
[Federal Register Volume 78, Number 170 (Tuesday, September 3, 2013)]
[Notices]
[Pages 54305-54320]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-21302]



[[Page 54305]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-70274; File No. 4-631]


Joint Industry Plan; Notice of Filing of the Fifth Amendment to 
the National Market System Plan To Address Extraordinary Market 
Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board 
Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA 
Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq 
Stock Market LLC, National Stock Exchange, Inc., New York Stock 
Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc.

August 27, 2013.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that, 
on July 18, 2013, NYSE Euronext, on behalf of New York Stock Exchange 
LLC (``NYSE''), NYSE MKT LLC (``NYSE MKT''), and NYSE Arca, Inc. 
(``NYSE Arca''), and the following parties to the National Market 
System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board 
Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA 
Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq 
Stock Market LLC, and National Stock Exchange, Inc. (collectively with 
NYSE, NYSE MKT, and NYSE Arca, the ``Participants''), filed with the 
Securities and Exchange Commission (the ``Commission'') a proposal to 
amend the Plan to Address Extraordinary Market Volatility 
(``Plan'').\3\ The proposal represents the fifth amendment to the Plan 
(``Fifth Amendment''), and reflects changes unanimously approved by the 
Participants. The Fifth Amendment to the Plan: (i) Provides that, if a 
Trading Pause is triggered in the last ten minutes of trading before 
the end of Regular Trading Hours, then the NMS Stock shall not reopen 
for continuous trading and shall close pursuant to established closing 
procedures of the Primary Listing Exchange; and (ii) revises the 
definition of which Exchange Traded Products (``ETPs'') are eligible to 
be included in the list of Tier 1 NMS Stocks under 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 Fifth Amendment to the Plan.
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    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Janet M. McGinness, Executive Vice President 
& Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, 
Secretary, Commission, dated July 17, 2013 (``Transmittal Letter'').
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I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

    The Participants filed the Plan in order to create a market-wide 
limit up-limit down mechanism that is intended to address extraordinary 
market volatility in ``NMS Stocks,'' as defined in Rule 600(b)(47) of 
Regulation NMS under the Act.\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).
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    \4\ 17 CFR 242.600(b)(47). See also Section I(H) of the Plan.
    \5\ See Section V of the Plan.
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    As set forth in Section V of the Plan, the price bands would 
consist of a Lower Price Band and an Upper Price Band for each NMS 
Stock.\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 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.
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    \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'').
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    The Processors would also calculate a Pro-Forma Reference Price for 
each NMS Stock on a continuous basis during Regular Trading Hours. If a 
Pro-Forma Reference Price did not move by one percent or more from the 
Reference Price in effect, no new price bands would be disseminated, 
and the current Reference Price would remain the effective Reference 
Price. If the Pro-Forma Reference Price moved by one percent or more 
from the Reference Price in effect, the Pro-Forma Reference Price would 
become the Reference Price, and the Processors would disseminate new 
price bands based on the new Reference Price. Each new Reference Price 
would remain in effect for at least 30 seconds.
    When one side of the market for an individual security is outside 
the applicable price band, the Processors would be required to 
disseminate such National Best Bid \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

[[Page 54306]]

