuesday, February 26, 2013)]
[Notices]
[Pages 13113-13127]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2013-04356]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-68953; File No. 4-631]
Joint Industry Plan; Notice of Filing and Immediate Effectiveness
of the Second 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.
February 20, 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 January 23, 2013, NYSE Euronext, on behalf of New York Stock
Exchange LLC (``NYSE''), NYSE MKT LLC (``NYSE MKT''), and NYSE Arca,
Inc. (``NYSE Arca''), and the following parties to the National Market
System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board
Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA
Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory
Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq
Stock Market LLC, and National Stock Exchange, Inc. (collectively with
NYSE, NYSE MKT, and NYSE Arca, the ``Participants''), filed with the
Securities and Exchange Commission (the ``Commission'') a proposal to
amend the Plan to Address Extraordinary Market Volatility
(``Plan'').\3\ The proposal represents the second amendment to the Plan
(``Second Amendment''), and reflects changes unanimously adopted by the
Participants. A copy of the Plan, as 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 Second 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 Present &
Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy,
Secretary, Commission, dated January 17, 2013 (``Transmittal
Letter'').
\4\ 17 CFR 242.608(b)(3)(iii).
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I. Rule 608(a) of Regulation NMS
A. Purpose of the Plan
The Participants filed the Plan in order to create a market-wide
limit up-limit down mechanism that is intended to address extraordinary
market volatility in ``NMS Stocks,'' as defined in Rule 600(b)(47) of
Regulation NMS under the Act.\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
[[Page 13114]]
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 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 Participants propose to adopt certain ministerial or technical
changes to the Plan on an immediately effective basis. The following
summarizes the Second Amendment to the Plan and the rationale behind
those changes:
Amending Section II.D.2.A of the Plan to include a broker-
dealer that primarily engages in trading for its own account as a
member of the Advisory Committee. This change is designed to ensure the
diversity of representation from the industry by including a broker-
dealer that primarily engages in trading for their own account on the
Advisory Committee to the Plan.
Amending Section VI.B.5 of the Plan to clarify that a
Limit State terminates either when a Primary Listing Market declares a
Trading Pause or the end of Regular Trading Hours. This clarification
is designed to reduce confusion that may be caused by a Processor
disseminating a Limit State Quotation during times when trading is
paused or outside Regular Trading Hours when the Plan is not
applicable.
Amending Sections VIII.A of the Plan to establish a new
implementation schedule for Phase I. Specifically, Phase I will be
amended to provide that on the initial date of Plan operations of April
8, 2013, Phase I of Plan implementation shall begin in select symbols
from the Tier 1 NMS Stocks identified in Appendix A of the Plan. In
addition, 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. These modifications are in
response to requests by the securities industry for additional time for
systems testing by Participants and the securities industry.
Amending Section VIII.B of the Plan to delete the last
clause because the Processor does not disseminate a closing trade for a
Primary Listing Exchange earlier than the end or Regular Trading Hours
or, in the case of an early scheduled close, earlier than the scheduled
close.
Clarify the manner by which to report the data in Appendix
B, Section II.G. The Participants believe that the additional detail
regarding the data fields will be helpful for Participants to
understand the specific data to be reported under the Plan.
B. Governing or Constituent Documents
The governing documents of the Processor, as defined in Section
I(P) of the Plan, will not be affected by the Plan, but once the Plan
is implemented, the Processor's obligations will change, as set forth
in detail in the Plan. In particular, as set forth in Section V of the
Plan, the Processor will be responsible for calculating and
disseminating Price Bands during Regular Trading Hours, as defined in
Section I(R) of the 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 Plan, to cause and enable the Processor
for each NMS Stock to fulfill the functions set forth in the Plan.
C. Implementation of Plan
The initial date of the Plan operations will be April 8, 2013.
D. Development and Implementation Phases
The Plan will be implemented as a one-year pilot program in two
Phases, consistent with Section VIII of the Plan: Phase I of Plan
implementation will begin on the initial date of Plan operations, in
select symbols, with full Phase I of the Plan implementation completed
three months after the initial date of Plan operations, or such earlier
date as may be announced by the
[[Page 13115]]
Processor with at least 30 days notice; Phase II of Plan will commence
six months after the initial date of the Plan or such earlier date as
may be announced by the Processor with at least 30 days notice. The
Participants proposed that Phase II of the Plan will begin on the first
Monday after the six months after the initial date of the Plan, or if
an earlier date is determined, Phase II will begin on a Monday.
At the beginning of Phase I, the Plan shall apply to select symbols
from the Tier 1 NMS Stocks identified in Appendix A of the Plan. During
full Phase I implementation, the Plan shall apply to all Tier 1 NMS
Stocks, as defined in Appendix A of the Plan, and the first price bands
shall be calculated and disseminated, as specified in Section V(A) of
the Plan. In Phase II, the Plan shall fully apply to all NMS Stocks.
Phase I and Phase II of the Plan may each be rolled out to
applicable NMS Stocks over a period not to exceed two weeks. Any such
roll-out period will be made available in advance of the implementation
dates for Phases I and II of the Plan via the Participants' Web sites
and trader updates, as applicable.
E. 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.\20\
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\20\ 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 Plan. Section II(C) of the
Plan sets forth how any entity registered as a national securities
exchange or national securities association may become a Participant.
G. Approval of Amendment of the Plan
Each of the Plan's Participants has executed a written amended
Plan.
H. Terms and Conditions of Access
Section II(C) of the Plan provides that any entity registered as a
national securities exchange or national securities association under
the Act may become a Participant by: (1) Becoming a participant in the
applicable Market Data Plans, as defined in Section I(F) of the Plan;
(2) executing a copy of the Plan, as then in effect; (3) providing each
then-current Participant with a copy of such executed Plan; and (4)
effecting an amendment to the Plan as specified in Section III(B) of
the Plan.
I. Method of Determination and Imposition, and Amount of, Fees and
Charges
Not applicable.
J. Method and Frequency of Processor Evaluation
Not applicable.
