`[Federal Register Volume 83, Number 246 (Wednesday, December 26, 2018)]
[Notices]
[Pages 66464-66511]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2018-27819]



[[Page 66463]]

Vol. 83

Wednesday,

No. 246

December 26, 2018

Part III





Securities and Exchange Commission





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Joint Industry Plan; Notice of Filing of the Eighteenth Amendment to 
the National Market System Plan To Address Extraordinary Market 
Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe 
EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, 
Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange 
LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, 
NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC, 
and NYSE Arca, Inc.; Notice

  Federal Register / Vol. 83 , No. 246 / Wednesday, December 26, 2018 / 
Notices  

[[Page 66464]]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-84843; File No. 4-631]


Joint Industry Plan; Notice of Filing of the Eighteenth Amendment 
to the National Market System Plan To Address Extraordinary Market 
Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe 
EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, 
Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange 
LLC, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, 
NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC, 
and NYSE Arca, Inc.

December 18, 2018.

I. Introduction

    On November 5, 2018, NYSE Group, Inc., on behalf of the following 
parties to the National Market System Plan to Address Extraordinary 
Market Volatility (``the Plan''): \1\ Cboe BZX Exchange, Inc., Cboe BYX 
Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., 
Chicago Stock Exchange, Inc., the Financial Industry Regulatory 
Authority, Inc. (``FINRA''), Investors Exchange LLC, NASDAQ BX, Inc., 
NASDAQ PHLX LLC, The NASDAQ Stock Market LLC (``Nasdaq''), New York 
Stock Exchange LLC (``NYSE''), NYSE Arca, Inc., NYSE National Inc., and 
NYSE American LLC (collectively, the ``Participants'') filed with the 
Securities and Exchange Commission (``Commission'') pursuant to Section 
11A(a)(3) of the Securities Exchange Act of 1934 (``Exchange Act'') \2\ 
and Rule 608 thereunder,\3\ a proposal to amend the Plan (``Eighteenth 
Amendment'').\4\ The proposal reflects changes unanimously approved by 
the Participants. The Eighteenth Amendment proposes to: (i) Amend 
Section VIII of the Plan to transition the Plan from operating on a 
pilot to a permanent basis; (ii) adopt a mechanism for periodic review 
and assessment of the Plan; (iii) eliminate the doubling of the 
Percentage Parameters \5\ between 9:30 a.m. and 9:45 a.m.; \6\ and (iv) 
eliminate the doubling of the Percentage Parameters between 3:35 p.m. 
and 4:00 p.m., or in the case of an early scheduled close, during the 
last 25 minutes of trading before the early scheduled close, for Tier 2 
NMS Stocks with a Reference Price above $3.00., as discussed below. 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 Eighteenth Amendment.\7\
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    \1\ On May 31, 2012, the Commission approved the Plan, as 
modified by Amendment No. 1. See Securities Exchange Act Release No. 
67091, 77 FR 33498 (June 6, 2012) (File No. 4-631) (``Approval 
Order''). On February 20, 2013, the Commission noticed for immediate 
effectiveness the Second Amendment to the Plan. See Securities 
Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On 
April 3, 2013, the Commission approved the Third Amendment to the 
Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483 
(April 10, 2013). On August 27, 2013, the Commission noticed for 
immediate effectiveness the Fourth Amendment to the Plan. See 
Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3, 
2013). On September 26, 2013, the Commission approved the Fifth 
Amendment to the Plan. See Securities Exchange Act Release No. 
70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the 
Commission noticed for immediate effectiveness the Sixth Amendment 
to the Plan. See Securities Exchange Act Release No. 71247, 79 FR 
2204 (January 13, 2014). On April 3, 2014, the Commission approved 
the Seventh Amendment to the Plan. See Securities Exchange Act 
Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19, 
2015, the Commission approved the Eight Amendment to the Plan. See 
Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25, 
2015). On October 22, 2015, the Commission approved the Ninth 
Amendment to the Plan. See Securities Exchange Act Release No. 
76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the 
Commission approved the Tenth Amendment to the Plan. See Securities 
Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On 
August 26, 2016, the Commission noticed for immediate effectiveness 
the Eleventh Amendment to the Plan. See Securities Exchange Act 
Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19, 
2017, the Commission approved the Twelfth Amendment to the Plan. See 
Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26, 
2017). On April 13, 2017, the Commission approved the Thirteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the 
Commission noticed for immediate effectiveness the Fourteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80549, 82 FR 20928 (May 4, 2017). On September 26, 2017, the 
Commission noticed for immediate effectiveness the Fifteenth 
Amendment to Plan. See Securities Exchange Act Release No. 81720, 82 
FR 45922 (October 2, 2017). On March 15, 2018, the Commission 
noticed for immediate effectiveness the Sixteenth Amendment to the 
Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414 
(March 21, 2018) (File No. 4-631). On April 12, 2018, the Commission 
approved the Seventeenth Amendment to the Plan. See Securities 
Exchange Act Release No. 83044, 83 FR 17205 (April 18, 2018).
    \2\ 15 U.S.C. 78k-1(a)(3).
    \3\ 17 CFR 242.608.
    \4\ See Letter from Elizabeth King, General Counsel and 
Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission, 
dated November 2, 2018 (``Transmittal Letter'').
    \5\ Unless otherwise specified, the terms used herein have the 
same meaning as set forth in the Plan.
    \6\ All times are Eastern Standard or ET.
    \7\ 17 CFR 242.608.
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II. Description of the Plan

    Set forth in this Section II is the statement of the purpose and 
summary of the Eighteenth Amendment, along with the information 
required by Rule 608(a)(4) and (5) under the Exchange Act,\8\ 
substantially prepared and submitted by the Participants to the 
Commission.\9\
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    \8\ See 17 CFR 242.608(a)(4) and (a)(5).
    \9\ See Transmittal Letter, supra note 4. The statement of the 
purpose and summary of the amendment and the information required by 
Rule 608(a)(4) and (5) is reproduced verbatim from the Transmittal 
Letter unless otherwise noted; cross-references have been revised to 
conform with the footnote sequencing of this notice.
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A. Statement of Purpose and Summary of the Plan Amendment

    The Participants filed the Plan with the Commission on April 5, 
2011 to create a market-wide limit up-limit down mechanism intended to 
address extraordinary market volatility in NMS Stocks, as defined in 
Rule 600(b)(47) of Regulation NMS under the Exchange Act.\10\ The Plan 
sets forth procedures that provide for market-wide limit up-limit down 
requirements to 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, as defined in Section 
I(Y) of the Plan, to accommodate more fundamental price moves. In 
particular, the Participants adopted this Plan to address extraordinary 
volatility in the securities markets, i.e., significant fluctuations in 
individual securities' prices over a short period of time, such as 
those experienced during the ``Flash Crash'' on the afternoon of May 6, 
2010.
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    \10\ 17 CFR 242.600(b)(47).
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    As set forth in more detail in the Plan, 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 the Plan. 
More specifically, the single plan processor (``Processors'') 
responsible for consolidation of information for an NMS Stock pursuant 
to Rule 603(b) of Regulation NMS under the Exchange Act is responsible 
for calculating and disseminating a lower Price Band and upper Price 
Band, as provided for in Section V of the Plan. Section VI of the Plan 
sets forth the limit up-limit down requirements of the Plan, and in 
particular, that 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, consistent with the Plan.

[[Page 66465]]

    As set forth in Section V of the Plan, the Price Bands consist of a 
Lower Price Band and an Upper Price Band for each NMS Stock. The Price 
Bands are calculated by the Processor responsible for consolidation of 
information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS 
under the Act.\11\ Those Price Bands are 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. The Price Bands for an NMS Stock are 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. Between 9:30 a.m. and 9:45 a.m. and 3:35 
p.m. and 4:00 p.m., or in the case of an early scheduled close, during 
the last 25 minutes of trading before the early scheduled close, the 
Price Bands are calculated by applying double the Percentage 
Parameters.
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    \11\ 17 CFR 242.603(b). The Plan refers to this entity as the 
Processor.
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    The Processors 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 does not move by one percent or more from the 
Reference Price in effect, no new Price Bands are disseminated, and the 
current Reference Price remains the effective Reference Price. If the 
Pro-Forma Reference Price moves by one percent or more from the 
Reference Price in effect, the Pro-Forma Reference Price becomes the 
Reference Price, and the Processors disseminates new Price Bands based 
on the new Reference Price. Each new Reference Price remains in effect 
for at least 30 seconds. When the other side of the market reaches the 
applicable Price Band, the market for an individual security enters a 
Limit State, and the Processors are required to disseminate such 
National Best Offer or National Best Bid with an appropriate flag 
identifying it as a Limit State Quotation. All trading immediately 
enters 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. 
Trading for an NMS Stock exits a Limit State if, within 15 seconds of 
entering the Limit State, all Limit State Quotations were executed or 
canceled in their entirety.
    With respect to Trading Pauses, Section VII(A)(1) of the Plan 
provides that if trading for an NMS Stock does not exit a Limit State 
within 15 seconds of entry during Regular Trading Hours, the Primary 
Listing Exchange declares a Trading Pause for such NMS Stock and shall 
notify the Processor. Section VII(B)(1) of the Plan further provides 
that 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 procedures and the Trading Pause shall end when the Primary 
Listing Exchange reports a Reopening Price. Section VII(B)(3) of the 
Plan provides that Trading Centers may not resume trading in an NMS 
Stock following a Trading Pause without Price Bands in such NMS Stock.
    The Plan was initially approved for a one-year pilot period, which 
began on April 8, 2013.\12\ Accordingly, the pilot period was scheduled 
to end on April 8, 2014. As initially contemplated, the Plan would have 
been fully implemented across all NMS Stocks within six months of 
initial Plan operations, which meant there would have been full 
implementation of the Plan for six months before the end of the pilot 
period. However, pursuant to the fourth amendment to the Plan,\13\ the 
Participants modified the implementation schedule of Phase II of the 
Plan to extend the time period as to when the Plan would fully apply to 
all NMS Stocks. Accordingly, the Plan was not implemented across all 
NMS Stocks until December 8, 2013. Pursuant to the sixth amendment to 
the Plan,\14\ which further modified the implementation schedule of 
Phase II of the Plan, the date for full implementation of the Plan was 
moved to February 24, 2014. Pursuant to the seventh, ninth, tenth, and 
thirteenth amendments to the Plan,\15\ the pilot period was extended 
from April 8, 2014 to February 20, 2015, from February 20, 2015 to 
April 22, 2016, from April 22, 2016 to April 17, 2017, from April 17, 
2017 to April 16, 2018, and from April 16, 2018 to April 15, 2019.
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    \12\ See Section VIII of the Plan.
    \13\ See supra note 1.
    \14\ See id.
    \15\ See id.
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    The Participants now propose to: (i) Amend Section VIII of the Plan 
to transition the Plan from operating on a pilot to a permanent basis; 
(ii) adopt a mechanism for periodic review and assessment of the Plan; 
(iii) eliminate the doubling of the Percentage Parameters between 9:30 
a.m. and 9:45 a.m.; and (iv) eliminate the doubling of the Percentage 
Parameters between 3:35 p.m. and 4:00 p.m., or in the case of an early 
scheduled close, during the last 25 minutes of trading before the early 
scheduled close, for Tier 2 NMS Stocks with a Reference Price above 
$3.00.
The Plan Should Operate on a Permanent Basis
    As mentioned above, the Plan was designed to prevent potentially 
harmful price volatility in NMS Stocks, including the kind of 
volatility experienced during the market disruption that occurred on 
May 6, 2010, often referred to as the ``Flash Crash''. Among other 
things, the prices of a large number of individual securities suddenly 
declined by significant amounts in a very short time period, before 
suddenly reversing to prices consistent with their pre-decline levels. 
This severe price volatility led to a large number of trades being 
executed at temporarily depressed prices, including many that were more 
than 60% away from pre-decline prices and were broken by the exchanges 
and FINRA. Occasionally a sudden and unanticipated price movement, 
unrelated to a security's fundamental and/or fair value, can be so 
drastic that market orders and stop loss orders face an increased risk 
of being executed at prices far away from their fundamental and/or fair 
values. Such extreme volatility causing significant fluctuations in an 
individual security`s price over short periods of time can undermine 
the integrity of the securities market. Key features of the Plan--Price 
Bands, Trading Pauses, and Limit States--are intended to reduce the 
frequency of these large, transitory price movements.
    The Plan was implemented in phases beginning on April 8, 2013.\16\ 
Prior to the operation of the Plan, each Participant adopted uniform 
rules on a pilot basis in response to the market events of May 6, 2010 
that paused