Quotations were executed or canceled in their entirety. If the market 
did not exit a Limit State within 15 seconds, then the Primary Listing 
Exchange would declare a five-minute trading pause, which would be 
applicable to all markets trading the security.
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    \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.
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    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.
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    \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.
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    Under the Plan, all trading centers would be required to establish, 
maintain, and enforce written policies and procedures reasonably 
designed to prevent the display of offers below the Lower Price Band 
and bids above the Upper Price Band for an NMS Stock. The Processors 
would disseminate an offer below the Lower Price Band or bid above the 
Upper Price Band that nevertheless inadvertently may be submitted 
despite such reasonable policies and procedures, but with an 
appropriate flag identifying it as non-executable; such bid or offer 
would not be included in National Best Bid or National Best Offer 
calculations. In addition, all trading centers would be required to 
develop, maintain, and enforce policies and procedures reasonably 
designed to prevent trades at prices outside the price bands, with the 
exception of single-priced opening, reopening, and closing transactions 
on the Primary Listing Exchange.
    As stated by the Participants in the Plan, the limit up-limit down 
mechanism is intended to reduce the negative impacts of sudden, 
unanticipated price movements in NMS Stocks,\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\
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    \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).
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    The following summarizes the Fifth Amendment to the Plan and the 
rationale behind those changes:
1. Proposed Amendment to Section VII(C)
    The Participants propose to amend Section VII(C)(1) of the Plan to 
provide that if a Trading Pause is declared for an NMS Stock in the 
last ten minutes of trading before the end of Regular Trading Hours, 
the Primary Listing Exchange shall not reopen for trading and shall 
attempt to execute a closing transaction using its established closing 
procedures. Section VII(C) of the Plan currently addresses only the 
situation of when a Trading Pause is declared less than five minutes 
before the end of Regular Trading Hours. In such case, because a 
Trading Pause is a minimum of five minutes and trading would not 
reopen, the Plan contemplates that the Primary Listing Exchange shall 
attempt a closing transaction using its established closing procedures.
    Based on feedback from SIFMA and other market participants, the 
Participants believe it is appropriate to amend the Plan to provide 
that if a Trading Pause is declared in the last ten minutes of trading 
before the end of Regular Trading Hours, the Primary Listing Exchange 
shall not reopen the NMS Stock for trading. Rather, such stock shall 
remain in a Trading Pause state, and at the end of regular trading 
hours, the Primary Listing Exchange shall attempt to close the NMS 
Stock using its established closing procedures.
    The Participants note that SIFMA raised issues concerning how the 
Plan operates at the close in its comment letter on the initial filing 
of the Plan.\19\ Based on additional concerns recently raised by SIFMA 
regarding its members' ability to effectively participate in the 
closing transaction if there is a Trading Pause declared near the close 
of trading and then reopening of continuous trading shortly before the 
close, the Participants propose a modified approach to how the Plan 
operates near the close. As currently provided for, the Participants 
believe that the manner by which Trading Pauses are declared should not 
change, meaning that a Trading Pause could be triggered up to the close 
of trading. The Participants note that the Plan already contemplates 
additional volatility near the close by providing for the doubling of 
the Percentage Parameters in the last 25 minutes of trading (see 
Section V(A)(1) of the Plan). The Participants propose to modify the 
Plan, however, to provide that if a Trading Pause were to be declared 
in the last ten minutes of Regular Trading Hours, the Primary Listing 
Exchange would not reopen for continuous trading but rather would close 
the NMS Stock pursuant to established closing procedures.
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    \19\ See Letter from Ann L. Vlcek, Managing Director and 
Associated General Counsel, SIFMA, to Elizabeth M. Murphy, 
Secretary, Commission dated June 22, 2011.
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    The Participants believe that the proposed amendment meets the 
goals of the Plan, which is to address extraordinary market volatility. 
Specifically, the Participants believe that reopening trading within 
five minutes of the closing transaction could introduce additional 
volatility into trading for that particular symbol. The Participants 
believe it would be more prudent to use the time during the Trading 
Pause and the period preceding the end of Regular Trading Hours for 
interest to be entered for the closing auction, rather than to hold a 
reopening auction that would be followed shortly by a closing auction. 
Holding two auctions so near in time may introduce additional 
uncertainty into the market as market participants may not want to 
enter interest for a reopening auction if the security is going to 
close shortly thereafter. This could cause price dislocations, 
uncertainty of executions, and added confusion during an already 
volatile period. As such, the Participants note that certain Primary 
Listing Exchanges will be filing rule changes with the Commission to 
update their respective closing procedures to address the ability to 
permit additional interest to be entered for the purpose of a closing 
auction if there is a Trading Pause declared near the end of Regular 
Trading Hours.
2. Proposed Amendment to Section I of Appendix A
    The Participants propose to amend Section I of Appendix A of the 
Plan to revise the definition of which ETPs are eligible to be included 
in the list of Tier 1 NMS Stocks under the Plan by deleting the 
following language: ``To ensure that ETPs that track similar benchmarks 
but that do not meet this volume criterion do not become subject to 
pricing volatility when a component security is the subject of a 
trading pause, non-leveraged ETPs that have traded below this volume 
criterion, but that track the same benchmark as an ETP that does meet 
the volume criterion,

[[Page 54307]]

will be deemed-eligible to be included as a Tier 1 NMS Stock.''
    The current definition of which ETPs are eligible to be included in 
the list of Tier 1 NMS Stocks under the Plan is based on a definition 
that was adopted in 2010 in connection with which ETPs were eligible 
for the pilot program for single-stock trading pauses (``trading pause 
pilot rules'').\20\ The goal of the 2010 amendment was to add more 
liquid ETPs, specifically, those with a minimum average daily volume 
(``ADV'') of $2,000,000, to the list of securities eligible for the 
trading pause pilot rules because those ETPs tend to have similar 
trading characteristics as securities in the S&P 500 Index and Russell 
1000 Index, and therefore using the 10% threshold for triggering a 
trading pause for those specified ETPs was appropriate. To assure that 
related ETPs were subject to a comparable circuit breaker, ETPs that 
did not meet the $2,000,000 ADV threshold, but tracked similar stocks 
and indices as ETPs meeting the volume criterion, were also included.
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    \20\ See Securities Exchange Act Release No. 62884 (Sept. 10, 
2010), 75 FR 56618 (Sept. 16, 2010) (SR-BATS-2010-018; SR-BX-2010-
044; SR-CBOE-2010-065; SR-CHX-2010-14; SR-EDGA-2010-05; SR-EDGX-
2010-05; SR-ISE-2010-66; SR-NASDAQ-2010-079; SR-NYSE-2010-49; SR-
NYSEAmex-2010-63; SR-NYSEArca-2010-61; SR-NSX-2010-08) (Order 
approving amendment to pilot rule for trading pauses due to 
extraordinary volatility to expand the availability of the rule to 
Russell 1000 Index and specified ETPs).
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    Based on experience to date with the Plan, the Participants believe 
that ETPs that do not meet the volume criterion are not as actively 
traded as other NMS Stocks included as Tier 1 NMS Stocks, and therefore 
the applicable Percentage Parameters are too narrow for such ETPs, even 
if they track the same index as an ETP that meets the volume criterion. 
The Participants note that this issue did not arise under the trading 
pause pilot rules because of the differing mechanisms for triggering a 
trading pause pursuant to the Plan and the trading pause pilot rules. 
Under the trading pause pilot rules, a trading pause is triggered if 
the last consolidated sale price of the security moves 10% or more over 
a five-minute period. Because a transaction is required before a 
trading pause may be triggered, a thinly traded stock may not have 
triggered any trading pauses.
    In contrast, under the Plan, a bid or offer that crosses the 
applicable Price Band can result first in a Limit State Quotation, and 
if that Limit State Quotation is not exited within 15 seconds, a 
Trading Pause. Therefore, under the Plan, a transaction does not need 
to occur before a Trading Pause can be triggered. Based on experience 
thus far with the Plan, certain thinly traded ETPs with wide quotes 
that are included as Tier 1 NMS Stocks because they track an index of 
an ETP that meets the volume criterion are triggering trading pauses 
because of bids or offers that cross the Price Band rather than because 
of an execution of a security. This results in certain ETPs that have 
not traded during the day triggering Trading Pauses and requiring a 
reopening auction process, despite the lack of trading in that 
security. For example, since the initial date of Plan operations 
through to July 8, 2013, there have been 32 Trading Pauses in NYSE 
Arca-listed securities triggered pursuant to the Plan. These Trading 
Pauses have been in only ten NMS Stocks,\21\ some more than once a day, 
and all are ETPs with less than $2,000,000 notional ADV.
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    \21\ The symbols are BXDB, BDG, GIY, VIOO, BOS, SAGG, IELG, 
IESM, HUSE, and GMTB.
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    The Participants believe that amending the Plan to delete ETPs that 
do not meet the volume criterion from the definition of Tier 1 NMS 
Stocks is necessary for the maintenance of a fair and orderly market 
and removes impediments to and perfects the mechanism of a national 
market system because it reduces the potential for a thinly-traded NMS 
Stock that has not experienced any trading volatility to be halted and 
then have to go through a reopening auction process. The Participants 
therefore believe that the proposed amendment supports the original 
purpose of the Plan, which is to reduce extraordinary market volatility 
for NMS Stocks. The Participants believe that such thinly-traded ETPs 
are better suited for the applicable Percentage Parameters for NMS 
Stocks that are not S&P 500 or Russell 1000 stocks, which includes 
other thinly traded securities.
    The Participants will continue to assess during Plan operations 
whether the existing Percentage Parameters are appropriate for thinly-
traded NMS Stocks, and will have more experience with this issue after 
Phase II of the Plan has been implemented across all NMS Stocks. In the 
meantime, the Participants believe that amending the Plan to revise the 
Percentage Parameters that will be applicable to ETPs with less than 
$2,000,000 notional ADV is an appropriate measure based on experience 
with the Plan to date.