K. Dispute Resolution
The Plan does not include specific provisions regarding resolution
of disputes between or among Participants. Section III(C) of the Plan
provides for each Participant to designate an individual to represent
the Participant as a member of an Operating Committee.\21\ 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.\22\
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\21\ See Section I(J) of the Plan.
\22\ 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 Second
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 [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 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 Second Amendment to the Plan that are
filed with the Commission, and all written communications relating to
the Second 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 March 19, 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
Preamble
I. Definitions
II. Parties
III. Amendments to Plan
IV. Trading Center Policies and Procedures
V. Price Bands
VI. Limit Up-Limit Down Requirements
VII. Trading Pauses
VIII. Implementation
IX. Withdrawal From Plan
X. Counterparts and Signatures
Appendix A--Percentage Parameters
[[Page 13116]]
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.
I. Definitions
(A) ``Eligible Reported Transactions'' shall have the meaning
prescribed by the Operating Committee and shall generally mean
transactions that are eligible to update the last sale price of an NMS
Stock.
(B) ``Exchange Act'' means the Securities Exchange Act of 1934, as
amended.
(C) ``Limit State'' shall have the meaning provided in Section VI
of the Plan.
(D) ``Limit State Quotation'' shall have the meaning provided in
Section VI of the Plan.
(E) ``Lower Price Band'' shall have the meaning provided in Section
V of the Plan.
(F) ``Market Data Plans'' shall mean the effective national market
system plans through which the Participants act jointly to disseminate
consolidated information in compliance with Rule 603(b) of Regulation
NMS under the Exchange Act.
(G) ``National Best Bid'' and ``National Best Offer'' shall have
the meaning provided in Rule 600(b)(42) of Regulation NMS under the
Exchange Act.
(H) ``NMS Stock'' shall have the meaning provided in Rule
600(b)(47) of Regulation NMS under the Exchange Act.
(I) ``Opening Price'' shall mean the price of a transaction that
opens trading on the Primary Listing Exchange, or, if the Primary
Listing Exchange opens with quotations, the midpoint of those
quotations.
(J) ``Operating Committee'' shall have the meaning provided in
Section III(C) of the Plan.
(K) ``Participant'' means a party to the Plan.
(L) ``Plan'' means the plan set forth in this instrument, as
amended from time to time in accordance with its provisions.
(M) ``Percentage Parameter'' shall mean the percentages for each
tier of NMS Stocks set forth in Appendix A of the Plan.
(N) ``Price Bands'' shall have the meaning provided in Section V of
the Plan.
(O) ``Primary Listing Exchange'' shall mean the Participant on
which an NMS Stock is listed. If an NMS Stock is listed on more than
one Participant, the Participant on which the NMS Stock has been listed
the longest shall be the Primary Listing Exchange.
(P) ``Processor'' shall mean the single plan processor responsible
for the consolidation of information for an NMS Stock pursuant to Rule
603(b) of Regulation NMS under the Exchange Act.
(Q) ``Pro-Forma Reference Price'' shall have the meaning provided
in Section V(A)(2) of the Plan.
(R) ``Regular Trading Hours'' shall have the meaning provided in
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes
of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in
the case of an early scheduled close.
(S) ``Regulatory Halt'' shall have the meaning specified in the
Market Data Plans.
(T) ``Reference Price'' shall have the meaning provided in Section
V of the Plan.
(U) ``Reopening Price'' shall mean the price of a transaction that
reopens trading on the Primary Listing Exchange following a Trading
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens
with quotations, the midpoint of those quotations.
(V) ``SEC'' shall mean the United States Securities and Exchange
Commission.
(W) ``Straddle State'' shall have the meaning provided in Section
VII(A)(2) of the Plan.
(X) ``Trading center'' shall have the meaning provided in Rule
600(b)(78) of Regulation NMS under the Exchange Act.
(Y) ``Trading Pause'' shall have the meaning provided in Section
VII of the Plan.
(Z) ``Upper Price Band'' shall have the meaning provided in Section
V of the Plan.
II. Parties
(A) List of Parties
The parties to the Plan are as follows:
(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214.
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas
66214.
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle
Street, Chicago, Illinois 60605.
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street,
Chicago, Illinois 60605.
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor,
Jersey City, NJ 07310.
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor,
Jersey City, NJ 07310.
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street
NW., Washington, DC 20006.
(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York
10006.
(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia,
Pennsylvania 19103.
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway,
New York, NY 10006.
(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey
City, NJ 07302.
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New
York 10005.
(13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005.
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago,
IL 60606.
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the SEC,
each Participant agrees to comply with and to enforce compliance, as
required by Rule 608(c) of Regulation NMS under the Exchange Act, by
its members with the provisions of the Plan. To this end, each
Participant shall adopt a rule requiring compliance by its members with
the provisions of the Plan, and each Participant shall take such
actions as are necessary and appropriate as a participant of the Market
Data Plans to cause and enable the Processor for each NMS Stock to
fulfill the functions set forth in this Plan.
(C) New Participants
The Participants agree that any entity registered as a national
securities exchange or national securities association under the
Exchange Act may become a Participant by: (1) Becoming a participant in
the applicable Market
[[Page 13117]]
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 [(4)](5) an investor.
(3) Function. Members of the Advisory Committee shall have the
right to submit their views to the Operating Committee on Plan matters,
prior to a decision by the Operating Committee on such matters. Such
matters shall include, but not be limited to, proposed material
amendments to the Plan.
(4) Meetings and Information. Members of the Advisory Committee
shall have the right to attend meetings of the Operating Committee and
to receive any information concerning Plan matters; provided, however,
that the Operating Committee may meet in executive session if, by
affirmative vote of a majority of the Participants, the Operating
Committee determines that an item of Plan business requires
confidential treatment.
III. Amendments to Plan
(A) General Amendments
Except with respect to the addition of new Participants to the
Plan, any proposed change in, addition to, or deletion from the Plan
shall be effected by means of a written amendment to the Plan that: (1)
Sets forth the change, addition, or deletion; (2) is executed on behalf
of each Participant; and, (3) is approved by the SEC pursuant to Rule
608 of Regulation NMS under the Exchange Act, or otherwise becomes
effective under Rule 608 of Regulation NMS under the Exchange Act.