[[Page 66466]]

trading in individual securities during times of price volatility 
(``Single-Stock Circuit Breaker'' or ``SSCB'').\17\ The SSCB rules were 
an earlier attempt to address extraordinary market volatility under 
which a Participant paused an individual security for five minutes 
across all exchanges if the security experienced a 10% change in price 
over the preceding five minutes.\18\ The SSCB pilot mechanism was later 
replaced by the Plan, which is a more finely calibrated mechanism to 
address extraordinary price volatility.\19\ Specifically and unlike 
SSCB wherein a security was halted only after three trades at an 
extreme price, the Plan's mechanism suspends trading before such 
execution occurs.
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    \16\ The implementation of Phase I of the Plan began on April 8, 
2013 and ended on May 31, 2013. Phase I applied to securities 
included in the S&P 500 and Russell 1000 and some high volume ETPs 
from 9:45 a.m. to 3:30 p.m. During Phase I, the Plan did not operate 
during the market open and close. The implementation of the first 
part of Phase II began on August 5, 2013 and ended on September 3, 
2013. The first part of Phase II applied to all NMS securities 
beginning at 9:30 a.m. and ending at 3:45 p.m. Price Bands were 
calculated by applying double the Percentage Parameters during 9:30 
to 9:45 a.m. and during 3:35 to 3:45 p.m. The implementation of the 
second part of Phase II began on February 24, 2014. The second part 
of Phase II added Price Bands for the last 15 minutes of trading 
from 3:45 to 4:00 p.m. and applied to all exchange-listed securities 
except for Nasdaq. On May 12, 2104, the second part of Phase 2 was 
implemented for Nasdaq-listed securities.
    \17\ See Securities Exchange Act Release No. 62252 (June 10, 
2010), 75 FR 34186 (June 16, 2010) (SR-BATS-2010-014; SR-EDGA-2010-
01; SR-EDGX2010-01; SR-BX-2010-037; SR-ISE-2010-48; SR-NYSE-2010-39; 
SR-NYSEAmex-2010-46; SR-NYSEArca-2010-41; SR-NASDAQ-2010-061; SR-
CHX-2010-10; SR-NSX-2010-05; SR-CBOE-2010-047) (Order Granting 
Accelerated Approval to Proposed Rule Changes Relating to Trading 
Pauses Due to Extraordinary Market Volatility).
    \18\ The 10% threshold is for securities in the S&P 500. A 30% 
price movement is required for all other listed securities priced 
above $1.00 and a 50% price movement is for all listed securities 
priced below $1.00. Calculation of whether a securities price meets 
the required threshold is based on the price of executed trades.
    \19\ For example, the number of multiple cancellation events 
decreased after the implementation of the Plan. See page 34, Table 
15 of the Limit Up--Limit Down; National Market System Plan 
Assessment to Address Extraordinary Market Volatility (the 
``Supplemental Joint Assessment'' or ``Assessment''), available 
athttps://www.sec.gov/comments/4-631/4631-39.pdf (indicating a 
decrease from an average of 35.63 to 13.45 multiple cancelation 
events per month from the time during the SSCB Pilot Mechanism was 
in effect to after the Plan was fully implemented). For purposes of 
the Joint Assessment, a multiple cancellation event is an event in 
which there were six or more cancelled trade reports for a single 
stock during the day.
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    The Plan was approved on a pilot basis to allow the Participants 
and the public to gain valuable practical experience with the Plan's 
operations during the pilot period. This experience has proven 
instructive to the Participants and the public in assessing whether 
further modifications to the Plan were necessary and whether the Plan 
should operate on a permanent basis. During the pilot period, the 
Participants provided the Commission and the public \20\ with a 
significant amount of data bearing on the Plan's performance to aid in 
an assessment of its operations. Based on the Plan's performance, the 
Participants now propose to implement the Plan on a permanent basis. 
The Participants believe that the Plan has been beneficial to the 
national market system by serving to dampen price volatility and 
prevent unwarranted Trading Pauses that are unrelated to volatility, as 
intended. Therefore, the Participants believe that the Plan should be 
approved to operate on a permanent basis.
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    \20\ See Supplemental Joint Assessment, id.
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    The data collected during the pilot period and numerous studies 
conducted by the Participants and the Commission's Department of 
Economic and Risk Analysis (``DERA'') have shown that the Plan has been 
beneficial to the markets by serving to dampen price volatility. For 
instance, DERA issued a number of papers studying the operation of the 
Plan. In one paper, DERA described their study of the Plan's effect on 
extraordinary transitory volatility and found evidence that the Plan's 
mechanism reduced extraordinary transitory volatility relative to the 
prior SSCB mechanism depending on which methodology was employed.\21\ 
In particular, DERA found evidence that the magnitude of the largest 
price reversals that occurred each day for both Tier 1 and Tier 2 NMS 
Stocks were smaller during the Plan time period than during the SSCB 
Pilot time period or the time period before the SSCB Pilot went into 
effect. DERA also found evidence that the frequency of moderate price 
reversal decreased during the eight week phase-in implementation during 
which Tier 1 NMS Stocks were subject to the Plan and Tier 2 NMS Stocks 
were subject to the SSCB mechanism.
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    \21\ See `` `Limit Up-Limit Down'' Pilot Plan and Extraordinary 
Transitory Volatility'', by Paul Hughes, John Ritter, and Hao Zhang, 
DERA, dated December 2017, available at https://www.sec.gov/comments/4-631/4631-2830173-161647.pdf.
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    Moreover, pursuant to the Plan's requirements,\22\ the Participants 
provided the Commission with an assessment relating to the impact of 
the Plan and calibration of the Percentage Parameters on May 28, 
2015.\23\ In performing the Joint Assessment, the Participants, in 
conjunction with a third party consultant, studied data from each 
exchange and FINRA for the time period from the implementation of the 
Plan on April 2012 through December 2014. The Participants studied the 
impact of approaching Price Bands on limit order books, the Plan's 
impact on erroneous executions, appropriateness of Percentage 
Parameters, length of Limit States, concerns by options market 
participants regarding limit states, the process for entering Limit 
States and the impact of Straddle States, exiting Limit States, as well 
as the length of Trading Pauses and the reopening process.
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    \22\ See Appendix B, Section III of the Plan.
    \23\ See the Supplemental Joint Assessment, supra note 19.
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    Based on the data analyzed, the Supplemental Joint Assessment found 
that the Plan has been largely effective at reducing the negative 
impacts of sudden, unanticipated price movements in NMS Stocks, thereby 
protecting investors and promoting a fair and orderly market. In 
particular, the data in the Supplemental Joint Assessment had shown 
that the Price Bands dampened price volatility by keeping prices within 
the Price Bands. For instance, the data in the Supplemental Joint 
Assessment showed that even in the cases where a Limit State is 
reached, a majority (63.3%) of those Limit States naturally resolved 
themselves within one second without triggering a Trading Pause.\24\ 
Only 4.08% of Limit States resulted in a Trading Pause.\25\ The data in 
the Supplemental Joint Assessment further showed that the Percentage 
Parameters used to determine the width of the Price Bands were 
reasonably designed to ensure that they were not too wide as to permit 
trades to occur at prices that do not properly reflect supply and 
demand, and not too narrow as to cause excessive disruptions, 
inhibiting the price discovery process.\26\ In reaching this 
conclusion, the Supplemental Joint Assessment examined, among other 
things, the frequency distribution of intraday stock returns to gain 
insight on reasonable price moves that could take place within a day as 
well as frequency of Reference Price changes. Based on this study, the 
Supplemental Joint Assessment stated that the ``relative rarity of 
large price updates of comparable magnitude to the wider Price Bands 
indicate that the Price Bands could be narrowed substantially without 
causing undue restrictions on trading.'' \27\ The Supplemental Joint 
Assessment also examined minute by minute changes in stock prices to 
examine short-term price reversals for the month of October 2014, the 
most volatile month in the sample period. It further found the five 
minute time period within which Reference Prices are calculated 
provided a representative measure of price trends on which to base such 
calculation.\28\
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    \24\ Id. at page 19.
    \25\ Id.
    \26\ Id. at page 35.
    \27\ Id. at page 39.
    \28\ See the Supplemental Joint Assessment, supra note 19, at 
page 39.
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    The data in the Supplemental Joint Assessment also showed that the 
length of Limit States is clearly adequate for the markets in 
individual stocks to revert to normal market condition. The

[[Page 66467]]

Supplemental Joint Assessment observed that over 99% of the Limit 
States in stocks with a market capitalization of over $1 billion 
resolved themselves without a Trading Pause, and the vast majority of 
them were resolved in one second.\29\ The same general pattern was also 
true for small capitalization NMS Stocks.
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    \29\ Id.
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    In its conclusion, the Supplemental Joint Assessment found that 
cancellation events decreased significantly under the Plan and that the 
Plan's parameters are successful in preventing trades from occurring 
outside of the Price Bands, avoiding the types of mispriced trades that 
resulted in the Flash Crash.\30\ However, the Supplemental Joint 
Assessment expressed concern regarding potential disruption in the 
price discovery process around the opening of trading due to the 
possible calculation of an inaccurate Reference Price, which may 
trigger Limit States or Trading Pauses for reasons unrelated to the 
market for the security. Therefore, the Supplemental Joint Assessment 
recommended that the previous day's closing price be used as the 
Reference Price where there are no trades in the opening auction. Based 
on these findings, the Supplemental Joint Assessment recommended that 
the Plan be made permanent with the one modification to the Reference 
Price calculation,\31\ which the Participants later adopted in 
Amendment No. 10 discussed below.
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    \30\ Id. at page 54.
    \31\ Id.
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    Notwithstanding the Plan's positive impact on the markets, the 
Participants continued to monitor the scope and operation of the Plan 
during the pilot period. As a result, the Participants identified two 
areas of the Plan that needed improvement; namely, the calculation of 
Reference Prices during the opening of trading and the performance of 
the reopening process following a Trading Pause. As a result, the 
Participants filed Amendments Nos. 10 and 12 to the Plan proposing 
modifications that the Participants deemed necessary and appropriate to 
improve the Plan's performance in these two areas.
    Amendment No. 10. First, in Amendment No. 10, the Participants 
amended the Plan to modify the definition of Opening Price, which is 
used to determine the first Reference Price of the day.\32\ Prior to 
Amendment No. 10, the Opening Price was defined as the first trade or 
the midpoint of the Primary Listing Exchange's best bid and offer where 
the Primary Listing Exchange opened with a quotation, if such Opening 
Price occurred within the first five minutes of the start of Regular 
Trading Hours. Amendment No. 10 changed the definition of Opening Price 
where the Primary Listing Exchange opens with a quotation from the 
midpoint of that quotation to the previous day's official closing 
price. In proposing Amendment No. 10, the Participants noted that the 
midpoint of the bid and offer often resulted in an unrealistic 
Reference Price \33\ where a security opens on quotes that are 
extremely wide or improperly skewed. The Participants noted that this 
could, in turn, trigger Limit States and Trading Pauses at inaccurate 
price levels.\34\
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    \32\ Section V(B)(1) of the Plan provides that 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.
    \33\ See Securities Exchange Act Release No. 77205 (February 22, 
2016), 81 FR 10315 (February 29, 2016) (``Amendment No. 10 
Notice'').
    \34\ Id.
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    The revised definition of Opening Price in Amendment No. 10 altered 
the determination of a security's first Reference Price when that 
security does not trade in an opening auction in an effort to reduce 
the incidence of unnecessary price moves and reduce the number of 
unwarranted \35\ Trading Pauses and Limit States during the 
commencement of Regular Trading Hours.
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    \35\ An ``unwarranted Trading Pause'' is one that occurs because 
of factors unrelated to trading volatility. For example, if the 
Price Bands based on poor Reference Prices result in a Trading 
Pause, such Trading Pause would be considered unwarranted. 
Unwarranted Trading Pauses in illiquid stocks are typically 
characterized by wide or skewed spreads between buy and sell orders 
and no trading activity leading into the Trading Pause. Another 
example of an unwarranted Trading Pause is discussed below under the 
section entitled Proposal to Amend Calculation of Percentage 
Parameters beginning on page 21.
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    Amendment No. 10 improved the operation of the Plan. Since its 
implementation on July 18, 2016, Amendment No. 10 reduced the number of 
unwarranted Trading Pauses and Limit States during the commencement of 
Regular Trading Hours as intended. Chart A sets forth the number of 
Trading Pauses in all NMS Stocks across all Primary Listing Exchanges 
from January 4, 2016 through August 30, 2018. The data in Chart A 
illustrates the decrease in Trading Pauses for all NMS Stocks in the 
time since Amendment No. 10 was implemented in July 2016. Trading 
Pauses dropped from an average of 64.4 per day to an average of 9.2 per 
after Amendment No. 10 was implemented.

