[Federal Register Volume 79, Number 8 (Monday, January 13, 2014)]
[Notices]
[Pages 2204-2219]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-00346]
=======================================================================
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-71247; File No. 4-631]
Joint Industry Plan; Notice of Filing of the Sixth 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.
January 7, 2014.
Pursuant to Section 11A of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 608 thereunder \2\, notice is hereby given that,
on December 3, 2013, The NASDAQ OMX Group, on behalf of NASDAQ OMX BX,
Inc. (``BX''), NASDAQ OMX PHLX LLC (``Phlx''), and the Nasdaq Stock
Market LLC (``Nasdaq''), 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., National Stock Exchange, Inc., New York Stock Exchange
LLC, NYSE MKT LLC, NYSE Arca, Inc., (collectively with BX, Phlx, and
Nasdaq, 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 sixth amendment to the Plan (``Sixth Amendment''), and reflects
changes unanimously approved by the Participants. The Sixth Amendment
to the Plan proposes to make technical changes to the implementation
schedule of the Plan. A copy of the Plan, as proposed to be amended, is
attached as Exhibit A hereto. The Commission is publishing this notice
to solicit comments from interested persons on the Sixth Amendment to
the Plan.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78k-1.
\2\ 17 CFR 242.608.
\3\ See Letter from Jeffrey S. Davis, Vice President & Deputy
General Counsel, The NASDAQ OMX Group, to Elizabeth M. Murphy,
Secretary, Commission, dated December 3, 2013 (``Transmittal
Letter'').
---------------------------------------------------------------------------
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.\4\ The Plan sets forth procedures that
provide for market-wide limit up-limit down requirements that would be
designed to prevent trades in individual NMS Stocks from occurring
outside of the specified Price Bands.\5\ These limit up-limit down
requirements would be coupled with Trading Pauses, as defined in
Section I(Y) of the Plan, to accommodate more fundamental price moves
(as opposed to erroneous trades or momentary gaps in liquidity).
---------------------------------------------------------------------------
\4\ 17 CFR 242.600(b)(47). See also Section I(H) of the Plan.
\5\ See Section V of the Plan.
---------------------------------------------------------------------------
As set forth in Section V of the Plan, the price bands would
consist of a Lower Price Band and an Upper Price Band for each NMS
Stock.\6\ The price bands would be calculated by the Securities
Information Processors (``SIPs'' or ``Processors'') responsible for
consolidation of information for an NMS Stock pursuant to Rule 603(b)
of
[[Page 2205]]
Regulation NMS under the Act.\7\ Those price bands would be based on a
Reference Price \8\ for each NMS Stock that equals the arithmetic mean
price of Eligible Reported Transactions for the NMS Stock over the
immediately preceding five-minute period. The price bands for an NMS
Stock would be calculated by applying the Percentage Parameter for such
NMS Stock to the Reference Price, with the Lower Price Band being a
Percentage Parameter \9\ below the Reference Price, and the Upper Price
Band being a Percentage Parameter above the Reference Price. Between
9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price
bands would be calculated by applying double the Percentage Parameters.
---------------------------------------------------------------------------
\6\ Capitalized terms used herein but not otherwise defined
shall have the meaning ascribed to such terms in the Plan. See
Exhibit A, infra.
\7\ 17 CFR 242.603(b). The Plan refers to this entity as the
Processor.
\8\ See Section I(T) of the Plan.
\9\ As initially proposed by the Participants, the Percentage
Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index
or Russell 1000 Index and certain ETPs) with a Reference Price of
$1.00 or more would be five percent and less than $1.00 would be the
lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for
Tier 2 NMS Stocks (i.e., all NMS Stocks other than those in Tier 1)
with a Reference Price of $1.00 or more would be 10 percent and less
than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The
Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP
would be the applicable Percentage Parameter set forth above
multiplied by the leverage ratio of such product. On May 24, 2012,
the Participants amended the Plan to create a 20% price band for
Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and
up to and including $3.00. The Percentage Parameter for stocks with
a Reference Price below $0.75 would be the lesser of (a) $0.15 or
(b) 75 percent. See Letter from Janet M. McGinness, Senior Vice
President, Legal and Corporate Secretary, NYSE Euronext, to
Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012
(``First Amendment'').
---------------------------------------------------------------------------
The Processors would also calculate a Pro-Forma Reference Price for
each NMS Stock on a continuous basis during Regular Trading Hours. If a
Pro-Forma Reference Price did not move by one percent or more from the
Reference Price in effect, no new price bands would be disseminated,
and the current Reference Price would remain the effective Reference
Price. If the Pro-Forma Reference Price moved by one percent or more
from the Reference Price in effect, the Pro-Forma Reference Price would
become the Reference Price, and the Processors would disseminate new
price bands based on the new Reference Price. Each new Reference Price
would remain in effect for at least 30 seconds.
When one side of the market for an individual security is outside
the applicable price band, the Processors would be required to
disseminate such National Best Bid \10\ or National Best Offer \11\
with an appropriate flag identifying it as non-executable. When the
other side of the market reaches the applicable price band, the market
for an individual security would enter a Limit State,\12\ and the
Processors would be required to disseminate such National Best Offer or
National Best Bid with an appropriate flag identifying it as a Limit
State Quotation.\13\ All trading would immediately enter a Limit State
if the National Best Offer equals the Lower Limit Band and does not
cross the National Best Bid, or the National Best Bid equals the Upper
Limit Band and does not cross the National Best Offer. Trading for an
NMS Stock would exit a Limit State if, within 15 seconds of entering
the Limit State, all Limit State 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.
---------------------------------------------------------------------------
\10\ 17 CFR 242.600(b)(42). See also Section I(G) of the Plan.
\11\ Id.
\12\ A stock enters the Limit State if the National Best Offer
equals the Lower Price Band and does not cross the National Best
Bid, or the National Best Bid equals the Upper Price Band and does
not cross the National Best Offer. See Section VI(B) of the Plan.
\13\ See Section I(D) of the Plan.
---------------------------------------------------------------------------
These limit up-limit down requirements would be coupled with
trading pauses \14\ to accommodate more fundamental price moves (as
opposed to erroneous trades or momentary gaps in liquidity). As set
forth in more detail in the Plan, all trading centers \15\ in NMS
Stocks, including both those operated by Participants and those
operated by members of Participants, would be required to establish,
maintain, and enforce written policies and procedures that are
reasonably designed to comply with the limit up-limit down and trading
pause requirements specified in the Plan.
---------------------------------------------------------------------------
\14\ The primary listing market would declare a trading pause in
an NMS Stock; upon notification by the primary listing market, the
Processor would disseminate this information to the public. No
trades in that NMS Stock could occur during the trading pause, but
all bids and offers may be displayed. See Section VII(A) of the
Plan.
\15\ As defined in Section I(X) of the Plan, a trading center
shall have the meaning provided in Rule 600(b)(78) of Regulation NMS
under the Act.
---------------------------------------------------------------------------
Under the Plan, all trading centers would be required to establish,
maintain, and enforce written policies and procedures reasonably
designed to prevent the display of offers below the Lower Price Band
and bids above the Upper Price Band for an NMS Stock. The Processors
would disseminate an offer below the Lower Price Band or bid above the
Upper Price Band that nevertheless inadvertently may be submitted
despite such reasonable policies and procedures, but with an
appropriate flag identifying it as non-executable; such bid or offer
would not be included in National Best Bid or National Best Offer
calculations. In addition, all trading centers would be required to
develop, maintain, and enforce policies and procedures reasonably
designed to prevent trades at prices outside the price bands, with the
exception of single-priced opening, reopening, and closing transactions
on the Primary Listing Exchange.
As stated by the Participants in the Plan, the limit up-limit down
mechanism is intended to reduce the negative impacts of sudden,
unanticipated price movements in NMS Stocks,\16\ thereby protecting
investors and promoting a fair and orderly market.\17\ In particular,
the Plan is designed to address the type of sudden price movements that
the market experienced on the afternoon of May 6, 2010.\18\
---------------------------------------------------------------------------
\16\ 17 CFR 242.600(b)(47).
\17\ See Transmittal Letter, supra note 3.
\18\ The limit up-limit down mechanism set forth in the Plan
would replace the existing single-stock circuit breaker pilot. See
e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75
FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10,
2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033).