(B) New Participants
With respect to new Participants, an amendment to the Plan may be
effected by the new national securities exchange or national securities
association executing a copy of the Plan, as then in effect (with the
only changes being the addition of the new Participant's name in
Section II(A) of the Plan) and submitting such executed Plan to the SEC
for approval. The amendment shall be effective when it is approved by
the SEC in accordance with Rule 608 of Regulation NMS under the
Exchange Act or otherwise becomes effective pursuant to Rule 608 of
Regulation NMS under the Exchange Act.
(C) Operating Committee
(1) Each Participant shall select from its staff one individual to
represent the Participant as a member of an Operating Committee,
together with a substitute for such individual. The substitute may
participate in deliberations of the Operating Committee and shall be
considered a voting member thereof only in the absence of the primary
representative. Each Participant shall have one vote on all matters
considered by the Operating Committee. No later than the initial date
of Plan operations, the Operating Committee shall designate one member
of the Operating Committee to act as the Chair of the Operating
Committee.
(2) The Operating Committee shall monitor the procedures
established pursuant to this Plan and advise the Participants with
respect to any deficiencies, problems, or recommendations as the
Operating Committee may deem appropriate. The Operating Committee shall
establish specifications and procedures for the implementation and
operation of the Plan that are consistent with the provisions of this
Plan and the Appendixes thereto. With respect to matters in this
paragraph, Operating Committee decisions shall be approved by a simple
majority vote.
(3) Any recommendation for an amendment to the Plan from the
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be
submitted to the SEC as a request for an amendment to the Plan
initiated by the Commission under Rule 608 of Regulation NMS.
IV. Trading Center Policies and Procedures
All trading centers in NMS Stocks, including both those operated by
Participants and those operated by members of Participants, shall
establish, maintain, and enforce written policies and procedures that
are reasonably designed to comply with the limit up--limit down
requirements specified in Sections VI of the Plan, and to comply with
the Trading Pauses specified in Section VII of the Plan.
V. Price Bands
(A) Calculation and Dissemination of Price Bands
(1) The Processor for each NMS stock shall calculate and
disseminate to the public a Lower Price Band and an Upper Price Band
during Regular Trading Hours for such NMS Stock. The Price Bands shall
be based on a Reference Price for each NMS Stock that equals the
arithmetic mean price of Eligible Reported Transactions for the NMS
stock over the immediately preceding five-minute period (except for
periods following openings and reopenings, which are addressed below).
If no Eligible Reported Transactions for the NMS Stock have occurred
over the immediately preceding five-minute period, the previous
Reference Price shall remain in effect. The Price Bands for an NMS
Stock shall be calculated by applying the Percentage Parameter for such
NMS Stock to the Reference Price, with the Lower Price Band being a
Percentage Parameter below the Reference Price, and the Upper Price
Band being a Percentage Parameter above the Reference Price. The Price
Bands shall be calculated during Regular Trading Hours. Between 9:30
a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case
of an early scheduled close, during the last 25 minutes of trading
before the early scheduled close, the Price Bands shall be calculated
by applying double the Percentage Parameters set forth in Appendix A.
If a Reopening Price does not occur within ten minutes after the
beginning of a Trading Pause, the Price Band, for the first 30 seconds
following the reopening after that Trading Pause, shall be calculated
by applying triple the Percentage Parameters set forth in Appendix A.
(2) The Processor shall calculate a Pro-Forma Reference Price on a
continuous basis during Regular Trading Hours, as specified in Section
V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1%
or more from the Reference Price currently in effect, no new Price
Bands shall be disseminated, and the current Reference Price shall
remain the effective Reference Price. When the Pro-Forma Reference
Price has moved by 1% or more from the Reference Price currently
[[Page 13118]]
in effect, the Pro-Forma Reference Price shall become the Reference
Price, and the Processor shall disseminate new Price Bands based on the
new Reference Price; provided, however, that each new Reference Price
shall remain in effect for at least 30 seconds.
(B) Openings
(1) Except when a Regulatory Halt is in effect at the start of
Regular Trading Hours, the first Reference Price for a trading day
shall be the Opening Price on the Primary Listing Exchange in an NMS
Stock if such Opening Price occurs less than five minutes after the
start of Regular Trading Hours. During the period less than five
minutes after the Opening Price, a Pro-Forma Reference Price shall be
updated on a continuous basis to be the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock during the period
following the Opening Price (including the Opening Price), and if it
differs from the current Reference Price by 1% or more shall become the
new Reference Price, except that a new Reference Price shall remain in
effect for at least 30 seconds. Subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
(2) If the Opening Price on the Primary Listing Exchange in an NMS
Stock does not occur within five minutes after the start of Regular
Trading Hours, the first Reference Price for a trading day shall be the
arithmetic mean price of Eligible Reported Transactions for the NMS
Stock over the preceding five minute time period, and subsequent
Reference Prices shall be calculated as specified in Section V(A) of
the Plan.
(C) Reopenings
(1) Following a Trading Pause in an NMS Stock, and if the Primary
Listing Exchange has not declared a Regulatory Halt, the next Reference
Price shall be the Reopening Price on the Primary Listing Exchange if
such Reopening Price occurs within ten minutes after the beginning of
the Trading Pause, and subsequent Reference Prices shall be determined
in the manner prescribed for normal openings, as specified in Section
V(B)(1) of the Plan. If such Reopening Price does not occur within ten
minutes after the beginning of the Trading Pause, the first Reference
Price following the Trading Pause shall be equal to the last effective
Reference Price before the Trading Pause. Subsequent Reference Prices
shall be calculated as specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be
the Opening or Reopening Price on the Primary Listing Exchange if such
Opening or Reopening Price occurs within five minutes after the end of
the Regulatory Halt, and subsequent Reference Prices shall be
determined in the manner prescribed for normal openings, as specified
in Section V(B)(1) of the Plan. If such Opening or Reopening Price has
not occurred within five minutes after the end of the Regulatory Halt,
the Reference Price shall be equal to the arithmetic mean price of
Eligible Reported Transactions for the NMS Stock over the preceding
five minute time period, and subsequent Reference Prices shall be
calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those
operated by Participants and those operated by members of Participants,
shall establish, maintain, and enforce written policies and procedures
that are reasonably designed to prevent trades at prices that are below
the Lower Price Band or above the Upper Price Band for an NMS Stock.