[[Page 66468]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.000

    Further, as evidenced by the data in Chart B, Trading Pauses in 
ETPs declined from 13.7 per day to 2.2 per day since Amendment No. 10 
was implemented.

[[Page 66469]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.001

    In addition, DERA issued a white paper studying the impact of 
Amendment No. 10 and found that Trading Pauses for both Tier 1 and Tier 
2 NMS Stocks were less frequent following the implementation of the 
amendment.\36\ DERA found that the ``decrease in the frequency of 
Trading Pauses was largest for Tier 2 securities, relative to Tier 1, 
and also larger in the first 30 minutes after the opening of the 
trading day.'' \37\ In particular, from May 12, 2014 (the day Phase 2 
of the Plan was implemented) to December 31, 2016, DERA found that the 
number of Trading Pauses decreased by nearly 80%.\38\ Since the 
implementation of Amendment No. 10, DERA found a further decrease in 
Trading Pauses, with the largest decrease occurring prior to 10:00 a.m. 
As evidenced by the above data and DERA's study, Amendment No. 10 
improved the performance of the Plan during the commencement of trading 
by refining the selection method of an NMS Stock's Reference Price, 
resulting in a decrease in the number of Trading Pauses at the open.
---------------------------------------------------------------------------

    \36\ See ``The Effects of Amendment No. 10 of the `Limit Up-
Limit Down'' Pilot Plan'', by Paul Hughes, DERA, dated December 
2017, available at https://www.sec.gov/comments/4-631/4631-2830189-161648.pdf.
    \37\ Id. at 2.
    \38\ Id. at page 4.
---------------------------------------------------------------------------

    Amendments Nos. 12 and 13. On August 24, 2015, the U.S. markets 
experienced extraordinary equities market volatility in which 257 
securities triggered more than one halt, and those multi-halt 
securities accounted for 1,064 of the 1,278 total halts.\39\ Following 
this event, the Participants focused on a method to improve the 
accuracy of the reopening price so as to avoid triggering repeated 
Trading Pauses and adopted a set of common elements across all Primary 
Listing Exchanges for automated reopenings. The overarching objective 
was to ensure consistent and standardized behavior across markets, 
while carefully balancing Halt Auction price quality and the speed with 
which continuous trading can be resumed.
---------------------------------------------------------------------------

    \39\ See Research Note: Equity Market Volatility on August 24, 
2015, by Commission Staff of the Office of Analytics and Research, 
Division of Trading and Markets, dated December 2015, available at 
https://www.sec.gov/marketstructure/research/equity_market_volatility.pdf.
---------------------------------------------------------------------------

    The process of reopening a security after a Trading Pause prior to 
Amendment No. 12, provided that the Primary Listing Exchange would 
attempt to open the paused symbol five minutes after the commencement 
of the pause and, if unsuccessful, again 10 minutes later. If the 
Primary Listing Market was unable to reopen 10 minutes after the 
commencement of the pause, other markets were permitted to resume 
trading that symbol. Amendment No. 12 improved and standardized the 
automated reopening process following a Trading Pause. The Primary 
Listing Exchanges also adopted rules revising their automated reopening 
processes following a Trading Pause consistent with Amendment No. 
12.\40\
---------------------------------------------------------------------------

    \40\ See Securities Exchange Act Release Nos. 79846 (January 19, 
2017), 82 FR 8548 (January 26, 2017) (SR-NYSEArca-2016-130) 
(Approval Order); 79884 (January 26, 2017), 82 FR 8968 (February 1, 
2017) (SR-BatsBZX-2016-61) (Approval Order); 79876 (January 25, 
2017), 82 FR 8888 (January 31, 2017) (SR-Nasdaq-2016-131) (Approval 
Order). The Primary Listing Exchanges implemented these changes to 
their automated reopenings on November 20, 2017.
---------------------------------------------------------------------------

    Under the original reopening process after a Trading Pause, the 
Primary Listing Exchange would attempt to open the paused symbol at 
five minutes and then again at 10 minutes after the initial

[[Page 66470]]

pause. If the Primary Listing Market was unable to reopen at 10 minutes 
under its own auction rules (e.g., a market order imbalance was 
remaining or the auction clearing price is outside of the auction 
collar bands), other markets were permitted to resume trading that 
symbol. Amendment No. 12 changed this reopening process by generally 
requiring a Primary Listing Exchange to conduct a reopening auction 
prior to trade resumption by other Trading Centers. Specifically, 
Amendment No. 12 provided that, if the Primary Listing Exchange is 
unable to reopen after 10 minutes following a Trading Pause, non-
primary markets would no longer be allowed to resume trading. Instead, 
Amendment No. 12 required that the Trading Pause continue until the 
Primary Listing Exchange reopens and non-primary exchanges have 
received Price Bands from the Processor.
    In tandem with Amendment No. 12, the Primary Listing Exchanges 
amended their rules to harmonize certain aspects of their automated re-
opening procedures following a Trading Pause. The amended rules require 
that the Primary Listing Exchange publish auction price collars, which 
use a Reference Price based on the upper or lower Price Band that 
triggered the Trading Pause.\41\ The initial Trading Pause remains in 
effect for a full five minute period. If the Primary Listing Exchange 
is unable to reopen, a second full five minute Trading Pause begins and 
the auction price collar will be widened by another 5% (based on the 
last Reference Price. Price collars will be widened with each 
extension. Subsequent Trading Pause time periods also have a five 
minute duration, however re-openings after the initial 10 minutes can 
occur whenever the re-opening criteria have been met, without waiting 
for a full five minutes. In the event a Trading Pause is in effect and 
trading has not resumed by 3:50 p.m., trading in the NMS Stock will be 
deferred until 4:00 p.m. and combined with the closing auction process 
at each exchange.
---------------------------------------------------------------------------

    \41\ For example, if there is selling pressure, the auction 
reference price will be the lower Price Band. The lower Auction 
Collars would be 5% below that auction reference price (or $0.15 for 
stocks with a reference price below $3.00). To address mean price 
reversion, the upper Auction Collar will be the upper Price Band.
---------------------------------------------------------------------------

    To preclude potential scenarios when trading may resume without 
Price Bands, Amendment No. 12 also prohibits a Trading Center from 
resuming trading in an NMS Stock following a Trading Pause in the 
absence of Price Bands. In addition, to address potential scenarios in 
which there is no Reopening Price from the Primary Listing Exchange to 
use to calculate Price Bands, Amendment No. 12 also addressed when 
trading may resume if the Primary Listing Exchange is unable to reopen 
due to a systems or technology issue. Lastly, Amendment No. 12 also 
addressed how an NMS Stock's Reference Price would be determined in 
such a scenario as well as where the Primary Listing Exchange reopens 
trading on a zero bid or zero offer, or both. The Participants 
subsequently submitted Amendment No. 13 to build upon Amendment No. 12 
by providing that the Processor will publish the following information 
provided by a Primary Listing Exchange in connection with the reopening 
of trading following a Trading Pause: Auction reference price; upper 
auction collar; lower auction collar; and number of extensions to the 
reopening auction. This information provides greater transparency 
regarding the price range in which an NMS Stock can reopen and the 
elapsed time duration of the reopening process.
    The Commission-empaneled Equity Structure Advisory Committee 
(``EMSAC'') tasked its Market Quality Subcommittee to examine the 
events of August 24, 2015 and to recommend changes as needed. Like the 
Participants, the Market Quality Subcommittee (``Subcommittee'') 
studied mechanisms and functions that ``could fix the auction process 
so that it would more successfully re-price securities to its new fair 
range.'' \42\ The Subcommittee recommended that, instead of halting 
trading when a stock hits a Price Band as provided in the Plan, trading 
should continue within the current Price Bands for four minutes and 
then new Price Bands should be reset using the limit Price Band as the 
Reference Price for those Price Bands. Several members of the 
Subcommittee were also members of the Plan's Advisory Committee and the 
Subcommittee recommendations were discussed over a number of Operating 
Committee meetings on fixing the auction process. The Participants 
raised concerns that continued trading at the Price Bands would expose 
retail investors to disadvantageous pricing and determined to address 
the reopening auction process as described in Amendment No. 12.\43\
---------------------------------------------------------------------------

    \42\ See U.S. Securities and Exchange Commission Equity Market 
Structure Advisory Committee, Recommendations for Rulemaking on 
Issues of Market Quality, dated November 29, 2016, available at 
https://www.sec.gov/spotlight/emsac/emsac-recommendations-rulemaking-market-quality.pdf.
    \43\ The Participants will address the EMSAC recommendations in 
their first annual report regarding the Plan's operation, proposed 
herein and discussed below.
---------------------------------------------------------------------------

    The changes adopted by the Primary Listing Exchanges to extend the 
Trading Pause and widen the Reopening Auction Collar on the side of the 
Impermissible Price set forth a measured approach to provide additional 
time to attract offsetting interest, to help to address an imbalance 
that may not be resolved within the prior Halt Auction Collars, and to 
reduce the potential for triggering another Trading Pause.
    Conclusion. As supported by the above data and the Plan's overall 
performance, the Plan has proved to be a valuable tool in dampening and 
preventing extreme price volatility. Therefore, the Participants 
believe that the above data justifies the Plan being approved to 
operate on a permanent, rather than pilot, basis. Operation of the Plan 
on a permanent basis would provide market participants with greater 
assurance regarding the ongoing operation of the Plan and application 
of controls reasonably designed to stifle extraordinary price 
volatility.
    The Plan has been in effect for over five years since it commenced 
operation on April 18, 2013. The improvements made to the Plan in 
Amendments Nos. 10, 12, and 13 have been in place in since July 18, 
2016 (for Amendment No. 10) and November 20, 2017 (for Amendments Nos. 
12 and 13). In Amendment No. 17 to the Plan, the Participants extended 
the pilot period until April 15, 2019 to provide additional time for 
the public, the Participants, and the Commission to assess the 
operation of Amendment No. 12. The extension of the pilot period was 
also intended to provide additional time for the Participants, the 
Commission, and the public to consider other potential modifications to 
the Plan, including changes to how NMS Stocks are tiered under the 
Plan, and the applicable Percentage Parameters associated with such 
tiers, as well as the EMSAC recommendations.
    Since the implementation of Amendment Nos. 10, 12, and 13, the U.S. 
equity markets have not experienced a disruption similar to what had 
occurred on August 24, 2015, with stable price continuity occurring at 
the open and following reopenings after a Trading Pause. Nonetheless, 
the amended Plan has worked well during normal market conditions as 
well as the volatile market activity that occurred in February 2018. 
The Plan met the expectations of the Pilot by preventing unwarranted 
Trading Pauses that are unrelated to volatility while also

[[Page 66471]]

reducing the negative impacts of sudden, unanticipated price movements 
in NMS Stocks, as evidenced by the above data. Amendment No. 10 has 
served to greatly reduce the potential for a Reference Price to invoke 
an unwarranted Trading Pause. The Participants also believe that 
Amendment No. 12 will continue to perform as expected and will do so 
during times of potential future market volatility. In addition, the 
Participants propose to adopt a mechanism for the periodic review and 
assessment of the Plan's performance discussed below. That assessment 
would encompass an ongoing review of the Plan's operation generally, 
including the effectiveness of Amendments Nos. 12 and 13.
    The Participants believe that the five year pilot period has 
provided a robust sample size for ``the public, the Participants, and 
the Commission to assess the operation of the Plan and whether the Plan 
should be modified prior to approval on a permanent basis.'' \44\ In 
particular, this time has also allowed the public, the Participants, 
and the Commission time to assess the operation of the Plan as amended 
by Amendment Nos. 10 and 12. The Participants believe that the amended 
Plan has positively impacted the markets by meeting its intended goal, 
to dampen and prevent extreme price volatility, and should therefore be 
approved to operate on a permanent basis.
---------------------------------------------------------------------------

    \44\ See supra note 1, 77 FR 33498 at 33508.
---------------------------------------------------------------------------