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. 
The Participants currently anticipate that Phase II of Plan 
implementation will begin on August 5, 2013.
    The Participants propose that if this amendment is approved before 
August 5, 2013, ETPs that currently meet the definition of Tier 1 NMS 
Stocks and have already been added to the Plan pursuant to Phase I of 
the Plan, but that would not meet the proposed amended definition of 
Tier 1 NMS Stocks will no longer participate in Phase I of the Plan. 
Instead, those ETPs will be added to the Plan pursuant to Phase II of 
the Plan implementation. If approved after August 5, 2013 but during 
Phase II of the Plan implementation, those ETPs will be added to the 
Phase II implementation schedule. If approved after Phase II of the 
Plan has been fully implemented, the Primary Listing Exchange will 
provide notice via Trader Update within 30 days of approval of this 
amendment of when those ETPs will be moved to the new Percentage 
Parameter.

E. Analysis of Impact on Competition

    The Participants do not believe that the Plan imposes any burden on 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act. The Participants also do not believe that the Plan 
introduces terms that are unreasonably discriminatory for the purposes 
of Section 11A(c)(1)(D) of the Act.\22\
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    \22\ 15 U.S.C. 78k-1(c)(1)(D).
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F. Written Understanding or Agreements Relating to Interpretation of, 
or Participation in, Plan

    The Participants state that they have no written understandings or 
agreements relating to interpretation of the Plan. Section II(C) of the 
Plan sets forth how any entity registered as a national securities 
exchange or national securities association may become a Participant.

[[Page 54308]]

G. Approval of Amendment of the Plan

    Each of the Plan's Participants has executed a written amended 
Plan.

H. Terms and Conditions of Access

    Section II(C) of the Plan provides that any entity registered as a 
national securities exchange or national securities association under 
the Act may become a Participant by: (1) Becoming a participant in the 
applicable Market Data Plans, as defined in Section I(F) of the Plan; 
(2) executing a copy of the Plan, as then in effect; (3) providing each 
then-current Participant with a copy of such executed Plan; and (4) 
effecting an amendment to the Plan as specified in Section III(B) of 
the Plan.

I. Method of Determination and Imposition, and Amount of, Fees and 
Charges

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.

K. Dispute Resolution

    The Plan does not include specific provisions regarding resolution 
of disputes between or among Participants. Section III(C) of the Plan 
provides for each Participant to designate an individual to represent 
the Participant as a member of an Operating Committee.\23\ No later 
than the initial date of the Plan, the Operating Committee would be 
required to designate one member of the Operating Committee to act as 
the Chair of the Operating Committee. The Operating Committee shall 
monitor the procedures established pursuant to the Plan and advise the 
Participants with respect to any deficiencies, problems, or 
recommendations as the Operating Committee may deem appropriate. Any 
recommendation for an amendment to the Plan from the Operating 
Committee that receives an affirmative vote of at least two-thirds of 
the Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608 of Regulation NMS under the Act.\24\
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    \23\ See Section I(J) of the Plan.
    \24\ 17 CFR 242.608.
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II. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the Fifth 
Amendment to the Plan is consistent with the Act. Comments may be 
submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml ); or
     Send an email to rule-comments@sec.gov. Please include 
File Number 4-631 on the subject line.

Paper Comments

     Send paper comments in triplicate to Elizabeth M. Murphy, 
Secretary, Securities and Exchange Commission, 100 F Street NE., 
Washington, DC 20549-1090.
    All submissions should refer to File Number 4-631. This file number 
should be included on the subject line if email is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml ). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the Fifth Amendment to the Plan that are 
filed with the Commission, and all written communications relating to 
the Fifth Amendment to the Plan between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street NE., Washington, DC 20549 on official business days between 
10:00 a.m. and 3:00 p.m. Copies of the filing will also be available 
for inspection and copying at the Participants' principal offices. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number 4-631 and should be submitted 
on or before September 24, 2013.