Single-priced opening, reopening, and closing transactions on the
Primary Listing Exchange, however, shall be excluded from this
limitation. In addition, any transaction that both (i) does not update
the last sale price (except if solely because the transaction was
reported late), 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. [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
(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.
[[Page 13119]]
(2) The Primary Listing Exchange may also declare a Trading Pause
for an NMS Stock when an NMS Stock is in a Straddle State, which is
when National Best Bid (Offer) is below (above) the Lower (Upper) Price
Band and the NMS Stock is not in a Limit State, and trading in that NMS
Stock deviates from normal trading characteristics such that declaring
a Trading Pause would support the Plan's goal to address extraordinary
market volatility. The Primary Listing Exchange shall develop policies
and procedures for determining when it would declare a Trading Pause in
such circumstances. If a Trading Pause is declared for an NMS Stock
under this provision, the Primary Listing Exchange shall notify the
Processor.
(3) The Processor shall disseminate Trading Pause information to
the public. No trades in an NMS Stock shall occur during a Trading
Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
(1) Five minutes after declaring a Trading Pause for an NMS Stock,
and if the Primary Listing Exchange has not declared a Regulatory Halt,
the Primary Listing Exchange shall attempt to reopen trading using its
established reopening procedures. The Trading Pause shall end when the
Primary Listing Exchange reports a Reopening Price.
(2) The Primary Listing Exchange shall notify the Processor if it
is unable to reopen trading in an NMS Stock for any reason other than a
significant order imbalance and if it has not declared a Regulatory
Halt. The Processor shall disseminate this information to the public,
and all trading centers may begin trading the NMS Stock at this time.
(3) If the Primary Listing Exchange does not report a Reopening
Price within ten minutes after the declaration of a Trading Pause in an
NMS Stock, and has not declared a Regulatory Halt, all trading centers
may begin trading the NMS Stock.
(4) When trading begins after a Trading Pause, the Processor shall
update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C) Trading Pauses Within 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
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. [apply immediately following the
initial date of Plan operations.]
(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,[During Phase I,] the Plan shall fully apply [only] to [the]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 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
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,
or earlier in the case of an early scheduled close [or if the Processor
disseminates a closing trade for the Primary Listing Exchange].
(C) Pilot
The Plan shall be implemented on a one-year pilot basis.
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 ---------- 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
[[Page 13120]]
closing prices and then averaged over the period. ETPs, including
inverse ETPs, that trade over $2,000,000 CADV will be eligible to be
included as a Tier 1 NMS Stock. To ensure that ETPs that track
similar benchmarks but that do not meet this volume criterion do not
become subject to pricing volatility when a component security is
the subject of a trading pause, non-leveraged ETPs that have traded
below this volume criterion, but that track the same benchmark as an
ETP that does meet the volume criterion, will be deemed eligible to
be included as a Tier 1 NMS Stock. The semi-annual updates to
Schedule 1 do not require an amendment to the Plan. The Primary
Listing Exchanges will maintain the updated Schedule 1 on their
respective Web sites.
(2) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price more than $3.00 shall be 5%.
(3) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price equal to $0.75 and up to and including $3.00 shall
be 20%.
(4) The Percentage Parameters for Tier 1 NMS Stocks with a
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or
(b) 75%.
(5) The Reference Price used for determining which Percentage
Parameter shall be applicable during a trading day shall be based on
the closing price of the NMS Stock on the Primary Listing Exchange
on the previous trading day, or if no closing price exists, the last
sale on the Primary Listing Exchange reported by the Processor.
II. Tier 2 NMS Stocks
(1) Tier 2 NMS Stocks shall include all NMS Stocks other than
those in Tier 1, provided, however, that all rights and warrants are
excluded from the Plan.
(2) The Percentage Parameters for Tier 2 NMS Stocks with a
Reference Price more than $3.00 shall be 10%.
(3) The Percentage Parameters for Tier 2 NMS Stocks with a
Reference Price equal to $0.75 and up to and including $3.00 shall
be 20%.
(4) The Percentage Parameters for Tier 2 NMS Stocks with a
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or
(b) 75%.
(5) Notwithstanding the foregoing, the Percentage Parameters for
a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable
Percentage Parameter set forth in clauses (2), (3), or (4) above,
multiplied by the leverage ratio of such product.
(6) The Reference Price used for determining which Percentage
Parameter shall be applicable during a trading day shall be based on
the closing price of the NMS Stock on the Primary Listing Exchange
on the previous trading day, or if no closing price exists, the last
sale on the Primary Listing Exchange reported by the Processor.
Appendix A--Schedule 1
------------------------------------------------------------------------
Symbol Name
------------------------------------------------------------------------
AAVX.............................. ETRACS Daily Short 1-Month S&P 500
VIX Futures ETN.
AAXJ.............................. iShares MSCI All Country Asia ex
Japan Index Fund.
ACWI.............................. iShares MSCI ACWI Index Fund.
ACWX.............................. iShares MSCI ACWI ex US Index Fund.
AGG............................... iShares Barclays Aggregate Bond
Fund.
AGZ............................... iShares Barclays Agency Bond Fund.
ALD............................... WisdomTree Asia Local Debt Fund.
AMJ............................... JPMorgan Alerian MLP Index ETN.
AMLP.............................. Alerian MLP ETF.
BAB............................... PowerShares Build America Bond
Portfolio.
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.
BKLN.............................. PowerShares Senior Loan Portfolio.
BLV............................... Vanguard Long-Term Bond ETF.
BND............................... Vanguard Total Bond Market ETF.
BNO............................... United States Brent Oil Fund LP.
BOND.............................. Pimco Total Return 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.
BXDB.............................. Barclays ETN+short B Leveraged ETN
Linked to S&P 500.
CEW............................... WisdomTree Dreyfus Emerging Currency
Fund.
CFT............................... iShares Barclays Credit Bond Fund.