Proposed Mechanism for Periodic Review and Assessment
    As part of its proposal to operate the Plan on a permanent basis, 
the Participants propose a periodic reporting mechanism by which they, 
along with the Commission and other market participants may continue to 
monitor the Plan's ongoing operation. The proposed structure would 
allow for the continued evaluation of the Plan's performance while 
accounting for an evolving market structure. The proposed mechanism 
would also ensure that the Plan continues to be monitored in a data-
driven manner by requiring data, analyses and reporting on a periodic 
basis. The proposed mechanism would provide transparency into the 
effectiveness of the Plan and allow the public and the Commission to 
examine its ongoing performance.
    Appendix B of the Plan currently requires that the Participants 
collect and transmit to the Commission certain information on a monthly 
basis, to be provided 30 calendar days following month end. Unless 
otherwise specified in Appendix B, the Primary Listing Exchanges are 
responsible for collecting and transmitting the data to the SEC. In 
sum, Sections I and II of Appendix B of the Plan require the 
Participants to produce the following data to the Commission as set 
forth in the Plan:
     Summary statistics concerning the frequency with which NMS 
Stocks enter a Limit State and when a Trading Pause has been declared 
for an NMS Stock;
     Raw Data concerning a record of every Straddle State, 
Price Band, Limit State, Trading Pause or halt;
     Data set of orders entered into reopening auctions during 
halts or Trading Pauses;
     Data set of order events received during Limit States; 
and,
     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.
    The Plan also includes a provision under Appendix B, Section III 
that required the Participants to produce a one-time report to the 
Commission relating to the impact of the Plan and calibration of the 
Percentage Parameters, as discussed above. The Participants produced 
that report to the Commission on May 25, 2015.\45\ As part of its 
proposal to operate the Plan on a permanent basis, the Participants 
propose to replace the current reporting provision under Appendix B, 
Section III with a reporting mechanism by which the performance of the 
Plan would be reviewed and assessed on an ongoing basis.
---------------------------------------------------------------------------

    \45\ See Supplemental Joint Assessment, supra note 19.
---------------------------------------------------------------------------

    As described earlier, Appendix B, Section III of the Plan required 
the Participants to provide the Commission at least two months prior to 
the end of the initial pilot period with an assessment relating to the 
impact of the Plan and calibration of the Percentage Parameters.\46\ 
The Participants submitted their Supplemental Joint Assessment on May 
28, 2015.\47\
---------------------------------------------------------------------------

    \46\ See Appendix B, Section III of the Plan.
    \47\ See Supplemental Joint Assessment, supra note 19.
---------------------------------------------------------------------------

    As part of its proposal to implement the Plan on a permanent basis, 
the Participants propose to replace these data reporting requirements 
with a mechanism by which the Participants would periodically review 
and assess the performance of the Plan.
    Data Provision. The Participants believe that regular, ongoing 
provision of data to the Commission is no longer necessary as public 
information provided in standard data products provides much of the 
information currently required by Appendix B.I and B.II.A through 
B.II.D. With respect to the data that is not publicly available, the 
Participants propose that the Plan would require the Participants to 
provide certain data listed below to the Commission upon request.
    As proposed, the Commission may request from the Primary Listing 
Exchanges the following data elements:

A. Data set of all orders entered during halts or Trading Pauses
    1. Normal or Auction Only orders, Arrivals, Changes, Cancels, # 
shares, limit/market, side, Limit State side
    2. Pipe delimited with field name as first record
B. Data set of order events received during Limit States
C. 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.

    These data elements are substantially similar to that currently 
required to be

[[Page 66472]]

produced monthly under Appendix B.II.E through G. The only difference 
is that amended Appendix B.I.A would require data for all orders 
entered during a halt or Trading Pause as well as identifying whether 
an order was an auction-eligible order. The requested data would be 
collected and transmitted to the Commission in an agreed-upon format, 
and would be provided 30 calendar days following the date of the 
request, or such other date as agreed upon by the Commission and 
Primary Listing Exchange(s). As is the case today, the proposed data 
collected and provided to the Commission under the Plan would be 
transmitted to the Commission with a request for confidential treatment 
under the Freedom of Information Act. 5 U.S.C. 552, and the 
Commission's rules and regulations thereunder.\48\ The proposed data 
collection requirements under Appendix B.I would expire at the time the 
above data becomes available via the National Market System Plan 
Governing the Consolidated Audit Trail or becomes publicly available.
---------------------------------------------------------------------------

    \48\ The Participants understand the data requested pursuant to 
proposed Appendix B.I may be used by the Commission for analysis and 
assessment of the Plan and that any portion of the data utilized as 
part of a public report produced by the Commission would be included 
on an anonymous and aggregated basis.
---------------------------------------------------------------------------

    Reporting. The Participants propose to provide the Commission, and 
make publicly available, three categories of reports concerning the 
Plan's ongoing operation on either a periodic or ad hoc basis, as 
described below. Specifically, the Participants propose to submit to 
the Commission an annual report assessing the Plan's performance, 
quarterly reports providing basic statistics, as well as an ad hoc 
report on the effectiveness of LULD following a significant market 
event if requested by the Commission. The Participants would perform 
the proposed ongoing assessment and reporting concerning the Plan's 
performance based on an empirical analysis of relevant data. Each 
report proposed herein and provided to the Commission would be made 
publicly available and published on the Plan's website.
    Annual Report. As amended, Appendix B, Section III of the Plan 
would require that by no later than March 31, 2020 and annually 
thereafter, the Operating Committee would provide the Commission and 
make publicly available a report containing key information concerning 
the Plan's performance during the preceding calendar year (``Annual 
Report''). The proposed Annual Report would be produced in consultation 
with the Advisory Committee and include the following items: (i) An 
update on the Plan's operations; (ii) an analysis of any amendments to 
the Plan implemented during the period covered by the report; and (iii) 
an analysis of potential material emerging issues that may directly 
impact the operation of the Plan.
     Update on the Plan's Operations. This section of the 
Annual Report would analyze the Plan's operation during the covered 
period, including a discussion of any areas of the Plan's operation 
that require additional analysis. In particular, this section of the 
Annual Report would examine the calibration of the parameters set forth 
in the Plan (e.g., Price Bands, duration of Limit States, impact of 
Straddle States, duration of Trading Pauses, and the performance of 
reopening procedures following a Trading Pause). This section of the 
Annual Report also would consider stock characteristics and variations 
in market conditions over time, and will include tests that 
differentiate results for different characteristics, both in isolation 
and in combination.
     Analysis of Amendments Implemented. This section of the 
Annual Report would provide an analysis of any amendments implemented 
during the covered period. The analysis would include a discussion of 
the amendment's operation and its impact on the overall operation of 
the Plan. For example, this section of the Annual Report would include 
an analysis of the amendments proposed herein to Section V.A. I of the 
Plan concerning the calculation of the Percentage Parameters should 
those changes be approved by the Commission and implemented by the 
Participants during the period covered by that Annual Report.
     Analysis of Emerging Issues. This section of the Annual 
Report should vary from year-to-year and would include a discussion and 
analysis of the Plan's operation during a significant market event that 
may have occurred during the covered period. This section shall also 
include any additional analyses performed during the covered period on 
issues that were raised in previous Annual Reports. In this section of 
the first Annual Report to be produced by March 31, 2020, the 
Participants intend to discuss the November 29, 2016 recommendations 
made by EMSAC's Market Quality Subcommittee.\49\
---------------------------------------------------------------------------

    \49\ See U.S. Securities and Exchange Commission Equity Market 
Structure Advisory Committee, Recommendations for Rulemaking on 
Issues of Market Quality, dated November 29, 2016, available at 
https://www.sec.gov/spotlight/emsac/emsac-recommendations-rulemaking-market-quality.pdf.
---------------------------------------------------------------------------

    The Participants would perform the proposed ongoing assessment and 
reporting concerning the Plan's performance based on an empirical 
analysis of relevant data. Any analysis conducted by the Participants 
and included in the Annual Report would be based on aggregated data 
from all relevant exchanges and FINRA, depending on the issue that is 
being analyzed. The Annual Report would be published on the Plan's 
website.\50\
---------------------------------------------------------------------------

    \50\ As is the case today with proposed amendments to National 
Market System Plan submitted pursuant to Rule 608 of Regulation NMS, 
17 CFR 242.608, and published by the Commission for public comment, 
the Participants would consult with Commission staff when evaluating 
comments submitted by the public on the Annual Report and whether a 
response is necessary. The Participants note that a similar process 
is also currently in place when evaluating public comments submitted 
on proposed rule changes submitted by self-regulatory organizations 
under Section 19(b) of the Exchange Act. Neither Rule 608 nor 
Section 19(b) of the Exchange Act, 15 U.S.C. 78s(b), require that 
the Participants respond to each comment submitted on a proposed 
amendment to a National Market System Plan or rule change proposed 
to an individual exchange rule. Nonetheless, as with current 
practice, potential public comments on the reports proposed herein 
that raise material issues relevant to the Plan's operation would 
likely warrant a response from the Participants.
---------------------------------------------------------------------------

    Quarterly Data. 30 days following the end of each calendar quarter, 
the Participants would provide the Commission and make publicly 
available a report including basic statistics regarding the Plan's 
operation (``Monitoring Report'') during the preceding calendar quarter 
as well as aggregated data from the previous 12 quarters beginning with 
the calendar quarter covered by the first Monitoring Report. The data 
included in the Monitoring Report would be collected and transmitted to 
the Commission in an agreed-upon format that would allow for the 
download and analysis by the Commission and the public. The purpose of 
the Monitoring Report is to identify trends in the performance and 
impact of the Plan on market activity. The Monitoring Report would 
include data, for example, of the number and rate of recurrence of 
Limit States, Straddle States and Trading Pauses for each month during 
the calendar quarter. The Monitoring Report would also examine the 
number of Clearly Erroneous Executions that occur during the operation 
of the Plan and the performance of reopening procedures following a 
Trading Pause. Appendix B.II.B would require the quarterly data 
production to include the following data for each month during the 
preceding calendar quarter:

A. Events Data.

[[Page 66473]]

    1. Number of Limit States, Trading Pauses, and Straddle States per 
day, including distribution statics such as the mean, median, minimum 
and maximum percentiles
    2. Number of NMS Stocks that experience more than one Limit State, 
Trading Pause, or Straddle State in a single day including the length 
of each Limit State, Trading Pause, and Straddle State per day
B. The number of Clearly Erroneous Events per day for all NMS Stocks 
that occurred during the time when Price Bands are disseminated by the 
Processor
C. Reopening Data
    1. Number of times an automated reopening process is extended for 
and the length of the Trading Pause
    2. Whether the reopening process ended in a trade
    3. The price calculated by an automated reopening process for an 
NMS Stock exiting a Trading Pause
    4. For the five minutes following the conclusion of a Trading 
Pause, the highest price of all last sale eligible trades, the lowest 
price of all last sale eligible trades, and the average price of all 
last sale eligible trades

    Appendix B.II.B would also require that the data production 
partition stocks by the following categories, which are identical to 
that currently required for the monthly data productions under the 
existing text to Appendix B.I.A.1.

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

    Appendix B.II.B would also require that the above data be 
partitioned by time of day into the following categories, which are 
identical to that currently required for the monthly data productions 
under the existing text to Appendix B.I.A.2.