    By the Commission.
Kevin M. O'Neill,
Deputy Secretary.

EXHIBIT A

Proposed new language is italicized; proposed deletions are in 
[brackets].

PLAN TO ADDRESS EXTRAORDINARY MARKET VOLATILITY SUBMITTED TO THE 
SECURITIES AND EXCHANGE COMMISSION PURSUANT TO RULE 608 OF REGULATION 
NMS UNDER THE SECURITIES EXCHANGE ACT OF 1934

 
 
 
                            Table of Contents
Section                                                          Page
Preamble...................................................  ...........
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

[[Page 54309]]

moves. The Plan procedures are designed, among other things, to protect 
investors and promote fair and orderly markets. The Participants 
developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under 
the Exchange Act, which authorizes the Participants to act jointly in 
preparing, filing, and implementing national market system plans.
I. Definitions
    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange, or, if the Primary 
Listing Exchange opens with quotations, the midpoint of those 
quotations.
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V of 
the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been listed 
the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor responsible 
for the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning provided 
in Section V(A)(2) of the Plan.
    (R) ``Regular Trading Hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes 
of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in 
the case of an early scheduled close.
    (S) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (T) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (U) ``Reopening Price'' shall mean the price of a transaction that 
reopens trading on the Primary Listing Exchange following a Trading 
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens 
with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in Section 
VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in Section 
V of the Plan.

II. Parties

    (A) List of Parties

    The parties to the Plan are as follows:

(1) BATS Exchange, Inc. 8050 Marshall Drive Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc. 8050 Marshall Drive Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated 400 South LaSalle 
Street Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc. 440 South LaSalle Street Chicago, 
Illinois 60605
(5) EDGA Exchange, Inc. 545 Washington Boulevard Sixth Floor Jersey 
City, NJ 07310
(6) EDGX Exchange, Inc. 545 Washington Boulevard Sixth Floor Jersey 
City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc. 1735 K Street NW., 
Washington, DC 20006
(8) NASDAQ OMX BX, Inc. One Liberty Plaza New York, New York 10006
(9) NASDAQ OMX PHLX LLC 1900 Market Street Philadelphia, Pennsylvania 
19103
(10) The Nasdaq Stock Market LLC 1 Liberty Plaza 165 Broadway New York, 
NY 10006
(11) National Stock Exchange, Inc. 101 Hudson, Suite 1200 Jersey City, 
NJ 07302
(12) New York Stock Exchange LLC 11 Wall Street New York, New York 
10005
(13) NYSE MKT LLC 20 Broad Street New York, New York 10005
(14) NYSE Arca, Inc. 100 South Wacker Drive Suite 1800 Chicago, IL 
60606

    (B) Compliance Undertaking

    By subscribing to and submitting the Plan for approval by the SEC, 
each Participant agrees to comply with and to enforce compliance, as 
required by Rule 608(c) of Regulation NMS under the Exchange Act, by 
its members with the provisions of the Plan. To this end, each 
Participant shall adopt a rule requiring compliance by its members with 
the provisions of the Plan, and each Participant shall take such 
actions as are necessary and appropriate as a participant of the Market 
Data Plans to cause and enable the Processor for each NMS Stock to 
fulfill the functions set forth in this Plan.

    (C) New Participants

    The Participants agree that any entity registered as a national 
securities exchange or national securities association under the 
Exchange Act may become a Participant by: (1) Becoming a participant in 
the applicable Market 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

[[Page 54310]]

the following categories to be members of the Advisory Committee: (1) A 
broker-dealer with a substantial retail investor customer base; (2) a 
broker-dealer with a substantial institutional investor customer base; 
(3) an alternative trading system; (4) a broker-dealer that primarily 
engages in trading for its own account; and (5) an investor.
    (3) Function. Members of the Advisory Committee shall have the 
right to submit their views to the Operating Committee on Plan matters, 
prior to a decision by the Operating Committee on such matters. Such 
matters shall include, but not be limited to, proposed material 
amendments to the Plan.
    (4) Meetings and Information. Members of the Advisory Committee 
shall have the right to attend meetings of the Operating Committee and 
to receive any information concerning Plan matters; provided, however, 
that the Operating Committee may meet in executive session if, by 
affirmative vote of a majority of the Participants, the Operating 
Committee determines that an item of Plan business requires 
confidential treatment.

III. Amendments to Plan

    (A) General Amendments

    Except with respect to the addition of new Participants to the 
Plan, any proposed change in, addition to, or deletion from the Plan 
shall be effected by means of a written amendment to the Plan that: (1) 
Sets forth the change, addition, or deletion; (2) is executed on behalf 
of each Participant; and, (3) is approved by the SEC pursuant to Rule 
608 of Regulation NMS under the Exchange Act, or otherwise becomes 
effective under Rule 608 of Regulation NMS under the Exchange Act.

    (B) New Participants

    With respect to new Participants, an amendment to the Plan may be 
effected by the new national securities exchange or national securities 
association executing a copy of the Plan, as then in effect (with the 
only changes being the addition of the new Participant's name in 
Section II(A) of the Plan) and submitting such executed Plan to the SEC 
for approval. The amendment shall be effective when it is approved by 
the SEC in accordance with Rule 608 of Regulation NMS under the 
Exchange Act or otherwise becomes effective pursuant to Rule 608 of 
Regulation NMS under the Exchange Act.