---------------------------------------------------------------------------
The following summarizes the Sixth Amendment to the Plan and the
rationale behind those changes:
The Participants propose to amend Section VIII.B of the Plan to
establish a new implementation schedule for Phase II of the Plan. The
Plan currently provides that eight months after the initial date of
Plan operations, the Plan shall fully apply (A) to all NMS Stocks and
(B) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading
day, or earlier in the case of an early scheduled close. Because the
initial date of Plan operations was April 8, 2013, the Plan currently
provides that it shall be fully implemented by December 8, 2013.
The Participants now propose to amend Section VIII.B to provide
that Phase II shall be separated into two sub-phases. The first sub-
phase (Phase II.A.) would apply the Plan to all NMS Stocks beginning at
9:30 a.m. ET, and ending at 3:45 p.m. ET each trading day, or earlier
in the case of an early scheduled close by December 8, 2013 as planned.
The second sub-phase (Phase II.B.) would cause the Plan to apply to all
NMS Stocks 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 by
February 24, 2014. The Participants propose to make this
[[Page 2206]]
change to accommodate a longer implementation period for Phase II.B. of
the Plan, which is currently scheduled to be complete on December 8,
2013.
The Participants believe that this proposed amendment is technical
and ministerial in nature because it simply extends the implementation
period of the Plan with respect to Phase II.B. of the Plan, and it does
not change any substantive elements of the Plan. The Participants note
that at least two Participants plan to file proposed changes to their
exchange rules to revise the manner by which they will interact with
the Plan near the close. Specifically, the Participants will be
proposing that if a Trading Pause is declared for an NMS Stock within
the last ten minutes of trading, the Primary Listing Exchange will
attempt to close the NMS Stock using a modified version of its
established closing procedures. The Participants believe that the
proposal to extend the implementation period is necessary to provide
additional time for the amendment their exchange rules to go through
the notice and comment period and approval process.
In addition, the proposed modification to the implementation
schedule is in response to requests by the securities industry for
additional time for systems testing by Participants and the securities
industry, particularly to test with proposed Exchange rule and system
modifications around the close.\19\ The Participants believe that
providing additional time for the Participants and the securities
industry to test the manner by which the Plan operates around the
close, particularly when there is a trading pause less than five
minutes before the scheduled close of trading, is necessary and
appropriate in the public interest and for the protection of investors.
---------------------------------------------------------------------------
\19\ See Letter from T.R. Lazo, Managing Director and Associate
General Counsel, SIFMA to John Ramsey, Acting Director, Division of
Trading and Markets, Securities and Exchange Commission, dated July
10, 2013. The Participants note that SIFMA supports the proposed
adjustment to the implementation schedule of Phase II of the Plan.
---------------------------------------------------------------------------
The Participants believe it is important to implement all elements
of the Plan in a prudent and cautious manner; however this interest is
heightened where the Plan impacts the close of trading. A significant
volume of trading occurs at the close, including in closing crosses on
multiple exchanges. Additionally, the closing prices reached and
disseminated by the Exchanges are used to price billions of dollars of
mutual funds and other investments held by millions of individual
investors and institutions. Accordingly, the need for thorough testing
by all Participants and members is critical. The Participants believe
that the proposed implementation date of February 24, 2014, for Phase
II.B. provides sufficient time to perform this thorough testing.
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.
C. Implementation of Plan
The initial date of the Plan operations was 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 began on April 8, 2013 and was completed on May 3, 2013.
Implementation of Phase II of the Plan began on August 5, 2013.
Pursuant to this proposed amendment, Phase II.A. of the implementation,
which applies the Plan to all NMS Stocks beginning at 9:30 a.m. ET, and
ending at 3:45 p.m. ET each trading day, or earlier in the case of an
early scheduled close will be completed by December 8, 2013 as planned.
Phase II.B. of the implementation, which causes the Plan to apply to
all NMS Stocks 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,
will be completed by February 24, 2014. The Participants are hereby
filing to extend the completion date for Phase II.B. to February 24,
2014, at which time the Plan will apply to all NMS Stocks until 4:00
p.m. ET, or earlier in the case of an early scheduled close.
E. Analysis of Impact on Competition
The proposed Plan does not impose any burden on competition that is
not necessary or appropriate in furtherance of the purposes of the Act.
The Participants 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.\20\
---------------------------------------------------------------------------
\20\ 15 U.S.C. 78k-1(c)(1)(D).
---------------------------------------------------------------------------
F. Written Understanding or Agreements Relating to Interpretation of,
or Participation in, Plan
The Participants 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
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 shall designate one member of the Operating
Committee to act as the Chair of the Operating Committee. 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.\22\
---------------------------------------------------------------------------
\21\ See Section I(J) of the Plan.
\22\ 17 CFR 242.608.
---------------------------------------------------------------------------
On October 13, 2013, the Operating Committee, duly constituted and
chaired by Mr. Burke Cook of NASDAQ OMX, met and voted to amend the
Plan as set forth herein in accordance with Section III(C) of the Plan.
II. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the Sixth
Amendment to the Plan is consistent with the Act. Comments may be
[[Page 2207]]
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 Sixth Amendment to the Plan that are
filed with the Commission, and all written communications relating to
the Sixth 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 February 3, 2014.
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
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
[[Page 2208]]
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 Data Plans; (2) executing a copy of the Plan, as
then in effect; (3) providing each then-current Participant with a copy
of such executed Plan; and (4) effecting an amendment to the Plan as
specified in Section III(B) of the Plan.
(D) Advisory Committee
(1) Formation. Notwithstanding other provisions of this Plan, an
Advisory Committee to the Plan shall be formed and shall function in
accordance with the provisions set forth in this section.
(2) Composition. Members of the Advisory Committee shall be
selected for two-year terms as follows:
(A) Advisory Committee Selections. By affirmative vote of a
majority of the Participants, the Participants shall select at least
one representatives from each of the following categories to be members
of the Advisory Committee: (1) a broker-dealer with a substantial
retail investor customer base; (2) a broker-dealer with a substantial
institutional investor customer base; (3) an alternative trading
system; (4) a broker-dealer that primarily engages in trading for its
own account; and (5) an investor.
(3) Function. Members of the Advisory Committee shall have the
right to submit their views to the Operating Committee on Plan matters,
prior to a decision by the Operating Committee on such matters. Such
matters shall include, but not be limited to, proposed material
amendments to the Plan.
(4) Meetings and Information. Members of the Advisory Committee
shall have the right to attend meetings of the Operating Committee and
to receive any information concerning Plan matters; provided, however,
that the Operating Committee may meet in executive session if, by
affirmative vote of a majority of the Participants, the Operating
Committee determines that an item of Plan business requires
confidential treatment.
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.
[[Page 2209]]
(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 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 or because the transaction was an odd-lot sized
transaction), and (ii) is excepted or exempt from Rule 611 under
Regulation NMS shall be excluded from this limitation.
(2) When a National Best Bid is below the Lower Price Band or a
National Best Offer is above the Upper Price Band for an NMS Stock, the
Processor shall disseminate such National Best Bid or National Best
Offer with an appropriate flag identifying it as non-executable. When a
National Best Offer is equal to the Lower Price Band or a National Best
[[Page 2210]]
Bid is equal to the Upper Price Band for an NMS Stock, the Processor
shall distribute such National Best Bid or National Best Offer with an
appropriate flag identifying it as a ``Limit State Quotation''.
(3) All trading centers in NMS Stocks, including both those
operated by Participants and those operated by members of Participants,
shall establish, maintain, and enforce written policies and procedures
that are reasonably designed to prevent the display of offers below the
Lower Price Band and bids above the Upper Price Band for an NMS Stock.
The Processor shall disseminate an offer below the Lower Price Band or
bid above the Upper Price Band that may be submitted despite such
reasonable policies and procedures, but with an appropriate flag
identifying it as non-executable; provided, however, that any such bid
or offer shall not be included in National Best Bid or National Best
Offer calculations.
(B) Entering and Exiting a Limit State
(1) All trading for an NMS Stock shall immediately enter a Limit
State if the National Best Offer equals the Lower Price Band and does
not cross the National Best Bid, or the National Best Bid equals the
Upper Price Band and does not cross the National Best Offer.
(2) When trading for an NMS Stock enters a Limit State, the
Processor shall disseminate this information by identifying the
relevant quotation (i.e., a National Best Offer that equals the Lower
Price Band or a National Best Bid that equals the Upper Price Band) as
a Limit State Quotation. At this point, the Processor shall cease
calculating and disseminating updated Reference Prices and Price Bands
for the NMS Stock until either trading exits the Limit State or trading
resumes with an opening or re-opening as provided in Section V.