CIU............................... iShares Barclays Intermediate Credit
Bond Fund.
CLY............................... iShares 10+ Year Credit Bond Fund.
CORN.............................. Teucrium Corn Fund.
CSJ............................... iShares Barclays 1-3 Year Credit
Bond Fund.
CVY............................... Guggenheim Multi-Asset Income ETF.
CWB............................... SPDR Barclays Capital Convertible
Securities ETF.
CWI............................... SPDR MSCI ACWI ex-US 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.
DBE............................... PowerShares DB Energy Fund.
DBO............................... PowerShares DB Oil Fund.
DBP............................... PowerShares DB Precious Metals Fund.
DBV............................... PowerShares DB G10 Currency Harvest
Fund.
DEM............................... WisdomTree Emerging Markets Equity
Income Fund.
DGL............................... PowerShares DB Gold Fund.
DGS............................... WisdomTree Emerging Markets SmallCap
Dividend Fund.
DGZ............................... PowerShares DB Gold Short ETN.
DHS............................... WisdomTree Equity Income Fund.
DIA............................... SPDR Dow Jones Industrial Average
ETF. Trust.
DJCI.............................. E-TRACS UBS AG Dow Jones-UBS
Commodity Index Total Return ETN.
DJP............................... iPath Dow Jones-UBS Commodity Index
Total Return ETN.
[[Page 13121]]
DLN............................... WisdomTree LargeCap Dividend Fund.
DOG............................... ProShares Short Dow30.
DON............................... WisdomTree MidCap Dividend Fund.
DOO............................... WisdomTree International Dividend Ex-
Financials Fund.
DTN............................... WisdomTree Dividend Ex-Financials
Fund.
DVY............................... iShares Dow Jones Select Dividend
Index Fund.
DWM............................... WisdomTree DEFA Fund.
DWX............................... SPDR S&P International Dividend ETF.
DXJ............................... WisdomTree Japan Hedged Equity Fund.
ECH............................... iShares MSCI Chile Investable Market
Index Fund.
ECON.............................. EGShares Emerging Markets Consumer
ETF.
EDIV.............................. SPDR S&P Emerging Markets Dividend
ETF.
EDV............................... Vanguard Extended Duration Treasury
ETF.
EEB............................... Guggenheim BRIC ETF.
EEM............................... iShares MSCI Emerging Markets Index
Fund.
EFA............................... iShares MSCI EAFE Index Fund.
EFG............................... iShares MSCI EAFE Growth Index.
EFV............................... iShares MSCI EAFE Value Index.
EFZ............................... ProShares Short MSCI EAFE.
EIDO.............................. iSHARES MSCI Indonesia Investable
Market Index Fund.
ELD............................... WisdomTree Emerging Markets Local
Debt Fund.
ELR............................... SPDR Dow Jones Large Cap ETF.
EMB............................... iShares JPMorgan USD Emerging
Markets Bond Fund.
EMLC.............................. Market Vectors Emerging Markets
Local Currency Bond ETF.
EMM............................... SPDR Dow Jones Mid Cap ETF.
EPHE.............................. iShares MSCI Philippines Investable
Market Index Fund.
EPI............................... WisdomTree India Earnings Fund.
EPP............................... iShares MSCI Pacific ex-Japan Index
Fund.
EPU............................... iShares MSCI All Peru Capped Index
Fund.
ERUS.............................. iShares MSCI Russia 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.
EWL............................... iShares MSCI Switzerland Index Fund.
EWM............................... iShares MSCI Malaysia 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.
EWX............................... SPDR S&P Emerging Markets SmallCap
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.
FDL............................... First Trust Morningstar Dividend
Leaders Index.
FDN............................... First Trust Dow Jones Internet Index
Fund.
FEX............................... First Trust Large Cap Core AlphaDEX
Fund.
FEZ............................... SPDR EURO STOXX 50 ETF.
FGD............................... First Trust DJ Global Select
Dividend Index Fund.
FLAT.............................. iPath US Treasury Flattener ETN.
FNX............................... First Trust Mid Cap Core AlphaDEX
Fund.
FRI............................... First Trust S&P REIT Index Fund.
FVD............................... First Trust Value Line Dividend
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.
FXG............................... First Trust Consumer Staples
AlphaDEX Fund.
FXH............................... First Trust Health Care AlphaDEX
Fund.
FXI............................... iShares FTSE China 25 Index Fund.
FXL............................... First Trust Technology AlphaDEX
Fund.
FXU............................... First Trust Utilities AlphaDEX Fund.
FXY............................... CurrencyShares Japanese Yen Trust.
[[Page 13122]]
FXZ............................... First Trust Materials AlphaDEX Fund.
GAZ............................... iPath Dow Jones-UBS Natural Gas
Subindex Total Return ETN.
GCC............................... GreenHaven Continuous Commodity
Index Fund.
GDX............................... Market Vectors Gold Miners ETF.
GDXJ.............................. Market Vectors Junior Gold Miners
ETF.
GIY............................... Guggenheim Enhanced Core Bond ETF.
GLD............................... SPDR Gold Shares.
GMF............................... SPDR S&P Emerging Asia Pacific ETF.
GNR............................... SPDR S&P Global Natural Resources
ETF.
GOVT.............................. iShares Barclays U.S. Treasury Bond
Fund.
GSG............................... iShares S&P GSCI Commodity Indexed
Trust.
GSP............................... iPath GSCI Total Return Index ETN.
GSY............................... Guggenheim Enhanced Short Duration
Bond ETF.
GVI............................... iShares Barclays Intermediate
Government/Credit Bond Fund.
GWX............................... SPDR S&P International Small Cap
ETF.
GXC............................... SPDR S&P China ETF.
GXG............................... Global X FTSE Colombia 20 ETF.
HAO............................... Guggenheim China Small Cap ETF.
HDGE.............................. Active Bear ETF/The.
HDV............................... iShares High Dividend Equity Fund.
HYD............................... Market Vectors High Yield Municipal
Index ETF.
HYG............................... iShares iBoxx $ High Yield Corporate
Bond Fund.
HYS............................... PIMCO 0-5 Year High Yield Corporate
Bond Index Fund.