    (C) Operating Committee

    (1) Each Participant shall select from its staff one individual to 
represent the Participant as a member of an Operating Committee, 
together with a substitute for such individual. The substitute may 
participate in deliberations of the Operating Committee and shall be 
considered a voting member thereof only in the absence of the primary 
representative. Each Participant shall have one vote on all matters 
considered by the Operating Committee. No later than the initial date 
of Plan operations, the Operating Committee shall designate one member 
of the Operating Committee to act as the Chair of the Operating 
Committee.
    (2) The Operating Committee shall monitor the procedures 
established pursuant to this Plan and advise the Participants with 
respect to any deficiencies, problems, or recommendations as the 
Operating Committee may deem appropriate. The Operating Committee shall 
establish specifications and procedures for the implementation and 
operation of the Plan that are consistent with the provisions of this 
Plan and the Appendixes thereto. With respect to matters in this 
paragraph, Operating Committee decisions shall be approved by a simple 
majority vote.
    (3) Any recommendation for an amendment to the Plan from the 
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be 
submitted to the SEC as a request for an amendment to the Plan 
initiated by the Commission under Rule 608 of Regulation NMS.

IV. Trading Center Policies and Procedures

    All trading centers in NMS Stocks, including both those operated by 
Participants and those operated by members of Participants, shall 
establish, maintain, and enforce written policies and procedures that 
are reasonably designed to comply with the limit up--limit down 
requirements specified in Sections VI of the Plan, and to comply with 
the Trading Pauses specified in Section VII of the Plan.

V. Price Bands

    (A) Calculation and Dissemination of Price Bands

    (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,

[[Page 54311]]

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 
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

[[Page 54312]]

Listing Exchange reports a Reopening Price.
    (2) The Primary Listing Exchange shall notify the Processor if it 
is unable to reopen trading in an NMS Stock for any reason other than a 
significant order imbalance and if it has not declared a Regulatory 
Halt. The Processor shall disseminate this information to the public, 
and all trading centers may begin trading the NMS Stock at this time.
    (3) If the Primary Listing Exchange does not report a Reopening 
Price within ten minutes after the declaration of a Trading Pause in an 
NMS Stock, and has not declared a Regulatory Halt, all trading centers 
may begin trading the NMS Stock.
    (4) When trading begins after a Trading Pause, the Processor shall 
update the Price Bands as set forth in Section V(C)(1) of the Plan.

    (C) Trading Pauses Within [Five] Ten Minutes of the End of Regular 
Trading Hours

    (1) If a Trading Pause for an NMS Stock is declared [less than five 
minutes] 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

    Eight months after the initial date of Plan operations, or such 
earlier date as may be announced by the Processor with at least 30 days 
notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) 
beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, 
or earlier in the case of an early scheduled close.

    (C) Pilot

    The Plan shall be implemented on a one-year pilot basis.

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 July 2013 by each of the parties hereto.

BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------

CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------

EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------

NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------

NATIONAL STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------

NYSE MKT LLC
BY:--------------------------------------------------------------------

BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------

CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------

EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------

NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------

THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------

NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------

NYSE ARCA, INC.
BY:--------------------------------------------------------------------

Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks

    (1) Tier 1 NMS Stocks shall include all NMS Stocks included in the 
S&P 500 Index, the Russell 1000 Index, and the exchange-traded products 
(``ETP'') listed on Schedule 1 to this Appendix. Schedule 1 to the 
Appendix will be reviewed and updated semi-annually based on the fiscal 
year by the Primary Listing Exchange to add ETPs that meet the 
criteria, or delete ETPs that are no longer eligible. To determine 
eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs 
across multiple asset classes and issuers, including domestic equity, 
international equity, fixed income, currency, and commodities and 
futures will be identified. Leveraged ETPs will be excluded and the 
list will be sorted by notional consolidated average daily volume 
(``CADV''). The period used to measure CADV will be from the first day 
of the previous fiscal half year up until one week before the beginning 
of the next fiscal half year. Daily volumes will be multiplied by 
closing prices and then averaged over the period. ETPs, including 
inverse ETPs, that trade over $2,000,000 CADV will be eligible to be 
included as a Tier 1 NMS Stock. [To ensure that ETPs that track similar 
benchmarks but that do not meet this volume criterion do not become 
subject to pricing volatility when a component security is the subject 
of a trading pause, non-leveraged ETPs that have traded below this 
volume criterion, but that track the same benchmark as an ETP that does 
meet the volume criterion, will be deemed eligible to be included as a 
Tier 1 NMS Stock.] The semi-annual updates to Schedule 1 do not require 
an amendment to the Plan. The Primary Listing Exchanges will maintain 
the updated Schedule 1 on their respective Web sites.
    (2) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price more than $3.00 shall be 5%.
    (3) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price equal to $0.75 and up to and including $3.00 shall be 
20%.
    (4) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 
75%.
    (5) The Reference Price used for determining which Percentage 
Parameter shall be applicable during a trading day shall be based on 
the closing price of the NMS Stock on the Primary

[[Page 54313]]

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 Index Fund......  NASDAQ GM
ACWI............................  iShares MSCI ACWI Index Fund...........................  NASDAQ GM
ACWV............................  iShares MSCI All Country World Minimum Volatility Index  NYSE Arca
                                   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 Return         NYSE Arca
                                   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
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 Corporate Bond   NYSE Arca
                                   ETF.
BSJF............................  Guggenheim BulletShares 2015 High Yield Corporate Bond   NYSE Arca
                                   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 ETF..........  NYSE Arca
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 Fund.........  NYSE Arca
CLY.............................  iShares 10+ Year Credit Bond Fund......................  NYSE Arca
CMF.............................  iShares S&P California AMT-Free Municipal Bond Fund....  NYSE Arca
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 Fund...........  NYSE Arca
DBE.............................  PowerShares DB Energy Fund.............................  NYSE Arca
DBJP............................  db X-trackers MSCI Japan Hedged Equity Fund............  NYSE Arca
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 Fund.........  NYSE Arca
DES.............................  WisdomTree SmallCap Dividend Fund......................  NYSE Arca
DFJ.............................  WisdomTree Japan SmallCap Dividend Fund................  NYSE Arca
DGL.............................  PowerShares DB Gold Fund...............................  NYSE Arca