(3) Trading for an NMS Stock shall exit a Limit State if, within 15
seconds of entering the Limit State, the entire size of all Limit State
Quotations are executed or cancelled.
(4) If trading for an NMS Stock exits a Limit State within 15
seconds of entry, the Processor shall immediately calculate and
disseminate updated Price Bands based on a Reference Price that equals
the arithmetic mean price of Eligible Reported Transactions for the NMS
Stock over the immediately preceding five-minute period (including the
period of the Limit State).
(5) If trading for an NMS Stock does not exit a Limit State within
15 seconds of entry, the Limit State will terminate when the Primary
Listing Exchange declares a Trading Pause pursuant to Section VII of
the Plan or at the end of Regular Trading Hours.
VII. Trading Pauses
(A) Declaration of Trading Pauses
(1) If trading for an NMS Stock does not exit a Limit State within
15 seconds of entry during Regular Trading Hours, then the Primary
Listing Exchange shall declare a Trading Pause for such NMS Stock and
shall notify the Processor.
(2) The Primary Listing Exchange may also declare a Trading Pause
for an NMS Stock when an NMS Stock is in a Straddle State, which is
when National Best Bid (Offer) is below (above) the Lower (Upper) Price
Band and the NMS Stock is not in a Limit State, and trading in that NMS
Stock deviates from normal trading characteristics such that declaring
a Trading Pause would support the Plan's goal to address extraordinary
market volatility. The Primary Listing Exchange shall develop policies
and procedures for determining when it would declare a Trading Pause in
such circumstances. If a Trading Pause is declared for an NMS Stock
under this provision, the Primary Listing Exchange shall notify the
Processor.
(3) The Processor shall disseminate Trading Pause information to
the public. No trades in an NMS Stock shall occur during a Trading
Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
(1) Five minutes after declaring a Trading Pause for an NMS Stock,
and if the Primary Listing Exchange has not declared a Regulatory Halt,
the Primary Listing Exchange shall attempt to reopen trading using its
established reopening procedures. The 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 Ten Minutes of the End of Regular Trading
Hours
(1) If a Trading Pause for an NMS Stock is declared in the last ten
minutes of trading before the end of Regular Trading Hours, the Primary
Listing Exchange shall not reopen trading and shall attempt to execute
a closing transaction using its established closing procedures. All
trading centers may begin trading the NMS Stock when the Primary
Listing Exchange executes a closing transaction.
(2) If the Primary Listing Exchange does not execute a closing
transaction within five minutes after the end of Regular Trading Hours,
all trading centers may begin trading the NMS Stock.
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.
(2) Three months after the initial date of Plan operations, or such
earlier date as may be announced by the Processor with at least 30 days
notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified
in Appendix A of the Plan.
(3) During Phase I, the first Price Bands for a trading day shall
be calculated and disseminated 15 minutes after the start of Regular
Trading Hours as specified in Section (V)(A) of the Plan. No Price
Bands shall be calculated and disseminated and therefore trading shall
not enter a Limit State less than 30 minutes before the end of Regular
Trading Hours.
(B) Phase II--Full Implementation
Phase II.A.: Eight months after the initial date of Plan
operations, or such earlier date as may be announced by the Processor
with at least 30 days notice, the Plan shall fully apply (i) to all NMS
Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 3:45 [4:00]
p.m. ET each trading day, or earlier in the case of an early scheduled
close.
Phase II.B.: By February 24, 2014, 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.
[[Page 2211]]
(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
November 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:--------------------------------------------------------------------
EDGA 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
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
(``ETP'') listed on Schedule 1 to this Appendix. Schedule 1 to the
Appendix will be reviewed and updated semi-annually based on the fiscal
year by the Primary Listing Exchange to add ETPs that meet the
criteria, or delete ETPs that are no longer eligible. To determine
eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs
across multiple asset classes and issuers, including domestic equity,
international equity, fixed income, currency, and commodities and
futures will be identified. Leveraged ETPs will be excluded and the
list will be sorted by notional consolidated average daily volume
(``CADV''). The period used to measure CADV will be from the first day
of the previous fiscal half year up until one week before the beginning
of the next fiscal half year. Daily volumes will be multiplied by
closing prices and then averaged over the period. ETPs, including
inverse ETPs, that trade over $2,000,000 CADV will be eligible to be
included as a Tier 1 NMS Stock. 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
----------------------------------------------------------------------------------------------------------------
Ticker Name Primary exchange
----------------------------------------------------------------------------------------------------------------
AAXJ................................... iShares MSCI All Country Asia ex Japan NASDAQ GM.
Index Fund.
ACWI................................... iShares MSCI ACWI Index Fund.............. NASDAQ GM.
ACWV................................... iShares MSCI All Country World Minimum NYSE Arca.
Volatility Index Fund.
ACWX................................... iShares MSCI ACWI ex US Index Fund........ NASDAQ GM.
AGG.................................... iShares Core Total US Bond Market ETF..... NYSE Arca.
AGOL................................... ETFS Asian Gold Trust..................... NYSE Arca.
AGZ.................................... iShares Barclays Agency Bond Fund......... NYSE Arca.
ALD.................................... WisdomTree Asia Local Debt Fund........... NYSE Arca.
AMJ.................................... JPMorgan Alerian MLP Index ETN............ NYSE Arca.
AMLP................................... Alerian MLP ETF........................... NYSE Arca.
AMU.................................... ETRACS Alerian MLP Index ETN.............. NYSE Arca.
BAB.................................... PowerShares Build America Bond Portfolio.. NYSE Arca.
BAL.................................... iPath Dow Jones-UBS Cotton Subindex Total NYSE Arca.
Return Callable ETN.
BBH.................................... Market Vectors Biotech ETF................ NYSE Arca.
BDG.................................... PowerShares DB Base Metals Long ETN....... NYSE Arca.
BFOR................................... Barron's 400 ETF.......................... NYSE Arca.
[[Page 2212]]
BIK.................................... SPDR S&P BRIC 40 ETF...................... NYSE Arca.
BIL.................................... SPDR Barclays 1-3 Month T-Bill............ NYSE Arca.
BIV.................................... Vanguard Intermediate-Term Bond ETF....... NYSE Arca.
BKF.................................... iShares MSCI BRIC Index Fund.............. NYSE Arca.
BKLN................................... PowerShares Senior Loan Portfolio......... NYSE Arca.
BLV.................................... Vanguard Long-Term Bond ETF............... NYSE Arca.
BND.................................... Vanguard Total Bond Market ETF............ NYSE Arca.
BNDX................................... Vanguard Total International Bond ETF..... NASDAQ GM.
BNO.................................... United States Brent Oil Fund LP........... NYSE Arca.
BOND................................... Pimco Total Return ETF.................... NYSE Arca.
BOS.................................... PowerShares DB Base Metals Short ETN...... NYSE Arca.
BRF.................................... Market Vectors Brazil Small-Cap ETF....... NYSE Arca.
BSJE................................... Guggenheim BulletShares 2014 High Yield NYSE Arca.
Corporate Bond ETF.
BSJF................................... Guggenheim BulletShares 2015 High Yield NYSE Arca.
Corporate Bond ETF.
BSV.................................... Vanguard Short-Term Bond ETF.............. NYSE Arca.
BWV.................................... iPath CBOE S&P 500 BuyWrite Index ETN..... NYSE Arca.
BWX.................................... SPDR Barclays International Treasury Bond NYSE Arca.
ETF.
CEW.................................... WisdomTree Emerging Currency Fund......... NYSE Arca.
CFT.................................... iShares Barclays Credit Bond Fund......... NYSE Arca.
CHIQ................................... Global X China Consumer ETF............... NYSE Arca.
CIU.................................... iShares Barclays Intermediate Credit Bond NYSE Arca.
Fund.
CLY.................................... iShares 10+ Year Credit Bond Fund......... NYSE Arca.
CMF.................................... iShares S&P California AMT-Free Municipal NYSE Arca.
Bond Fund.
CORN................................... Teucrium Corn Fund........................ NYSE Arca.
CSD.................................... Guggenheim Spin-Off ETF................... NYSE Arca.
CSJ.................................... iShares Barclays 1-3 Year Credit Bond Fund NYSE Arca.
CUT.................................... Guggenheim Timber ETF..................... NYSE Arca.
CVY.................................... Guggenheim Multi-Asset Income ETF......... NYSE Arca.
CWB.................................... SPDR Barclays Convertible Securities ETF.. NYSE Arca.
CWI.................................... SPDR MSCI ACWI ex-US ETF.................. NYSE Arca.