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

    Reports on Market Events. As proposed, the Plan would include a 
provision that would describe when the Operating Committee would be 
required to produce a report at the Commission's request. Specifically, 
upon Commission request, the Operating Committee would provide the 
Commission and make publicly available a report analyzing the Plan's 
operation during a significant market event that (1) materially 
impacted the trading of more than one security across multiple Trading 
Centers; (2) and is directly related to or implicating the performance 
of the Plan. For example, this report will evaluate the performance of 
Market-Wide Circuit Breakers during the covered period and their 
relationship to and interaction with the operation of the Plan during 
times when the Market Wide Circuit Breakers have been triggered. The 
Participants note that a discussion of the Plan's operation during a 
significant market event is also proposed to be included in the 
proposed Annual Report. Depending on the timing of the ad hoc report 
requested by the Commission, the Participants anticipate that the 
report requested by the Commission may be satisfied by inclusion of an 
analysis of the Plan's operation during a significant market event in 
the proposed Annual Report.
Proposal To Amend Calculation of Percentage Parameters
    The Price Bands for an NMS Stock are 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 are calculated during Regular Trading 
Hours. The Price Bands are calculated by applying double the Percentage 
Parameters between 9:30 a.m. and 9:45 a.m., and 3:35 p.m. and 4:00 
p.m., or in the case of an early scheduled close, during the last 25 
minutes of trading before the early scheduled close.\51\ Doubling of 
Percentage Parameters results in Price Bands for Tier 1 and Tier 2 NMS 
Stocks priced above $3.00 of 10% and 20%, respectively.
---------------------------------------------------------------------------

    \51\ If the Processor has not yet disseminated Price Bands, but 
a Reference Price is available, a Trading Center may calculate and 
apply Price Bands based on the same Reference Price that the 
Processor would use for calculating such Price Bands until such 
trading center receives Price Bands from the Processor.
---------------------------------------------------------------------------

    As part of their ongoing obligation to study and make 
recommendations for improvement and in consultation with the Advisory 
Committee, the Participants propose to amend the Plan to change the 
calculation of Price Bands between 9:30 a.m. and 9:45 a.m. by 
eliminating the requirement to double the applicable Percentage 
Parameters under Section V.A.1. The Participants also propose to amend 
Section V.A.1 of the Plan to double the Percentage Parameters between 
3:35 p.m. and 4:00 p.m., or in the case of an early scheduled close, 
during the last 25 minutes of trading before the early scheduled close, 
for only Tier 1 NMS Stocks and Tier 2 NMS Stocks with a Reference Price 
equal to or below $3.00. This change would result in no longer doubling 
the Percentage Parameters of Tier 2 NMS Stocks with a Reference Price 
above $3.00 near the close.\52\
---------------------------------------------------------------------------

    \52\ The Participants would include in an Annual Report an 
analysis of the amendments proposed herein to Section V.A.I of the 
Plan concerning the calculation of the Percentage Parameters if 
implemented by the Participants during the period covered by that 
Annual Report.
---------------------------------------------------------------------------

    Chart C illustrates the disproportionate number of Limit States and 
Trading Pauses that occur at or shortly after 9:45 a.m., the only time 
Price Bands contract intraday. Wider Price Bands could cause displayed 
quotations that are within the Price Bands prior to 9:45 a.m. to then 
be outside of the Price Bands once they contract. This, in turn, 
results in an increased number of Limit States and Trading Pauses 
starting at 9:45 a.m. when quotations may not be updated quickly 
enough. (The chart also shows that the number of Limit States and 
Trading Pauses then decreases as trading adjusts to the tighter Price 
Bands.)
    As illustrated in Chart C, over 21% of all Trading Pauses occur in 
the five minutes following the contraction of the Price Bands between 
9:45 a.m. and 9:50 a.m. Chart D shows that the increase in Trading 
Pauses at 9:45 a.m. is not due to an increase in volatility at or 
around 9:45 a.m., but is primarily driven by the sudden contraction of 
Price Bands as currently required by the Plan.

[[Page 66474]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.002

[GRAPHIC] [TIFF OMITTED] TN26DE18.003


[[Page 66475]]


[GRAPHIC] [TIFF OMITTED] TN26DE18.004

    Chart E and F below review the same data as Chart C over 15-minute 
periods, rather than 5-minutes, and show that the first 15 minutes of 
the trading day from 9:30 a.m. to 9:45 a.m. account for less than 10% 
of all Trading Pauses. Meanwhile, the subsequent 15 minutes following 
the contraction of Price Bands at 9:45 a.m. account for nearly 30% of 
all Trading Pauses despite no evidence of abnormal volatility.
    To further illustrate distortions caused by double wide Price Bands 
from 9:30-9:45 a.m., the Participants studied the distribution of 
clearly erroneous executions during the trading day. Chart F shows that 
44% of all clearly erroneous executions occur between 9:30 a.m. and 
9:45 a.m. since the implementation of Amendment No. 10 on July 18, 
2016. With regard to ETPs, 64% of all clearly erroneous executions 
occur between 9:30 a.m. and 9:45 a.m. during that same period. The 
Participants and Advisors \53\ believe that narrower Price Bands during 
this 15 minute period would have prevented some of these clearly 
erroneous executions by pausing trading at the Price Bands.
---------------------------------------------------------------------------

    \53\ The Commission understands that this reference to 
``Advisors'' is related to Section II(D) of the plan, which 
discusses the Advisory Committee.
---------------------------------------------------------------------------

    The Participants analyzed the potential impact of eliminating 
double wide Price Bands on the number of Limit States and Trading 
Pauses. As expected, using trading data from January 2, 2018 to June 
30, 2018, our model predicts a hypothetical increase in the number of 
Limit States and Trading Pauses. Under existing procedures for 
calculating Price Bands, the Participants observed that an average of 
1.3 NMS Stocks per day experienced one or more Limit States between 
9:30 a.m. and 9:45 a.m. Those Limit States resulted in an average of 
0.85 NMS Stocks experiencing a Trading Pause each day. Based on 
historical data, the Participants estimated that eliminating the 
doubling of Percentage Parameters between 9:30 a.m. and 9:45 a.m. would 
increase the number of NMS Stocks that experience a Limit State from 
1.3 to 5.5 per day, leading to an estimated average of 3.60 NMS Stocks 
experiencing a Trading Pause, an increase of 2.75 per day.
[GRAPHIC] [TIFF OMITTED] TN26DE18.005


[[Page 66476]]


[GRAPHIC] [TIFF OMITTED] TN26DE18.006

    With regard to ETPs, the Participants observed that an average of 
0.5 ETPs per day experienced one or more Limit States between 9:30 a.m. 
and 9:45 a.m. from January 2, 2018 to June 30, 2018. Those Limit States 
resulted in an average of 0.34 symbols experiencing a Trading Pause 
each day. Based on historical data, the Participants anticipate that no 
longer doubling the Percentage Parameters between 9:30 a.m. and 9:45 
a.m. would increase the number of ETP symbols with limit states from 
0.5 per day to 1.4 per day, with an average of 0.94 symbols 
experiencing a Trading Pause, and increase of 0.6 per day.
[GRAPHIC] [TIFF OMITTED] TN26DE18.007

    Despite this theoretical increase in Limit States and Trading 
Pauses, the Participants and Advisors believe that eliminating double 
wide Price Bands would not result in an actual increase. Instead, the 
Participants and Advisors, in particular, believe that market 
participants will quickly adapt their systems to quote and trade within 
the new, tighter Price Bands. Furthermore, market participants will no 
longer need to adjust their quotes in response to a sudden narrowing of 
Price Bands at 9:45. It is anticipated that market makers would quote 
within the proposed tighter Price Bands and their quotes would remain 
within the Price Bands as they adjust due to market conditions, rather 
than at a set time where they drastically contract. The expectation is 
that market makers would continue to provide liquidity within the Price 
Bands, even if the Price Bands are tighter than the current levels. As 
a result of the proposal, the Participants and Advisors anticipate that 
overall the average number of Limit States and Trading Pauses will 
decrease.
    Currently, Percentage Parameters are also doubled at the close of 
trading--i.e., the period between 3:35 p.m. and 4:00 p.m., or in the 
case of an early scheduled close, during the last 25 minutes of trading 
before the early scheduled close. The Participants propose to amend 
Section V.A.1 of the Plan to double the Percentage Parameters at the 
close for only Tier 1 NMS Stocks and Tier 2 NMS Stocks with a Reference 
Price equal to or below $3.00. Tier 2 NMS Stocks priced above $3.00, 
which are already subject to a wide Percentage Parameter of 10% during 
the rest of the trading day, would not be doubled. This proposed change 
is intended to dampen extreme price movements that may occur inside of 
the

[[Page 66477]]

expanded Price Bands near the close of trading.
    The Participants originally designed the Plan to include doubled 
Percentage Parameters around the opening and close of trading to ensure 
that the new Limit Up-Limit Down mechanism would perform as intended in 
periods of higher volatility. Although there was no available data on 
which to base this decision, at the time the Participants believed that 
this exception to the regular Percentage Parameters was an appropriate 
cautionary measure while the Participants and the industry gained 
experience with this new mechanism. Specifically, as stated in the 
Participants' response to comments on the proposed Plan, the 
Participants stated that, ``[t]he Participants believe that the 
proposed doubling of the Percentage Parameters is appropriate in light 
of the volatility profiles around the opening and closing periods, and 
that no adjustment to the timing or levels of the Price Bands should be 
made to the Plan until experience is gained from both Phases I and II'' 
(emphasis added). In approving this aspect of the Plan, the Commission 
relied on the expertise of the Participants but further provided that 
the pilot period would provide additional time to gain experience with 
the operation of the Plan that would inform any permanent approval.
    Based on the Participants' collective experience in operating the 
Plan over the past five years, as well as advice from market 
participants including the Advisory Committee, the Participants believe 
that the original concerns about volatility around the close were 
unfounded with respect to Tier 2 NMS Stocks where the applicable 
Percentage Parameters are already 10% during the remainder of the 
trading day. Specifically, the Participants found that only a de 
minimis number of trades actually occur outside of the regular 10% 
Percentage Parameter, and that therefore the doubling of the Percentage 
Parameters for Tier 2 NMS Stocks at the close is unwarranted.
    Furthermore, the Participants believe that the currently doubled 
Percentage Parameters for Tier 2 NMS Stocks--which would accommodate 
price swings of as much as 40% when trading from the upper Price Band 
to the lower Price Band--are inconsistent with the stated goal of the 
Plan, which is to address extraordinary volatility in NMS Stocks, and 
thereby protect investors and promote fair and orderly markets. While 
data collected by the Participants shows that such extreme price moves 
are rare today, the Participants believe that waiting for a major event 
to occur before closing this gap would weaken investor confidence in 
the markets, and is inconsistent with principles of investor 
protection.
    As shown by Chart I, extreme price changes remain rare and are 
readily accommodated within the normal, non-doubled, Percentage 
Parameter for Tier 2 NMS Stocks. To illustrate, the Participants 
reviewed how far every NMS Stock's price moved (high to low) during 
every 30-second period from January 2018 to March 2018, a period that 
included relatively higher volatility in February 2018. As described by 
the below data, over that period, 99.9% of 30-second high-low price 
changes were less than 3%. Less than .02% of 30-second periods (22,347 
out of 117 million measured) included a price change greater than 5%. 
Only 126 30-second periods included price change of more than 20%.
BILLING CODE 8011-01-P

[[Page 66478]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.008

    As illustrated in Charts J and K below, Trading Pauses are 
significantly underrepresented during the last 25 minutes of the 
trading day where the Percentage Parameters are doubled. Based on data 
compiled by the Participants, during 2017 and 2018 through October 12, 
an average of 0.06 Trading Pauses occurred each day at the close (about 
one pause every 17 trading days). By comparison, the average for any 25 
minute period across the entire trading day is 0.57 Trading Pauses per 
day (about one pause every 2 trading days). Even with the proposed 
change to only double Percentage Parameters for Tier 2 NMS Stocks with 
a Reference Price below $3.00, the Participants expect that the total 
number of Trading Pauses experienced during this period would be de 
minimis. The Participants estimate that eliminating double wide at the 
close will results in about 0.2 new Trading Pauses per day (out of a 
total of 9 per day during 2017 and 2018 through October 12, 2018) would 
result from the proposed change, without accounting for a reduction 
attributable to behavioral changes. Trading Pauses would therefore 
continue to be underrepresented at the close notwithstanding any 
minimal increase.