[[Page 54314]]

 
DGS.............................  WisdomTree Emerging Markets SmallCap Dividend Fund.....  NYSE Arca
DGZ.............................  PowerShares DB Gold Short ETN..........................  NYSE Arca
DHS.............................  WisdomTree Equity Income Fund..........................  NYSE Arca
DIA.............................  SPDR Dow Jones Industrial Average ETF Trust............  NYSE Arca
DJCI............................  ETRACS DJ-UBS Commodity Index Total Return ETN.........  NYSE Arca
DJP.............................  iPath Dow Jones-UBS Commodity Index Total Return ETN...  NYSE Arca
DLN.............................  WisdomTree LargeCap Dividend Fund......................  NYSE Arca
DLS.............................  WisdomTree International SmallCap Dividend Fund........  NYSE Arca
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 Fund...........  NYSE Arca
DWX.............................  SPDR S&P International Dividend ETF....................  NYSE Arca
DXJ.............................  WisdomTree Japan Hedged Equity Fund....................  NYSE Arca
EBND............................  SPDR Barclays Emerging Markets Local Bond ETF..........  NYSE Arca
ECH.............................  iShares MSCI Chile Capped Investable Market Index Fund.  NYSE Arca
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 Volatility Index   NYSE Arca
                                   Fund.
EFA.............................  iShares MSCI EAFE Index Fund...........................  NYSE Arca
EFAV............................  iShares MSCI EAFE Minimum Volatility Index Fund........  NYSE Arca
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 Index Fund....  NYSE Arca
ELD.............................  WisdomTree Emerging Markets Local Debt Fund............  NYSE Arca
ELR.............................  SPDR Dow Jones Large Cap ETF...........................  NYSE Arca
EMB.............................  iShares JPMorgan USD Emerging Markets Bond Fund........  NYSE Arca
EMLC............................  Market Vectors Emerging Markets Local Currency Bond ETF  NYSE Arca
EMM.............................  SPDR Dow Jones Mid Cap ETF.............................  NYSE Arca
ENZL............................  iShares MSCI New Zealand Capped Investable Market Index  NYSE Arca
                                   Fund.
EPHE............................  iShares MSCI Philippines Investable Market Index Fund..  NYSE Arca
EPI.............................  WisdomTree India Earnings Fund.........................  NYSE Arca
EPOL............................  iShares MSCI Poland Capped Investable Market Index Fund  NYSE Arca
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 Index Fund..  NYSE Arca
EWO.............................  iShares MSCI Austria Capped Investable Market Index      NYSE Arca
                                   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 Market Index Fund  NYSE Arca
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 Index Fund.......  NYSE Arca
EZA.............................  iShares MSCI South Africa Index Fund...................  NYSE Arca
EZU.............................  iShares MSCI EMU Index Fund............................  NYSE Arca
FBT.............................  First Trust NYSE Arca Biotechnology Index Fund.........  NYSE Arca
FCG.............................  First Trust ISE-Revere Natural Gas Index Fund..........  NYSE Arca
FDL.............................  First Trust Morningstar Dividend Leaders Index.........  NYSE Arca
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 Index Fund.......  NYSE Arca
FLOT............................  iShares Floating Rate Note Fund........................  NYSE Arca

[[Page 54315]]

 
FLRN............................  SPDR Barclays Investment Grade Floating Rate ETF.......  NYSE Arca
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 Trust............  NYSE Arca
FXC.............................  CurrencyShares Canadian Dollar Trust...................  NYSE Arca
FXD.............................  First Trust Consumer Discretionary AlphaDEX Fund.......  NYSE Arca
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 ETF............  NYSE Arca
GUNR............................  FlexShares Global Upstream Natural Resources Index Fund  NYSE Arca
GVI.............................  iShares Barclays Intermediate Government/Credit Bond     NYSE Arca
                                   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 ETF..........  NYSE Arca
HYG.............................  iShares iBoxx $ High Yield Corporate Bond Fund.........  NYSE Arca
HYLD............................  Peritus High Yield ETF.................................  NYSE Arca
HYMB............................  SPDR Nuveen S&P High Yield Municipal Bond ETF..........  NYSE Arca
HYS.............................  PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- NYSE Arca
                                   Traded Fund.
IAI.............................  iShares Dow Jones US Broker Dealers Index Fund.........  NYSE Arca
IAT.............................  iShares Dow Jones US Regional Banks Index Fund.........  NYSE Arca
IAU.............................  iShares Gold Trust.....................................  NYSE Arca
IBB.............................  iShares Nasdaq Biotechnology Index Fund................  NASDAQ GM
IBND............................  SPDR Barclays International Corporate Bond ETF.........  NYSE Arca
ICF.............................  iShares Cohen & Steers Realty Majors Index Fund........  NYSE Arca
IDU.............................  iShares Dow Jones US Utilities Sector Index Fund.......  NYSE Arca
IDV.............................  iShares Dow Jones International Select Dividend Index    NYSE Arca
                                   Fund.
IDX.............................  Market Vectors Indonesia Index ETF.....................  NYSE Arca
IEF.............................  iShares Barclays 7-10 Year Treasury Bond Fund..........  NYSE Arca
IEFA............................  iShares Core MSCI EAFE ETF.............................  NYSE Arca
IEI.............................  iShares Barclays 3-7 Year Treasury Bond Fund...........  NYSE Arca
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 & Production  NYSE Arca
                                   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 & Services Index      NYSE Arca
                                   Fund.
IFGL............................  iShares FTSE EPRA/NAREIT Developed Real Estate ex-US     NASDAQ GM
                                   Index Fund.
IGE.............................  iShares S&P North American Natural Resources Sector      NYSE Arca
                                   Index Fund.
IGF.............................  iShares S&P Global Infrastructure Index Fund...........  NYSE Arca
IGM.............................  iShares S&P North American Technology Sector Index Fund  NYSE Arca
IGN.............................  iShares S&P North American Technology-Multimedia         NYSE Arca
                                   Networking Index Fund.
IGOV............................  iShares S&P/Citigroup International Treasury Bond Fund.  NASDAQ GM