DBA.................................... PowerShares DB Agriculture Fund........... NYSE Arca.
DBB.................................... PowerShares DB Base Metals Fund........... NYSE Arca.
DBC.................................... PowerShares DB Commodity Index Tracking NYSE Arca.
Fund.
DBE.................................... PowerShares DB Energy Fund................ NYSE Arca.
DBJP................................... db X-trackers MSCI Japan Hedged Equity NYSE Arca.
Fund.
DBO.................................... PowerShares DB Oil Fund................... NYSE Arca.
DBP.................................... PowerShares DB Precious Metals Fund....... NYSE Arca.
DBV.................................... PowerShares DB G10 Currency Harvest Fund.. NYSE Arca.
DEM.................................... WisdomTree Emerging Markets Equity Income NYSE Arca.
Fund.
DES.................................... WisdomTree SmallCap Dividend Fund......... NYSE Arca.
DFJ.................................... WisdomTree Japan SmallCap Dividend Fund... NYSE Arca.
DGL.................................... PowerShares DB Gold Fund.................. NYSE Arca.
DGS.................................... WisdomTree Emerging Markets SmallCap NYSE Arca.
Dividend Fund.
DGZ.................................... PowerShares DB Gold Short ETN............. NYSE Arca.
DHS.................................... WisdomTree Equity Income Fund............. NYSE Arca.
DIA.................................... SPDR Dow Jones Industrial Average ETF NYSE Arca.
Trust.
DJCI................................... ETRACS DJ-UBS Commodity Index Total Return NYSE Arca.
ETN.
DJP.................................... iPath Dow Jones-UBS Commodity Index Total NYSE Arca.
Return ETN.
DLN.................................... WisdomTree LargeCap Dividend Fund......... NYSE Arca.
DLS.................................... WisdomTree International SmallCap Dividend NYSE Arca.
Fund.
DOG.................................... ProShares Short Dow30..................... NYSE Arca.
DON.................................... WisdomTree MidCap Dividend Fund........... NYSE Arca.
DTN.................................... WisdomTree Dividend Ex-Financials Fund.... NYSE Arca.
DVY.................................... iShares Dow Jones Select Dividend Index NYSE Arca.
Fund.
DWX.................................... SPDR S&P International Dividend ETF....... NYSE Arca.
DXJ.................................... WisdomTree Japan Hedged Equity Fund....... NYSE Arca.
EBND................................... SPDR Barclays Emerging Markets Local Bond NYSE Arca.
ETF.
ECH.................................... iShares MSCI Chile Capped Investable NYSE Arca.
Market Index Fund.
ECON................................... EGShares Emerging Markets Consumer ETF.... NYSE Arca.
EDIV................................... SPDR S&P Emerging Markets Dividend ETF.... NYSE Arca.
EDV.................................... Vanguard Extended Duration Treasury ETF... NYSE Arca.
EEM.................................... iShares MSCI Emerging Markets Index Fund.. NYSE Arca.
EEMA................................... iShares MSCI Emerging Markets Asia Index.. NASDAQ GM.
EEMV................................... iShares MSCI Emerging Markets Minimum NYSE Arca.
Volatility Index Fund.
EFA.................................... iShares MSCI EAFE Index Fund.............. NYSE Arca.
EFAV................................... iShares MSCI EAFE Minimum Volatility Index NYSE Arca.
Fund.
EFG.................................... iShares MSCI EAFE Growth Index............ NYSE Arca.
EFV.................................... iShares MSCI EAFE Value Index............. NYSE Arca.
EFZ.................................... ProShares Short MSCI EAFE................. NYSE Arca.
EIDO................................... iSHARES MSCI Indonesia Investable Market NYSE Arca.
Index Fund.
ELD.................................... WisdomTree Emerging Markets Local Debt NYSE Arca.
Fund.
ELR.................................... SPDR Dow Jones Large Cap ETF.............. NYSE Arca.
EMB.................................... iShares JPMorgan USD Emerging Markets Bond NYSE Arca.
Fund.
EMLC................................... Market Vectors Emerging Markets Local NYSE Arca.
Currency Bond ETF.
[[Page 2213]]
EMM.................................... SPDR Dow Jones Mid Cap ETF................ NYSE Arca.
ENZL................................... iShares MSCI New Zealand Capped Investable NYSE Arca.
Market Index Fund.
EPHE................................... iShares MSCI Philippines Investable Market NYSE Arca.
Index Fund.
EPI.................................... WisdomTree India Earnings Fund............ NYSE Arca.
EPOL................................... iShares MSCI Poland Capped Investable NYSE Arca.
Market Index Fund.
EPP.................................... iShares MSCI Pacific ex-Japan Index Fund.. NYSE Arca.
EPU.................................... iShares MSCI All Peru Capped Index Fund... NYSE Arca.
ERUS................................... iShares MSCI Russia Capped Index Fund..... NYSE Arca.
EUM.................................... ProShares Short MSCI Emerging Markets..... NYSE Arca.
EWA.................................... iShares MSCI Australia Index Fund......... NYSE Arca.
EWC.................................... iShares MSCI Canada Index Fund............ NYSE Arca.
EWD.................................... iShares MSCI Sweden Index Fund............ NYSE Arca.
EWG.................................... iShares MSCI Germany Index Fund........... NYSE Arca.
EWH.................................... iShares MSCI Hong Kong Index Fund......... NYSE Arca.
EWI.................................... iShares MSCI Italy Capped Index Fund...... NYSE Arca.
EWJ.................................... iShares MSCI Japan Index Fund............. NYSE Arca.
EWL.................................... iShares MSCI Switzerland Capped Index Fund NYSE Arca.
EWM.................................... iShares MSCI Malaysia Index Fund.......... NYSE Arca.
EWN.................................... iShares MSCI Netherlands Investable Market NYSE Arca.
Index Fund.
EWO.................................... iShares MSCI Austria Capped Investable NYSE Arca.
Market Index Fund.
EWP.................................... iShares MSCI Spain Capped Index Fund...... NYSE Arca.
EWQ.................................... iShares MSCI France Index Fund............ NYSE Arca.
EWS.................................... iShares MSCI Singapore Index Fund......... NYSE Arca.
EWT.................................... iShares MSCI Taiwan Index Fund............ NYSE Arca.
EWU.................................... iShares MSCI United Kingdom Index Fund.... NYSE Arca.
EWW.................................... iShares MSCI Mexico Capped Investable NYSE Arca.
Market Index Fund.
EWX.................................... SPDR S&P Emerging Markets SmallCap ETF.... NYSE Arca.
EWY.................................... iShares MSCI South Korea Capped Index Fund NYSE Arca.
EWZ.................................... iShares MSCI Brazil Capped Index Fund..... NYSE Arca.
EXI.................................... iShares S&P Global Industrials Sector NYSE Arca.
Index Fund.
EZA.................................... iShares MSCI South Africa Index Fund...... NYSE Arca.
EZU.................................... iShares MSCI EMU Index Fund............... NYSE Arca.
FBT.................................... First Trust NYSE Arca Biotechnology Index NYSE Arca.
Fund.
FCG.................................... First Trust ISE-Revere Natural Gas Index NYSE Arca.
Fund.
FDL.................................... First Trust Morningstar Dividend Leaders NYSE Arca.
Index.
FDN.................................... First Trust Dow Jones Internet Index Fund. NYSE Arca.
FEM.................................... First Trust Emerging Markets AlphaDEX Fund NYSE Arca.
FEX.................................... First Trust Large Cap Core AlphaDEX Fund.. NYSE Arca.
FEZ.................................... SPDR EURO STOXX 50 ETF.................... NYSE Arca.
FGD.................................... First Trust DJ Global Select Dividend NYSE Arca.
Index Fund.
FLOT................................... iShares Floating Rate Note Fund........... NYSE Arca.
FLRN................................... SPDR Barclays Investment Grade Floating NYSE Arca.
Rate ETF.
FM..................................... iShares MSCI Frontier 100 ETF............. NYSE Arca.
FNX.................................... First Trust Mid Cap Core AlphaDEX Fund.... NYSE Arca.
FRI.................................... First Trust S&P REIT Index Fund........... NYSE Arca.
FTA.................................... First Trust Large Cap Value AlphaDEX Fund. NYSE Arca.
FVD.................................... First Trust Value Line Dividend Index Fund NYSE Arca.
FXA.................................... CurrencyShares Australian Dollar Trust.... NYSE Arca.
FXB.................................... CurrencyShares British Pound Sterling NYSE Arca.
Trust.