[[Page 66479]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.009

[GRAPHIC] [TIFF OMITTED] TN26DE18.010

BILLING CODE 8011-01-C
    Furthermore as discussed above, the Participants believe that the 
real number of new Trading Pauses under the proposed modified 
percentage parameters would be significantly lower than suggested by 
historical data because that data does not take into account changes in 
behavior by market participants. Specifically, the Participants 
believe, based on experience operating the Plan and the advice of the 
Advisory Committee, that market participants would adjust their quoting 
behavior in response to these changes, resulting in a much lower number 
of Trading Pauses than suggested by the historical data.
    Eliminating the doubling of the Percentage Parameters at the close 
for Tier 2 NMS Stocks priced above $3.00 would therefore come with 
almost no cost in terms of additional Trading Pauses and would remove 
the possibility of extreme price movements within the Price Bands. 
While volatility near the close has been rare, continuing to double 
Percentage Parameters leaves investors at risk of extreme price changes 
of up to 40% from the Upper Price Band to the Lower Price Band. At the 
same time, there is no evidence that eliminating the doubling of 
Percentage

[[Page 66480]]

Parameters at the close for Tier 2 NMS Stocks priced above $3.00 would 
be disruptive to the market. The Participants therefore believe that it 
is consistent with the protection of investors and the public interest 
to no longer double the Percentage Parameters at the close for these 
securities. In addition, the Participants believe that this change is 
consistent with the goals of the Plan itself as Price Bands that are 
40% wide from the Upper Band to the Lower Band at the close leave open 
the potential for the extraordinary price movements that resulted in 
the Plan being adopted in the first place. In fact, Participants 
believe that these double wide Price Bands leave open the potential for 
future mini-Flash Crashes that can and should be prevented.
    In addition, there have been discussions around eliminating clearly 
erroneous rules when the Limit Up-Limit Down mechanism is in effect. 
Broadly, the Limit Up-Limit Down mechanism prevents trades from 
happening at prices where one party to the trade would be considered 
``aggrieved,'' and thus could be viewed as an appropriate mechanism to 
supplant clearly erroneous rules. The Participants believe, however, 
that without the backstop of clearly erroneous rules, it is vital that 
the Price Bands are appropriately tailored to prevent trades that are 
so far from current market prices that they would be viewed as having 
been executed in error. Continuing to permit trading to occur within 
Price Bands that are as much as 20% above or below the Reference Price 
without the protections provided by the clearly erroneous rules does 
not satisfy this requirement, and would be detrimental to investors and 
the public interest.

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 Plan was initially implemented as a one-year pilot program in 
two phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation began on April 8, 2013 and was completed on May 3, 2013. 
Implementation of Phase II of the Plan began on August 5, 2013 and was 
completed on February 24, 2014.
    The Participants propose to implement the proposal to operate the 
Plan on a permanent basis upon Commission approval of this amendment.
    The Participants propose to implement the proposed changes to 
Section V.A.1 of the Plan no later than 12 months after approval of 
this amendment. The implementation of these changes is contingent upon 
the Processors' ability to implement this amendment on the proposed 
timeline. The Participants will provide six month advance public notice 
to market participants of the implementation date of the proposed 
changes to Section V.A.1 of the Plan.
    Quarterly Monitoring Reports required under Appendix B.II.B would 
be submitted no later than 30 days after the end of the covered 
calendar quarter. The Participants propose that the first quarterly 
Monitoring Report would cover the second full calendar quarter 
following the approval of this amendment. For example, if this 
amendment is approved during Q1 2019 then the first quarterly 
Monitoring Report would cover Q3 2019 and would be submitted no later 
than October 30, 2019. The Participants would continue to submit 
monthly data required by current Appendix B.I and B.II for months that 
would not be included in a quarterly Monitoring Report. The 
Participants would cease producing monthly data required by current 
Appendix B.I and B.II at the beginning of the calendar quarter covered 
by the first quarterly Monitoring Report.
    The Participants propose to submit the first Annual Report required 
under Appendix B.II.A no later than March 31, 2020.

D. Development and Implementation Phases

    The Plan was initially implemented as a one-year pilot program in 
two Phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation began on April 8, 2013 and was completed on May 3, 2013. 
Implementation of Phase II of the Plan began on August 5, 2013 and was 
completed on February 24, 2014. The tenth amendment to the Plan was 
implemented on July 18, 2016 and the twelfth and thirteenth amendments 
to the Plan were implemented on November 20, 2017.\54\ Pursuant to this 
proposed amendment, the Participants propose to make the Plan permanent 
upon approval of this amendment.
---------------------------------------------------------------------------

    \54\ See text accompanying 82 FR 45922, note 1, supra.
---------------------------------------------------------------------------

E. Analysis of Impact on Competition

    The proposed amendments to the Plan would apply to all market 
participants equally and would not impose a competitive burden on one 
category of market participant in favor of another category of market 
participant. The proposed amendment would apply to trading on all 
Trading Centers and all NMS Stocks would be subject to the amended 
Plan's requirements. Therefore, the proposed Plan does not impose any 
burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Exchange Act. The Participants do 
not believe that the proposed Plan introduces terms that are 
unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of 
the Exchange Act because it would apply to all market participants 
equally.

F. Written Understanding or Agreements Relating to Interpretation of, 
or Participation in, Plan

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

G. Approval of Amendment of the Plan

    On October 31, 2018, the Operating Committee, duly constituted and 
chaired by Mr. Robert Books of Cboe Global Markets, Inc., voted 
unanimously to amend the Plan as set forth herein in accordance with 
Section III(C) of the Plan. The Plan Advisory Committee was notified in 
connection with the Eighteenth Amendment and was in favor. 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 Exchange 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

    This section is not applicable as the proposed amendment to the 
Plan does not involve fees or charges.

[[Page 66481]]

J. Method and Frequency of Processor Evaluation

    This section is not applicable as the operation of the Plan is 
conducted by the Primary Listing Exchange.

K. Dispute Resolution

    Section III(C) of the Plan provides that each Participant shall 
designate an individual to represent the Participant as a member of an 
Operating Committee. No later than the initial date of the Plan, the 
Operating Committee shall designate one member of the Operating 
Committee to act as the Chair of the Operating Committee. Any 
recommendation for an amendment to the Plan from the Operating 
Committee that receives an affirmative vote of at least two-thirds of 
the Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608.

III. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the amendment is 
consistent with the Exchange Act and the rules thereunder.

Proposal To Narrow Bands Between 9:30 and 9:45

    1. Is the proposal to amend the Plan by eliminating the requirement 
to double the applicable Percentage Parameters between 9:30 a.m. and 
9:45 a.m. under Section V.A.1 appropriate?
    2. Alternatively, would it be preferable and appropriate to 
maintain the current provision that doubles the Percentage Parameters 
between 9:30 a.m. and 9:45 a.m.? Please support any response with data, 
if possible.
    3. The requirement to double the Percentage Parameters between 9:30 
a.m. and 9:45 a.m. for purposes of calculating the Price Bands was 
established in light of the higher volatility at the beginning of the 
trading day. Chart D in the Transmittal Letter accompanying the 
Eighteenth Amendment shows that the most volatile period of the trading 
day is between 9:30 a.m. and 9:45 a.m. Would the proposed narrower 
Price Bands increase the occurrence of Limit States and Trading Pauses 
that occur between 9:30 a.m. and 9:45 a.m.? Are there any concerns that 
narrowing the Price Bands between 9:30 a.m. and 9:45 a.m. as proposed 
in the Eighteenth Amendment would impede an orderly trading environment 
during this more volatile period of the trading day? Please support any 
response with data, if possible.
    4. The Transmittal Letter provides historical analysis in Charts G 
and H estimating the impact of eliminating double-wide Price Bands 
between 9:30 a.m. and 9:45 a.m. This analysis estimates an increase in 
both limit states and trading pauses were the double-wide bands 
eliminated during the time period analyzed. The Participants state, 
however, that this estimated impact is theoretical in nature and that 
market participant behavior would adjust to narrower Price Bands at the 
open, ultimately resulting in fewer limit states and trading pauses 
than reflected in Charts G and H. Do commenters agree with the 
Participants that market participant behavior would change such that 
eliminating double-wide bands at the open would not result in an 
increase in limit states and trading pauses similar to what the 
Participants project based on Charts G and H? If the double-wide bands 
did in fact result in a higher incidence of trading pauses and limit 
states as estimated based on Charts G and H, would market participants 
be concerned about impacts of the Plan on trading and market quality 
between 9:30 a.m. and 9:45 a.m. and beyond? \55\ Please support any 
response with data, if possible.
---------------------------------------------------------------------------

    \55\ One academic study examined trading pauses during the SSCB 
Pilot and LULD Pilot and found that, on average, trading pauses 
increase volatility and widen bid-ask spreads. Hautsch, Nikolaus and 
Akos Horvath, 2018. ``How Effective Are Trading Pauses?'', Journal 
of Financial Economics, forthcoming, available at https://www.sciencedirect.com/science/article/pii/S0304405X18302356.
---------------------------------------------------------------------------

    5. Charts G and H demonstrate a spike in actual and projected limit 
states and trading pauses during February 2018. This spike appears to 
have occurred during the volatile trading day of February 5, 2018. Are 
commenters concerned about the impact of narrowing double-wide bands 
between 9:30 a.m. and 9:45 a.m. on volatile trading days? Please 
support any response with data, if possible.
    6. Is there a disproportionate number of Limit States and Trading 
Pauses that occur at or shortly after 9:45 a.m.? \56\ Are these Limit 
States and Trading Pauses caused by the contraction of the Price Bands 
rather than an increase in volatility of the type the Plan is designed 
to prevent? Would the proposed narrower Price Bands reduce the 
occurrence of Limit States and Trading Pauses that presently occur at 
or shortly after the Price Bands contract at 9:45 a.m.?
---------------------------------------------------------------------------

    \56\ Another DERA study looked at the frequency of Trading 
Pauses around the introduction of Limit up Limit Down and found that 
a disproportionate number of trading pauses occurred during the five 
minutes after the opening bands contracted, i.e. 9:45-9:50 a.m. See 
Moise, C. and P. Flaherty, 2017. ``Limit Up-Limit Down Pilot Plan 
and Associated Events'', SEC White Paper, available at https://www.sec.gov/dera/staff-papers/whitepapers/10mar17moiseflahertyluld.
---------------------------------------------------------------------------

    7. Would the proposed narrower Price Bands reduce the number of 
clearly erroneous executions that occur between 9:30 a.m. and 9:45 
a.m.?

Proposal to Narrow Bands Between 3:35 and 4:00

    8. Is the proposal to amend the Plan to eliminate the doubling of 
Percentage Parameters of Tier 2 NMS Stocks with a Reference Price above 
$3.00 between 3:35 p.m. and 4:00 p.m. appropriate?
    9. Alternatively, would it be preferable and appropriate to 
maintain the current provision that doubles the Percentage Parameters 
of Tier 2 NMS Stocks with a Reference Price above $3.00 between 3:45 
p.m. and 4:00 p.m.? Please support any response with data, if possible.
    10. The requirement to double the Percentage Parameters of Tier 2 
NMS Stocks with a Reference Price above $3.00 between 3:35 p.m. and 
4:00 p.m. for purposes of calculating the Price Bands was established 
in light of the higher volatility at the end of the trading day. Chart 
D shows that the volatility gradually increases as the trading day 
progresses towards the close of trading. Would the proposed narrower 
Price Bands between 3:35 p.m. and 4:00 p.m. increase the occurrence of 
Limit States and Trading Pauses that occur during that time period? Are 
there any concerns that narrowing the Price Bands between 3:35 p.m. and 
4:00 p.m. as proposed would impede an orderly trading environment 
during this more volatile period of the trading day? Would an increase 
in Limit States and Trading Pauses between 3:35 p.m. and 4:00 p.m. 
impact negatively the primary listing exchange closing auction 
processes? Please support any response with data, if possible.
    11. Do commenters agree with the Participants that market 
participant behavior would change such that eliminating double-wide 
bands at the close would not result in an increase in limit states and 
trading pauses similar to what the Participants project based on Chart 
K? If the double-wide bands did in fact result in a higher incidence of 
trading pauses and limit states as estimated based on Chart K, would 
market participants be concerned about impacts of the Plan on trading 
between 3:35 p.m. and 4:00 p.m. or the primary listing exchange closing 
auction processes? Please support any response with data, if possible.
    12. Are commenters concerned about the impact of narrowing double-
wide

[[Page 66482]]

bands between 3:35 p.m. and 4:00 p.m. on volatile trading days? Please 
support any response with data, if possible.
    13. Would the proposed narrower Price Bands increase the occurrence 
of Limit States and Trading Pauses near the close? Is the current 
doubling of Percentage Parameters for such stocks near the close 
unwarranted? Are potential price swings of as much as 40% for such 
stocks inconsistent with the Plan's goal of addressing extraordinary 
market volatility in NMS Stocks?

Proposal To Provide Data to the Commission That Would Not Be Made 
Public

    14. The Participants propose to provide certain data to the 
Commission upon request that would not be made publicly available. 
Should any data that is provided to the Commission also be made 
publicly available? Please describe any concerns with respect to making 
public, or not making public, the data that will be provided to the 
Commission.