IAU............................... iShares Gold Trust.
IBB............................... iShares Nasdaq Biotechnology Index
Fund.
ICF............................... iShares Cohen & Steers Realty Majors
Index Fund.
ICI............................... iPath Optimized Currency Carry ETN.
IDU............................... iShares Dow Jones US Utilities
Sector Index Fund.
IDV............................... iShares Dow Jones International
Select Dividend 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.
IGE............................... iShares S&P North American Natural
Resources Sector Index Fund.
IGF............................... iShares S&P Global Infrastructure
Index Fund.
IGOV.............................. iShares S&P/Citigroup International
Treasury Bond Fund.
IGS............................... ProShares Short Investment Grade
Corporate.
IGV............................... iShares S&P North American
Technology-Software 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.
INDA.............................. iShares MSCI India Index Fund.
INDY.............................. iShares S&P India Nifty 50 Index
Fund.
INP............................... iPath MSCI India Index ETN.
IOO............................... iShares S&P Global 100 Index Fund.
IPE............................... SPDR Barclays Capital TIPS ETF.
ITB............................... iShares Dow Jones US Home
Construction Index Fund.
ITM............................... Market Vectors Intermediate
Municipal ETF.
IVE............................... iShares S&P 500 Value Index Fund.
IVOO.............................. Vanguard S&P Mid-Cap 400 ETF.
IVOP.............................. iPath Inverse S&P 500 VIX Short-Term
FuturesTM ETN II.
IVV............................... iShares S&P 500 Index Fund/US.
IVW............................... iShares S&P 500 Growth Index Fund.
IWB............................... iShares Russell 1000 Index Fund.
IWC............................... iShares Russell Microcap Index Fund.
IWD............................... iShares Russell 1000 Value Index
Fund.
IWF............................... iShares Russell 1000 Growth 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.
[[Page 13123]]
IWY............................... iShares Russell Top 200 Growth Index
Fund.
IWZ............................... iShares Russell 3000 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.
JNK............................... SPDR Barclays Capital High Yield
Bond ETF.
JXI............................... iShares S&P Global Utilities Sector
Index Fund.
JYN............................... iPath JPY/USD Exchange Rate ETN.
KBE............................... SPDR S&P Bank ETF.
KBWB.............................. PowerShares KBW Bank Portfolio.
KIE............................... SPDR S&P Insurance ETF.
KOL............................... Market Vectors Coal ETF.
KRE............................... SPDR S&P Regional Banking ETF.
KXI............................... iShares S&P Global Consumer Staples
Sector Index Fund.
LAG............................... SPDR Barclays Capital Aggregate Bond
ETF.
LQD............................... iShares iBoxx Investment Grade
Corporate Bond Fund.
LTPZ.............................. PIMCO 15+ Year US TIPS Index Fund.
LWC............................... SPDR Barclays Capital Long Term
Corporate Bond ETF.
MBB............................... iShares Barclays MBS Bond Fund.
MBG............................... SPDR Barclays Capital Mortgage
Backed Bond ETF.
MCHI.............................. iShares MSCI China Index Fund.
MDY............................... SPDR S&P MidCap 400 ETF Trust.
MGC............................... Vanguard Mega Cap 300 ETF.
MGK............................... Vanguard Mega Cap 300 Growth ETF.
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 MidCap 400.
NKY............................... MAXIS Nikkei 225 Index Fund ETF.
OEF............................... iShares S&P 100 Index Fund.
OIH............................... Market Vectors Oil Service ETF.
OIL............................... iPath Goldman Sachs Crude Oil Total
Return Index ETN.
PALL.............................. ETFS Physical Palladium Shares.
PBJ............................... Powershares Dynamic Food & Beverage
Portfolio.
PCEF.............................. PowerShares CEF Income Composite
Portfolio.
PCY............................... PowerShares Emerging Markets
Sovereign Debt Portfolio.
PDP............................... Powershares DWA Technical Leaders
Portfolio.
PEY............................... PowerShares High Yield Equity
Dividend Achievers Portfolio.
PFF............................... iShares S&P US Preferred Stock Index
Fund.
PFM............................... PowerShares Dividend Achievers
Portfolio.
PGF............................... PowerShares Financial Preferred
Portfolio.
PGX............................... PowerShares Preferred Portfolio.
PHB............................... PowerShares Fundamental High Yield
Corporate Bond Portfolio.
PHO............................... PowerShares Water Resources
Portfolio.
PHYS.............................. Sprott Physical Gold Trust.
PID............................... PowerShares International Dividend
Achievers Portfolio.
PIE............................... PowerShares DWA Emerging Markets
Technical Leaders Portfolio.
PIN............................... PowerShares India Portfolio.
PJP............................... Powershares Dynamic Pharmaceuticals
Portfolio.
PLW............................... PowerShares 1-30 Laddered Treasury
Portfolio.
PPH............................... Market Vectors Pharmaceutical ETF.
PPLT.............................. ETFS Platinum Trust.
PRF............................... Powershares FTSE RAFI US 1000
Portfolio.
PRFZ.............................. PowerShares FTSE RAFI US 1500 Small-
Mid Portfolio.
[[Page 13124]]
PSLV.............................. Sprott Physical Silver Trust.
PSP............................... PowerShares Global Listed Private
Equity Portfolio.
PSQ............................... ProShares Short QQQ.
PVI............................... PowerShares VRDO Tax Free Weekly
Portfolio.
PXH............................... PowerShares FTSE RAFI Emerging
Markets Portfolio.
PZA............................... PowerShares Insured National
Municipal Bond Portfolio.
QQQ............................... Powershares QQQ Trust Series 1.
REM............................... iShares FTSE NAREIT Mortgage Plus
Capped Index Fund.
REMX.............................. Market Vectors Rare Earth/Strategic
Metals ETF.
REZ............................... iShares FTSE NAREIT Residential Plus
Capped Index Fund.
RFG............................... Guggenheim 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.
RJN............................... ELEMENTS Linked to the Rogers
International Commodity Index--
Energy To Return.
RJZ............................... ELEMENTS Linked to the Rogers
International Commodity Index--
Metals Tot Return.