FXC.................................... CurrencyShares Canadian Dollar Trust...... NYSE Arca.
FXD.................................... First Trust Consumer Discretionary NYSE Arca.
AlphaDEX Fund.
FXE.................................... CurrencyShares Euro Trust................. NYSE Arca.
FXF.................................... CurrencyShares Swiss Franc Trust.......... NYSE Arca.
FXG.................................... First Trust Consumer Staples AlphaDEX Fund NYSE Arca.
FXH.................................... First Trust Health Care AlphaDEX Fund..... NYSE Arca.
FXI.................................... iShares FTSE China 25 Index Fund.......... NYSE Arca.
FXL.................................... First Trust Technology AlphaDEX Fund...... NYSE Arca.
FXO.................................... First Trust Financial AlphaDEX Fund....... NYSE Arca.
FXY.................................... CurrencyShares Japanese Yen Trust......... NYSE Arca.
FXZ.................................... First Trust Materials AlphaDEX Fund....... NYSE Arca.
GCC.................................... GreenHaven Continuous Commodity Index Fund NYSE Arca.
GDX.................................... Market Vectors Gold Miners ETF............ NYSE Arca.
GDXJ................................... Market Vectors Junior Gold Miners ETF..... NYSE Arca.
GII.................................... SPDR S&P Global Infrastructure ETF........ NYSE Arca.
GIY.................................... Guggenheim Enhanced Core Bond ETF......... NYSE Arca.
GLD.................................... SPDR Gold Shares.......................... NYSE Arca.
GMF.................................... SPDR S&P Emerging Asia Pacific ETF........ NYSE Arca.
GMM.................................... SPDR S&P Emerging Markets ETF............. NYSE Arca.
GMTB................................... Columbia Core Bond ETF.................... NYSE Arca.
GNR.................................... SPDR S&P Global Natural Resources ETF..... NYSE Arca.
GOVT................................... iShares Barclays U.S. Treasury Bond Fund.. NYSE Arca.
GSG.................................... iShares S&P GSCI Commodity Indexed Trust.. NYSE Arca.
GSP.................................... iPath GSCI Total Return Index ETN......... NYSE Arca.
GSY.................................... Guggenheim Enhanced Short Duration Bond NYSE Arca.
ETF.
[[Page 2214]]
GUNR................................... FlexShares Global Upstream Natural NYSE Arca.
Resources Index Fund.
GVI.................................... iShares Barclays Intermediate Government/ NYSE Arca.
Credit Bond Fund.
GWL.................................... SPDR S&P World ex-US ETF.................. NYSE Arca.
GWX.................................... SPDR S&P International Small Cap ETF...... NYSE Arca.
GXC.................................... SPDR S&P China ETF........................ NYSE Arca.
GXG.................................... Global X FTSE Colombia 20 ETF............. NYSE Arca.
HAO.................................... Guggenheim China Small Cap ETF............ NYSE Arca.
HDGE................................... Ranger Equity Bear ETF.................... NYSE Arca.
HDV.................................... iShares High Dividend Equity Fund......... NYSE Arca.
HEDJ................................... WisdomTree Europe Hedged Equity Fund...... NYSE Arca.
HUSE................................... Huntington US Equity Rotation Strategy ETF NYSE Arca.
HYD.................................... Market Vectors High Yield Municipal Index NYSE Arca.
ETF.
HYG.................................... iShares iBoxx $ High Yield Corporate Bond NYSE Arca.
Fund.
HYLD................................... Peritus High Yield ETF.................... NYSE Arca.
HYMB................................... SPDR Nuveen S&P High Yield Municipal Bond NYSE Arca.
ETF.
HYS.................................... PIMCO 0-5 Year High Yield Corporate Bond NYSE Arca.
Index Exchange-Traded Fund.
IAI.................................... iShares Dow Jones US Broker Dealers Index NYSE Arca.
Fund.
IAT.................................... iShares Dow Jones US Regional Banks Index NYSE Arca.
Fund.
IAU.................................... iShares Gold Trust........................ NYSE Arca.
IBB.................................... iShares Nasdaq Biotechnology Index Fund... NASDAQ GM.
IBND................................... SPDR Barclays International Corporate Bond NYSE Arca.
ETF.
ICF.................................... iShares Cohen & Steers Realty Majors Index NYSE Arca.
Fund.
IDU.................................... iShares Dow Jones US Utilities Sector NYSE Arca.
Index Fund.
IDV.................................... iShares Dow Jones International Select NYSE Arca.
Dividend Index Fund.
IDX.................................... Market Vectors Indonesia Index ETF........ NYSE Arca.
IEF.................................... iShares Barclays 7-10 Year Treasury Bond NYSE Arca.
Fund.
IEFA................................... iShares Core MSCI EAFE ETF................ NYSE Arca.
IEI.................................... iShares Barclays 3-7 Year Treasury Bond NYSE Arca.
Fund.
IELG................................... iShares Enhanced U.S. Large-Cap ETF....... NYSE Arca.
IEMG................................... iShares Core MSCI Emerging Markets ETF.... NYSE Arca.
IEO.................................... iShares Dow Jones US Oil & Gas Exploration NYSE Arca.
& Production Index Fund.
IESM................................... iShares Enhanced U.S. Small-Cap ETF....... NYSE Arca.
IEV.................................... iShares S&P Europe 350 Index Fund......... NYSE Arca.
IEZ.................................... iShares Dow Jones US Oil Equipment & NYSE Arca.
Services Index Fund.
IFGL................................... iShares FTSE EPRA/NAREIT Developed Real NASDAQ GM.
Estate ex-US Index Fund.
IGE.................................... iShares S&P North American Natural NYSE Arca.
Resources Sector Index Fund.
IGF.................................... iShares S&P Global Infrastructure Index NYSE Arca.
Fund.
IGM.................................... iShares S&P North American Technology NYSE Arca.
Sector Index Fund.
IGN.................................... iShares S&P North American Technology- NYSE Arca.
Multimedia Networking Index Fund.
IGOV................................... iShares S&P/Citigroup International NASDAQ GM.
Treasury Bond Fund.
IGS.................................... ProShares Short Investment Grade Corporate NYSE Arca.
IGV.................................... iShares S&P North American Technology- NYSE Arca.
Software Index Fund.
IHE.................................... iShares Dow Jones US Pharmaceuticals Index NYSE Arca.
Fund.
IHF.................................... iShares Dow Jones US Healthcare Providers NYSE Arca.
Index Fund.
IHI.................................... iShares Dow Jones US Medical Devices Index NYSE Arca.
Fund.
IHY.................................... Market Vectors International High Yield NYSE Arca.
Bond ETF.
IJH.................................... iShares Core S&P Mid-Cap ETF.............. NYSE Arca.
IJJ.................................... iShares S&P MidCap 400/BARRA Value Index NYSE Arca.
Fund.
IJK.................................... iShares S&P MidCap 400 Growth Index Fund.. NYSE Arca.
IJR.................................... iShares Core S&P Small-Cap ETF............ NYSE Arca.
IJS.................................... iShares S&P SmallCap 600 Value Index Fund. NYSE Arca.
IJT.................................... iShares S&P SmallCap 600/BARRA Growth NYSE Arca.
Index Fund.
ILF.................................... iShares S&P Latin America 40 Index Fund... NYSE Arca.
ILTB................................... iShares Core Long-Term US Bond ETF........ NYSE Arca.
INDA................................... iShares MSCI India Index Fund............. BATS.
INDY................................... iShares India 50 ETF...................... NASDAQ GM.
INP.................................... iPath MSCI India Index ETN................ NYSE Arca.
IOO.................................... iShares S&P Global 100 Index Fund......... NYSE Arca.
IPE.................................... SPDR Barclays TIPS ETF.................... NYSE Arca.
ISHG................................... iShares S&P/Citigroup 1-3 Year NASDAQ GM.
International Treasury Bond Fund.
ITB.................................... iShares Dow Jones US Home Construction NYSE Arca.
Index Fund.
ITM.................................... Market Vectors Intermediate Municipal ETF. NYSE Arca.
ITOT................................... iShares Core S&P Total US Stock Market ETF NYSE Arca.
ITR.................................... SPDR Barclays Intermediate Term Corporate NYSE Arca.
Bond ETF.
IVE.................................... iShares S&P 500 Value Index Fund.......... NYSE Arca.
IVOO................................... Vanguard S&P Mid-Cap 400 ETF.............. NYSE Arca.
IVV.................................... iShares Core S&P 500 ETF.................. NYSE Arca.