[[Page 54316]]

 
IGS.............................  ProShares Short Investment Grade Corporate.............  NYSE Arca
IGV.............................  iShares S&P North American Technology-Software Index     NYSE Arca
                                   Fund.
IHE.............................  iShares Dow Jones US Pharmaceuticals Index Fund........  NYSE Arca
IHF.............................  iShares Dow Jones US Healthcare Providers Index Fund...  NYSE Arca
IHI.............................  iShares Dow Jones US Medical Devices Index Fund........  NYSE Arca
IHY.............................  Market Vectors International High Yield Bond ETF.......  NYSE Arca
IJH.............................  iShares Core S&P Mid-Cap ETF...........................  NYSE Arca
IJJ.............................  iShares S&P MidCap 400/BARRA Value Index Fund..........  NYSE Arca
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 Index Fund.......  NYSE Arca
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 International Treasury    NASDAQ GM
                                   Bond Fund.
ITB.............................  iShares Dow Jones US Home Construction Index Fund......  NYSE Arca
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 Bond ETF.....  NYSE Arca
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
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 Fund............  NYSE Arca
IXG.............................  iShares S&P Global Financials Sector Index Fund........  NYSE Arca
IXJ.............................  iShares S&P Global Healthcare Sector Index Fund........  NYSE Arca
IXN.............................  iShares S&P Global Technology Sector Index Fund........  NYSE Arca
IXP.............................  iShares S&P Global Telecommunications Sector Index Fund  NYSE Arca
IYC.............................  iShares Dow Jones US Consumer Services Sector Index      NYSE Arca
                                   Fund.
IYE.............................  iShares Dow Jones US Energy Sector Index Fund..........  NYSE Arca
IYF.............................  iShares Dow Jones US Financial Sector Index Fund.......  NYSE Arca
IYG.............................  iShares Dow Jones US Financial Services Index Fund.....  NYSE Arca
IYH.............................  iShares Dow Jones US Healthcare Sector Index Fund......  NYSE Arca
IYJ.............................  iShares Dow Jones US Industrial Sector Index Fund......  NYSE Arca
IYK.............................  iShares Dow Jones US Consumer Goods Sector Index Fund..  NYSE Arca
IYM.............................  iShares Dow Jones US Basic Materials Sector Index Fund.  NYSE Arca
IYR.............................  iShares Dow Jones US Real Estate Index Fund............  NYSE Arca
IYT.............................  iShares Dow Jones Transportation Average Index Fund....  NYSE Arca
IYW.............................  iShares Dow Jones US Technology Sector Index Fund......  NYSE Arca
IYY.............................  iShares Dow Jones US Index Fund........................  NYSE Arca
IYZ.............................  iShares Dow Jones US Telecommunications Sector Index     NYSE Arca
                                   Fund.
JJC.............................  iPath Dow Jones-UBS Copper Subindex Total Return ETN...  NYSE Arca
JJG.............................  iPath Dow Jones-UBS Grains Subindex Total Return ETN...  NYSE Arca
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 Return ETN...  NYSE Arca
JXI.............................  iShares S&P Global Utilities Sector Index Fund.........  NYSE Arca
KBE.............................  SPDR S&P Bank ETF......................................  NYSE Arca
KBWB............................  PowerShares KBW Bank Portfolio.........................  NYSE Arca
KBWD............................  PowerShares KBW High Dividend Yield Financial Portfolio  NYSE Arca
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 Index Fund..  NYSE Arca
LAG.............................  SPDR Barclays Aggregate Bond ETF.......................  NYSE Arca
LEMB............................  iShares Emerging Markets Local Currency Bond Fund......  NYSE Arca

[[Page 54317]]