RPG............................... Guggenheim S&P 500 Pure Growth ETF.
RSP............................... Guggenheim S&P 500 Equal Weight ETF.
RSX............................... Market Vectors Russia ETF.
RTH............................... Market Vectors Retail ETF.
RWM............................... ProShares Short Russell2000.
RWO............................... SPDR Dow Jones Global Real Estate
ETF.
RWR............................... SPDR Dow Jones REIT ETF.
RWX............................... SPDR Dow Jones International Real
Estate ETF.
RYH............................... Guggenheim S&P 500 Equal Weight
Healthcare ETF.
SAGG.............................. Direxion Daily Total Bond Market
Bear 1x Shares
SCHA.............................. Schwab US Small-Cap ETF.
SCHB.............................. Schwab US Broad Market ETF.
SCHD.............................. Schwab US Dividend Equity ETF.
SCHE.............................. Schwab Emerging Markets Equity ETF.
SCHF.............................. Schwab International Equity ETF.
SCHG.............................. Schwab U.S. Large-Cap Growth ETF.
SCHH.............................. Schwab U.S. REIT ETF.
SCHM.............................. Schwab U.S. Mid-Cap ETF.
SCHO.............................. Schwab Short-Term U.S. Treasury ETF.
SCHP.............................. Schwab U.S. TIPs ETF.
SCHR.............................. Schwab Intermediate-Term U.S.
Treasury ETF.
SCHV.............................. Schwab U.S. Large-Cap Value ETF.
SCHX.............................. Schwab US Large-Cap ETF.
SCHZ.............................. Schwab U.S. Aggregate Bond ETF.
SCPB.............................. SPDR Barclays Capital Short Term
Corporate Bond 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 Physical Silver Shares.
SJB............................... ProShares Short High Yield.
SJNK.............................. SPDR Barclays Capital Short Term
High Yield Bond ETF.
SLV............................... iShares Silver Trust.
SLX............................... Market Vectors Steel Index Fund.
SMH............................... Market Vectors Semiconductor ETF.
SOXX.............................. iShares PHLX SOX Semiconductor
Sector Index Fund.
SPLV.............................. PowerShares S&P 500 Low Volatility
Portfolio.
SPY............................... SPDR S&P 500 ETF Trust.
SPYG.............................. SPDR S&P 500 Growth ETF.
SPYV.............................. SPDR S&P 500 Value ETF.
STIP.............................. iShares Barclays 0-5 Year TIPS Bond
Fund.
STPP.............................. iPath US Treasury Steepener ETN.
STPZ.............................. PIMCO 1-5 Year US TIPS Index Fund.
SUB............................... iShares S&P Short Term National AMT-
Free Municipal Bond Fund.
SVXY.............................. ProShares Short VIX Short-Term
Futures ETF.
TAN............................... Guggenheim Solar ETF.
TBF............................... ProShares Short 20+ Year Treasury.
TBX............................... ProShares Short 7-10 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.
[[Page 13125]]
TUR............................... iShares MSCI Turkey Index Fund.
UDN............................... PowerShares DB US Dollar Index
Bearish Fund.
UGA............................... United States Gasoline Fund LP.
UNG............................... United States Natural Gas Fund LP.
URA............................... Global X Uranium ETF.
USCI.............................. United States Commodity Index Fund.
USL............................... United States 12 Month Oil 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.
VBR............................... Vanguard Small-Cap Value ETF.
VCIT.............................. Vanguard Intermediate-Term Corporate
Bond ETF.
VCLT.............................. Vanguard Long-Term Corporate Bond
ETF.
VCR............................... Vanguard Consumer Discretionary ETF.
VCSH.............................. Vanguard Short-Term Corporate Bond
ETF.
VDC............................... Vanguard Consumer Staples ETF.
VDE............................... Vanguard Energy ETF.
VEA............................... Vanguard MSCI EAFE ETF.
VEU............................... Vanguard FTSE All-World ex-US ETF.
VFH............................... Vanguard Financials ETF.
VGK............................... Vanguard MSCI European ETF.
VGT............................... Vanguard Information Technology ETF.
VHT............................... Vanguard Health Care ETF.
VIG............................... Vanguard Dividend Appreciation ETF.
VIIX.............................. VelocityShares VIX Short Term ETN.
VIOO.............................. Vanguard S&P Small-Cap 600 ETF.
VIS............................... Vanguard Industrials ETF.
VIXM.............................. ProShares VIX Mid-Term Futures ETF.
VIXY.............................. ProShares VIX Short-Term Futures
ETF.
VMBS.............................. Vanguard Mortgage-Backed Securities
ETF.
VNM............................... Market Vectors Vietnam ETF.
VNQ............................... Vanguard REIT ETF.
VO................................ Vanguard Mid-Cap ETF.
VOE............................... Vanguard Mid-Cap Value Index Fund/
Closed-end.
VONE.............................. Vanguard Russell 1000.
VONG.............................. Vanguard Russell 1000 Growth ETF.
VONV.............................. Vanguard Russell 1000 Value.
VOO............................... Vanguard S&P 500 ETF.
VOOG.............................. Vanguard S&P 500 Growth ETF.
VOOV.............................. Vanguard S&P 500 Value ETF.
VOT............................... Vanguard Mid-Cap Growth Index Fund/
Closed-end.
VOX............................... Vanguard Telecommunication Services
ETF.
VPL............................... Vanguard MSCI Pacific ETF.
VPU............................... Vanguard Utilities ETF.
VQT............................... Barclays ETN+ ETNs Linked to the S&P
500 Dynamic VEQTORTM TotaL Return
Index.
VSS............................... Vanguard FTSE All World ex-US Small-
Cap ETF.
VT................................ Vanguard Total World Stock Index
Fund ETF.
VTHR.............................. Vanguard Russell 3000.
VTI............................... Vanguard Total Stock Market ETF.
VTV............................... Vanguard Value ETF.
VTWG.............................. Vanguard Russell 2000 Growth.
VTWO.............................. Vanguard Russell 2000.
VTWV.............................. Vanguard Russell 2000 Value.
VUG............................... Vanguard Growth ETF.