IVW.................................... iShares S&P 500 Growth Index Fund......... NYSE Arca.
IWB.................................... iShares Russell 1000 Index Fund........... NYSE Arca.
IWC.................................... iShares Russell Microcap Index Fund....... NYSE Arca.
IWD.................................... iShares Russell 1000 Value Index Fund..... NYSE Arca.
IWF.................................... iShares Russell 1000 Growth Index Fund.... NYSE Arca.
IWM.................................... iShares Russell 2000 Index Fund........... NYSE Arca.
IWN.................................... iShares Russell 2000 Value Index Fund..... NYSE Arca.
[[Page 2215]]
IWO.................................... iShares Russell 2000 Growth Index Fund.... NYSE Arca.
IWP.................................... iShares Russell Midcap Growth Index Fund.. NYSE Arca.
IWR.................................... iShares Russell Midcap Index Fund......... NYSE Arca.
IWS.................................... iShares Russell Midcap Value Index Fund... NYSE Arca.
IWV.................................... iShares Russell 3000 Index Fund........... NYSE Arca.
IXC.................................... iShares S&P Global Energy Sector Index NYSE Arca.
Fund.
IXG.................................... iShares S&P Global Financials Sector Index NYSE Arca.
Fund.
IXJ.................................... iShares S&P Global Healthcare Sector Index NYSE Arca.
Fund.
IXN.................................... iShares S&P Global Technology Sector Index NYSE Arca.
Fund.
IXP.................................... iShares S&P Global Telecommunications NYSE Arca.
Sector Index Fund.
IYC.................................... iShares Dow Jones US Consumer Services NYSE Arca.
Sector Index Fund.
IYE.................................... iShares Dow Jones US Energy Sector Index NYSE Arca.
Fund.
IYF.................................... iShares Dow Jones US Financial Sector NYSE Arca.
Index Fund.
IYG.................................... iShares Dow Jones US Financial Services NYSE Arca.
Index Fund.
IYH.................................... iShares Dow Jones US Healthcare Sector NYSE Arca.
Index Fund.
IYJ.................................... iShares Dow Jones US Industrial Sector NYSE Arca.
Index Fund.
IYK.................................... iShares Dow Jones US Consumer Goods Sector NYSE Arca.
Index Fund.
IYM.................................... iShares Dow Jones US Basic Materials NYSE Arca.
Sector Index Fund.
IYR.................................... iShares Dow Jones US Real Estate Index NYSE Arca.
Fund.
IYT.................................... iShares Dow Jones Transportation Average NYSE Arca.
Index Fund.
IYW.................................... iShares Dow Jones US Technology Sector NYSE Arca.
Index Fund.
IYY.................................... iShares Dow Jones US Index Fund........... NYSE Arca.
IYZ.................................... iShares Dow Jones US Telecommunications NYSE Arca.
Sector Index Fund.
JJC.................................... iPath Dow Jones-UBS Copper Subindex Total NYSE Arca.
Return ETN.
JJG.................................... iPath Dow Jones-UBS Grains Subindex Total NYSE Arca.
Return ETN.
JKF.................................... iShares Morningstar Large Value Index Fund NYSE Arca.
JKL.................................... iShares Morningstar Small Value Index Fund NYSE Arca.
JNK.................................... SPDR Barclays High Yield Bond ETF......... NYSE Arca.
JO..................................... iPath Dow Jones-UBS Coffee Subindex Total NYSE Arca.
Return ETN.
JXI.................................... iShares S&P Global Utilities Sector Index NYSE Arca.
Fund.
KBE.................................... SPDR S&P Bank ETF......................... NYSE Arca.
KBWB................................... PowerShares KBW Bank Portfolio............ NYSE Arca.
KBWD................................... PowerShares KBW High Dividend Yield NYSE Arca.
Financial Portfolio.
KIE.................................... SPDR S&P Insurance ETF.................... NYSE Arca.
KOL.................................... Market Vectors Coal ETF................... NYSE Arca.
KRE.................................... SPDR S&P Regional Banking ETF............. NYSE Arca.
KXI.................................... iShares S&P Global Consumer Staples Sector NYSE Arca.
Index Fund.
LAG.................................... SPDR Barclays Aggregate Bond ETF.......... NYSE Arca.
LEMB................................... iShares Emerging Markets Local Currency NYSE Arca.
Bond Fund.
LQD.................................... iShares iBoxx Investment Grade Corporate NYSE Arca.
Bond Fund.
LTPZ................................... PIMCO 15+ Year U.S. TIPS Index Exchange- NYSE Arca.
Traded Fund.
LWC.................................... SPDR Barclays Long Term Corporate Bond ETF NYSE Arca.
MBB.................................... iShares Barclays MBS Bond Fund............ NYSE Arca.
MBG.................................... SPDR Barclays Mortgage Backed Bond ETF.... NYSE Arca.
MCHI................................... iShares MSCI China Index Fund............. NYSE Arca.
MDIV................................... First Trust NASDAQ US Multi-Asset NASDAQ GM.
Diversified Income Index Fun.
MDY.................................... SPDR S&P MidCap 400 ETF Trust............. NYSE Arca.
MGC.................................... Vanguard Mega Cap ETF..................... NYSE Arca.
MGK.................................... Vanguard Mega Cap Growth ETF.............. NYSE Arca.
MGV.................................... Vanguard Mega Cap Value ETF............... NYSE Arca.
MINT................................... PIMCO Enhanced Short Maturity Exchange- NYSE Arca.
Traded Fund.
MLPI................................... ETRACS Alerian MLP Infrastructure Index NYSE Arca.
ETN.
MLPN................................... Credit Suisse Cushing 30 MLP Index ETN.... NYSE Arca.
MOO.................................... Market Vectors Agribusiness ETF........... NYSE Arca.
MUB.................................... iShares S&P National Municipal Bond Fund.. NYSE Arca.
MXI.................................... iShares S&P Global Materials Sector Index NYSE Arca.
Fund.
MYY.................................... ProShares Short MidCap 400................ NYSE Arca.
NKY.................................... MAXIS Nikkei 225 Index Fund ETF........... NYSE Arca.
OEF.................................... iShares S&P 100 Index Fund................ NYSE Arca.
OIH.................................... Market Vectors Oil Service ETF............ NYSE Arca.
OIL.................................... iPath Goldman Sachs Crude Oil Total Return NYSE Arca.
Index ETN.
PALL................................... ETFS Physical Palladium Shares............ NYSE Arca.
PBJ.................................... Powershares Dynamic Food & Beverage NYSE Arca.
Portfolio.
PBP.................................... PowerShares S&P 500 BuyWrite Portfolio.... NYSE Arca.
PBS.................................... Powershares Dynamic Media Portfolio....... NYSE Arca.
PCEF................................... PowerShares CEF Income Composite Portfolio NYSE Arca.
PCY.................................... PowerShares Emerging Markets Sovereign NYSE Arca.
Debt Portfolio.
PDP.................................... Powershares DWA Technical Leaders NYSE Arca.
Portfolio.
PFF.................................... iShares S&P US Preferred Stock Index Fund. NYSE Arca.
PGF.................................... PowerShares Financial Preferred Portfolio. NYSE Arca.
PGX.................................... PowerShares Preferred Portfolio........... NYSE Arca.
PHB.................................... PowerShares Fundamental High Yield NYSE Arca.
Corporate Bond Portfolio.
PHDG................................... PS S&P Downside Hdgd...................... NYSE Arca.
PHO.................................... PowerShares Water Resources Portfolio..... NYSE Arca.
[[Page 2216]]
PHYS................................... Sprott Physical Gold Trust................ NYSE Arca.
PID.................................... PowerShares International Dividend NYSE Arca.
Achievers Portfolio.
PIE.................................... PowerShares DWA Emerging Markets Technical NYSE Arca.
Leaders Portfolio.
PIN.................................... PowerShares India Portfolio............... NYSE Arca.
PIZ.................................... PowerShares DWA Developed Markets NYSE Arca.
Technical Leaders Portfolio.
PJP.................................... Powershares Dynamic Pharmaceuticals NYSE Arca.
Portfolio.
PKW.................................... PowerShares Buyback Achievers Portfolio... NYSE Arca.
PPH.................................... Market Vectors Pharmaceutical ETF......... NYSE Arca.
PPLT................................... ETFS Platinum Trust....................... NYSE Arca.
PRF.................................... Powershares FTSE RAFI US 1000 Portfolio... NYSE Arca.