Participant Statement Regarding Competition

    15. The Participants state that Plan does not impose any burden on 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Exchange Act. Do commenters believe that the Plan 
imposes any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Exchange Act?
    16. Further, would the proposal have a positive, negative, or 
neutral impact on competition? Please explain. How would any impact on 
competition from the proposal benefit or harm the national market 
system or the various market participants? Please describe and explain 
how, if at all, aspects of the national market system or different 
market participants would be affected. Please support any response with 
data, if possible.
    17. More generally, to the extent possible please provide specific 
data, analyses, or studies for support regarding any impacts of the 
proposal on competition.
    Comments may be submitted by any of the following methods:

Electronic Comments

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

Paper Comments

     Send paper comments in triplicate to Brent J. Fields, 
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 website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed plan amendment that are filed 
with the Commission, and all written communications relating to the 
amendment 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 website viewing and printing in the 
Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549, on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of such filing also will be available for inspection 
and copying at the Participants' offices. All comments received will be 
posted without change. Persons submitting comments are cautioned that 
we do not redact or edit personal identifying information from comment 
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 January 16, 2019.

    By the Commission.
Eduardo A. Aleman,
Deputy Secretary.

[[Page 66483]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.014


[[Page 66484]]


[GRAPHIC] [TIFF OMITTED] TN26DE18.015


[[Page 66485]]



Preamble

    The Participants submit to the SEC this Plan establishing 
procedures to address extraordinary volatility in NMS Stocks. The 
procedures provide for market-wide limit up-limit down requirements 
that prevent trades in individual NMS Stocks from occurring outside of 
the specified Price Bands. These limit up-limit down requirements are 
coupled with Trading Pauses to accommodate more fundamental price 
moves. The Plan procedures are designed, among other things, to protect 
investors and promote fair and orderly markets. The Participants 
developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under 
the Exchange Act, which authorizes the Participants to act jointly in 
preparing, filing, and implementing national market system plans.

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange. If the Primary Listing 
Exchange opens with quotations, the ``Opening Price'' shall mean the 
closing price of the NMS Stock on the Primary Listing Exchange on the 
previous trading day, or if no such closing price exists, the last sale 
on the Primary Listing Exchange.
    (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) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (S) ``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.
    (T) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (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) Cboe BZX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(2) Cboe BYX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(3) Cboe EDGA Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(4) Cboe EDGX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(5) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, 
Illinois 60605
(6) Financial Industry Regulatory Authority, Inc., 1735 K Street NW, 
Washington, DC 20006
(7) Investors Exchange LLC, 4 World Trade Center, 44th Floor, New York, 
New York 10007
(8) NASDAQ BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 
19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New 
York, NY 10006
(11) NYSE National, Inc., 11 Wall Street, New York, NY 10005
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 
10005
(13) NYSE American LLC, 11 Wall Street, New York, New York 10005
(14) NYSE Arca, Inc., 11 Wall Street, New York, New York 10005

(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

[[Page 66486]]

Plan, as then in effect; (3) providing each then-current Participant 
with a copy of such executed Plan; and (4) effecting an amendment to 
the Plan as specified in Section III (B) of the Plan.

(D) Advisory Committee

    (1) Formation. Notwithstanding other provisions of this Plan, an 
Advisory Committee to the Plan shall be formed and shall function in 
accordance with the provisions set forth in this section.
    (2) Composition. Members of the Advisory Committee shall be 
selected for two-year terms as follows:
    (A) Advisory Committee Selections. By affirmative vote of a 
majority of the Participants, the Participants shall select at least 
one representatives from each of the following categories to be members 
of the Advisory Committee: (1) A broker-dealer with a substantial 
retail investor customer base; (2) a broker-dealer with a substantial 
institutional investor customer base; (3) an alternative trading 
system; (4) a broker-dealer that primarily engages in trading for its 
own account; and (5) an investor.
    (3) Function. Members of the Advisory Committee shall have the 
right to submit their views to the Operating Committee on Plan matters, 
prior to a decision by the Operating Committee on such matters. Such 
matters shall include, but not be limited to, proposed material 
amendments to the Plan.
    (4) Meetings and Information. Members of the Advisory Committee 
shall have the right to attend meetings of the Operating Committee and 
to receive any information concerning Plan matters; provided, however, 
that the Operating Committee may meet in executive session if, by 
affirmative vote of a majority of the Participants, the Operating 
Committee determines that an item of Plan business requires 
confidential treatment.

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

(C) Operating Committee

    (1) Each Participant shall select from its staff one individual to 
represent the Participant as a member of an Operating Committee, 
together with a substitute for such individual. The substitute may 
participate in deliberations of the Operating Committee and shall be 
considered a voting member thereof only in the absence of the primary 
representative. Each Participant shall have one vote on all matters 
considered by the Operating Committee. No later than the initial date 
of Plan operations, the Operating Committee shall designate one member 
of the Operating Committee to act as the Chair of the Operating 
Committee.
    (2) The Operating Committee shall monitor the procedures 
established pursuant to this Plan and advise the Participants with 
respect to any deficiencies, problems, or recommendations as the 
Operating Committee may deem appropriate. The Operating Committee shall 
establish specifications and procedures for the implementation and 
operation of the Plan that are consistent with the provisions of this 
Plan and the Appendixes thereto. With respect to matters in this 
paragraph, Operating Committee decisions shall be approved by a simple 
majority vote.
    (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

[[Page 66487]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.016


[[Page 66488]]


[GRAPHIC] [TIFF OMITTED] TN26DE18.017

(B) Openings

    (1) Except when a Regulatory Halt is in effect at the start of 
Regular Trading Hours, the first Reference Price for a trading day 
shall be the Opening Price on the Primary Listing Exchange in an NMS 
Stock if such Opening Price occurs less than five minutes after the 
start of Regular Trading Hours. During the period less than five 
minutes after the Opening Price, a Pro-Forma Reference Price shall be 
updated on a continuous basis to be the arithmetic mean price of 
Eligible Reported Transactions for the NMS Stock during the period 
following the Opening Price (including the Opening Price), and if it 
differs from the current Reference Price by 1% or more shall become the 
new Reference Price, except that a new Reference Price shall remain in 
effect for at least 30 seconds. Subsequent Reference Prices shall be 
calculated as specified in Section V(A) of the Plan.
    (2) If the Opening Price on the Primary Listing Exchange in an NMS 
Stock does not occur within five minutes after the start of Regular 
Trading Hours, the first Reference Price for a trading day shall be the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the preceding five minute time period, and subsequent 
Reference Prices shall be calculated as specified in Section V(A) of 
the Plan.

(C) Reopenings

    (1) Following a Trading Pause in an NMS Stock, and if the Primary 
Listing Exchange has not declared a Regulatory Halt, if the Primary 
Listing Exchange reopens trading with a transaction or quotation that 
does not include a zero bid or zero offer, the next Reference Price 
shall be the Reopening Price on the Primary Listing Exchange. 
Subsequent Reference Prices shall be determined in the manner 
prescribed for normal openings, as specified in Section V(B)(1) of the 
Plan. If the Primary Listing Exchange notifies the Processor that it is 
unable to reopen an NMS Stock due to a systems or technology issue, or 
if the Primary Listing Exchange reopens trading with a quotation that 
has a zero bid or zero offer, or both, the next Reference Price shall 
be the last effective Price Band that was in a Limit State 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.

[[Page 66489]]

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 Processor will publish the 
following information that the Primary Listing Exchange provides to the 
Processor in connection with such reopening: Auction reference price; 
auction collars; and number of extensions to the reopening auction. The 
Trading Pause shall end when the Primary Listing Exchange reports a 
Reopening Price.
    (2) The Primary Listing Exchange shall notify the Processor if it 
is unable to reopen trading in an NMS Stock due to a systems or 
technology issue and if it has not declared a Regulatory Halt. The 
Processor shall disseminate this information to the public.
    (3) Trading centers may not resume trading in an NMS Stock 
following a Trading Pause without Price Bands in such NMS Stock.
    (4) The Processor shall update the Price Bands as set forth in 
Section V(C)(1)-(2) of the Plan after receiving notification from the 
Primary Listing Exchange of a Reopening Price following a Trading Pause 
(or a resume message in the case of a reopening quote that has a zero 
bid or zero offer, or both) or that it is unable to reopen trading 
following a Trading Pause due to a systems or technology issue, 
provided that if the Primary Listing Exchange is unable to reopen due 
to a systems or technology issue, the update to the Price Bands will be 
no earlier than ten minutes after the beginning of the Trading Pause.

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

    (1) If an NMS Stock is in a Trading Pause during 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

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.

[[Page 66490]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.018

[GRAPHIC] [TIFF OMITTED] TN26DE18.019


[[Page 66491]]



Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks

    (2) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price more than $3.00 shall be 5%.
    (3) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price equal to $0.75 and up to and including $3.00 shall be 
20%.
    (4) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 
75%.
    (5) The Reference Price used for determining which Percentage 
Parameter shall be applicable during a trading day shall be based on 
the closing price of the NMS Stock on the Primary Listing Exchange on 
the previous trading day, or if no closing price exists, the last sale 
on the Primary Listing Exchange reported by the Processor.
[GRAPHIC] [TIFF OMITTED] TN26DE18.020

II. Tier 2 NMS Stocks

[[Page 66492]]

[GRAPHIC] [TIFF OMITTED] TN26DE18.021

Appendix A--Schedule 1

(as of July 2, 2018)

------------------------------------------------------------------------
           Ticker                   ETP name              Exchange
------------------------------------------------------------------------
SPY........................  SPDR S&P 500 ETF       NYSE Arca.
                              Trust.
QQQ........................  Invesco QQQ Trust....  NASDAQ.
IWM........................  iShares Russell 2000   NYSE Arca.
                              ETF.
EEM........................  iShares MSCI Emerging  NYSE Arca.
                              Markets ETF.
EFA........................  iShares MSCI EAFE ETF  NYSE Arca.
XLF........................  Financial Select       NYSE Arca.
                              Sector SPDR Fund.
VXX........................  iPath S&P 500 VIX      NYSE Arca.
                              Short-Term Futures
                              ETN Class A.
DIA........................  SPDR Dow Jones         NYSE Arca.
                              Industrial Average
                              ETF Trust.
HYG........................  iShares iBoxx $ High   NYSE Arca.
                              Yield Corporate Bond
                              ETF.
IVV........................  iShares Core S&P 500   NYSE Arca.
                              ETF.
XLE........................  Energy Select Sector   NYSE Arca.
                              SPDR Fund.
FXI........................  iShares China Large-   NYSE Arca.
                              Cap ETF.
TLT........................  iShares 20+ Year       NASDAQ.
                              Treasury Bond ETF.
XLI........................  Industrial Select      NYSE Arca.
                              Sector SPDR Fund.
XLK........................  Technology Select      NYSE Arca.
                              Sector SPDR Fund.
GLD........................  SPDR Gold Trust......  NYSE Arca.
EWZ........................  iShares MSCI Brazil    NYSE Arca.
                              ETF.
XLU........................  Utilities Select       NYSE Arca.
                              Sector SPDR Fund.
GDX........................  VanEck Vectors Gold    NYSE Arca.
                              Miners ETF.
XLP........................  Consumer Staples       NYSE Arca.
                              Select Sector SPDR
                              Fund.
XLV........................  Health Care Select     NYSE Arca.
                              Sector SPDR Fund.
VOO........................  Vanguard S&P 500 ETF.  NYSE Arca.
LQD........................  iShares iBoxx $        NYSE Arca.
                              Investment Grade
                              Corporate Bond ETF.
XOP........................  SPDR S&P Oil & Gas     NYSE Arca.
                              Exploration &
                              Production ETF.