 
LQD.............................  iShares iBoxx Investment Grade Corporate Bond Fund.....  NYSE Arca
LTPZ............................  PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund....  NYSE Arca
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 Diversified Income     NASDAQ GM
                                   Index Fund.
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-Traded Fund.....  NYSE Arca
MLPI............................  ETRACS Alerian MLP Infrastructure Index ETN............  NYSE Arca
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 Fund.........  NYSE Arca
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 Index ETN...  NYSE Arca
PALL............................  ETFS Physical Palladium Shares.........................  NYSE Arca
PBJ.............................  Powershares Dynamic Food & Beverage Portfolio..........  NYSE Arca
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 Debt Portfolio..  NYSE Arca
PDP.............................  Powershares DWA Technical Leaders Portfolio............  NYSE Arca
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 Corporate Bond        NYSE Arca
                                   Portfolio.
PHDG............................  PS S&P Downside Hdgd...................................  NYSE Arca
PHO.............................  PowerShares Water Resources Portfolio..................  NYSE Arca
PHYS............................  Sprott Physical Gold Trust.............................  NYSE Arca
PID.............................  PowerShares International Dividend Achievers Portfolio.  NYSE Arca
PIE.............................  PowerShares DWA Emerging Markets Technical Leaders       NYSE Arca
                                   Portfolio.
PIN.............................  PowerShares India Portfolio............................  NYSE Arca
PIZ.............................  PowerShares DWA Developed Markets Technical Leaders      NYSE Arca
                                   Portfolio.
PJP.............................  Powershares Dynamic Pharmaceuticals Portfolio..........  NYSE Arca
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 Portfolio......  NASDAQ GM
PSK.............................  SPDR Wells Fargo Preferred Stock ETF...................  NYSE Arca
PSLV............................  Sprott Physical Silver Trust...........................  NYSE Arca
PSP.............................  PowerShares Global Listed Private Equity Portfolio.....  NYSE Arca
PSQ.............................  ProShares Short QQQ....................................  NYSE Arca
PWV.............................  PowerShares Dynamic Large Cap Value Portfolio..........  NYSE Arca
PXF.............................  PowerShares FTSE RAFI Developed Markets ex-U.S.          NYSE Arca
                                   Portfolio.
PXH.............................  PowerShares FTSE RAFI Emerging Markets Portfolio.......  NYSE Arca
PZA.............................  PowerShares Insured National Municipal Bond Portfolio..  NYSE Arca
QAI.............................  IndexIQ ETF Trust--IQ Hedge Multi-Strategy Tracker ETF.  NYSE Arca
QQQ.............................  Powershares QQQ Trust Series 1.........................  NASDAQ GM
REM.............................  iShares FTSE NAREIT Mortgage Plus Capped Index Fund....  NYSE Arca
REZ.............................  iShares FTSE NAREIT Residential Plus Capped Index Fund.  NYSE Arca
RFG.............................  Guggenheim S&P Midcap 400 Pure Growth ETF..............  NYSE Arca
RJA.............................  ELEMENTS Linked to the Rogers International Commodity    NYSE Arca
                                   Index--Agri Tot Return.
RJI.............................  ELEMENTS Linked to the Rogers International Commodity    NYSE Arca
                                   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 ETF...........  NYSE Arca
RXI.............................  iShares S&P Global Consumer Discretionary Sector Index   NYSE Arca
                                   Fund.
SAGG............................  Direxion Daily Total Bond Market Bear 1x Shares........  NYSE Arca
SBB.............................  ProShares Short SmallCap600............................  NYSE Arca

[[Page 54318]]

 
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 ETF............  NYSE Arca
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 Bond ETF.....  NYSE Arca
SHV.............................  iShares Barclays Short Treasury Bond Fund..............  NYSE Arca
SHY.............................  iShares Barclays 1-3 Year Treasury Bond Fund...........  NYSE Arca
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 ETF...........  NYSE Arca
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 Index Fund.......  NASDAQ GM
SPHB............................  PowerShares S&P 500 High Beta Port ETF.................  NYSE Arca
SPHD............................  PowerShares S&P 500 High Dividend Portfolio............  NYSE Arca
SPLV............................  PowerShares S&P 500 Low Volatility Portfolio...........  NYSE Arca
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-Traded Fund....  NYSE Arca
SUB.............................  iShares S&P Short Term National AMT-Free Municipal Bond  NYSE Arca
                                   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 TIPS Index Fund  NYSE Arca
TFI.............................  SPDR Nuveen Barclays Municipal Bond ETF................  NYSE Arca
THD.............................  iShares MSCI Thailand Capped Investable Market Index     NYSE Arca
                                   Fund.
TIP.............................  iShares Barclays TIPS Bond Fund........................  NYSE Arca
TLH.............................  iShares Barclays 10-20 Year Treasury Bond Fund.........  NYSE Arca
TLT.............................  iShares Barclays 20+ Year Treasury Bond Fund...........  NYSE Arca
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 Fund.........  NYSE Arca
USO.............................  United States Oil Fund LP..............................  NYSE Arca
UUP.............................  PowerShares DB US Dollar Index Bullish Fund............  NYSE Arca
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 ETF..........  NASDAQ GM
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

[[Page 54319]]

 
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 ETF.........  NASDAQ GM
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 Dynamic         NYSE Arca
                                   VEQTORTM TotaL Return Index.
VSS.............................  Vanguard FTSE All World ex-US Small-Cap ETF............  NYSE Arca
VT..............................  Vanguard Total World Stock ETF.........................  NYSE Arca
VTHR............................  Vanguard Russell 3000..................................  NASDAQ GM
VTI.............................  Vanguard Total Stock Market ETF........................  NYSE Arca
VTIP............................  Vanguard Short-Term Inflation-Protected Securities ETF.  NASDAQ GM
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 ETF..........  NASDAQ GM
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-Protected     NYSE Arca
                                   Bond ETF.
WOOD............................  iShares S&P Global Timber & Forestry Index Fund........  NASDAQ GM
XBI.............................  SPDR S&P Biotech ETF...................................  NYSE Arca
XES.............................  SPDR S&P Oil & Gas Equipment & Services ETF............  NYSE Arca
XHB.............................  SPDR S&P Homebuilders ETF..............................  NYSE Arca
XIV.............................  VelocityShares Daily Inverse VIX Short Term ETN........  NYSE Arca
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 Fund.........  NYSE Arca
XME.............................  SPDR S&P Metals & Mining ETF...........................  NYSE Arca
XOP.............................  SPDR S&P Oil & Gas Exploration & Production ETF........  NYSE Arca
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

[[Page 54320]]

 
YMLP............................  Yorkville High Income MLP..............................  NYSE Arca
ZIV.............................  VelocityShares Daily Inverse VIX Medium Term ETN.......  NYSE Arca
ZROZ............................  PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- NYSE Arca
                                   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)
    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. 2013-21302 Filed 8-30-13; 8:45 am]
BILLING CODE 8011-01-P