PRFZ................................... PowerShares FTSE RAFI US 1500 Small-Mid NASDAQ GM.
Portfolio.
PSK.................................... SPDR Wells Fargo Preferred Stock ETF...... NYSE Arca.
PSLV................................... Sprott Physical Silver Trust.............. NYSE Arca.
PSP.................................... PowerShares Global Listed Private Equity NYSE Arca.
Portfolio.
PSQ.................................... ProShares Short QQQ....................... NYSE Arca.
PWV.................................... PowerShares Dynamic Large Cap Value NYSE Arca.
Portfolio.
PXF.................................... PowerShares FTSE RAFI Developed Markets ex- NYSE Arca.
U.S. Portfolio.
PXH.................................... PowerShares FTSE RAFI Emerging Markets NYSE Arca.
Portfolio.
PZA.................................... PowerShares Insured National Municipal NYSE Arca.
Bond Portfolio.
QAI.................................... IndexIQ ETF Trust--IQ Hedge Multi-Strategy NYSE Arca.
Tracker ETF.
QQQ.................................... Powershares QQQ Trust Series 1............ NASDAQ GM.
REM.................................... iShares FTSE NAREIT Mortgage Plus Capped NYSE Arca.
Index Fund.
REZ.................................... iShares FTSE NAREIT Residential Plus NYSE Arca.
Capped Index Fund.
RFG.................................... Guggenheim S&P Midcap 400 Pure Growth ETF. NYSE Arca.
RJA.................................... ELEMENTS Linked to the Rogers NYSE Arca.
International Commodity Index--Agri Tot
Return.
RJI.................................... ELEMENTS Linked to the Rogers NYSE Arca.
International Commodity Index--Total
Return.
RPG.................................... Guggenheim S&P 500 Pure Growth ETF........ NYSE Arca.
RPV.................................... Guggenheim S&P 500 Pure Value ETF......... NYSE Arca.
RSP.................................... Guggenheim S&P 500 Equal Weight ETF....... NYSE Arca.
RSX.................................... Market Vectors Russia ETF................. NYSE Arca.
RTH.................................... Market Vectors Retail ETF................. NYSE Arca.
RWM.................................... ProShares Short Russell2000............... NYSE Arca.
RWO.................................... SPDR Dow Jones Global Real Estate ETF..... NYSE Arca.
RWR.................................... SPDR Dow Jones REIT ETF................... NYSE Arca.
RWX.................................... SPDR Dow Jones International Real Estate NYSE Arca.
ETF.
RXI.................................... iShares S&P Global Consumer Discretionary NYSE Arca.
Sector Index Fund.
SAGG................................... Direxion Daily Total Bond Market Bear 1x NYSE Arca.
Shares.
SBB.................................... ProShares Short SmallCap600............... NYSE Arca.
SCHA................................... Schwab US Small-Cap ETF................... NYSE Arca.
SCHB................................... Schwab US Broad Market ETF................ NYSE Arca.
SCHD................................... Schwab US Dividend Equity ETF............. NYSE Arca.
SCHE................................... Schwab Emerging Markets Equity ETF........ NYSE Arca.
SCHF................................... Schwab International Equity ETF........... NYSE Arca.
SCHG................................... Schwab U.S. Large-Cap Growth ETF.......... NYSE Arca.
SCHH................................... Schwab U.S. REIT ETF...................... NYSE Arca.
SCHM................................... Schwab U.S. Mid-Cap ETF................... NYSE Arca.
SCHO................................... Schwab Short-Term U.S. Treasury ETF....... NYSE Arca.
SCHP................................... Schwab U.S. TIPs ETF...................... NYSE Arca.
SCHR................................... Schwab Intermediate-Term U.S. Treasury ETF NYSE Arca.
SCHV................................... Schwab U.S. Large-Cap Value ETF........... NYSE Arca.
SCHX................................... Schwab US Large-Cap ETF................... NYSE Arca.
SCHZ................................... Schwab U.S. Aggregate Bond ETF............ NYSE Arca.
SCIF................................... Market Vectors India Small-Cap Index ETF.. NYSE Arca.
SCPB................................... SPDR Barclays Short Term Corporate Bond NYSE Arca.
ETF.
SCZ.................................... iShares MSCI EAFE Small Cap Index Fund.... NYSE Arca.
SDIV................................... Global X SuperDividend ETF................ NYSE Arca.
SDY.................................... SPDR S&P Dividend ETF..................... NYSE Arca.
SGOL................................... ETFS Gold Trust........................... NYSE Arca.
SH..................................... ProShares Short S&P500.................... NYSE Arca.
SHM.................................... SPDR Nuveen Barclays Short Term Municipal NYSE Arca.
Bond ETF.
SHV.................................... iShares Barclays Short Treasury Bond Fund. NYSE Arca.
SHY.................................... iShares Barclays 1-3 Year Treasury Bond NYSE Arca.
Fund.
SIL.................................... Global X Silver Miners ETF................ NYSE Arca.
SIVR................................... ETFS Physical Silver Shares............... NYSE Arca.
SJB.................................... ProShares Short High Yield................ NYSE Arca.
SJNK................................... SPDR Barclays Short Term High Yield Bond NYSE Arca.
ETF.
SLV.................................... iShares Silver Trust...................... NYSE Arca.
SLX.................................... Market Vectors Steel Index Fund........... NYSE Arca.
SLY.................................... SPDR S&P 600 Small CapETF................. NYSE Arca.
SMH.................................... Market Vectors Semiconductor ETF.......... NYSE Arca.
SNLN................................... Highland/iBoxx Senior Loan ETF............ NYSE Arca.
SOXX................................... iShares PHLX SOX Semiconductor Sector NASDAQ GM.
Index Fund.
SPHB................................... PowerShares S&P 500 High Beta Port ETF.... NYSE Arca.
SPHD................................... PowerShares S&P 500 High Dividend NYSE Arca.
Portfolio.
[[Page 2217]]
SPLV................................... PowerShares S&P 500 Low Volatility NYSE Arca.
Portfolio.
SPPP................................... Sprott Physical Platinum & Palladium Trust NYSE Arca.
SPY.................................... SPDR S&P 500 ETF Trust.................... NYSE Arca.
SPYG................................... SPDR S&P 500 Growth ETF................... NYSE Arca.
SPYV................................... SPDR S&P 500 Value ETF.................... NYSE Arca.
SRLN................................... SPDR Blackstone/GSO Senior Loan ETF....... NYSE Arca.
STIP................................... iShares Barclays 0-5 Year TIPS Bond Fund.. NYSE Arca.
STPZ................................... PIMCO 1-5 Year U.S. TIPS Index Exchange- NYSE Arca.
Traded Fund.
SUB.................................... iShares S&P Short Term National AMT-Free NYSE Arca.
Municipal Bond Fund.
SVXY................................... ProShares Short VIX Short-Term Futures ETF NYSE Arca.
SYLD................................... Cambria Shareholder Yield ETF............. NYSE Arca.
TAN.................................... Guggenheim Solar ETF...................... NYSE Arca.
TAO.................................... Guggenheim China Real Estate ETF.......... NYSE Arca.
TBF.................................... ProShares Short 20+ Year Treasury......... NYSE Arca.
TBX.................................... ProShares Short 7-10 Treasury............. NYSE Arca.
TDTT................................... FlexShares iBoxx 3-Year Target Duration NYSE Arca.
TIPS Index Fund.
TFI.................................... SPDR Nuveen Barclays Municipal Bond ETF... NYSE Arca.
THD.................................... iShares MSCI Thailand Capped Investable NYSE Arca.
Market Index Fund.
TIP.................................... iShares Barclays TIPS Bond Fund........... NYSE Arca.
TLH.................................... iShares Barclays 10-20 Year Treasury Bond NYSE Arca.
Fund.
TLT.................................... iShares Barclays 20+ Year Treasury Bond NYSE Arca.
Fund.
TUR.................................... iShares MSCI Turkey Index Fund............ NYSE Arca.
UNG.................................... United States Natural Gas Fund LP......... NYSE Arca.
USCI................................... United States Commodity Index Fund........ NYSE Arca.
USMV................................... iShares MSCI USA Minimum Volatility Index NYSE Arca.
Fund.
USO.................................... United States Oil Fund LP................. NYSE Arca.
UUP.................................... PowerShares DB US Dollar Index Bullish NYSE Arca.
Fund.
VAW.................................... Vanguard Materials ETF.................... NYSE Arca.
VB..................................... Vanguard Small-Cap ETF.................... NYSE Arca.