VV................................ Vanguard Large-Cap ETF.
VWO............................... Vanguard MSCI Emerging Markets ETF.
VXAA.............................. ETRACS 1-Month S&P 500 VIX Futures
ETN.
VXEE.............................. ETRACS 5-Month S&P 500 VIX Futures
ETN.
VXF............................... Vanguard Extended Market ETF.
VXUS.............................. Vanguard Total International Stock
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.
VZZB.............................. iPath Long Enhanced S&P 500 VIX Mid-
Term FuturesTM ETN II.
WDTI.............................. WisdomTree Managed Futures Strategy
Fund.
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.
XIV............................... VelocityShares Daily Inverse VIX
Short Term ETN.
XLB............................... Materials Select Sector SPDR Fund.
XLE............................... Energy Select Sector SPDR Fund.
[[Page 13126]]
XLF............................... Financial Select Sector SPDR Fund.
XLG............................... Guggenheim 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.
XXV............................... iPath Inverse S&P 500 VIX Short-Term
Futures ETN.
ZROZ.............................. PIMCO 25+ Year Zero Coupon US
Treasury Index Fund.
------------------------------------------------------------------------
Appendix B--Data
Unless otherwise specified, the following data shall be
collected and transmitted to the SEC in an agreed-upon format on a
monthly basis, to be provided 30 calendar days following month end.
Unless otherwise specified, the Primary Listing Exchanges shall be
responsible for collecting and transmitting the data to the SEC.
Data collected in connection with Sections II(E)--(G) below shall be
transmitted to the SEC with a request for confidential treatment
under the Freedom of Information Act. 5 U.S.C. 552, and the SEC's
rules and regulations thereunder.
I. Summary Statistics
A. Frequency with which NMS Stocks enter a Limit State. Such
summary data shall be broken down as follows:
1. Partition stocks by category
a. Tier 1 non-ETP issues > $3.00
b. Tier 1 non-ETP issues > = $0.75 and < = $3.00
c. Tier 1 non-ETP issues < $0.75
d. Tier 1 non-leveraged ETPs in each of above categories
e. Tier 1 leveraged ETPs in each of above categories
f. Tier 2 non-ETPs in each of above categories
g. Tier 2 non-leveraged ETPs in each of above categories
h. Tier 2 leveraged ETPs in each of above categories
2. Partition by time of day
a. Opening (prior to 9:45 a.m. ET)
b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET)
c. Closing (after 3:35 p.m. ET)
d. Within five minutes of a Trading Pause re-open or IPO open
3. Track reasons for entering a Limit State, such as:
a. Liquidity gap -price reverts from a Limit State Quotation and
returns to trading within the Price Bands
b. Broken trades
c. Primary Listing Exchange manually declares a Trading Pause
pursuant to Section (VII)(2) of the Plan
d. Other
B. Determine (1), (2) and (3) for when a Trading Pause has been
declared for an NMS Stock pursuant to the Plan.
II. Raw Data (all Participants, except A-E, which are for the Primary
Listing Exchanges only)
A. Record of Every Straddle State
1. Ticker, date, time entered, time exited, flag for ending with
Limit State, flag for ending with manual override.
2. Pipe delimited with field names as first record.
B. Record of Every Price Band
1. Ticker, date, time at beginning of Price Band, Upper Price
Band, Lower Price Band.
2. Pipe delimited with field names as first record.
C. Record of every Limit State
1. Ticker, date, time entered, time exited, flag for halt.
2. Pipe delimited with field names as first record.
D. Record of every Trading Pause or halt
1. Ticker, date, time entered, time exited, type of halt (i.e.,
regulatory halt, non-regulatory halt, Trading Pause pursuant to the
Plan, other).
2. Pipe delimited with field names as first record.
E. Data set or orders entered into reopening auctions during halts
or Trading Pauses
1. Arrivals, Changes, Cancels, shares, limit/market,
side, Limit State side.
2. Pipe delimited with field name as first record.
F. Data set of order events received during Limit States
G. Summary data on order flow of arrivals and cancellations for
each 15-second period for discrete time periods and sample stocks
to be determined by the SEC in subsequent data requests. Must
indicate side(s) of Limit State.
1. Market/marketable sell orders arrivals and executions
a. Count
b. Shares
c. Shares executed
2. Market/marketable buy orders arrivals and executions
a. Count
b. Shares
c. Shares executed
3. Count arriving, volume arriving and shares executing in limit
sell orders above NBBO mid-point
4. Count arriving, volume arriving and shares executing in limit
sell orders at or below [<=] NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy
orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy
orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above
NBBO mid-point plus [+]$0.05
8. Count and volume arriving of limit buy orders priced at or below
NBBO mid-point minus [-]$0.05
9. Count and volume of ([iii]3-[viii]8) for cancels
10. Include: ticker, date, time at start, time of Limit S[s]tate,
all data item fields in 1, last sale prior to [1-minute] 15-second
period (null if no trades today), range during 15-second period,
last trade during 15-second period
III. At least two months prior to the end of the Pilot Period, all
Participants shall provide to the SEC assessments relating to the
impact of the Plan and calibration of the Percentage Parameters as
follows:
A. Assess the statistical and economic impact on liquidity[limit
order book] of approaching Price Bands.
B. Assess the statistical and economic impact of the Price Bands
on erroneous trades.
C. Assess the statistical and economic impact of the
appropriateness of the Percentage Parameters used for the Price
Bands.
D. Assess whether the Limit State is the appropriate length to
allow for liquidity replenishment when a Limit State is reached
because of a temporary liquidity gap.
E. Evaluate concerns from the options markets regarding the
statistical and economic impact of Limit States on liquidity and
market quality in the options markets. (Participants that operate
options exchange should also prepare such assessment reports.)
F. Assess whether the process for entering a Limit State should
be adjusted and whether Straddle States are problematic.
G. Assess whether the process for exiting a Limit State should
be adjusted.
[[Page 13127]]
H. Assess whether the Trading Pauses are too long or short and
whether the reopening procedures should be adjusted.
[FR Doc. 2013-04356 Filed 2-25-13; 8:45 am]
BILLING CODE 8011-01-P