VBK.................................... Vanguard Small-Cap Growth ETF............. NYSE Arca.
VBR.................................... Vanguard Small-Cap Value ETF.............. NYSE Arca.
VCIT................................... Vanguard Intermediate-Term Corporate Bond NASDAQ GM.
ETF.
VCLT................................... Vanguard Long-Term Corporate Bond ETF..... NASDAQ GM.
VCR.................................... Vanguard Consumer Discretionary ETF....... NYSE Arca.
VCSH................................... Vanguard Short-Term Corporate Bond ETF.... NASDAQ GM.
VDC.................................... Vanguard Consumer Staples ETF............. NYSE Arca.
VDE.................................... Vanguard Energy ETF....................... NYSE Arca.
VEA.................................... Vanguard FTSE Developed Markets ETF....... NYSE Arca.
VEU.................................... Vanguard FTSE All-World ex-US ETF......... NYSE Arca.
VFH.................................... Vanguard Financials ETF................... NYSE Arca.
VGIT................................... Vanguard Intermediate-Term Government Bond NASDAQ GM.
ETF.
VGK.................................... Vanguard FTSE Europe ETF.................. NYSE Arca.
VGLT................................... Vanguard Long-Term Government Bond ETF.... NASDAQ GM.
VGSH................................... Vanguard Short-Term Government Bond ETF... NASDAQ GM.
VGT.................................... Vanguard Information Technology ETF....... NYSE Arca.
VHT.................................... Vanguard Health Care ETF.................. NYSE Arca.
VIG.................................... Vanguard Dividend Appreciation ETF........ NYSE Arca.
VIIX................................... VelocityShares VIX Short Term ETN......... NYSE Arca.
VIIZ................................... VelocityShares VIX Medium Term ETN........ NYSE Arca.
VIOO................................... Vanguard S&P Small-Cap 600 ETF............ NYSE Arca.
VIS.................................... Vanguard Industrials ETF.................. NYSE Arca.
VIXM................................... ProShares VIX Mid-Term Futures ETF........ NYSE Arca.
VIXY................................... ProShares VIX Short-Term Futures ETF...... NYSE Arca.
VMBS................................... Vanguard Mortgage-Backed Securities ETF... NASDAQ GM.
VNM.................................... Market Vectors Vietnam ETF................ NYSE Arca.
VNQ.................................... Vanguard REIT ETF......................... NYSE Arca.
VNQI................................... Vanguard Global ex-U.S. Real Estate ETF... NASDAQ GM.
VO..................................... Vanguard Mid-Cap ETF...................... NYSE Arca.
VOE.................................... Vanguard Mid-Cap Value ETF................ NYSE Arca.
VONE................................... Vanguard Russell 1000..................... NASDAQ GM.
VONG................................... Vanguard Russell 1000 Growth ETF.......... NASDAQ GM.
VONV................................... Vanguard Russell 1000 Value............... NASDAQ GM.
VOO.................................... Vanguard S&P 500 ETF...................... NYSE Arca.
VOOG................................... Vanguard S&P 500 Growth ETF............... NYSE Arca.
VOOV................................... Vanguard S&P 500 Value ETF................ NYSE Arca.
VOT.................................... Vanguard Mid-Cap Growth ETF............... NYSE Arca.
VOX.................................... Vanguard Telecommunication Services ETF... NYSE Arca.
VPL.................................... Vanguard FTSE Pacific ETF................. NYSE Arca.
VPU.................................... Vanguard Utilities ETF.................... NYSE Arca.
VQT.................................... Barclays ETN+ ETNs Linked to the S&P 500 NYSE Arca.
Dynamic VEQTORTM TotaL Return Index.
VSS.................................... Vanguard FTSE All World ex-US Small-Cap NYSE Arca.
ETF.
VT..................................... Vanguard Total World Stock ETF............ NYSE Arca.
VTHR................................... Vanguard Russell 3000..................... NASDAQ GM.
VTI.................................... Vanguard Total Stock Market ETF........... NYSE Arca.
[[Page 2218]]
VTIP................................... Vanguard Short-Term Inflation-Protected NASDAQ GM.
Securities ETF.
VTV.................................... Vanguard Value ETF........................ NYSE Arca.
VTWG................................... Vanguard Russell 2000 Growth.............. NASDAQ GM.
VTWO................................... Vanguard Russell 2000..................... NASDAQ GM.
VTWV................................... Vanguard Russell 2000 Value............... NASDAQ GM.
VUG.................................... Vanguard Growth ETF....................... NYSE Arca.
VV..................................... Vanguard Large-Cap ETF.................... NYSE Arca.
VWO.................................... Vanguard FTSE Emerging Markets ETF........ NYSE Arca.
VWOB................................... Vanguard Emerging Markets Government Bond NASDAQ GM.
ETF.
VXF.................................... Vanguard Extended Market ETF.............. NYSE Arca.
VXUS................................... Vanguard Total International Stock ETF.... NASDAQ GM.
VXX.................................... iPATH S&P 500 VIX Short-Term Futures ETN.. NYSE Arca.
VXZ.................................... iPATH S&P 500 VIX Mid-Term Futures ETN.... NYSE Arca.
VYM.................................... Vanguard High Dividend Yield ETF.......... NYSE Arca.
WIP.................................... SPDR DB International Government Inflation- NYSE Arca.
Protected Bond ETF.
WOOD................................... iShares S&P Global Timber & Forestry Index NASDAQ GM.
Fund.
XBI.................................... SPDR S&P Biotech ETF...................... NYSE Arca.
XES.................................... SPDR S&P Oil & Gas Equipment & Services NYSE Arca.
ETF.
XHB.................................... SPDR S&P Homebuilders ETF................. NYSE Arca.
XIV.................................... VelocityShares Daily Inverse VIX Short NYSE Arca.
Term ETN.
XLB.................................... Materials Select Sector SPDR Fund......... NYSE Arca.
XLE.................................... Energy Select Sector SPDR Fund............ NYSE Arca.
XLF.................................... Financial Select Sector SPDR Fund......... NYSE Arca.
XLG.................................... Guggenheim Russell Top 50 Mega Cap ETF.... NYSE Arca.
XLI.................................... Industrial Select Sector SPDR Fund........ NYSE Arca.
XLK.................................... Technology Select Sector SPDR Fund........ NYSE Arca.
XLP.................................... Consumer Staples Select Sector SPDR Fund.. NYSE Arca.
XLU.................................... Utilities Select Sector SPDR Fund......... NYSE Arca.
XLV.................................... Health Care Select Sector SPDR Fund....... NYSE Arca.
XLY.................................... Consumer Discretionary Select Sector SPDR NYSE Arca.
Fund.
XME.................................... SPDR S&P Metals & Mining ETF.............. NYSE Arca.
XOP.................................... SPDR S&P Oil & Gas Exploration & NYSE Arca.
Production ETF.
XPH.................................... SPDR S&P Pharmaceuticals ETF.............. NYSE Arca.
XRT.................................... SPDR S&P Retail ETF....................... NYSE Arca.
XSD.................................... SPDR S&P Semiconductor ETF................ NYSE Arca.
XVZ.................................... iPath S&P 500 Dynamic VIX ETN............. NYSE Arca.
YMLP................................... Yorkville High Income MLP................. NYSE Arca.
ZIV.................................... VelocityShares Daily Inverse VIX Medium NYSE Arca.
Term ETN.
ZROZ................................... PIMCO 25+ Year Zero Coupon U.S. Treasury NYSE Arca.
Index Exchange-Traded Fund.
----------------------------------------------------------------------------------------------------------------
Appendix B--Data
Unless otherwise specified, the following data shall be collected
and transmitted to the SEC in an agreed-upon format on a monthly basis,
to be provided 30 calendar days following month end. Unless otherwise
specified, the Primary Listing Exchanges shall be responsible for
collecting and transmitting the data to the SEC. Data collected in
connection with Sections II(E)--(G) below shall be transmitted to the
SEC with a request for confidential treatment under the Freedom of
Information Act. 5 U.S.C. 552, and the SEC's rules and regulations
thereunder.
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)
[[Page 2219]]
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 (3-8) for cancels
10. Include: ticker, date, time at start, time of Limit State, all data
item fields in 1, last sale prior to 15-second period (null if no
trades today), range during 15-second period, last trade during 15-
second period
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 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.
H. Assess whether the Trading Pauses are too long or short and
whether the reopening procedures should be adjusted.
[FR Doc. 2014-00346 Filed 1-10-14; 8:45 am]
BILLING CODE 8011-01-P