[[Page 66493]]

 
IEMG.......................  iShares Core MSCI      NYSE Arca.
                              Emerging Markets ETF.
IYR........................  iShares U.S. Real      NYSE Arca.
                              Estate ETF.
VWO........................  Vanguard FTSE          NYSE Arca.
                              Emerging Markets ETF.
XLY........................  Consumer               NYSE Arca.
                              Discretionary Select
                              Sector SPDR Fund.
SMH........................  VanEck Vectors         NYSE Arca.
                              Semiconductor ETF.
EWJ........................  iShares MSCI Japan     NYSE Arca.
                              ETF.
IEFA.......................  iShares Core MSCI      Cboe BZX.
                              EAFE ETF.
JNK........................  SPDR Bloomberg         NYSE Arca.
                              Barclays High Yield
                              Bond ETF.
VNQ........................  Vanguard Real Estate   NYSE Arca.
                              ETF.
XBI........................  SPDR S&P BIOTECH ETF.  NYSE Arca.
VEA........................  Vanguard FTSE          NYSE Arca.
                              Developed Markets
                              ETF.
AGG........................  iShares Core U.S.      NYSE Arca.
                              Aggregate Bond ETF.
MDY........................  SPDR S&P Midcap 400    NYSE Arca.
                              ETF Trust.
XLB........................  Materials Select       NYSE Arca.
                              Sector SPDR Fund.
GDXJ.......................  VanEck Vectors Junior  NYSE Arca.
                              Gold Miners ETF.
KRE........................  SPDR S&P Regional      NYSE Arca.
                              Banking ETF.
VTI........................  Vanguard Total Stock   NYSE Arca.
                              Market ETF.
SVXY.......................  ProShares Short VIX    NYSE Arca.
                              Short-Term Futures
                              ETF.
EMB........................  iShares JP Morgan USD  NASDAQ.
                              Emerging Markets
                              Bond ETF.
EZU........................  iShares MSCI Eurozone  Cboe BZX.
                              ETF.
IEF........................  iShares 7-10 Year      NASDAQ.
                              Treasury Bond ETF.
IBB........................  iShares NASDAQ.        NASDAQ.
                              Biotechnology ETF.
VGK........................  Vanguard FTSE Europe   NYSE Arca.
                              ETF.
IJR........................  iShares Core S&P       NYSE Arca.
                              Small Cap ETF.
IWF........................  iShares Russell 1000   NYSE Arca.
                              Growth ETF.
USO........................  United States Oil      NYSE Arca.
                              Fund LP.
IWD........................  iShares Russell 1000   NYSE Arca.
                              Value ETF.
IJH........................  iShares Core S&P Mid-  NYSE Arca.
                              Cap ETF.
XRT........................  SPDR S&P Retail ETF..  NYSE Arca.
EWY........................  iShares MSCI South     NYSE Arca.
                              Korea ETF.
MCHI.......................  iShares MSCI China     NASDAQ.
                              ETF.
OIH........................  VanEck Vectors Oil     NYSE Arca.
                              Services ETF.
RSX........................  VanEck Vectors Russia  NYSE Arca.
                              ETF.
EWT........................  iShares MSCI Taiwan    NYSE Arca.
                              ETF.
EWW........................  iShares MSCI Mexico    NYSE Arca.
                              ETF.
BND........................  Vanguard Total Bond    NYSE Arca.
                              Market ETF.
IWB........................  iShares Russell 1000   NYSE Arca.
                              ETF.
VTV........................  Vanguard Value ETF...  NYSE Arca.
ACWI.......................  iShares MSCI ACWI ETF  NASDAQ.
AMLP.......................  Alerian MLP ETF......  NYSE Arca.
DXJ........................  WisdomTree Japan       NYSE Arca.
                              Hedged Equity Fund.
IAU........................  iShares Gold Trust...  NYSE Arca.
TIP........................  iShares TIPS Bond ETF  NYSE Arca.
FEZ........................  SPDR EURO STOXX 50     NYSE Arca.
                              ETF.
SHV........................  iShares Short          NASDAQ.
                              Treasury Bond ETF.
SHY........................  iShares 1-3 Year       NASDAQ.
                              Treasury Bond ETF.
EWG........................  iShares MSCI Germany   NYSE Arca.
                              ETF.
BSV........................  Vanguard Short-Term    NYSE Arca.
                              Bond ETF.
VEU........................  Vanguard FTSE All-     NYSE Arca.
                              World ex-US Index
                              Fund.
VUG........................  Vanguard Growth ETF..  NYSE Arca.
IVE........................  iShares S&P 500 Value  NYSE Arca.
                              ETF.
INDA.......................  iShares MSCI India     Cboe BZX.
                              ETF.
SH.........................  ProShares Short S&P    NYSE Arca.
                              500.
EWH........................  iShares MSCI Hong      NYSE Arca.
                              Kong ETF.
SLV........................  iShares Silver Trust.  NYSE Arca.
IVW........................  iShares S&P 500        NYSE Arca.
                              Growth ETF.
VCSH.......................  Vanguard Short-Term    NASDAQ.
                              Corporate Bond ETF.
ITB........................  iShares U.S. Home      Cboe BZX.
                              Construction ETF.
IWN........................  iShares Russell 2000   NYSE Arca.
                              Value ETF.
SOXX.......................  iShares PHLX           NASDAQ.
                              Semiconductor ETF.
KBE........................  SPDR S&P Bank ETF....  NYSE Arca.
VGT........................  Vanguard Information   NYSE Arca.
                              Technology ETF.
IWO........................  iShares Russell 2000   NYSE Arca.
                              Growth ETF.
MTUM.......................  iShares Edge MSCI USA  Cboe BZX.
                              Momentum Factor ETF.
XHB........................  SPDR S&P Homebuilders  NYSE Arca.
                              ETF.
XME........................  SPDR S&P Metals &      NYSE Arca.
                              Mining ETF.
XLRE.......................  Real Estate Select     NYSE Arca.
                              Sector SPDR Fund.
VCIT.......................  Vanguard Intermediate- NASDAQ.
                              Term Corporate Bond
                              ETF.
VT.........................  Vanguard Total World   NYSE Arca.
                              Stock ETF.
USMV.......................  iShares Edge MSCI Min  Cboe BZX.
                              Vol USA ETF.
BKLN.......................  Invesco Senior Loan    NYSE Arca.
                              ETF.
EWC........................  iShares MSCI Canada    NYSE Arca.
                              ETF.
PFF........................  iShares U.S.           NASDAQ.
                              Preferred Stock ETF.
FLOT.......................  iShares Floating Rate  Cboe BZX.
                              Bond ETF.

[[Page 66494]]

 
BIL........................  SPDR Bloomberg         NYSE Arca.
                              Barclays 1-3 Month T-
                              Bill ETF.
OEF........................  iShares S&P 100 ETF..  NYSE Arca.
UNG........................  United States Natural  NYSE Arca.
                              Gas Fund LP.
VB.........................  Vanguard Small-Cap     NYSE Arca.
                              ETF.
MINT.......................  PIMCO Enhanced Short   NYSE Arca.
                              Maturity Active ETF.
SPLV.......................  Invesco S&P 500 Low    NYSE Arca.
                              Volatility ETF.
VIG........................  Vanguard Dividend      NYSE Arca.
                              Appreciation ETF.
HEDJ.......................  WisdomTree Europe      NYSE Arca.
                              Hedged Equity Fund.
SCZ........................  iShares MSCI EAFE      NASDAQ.
                              Small-Cap ETF.
EWU........................  iShares MSCI United    NYSE Arca.
                              Kingdom ETF.
VYM........................  Vanguard High          NYSE Arca.
                              Dividend Yield Yield
                              Index Fund.
SCHF.......................  Schwab International   NYSE Arca.
                              Equity ETF.
AAXJ.......................  iShares MSCI All       NASDAQ.
                              Country Asia ex
                              Japan ETF.
FDN........................  First Trust Dow Jones  NYSE Arca.
                              Internet Index Fund.
EMLC.......................  VanEck Vectors J.P.    NYSE Arca.
                              Morgan EM Local
                              Currency Bond ETF.
VIXY.......................  ProShares VIX Short-   NYSE Arca.
                              Term Futures ETF.
BNDX.......................  Vanguard Total         NASDAQ.
                              International Bond
                              ETF.
MUB........................  iShares National Muni  NYSE Arca.
                              Bond ETF.
DVY........................  iShares Select         NASDAQ.
                              Dividend ETF.
ITA........................  iShares U.S.           Cboe BZX.
                              Aerospace & Defense
                              ETF.
AMJ........................  J.P. Morgan Alerian    NYSE Arca.
                              MLP Index ETN.
MBB........................  iShares MBS ETF......  NASDAQ.
RSP........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight ETF.
ITOT.......................  iShares Core S&P       NYSE Arca.
                              Total U.S. Stock
                              Market ETF.
SJNK.......................  SPDR Bloomberg         NYSE Arca.
                              Barclays Short Term
                              High Yield Bond ETF.
BIV........................  Vanguard Intermediate- NYSE Arca.
                              Term Bond ETF.
ILF........................  iShares Latin America  NYSE Arca.
                              40 ETF.
CWB........................  SPDR Bloomberg         NYSE Arca.
                              Barclays Convertible
                              Securities ETF.
VO.........................  Vanguard Mid-Cap ETF.  NYSE Arca.
IWV........................  iShares Russell 3000   NYSE Arca.
                              ETF.
CSJ........................  iShares 1-3 Year       NASDAQ.
                              Credit Bond ETF.
SCHX.......................  Schwab U.S. Large-Cap  NYSE Arca.
                              ETF.
IEI........................  iShares 3-7 Year       NASDAQ.
                              Treasury Bond ETF.
SCHB.......................  Schwab U.S. Broad      NYSE Arca.
                              Market ETF.
PCY........................  Invesco Emerging       NYSE Arca.
                              Markets Sovereign
                              Debt ETF.
DBC........................  Invesco DB Commodity   NYSE Arca.
                              Index Tracking Fund.
EPI........................  WisdomTree India       NYSE Arca.
                              Earnings Fund.
SDY........................  SPDR S&P Dividend ETF  NYSE Arca.
VFH........................  Vanguard Financials    NYSE Arca.
                              ETF.
SCHD.......................  Schwab US Dividend     NYSE Arca.
                              Equity ETF.
PSQ........................  ProShares Short QQQ..  NYSE Arca.
HYS........................  PIMCO 0-5 Year High    NYSE Arca.
                              Yield Corporate Bond
                              Index ETF.
VXUS.......................  Vanguard Total         NASDAQ.
                              International Stock
                              ETF.
EWA........................  iShares MSCI           NYSE Arca.
                              Australia ETF.
VV.........................  Vanguard Large-Cap     NYSE Arca.
                              ETF.
IYT........................  iShares                Cboe BZX.
                              Transportation
                              Average ETF.
EUFN.......................  iShares MSCI Europe    NASDAQ.
                              Financials ETF.
IYW........................  iShares U.S.           NYSE Arca.
                              Technology ETF.
EWI........................  iShares MSCI Italy     NYSE Arca.
                              ETF.
FXE........................  Invesco                NYSE Arca.
                              CurrencyShares Euro
                              Trust.
IWS........................  iShares Russell Mid-   NYSE Arca.
                              Cap Value ETF.
IYF........................  iShares U.S.           NYSE Arca.
                              Financials ETF.
DBEF.......................  Xtrackers MSCI EAFE    NYSE Arca.
                              Hedged Equity ETF.
EFV........................  iShares MSCI EAFE      Cboe BZX.
                              Value ETF.
IWR........................  iShares Russell        NYSE Arca.
                              Midcap ETF.
BOTZ.......................  Global X Robotics &    NASDAQ.
                              Artificial
                              Intelligence ETF.
IGV........................  iShares North          Cboe BZX.
                              American Tech-
                              Software ETF.
VBR........................  Vanguard Small Cap     NYSE Arca.
                              Value ETF.
KWEB.......................  KraneShares CSI China  NYSE Arca.
                              Internet ETF.
NEAR.......................  iShares Short          Cboe BZX.
                              Maturity Bond ETF.
IXUS.......................  iShares Core MSCI      NASDAQ.
                              Total International
                              Stock ETF.
IWP........................  iShares Russell Mid-   NYSE Arca.
                              Cap Growth ETF.
GOVT.......................  iShares U.S. Treasury  Cboe BZX.
                              Bond ETF.
CIU........................  iShares Intermediate   NASDAQ.
                              Credit Bond ETF.
EWM........................  iShares MSCI Malaysia  NYSE Arca.
                              ETF.
EFAV.......................  iShares Edge MSCI Min  Cboe BZX.
                              Vol EAFE ETF.
EWP........................  iShares MSCI Spain     NYSE Arca.
                              ETF.
HDV........................  iShares Core High      NYSE Arca.
                              Dividend ETF.
SCHP.......................  Schwab US TIPS ETF...  NYSE Arca.
SHYG.......................  iShares 0-5 Year High  NYSE Arca.
                              Yield Corporate Bond
                              ETF.
EZA........................  iShares MSCI South     NYSE Arca.
                              Africa ETF.
IEV........................  iShares Europe ETF...  NYSE Arca.
EWQ........................  iShares MSCI France    NYSE Arca.
                              ETF.
EWL........................  iShares MSCI           NYSE Arca.
                              Switzerland ETF.

[[Page 66495]]

 
ASHR.......................  Xtrackers Harvest CSI  NYSE Arca.
                              300 China A-Shares
                              ETF.
SCHE.......................  Schwab Emerging        NYSE Arca.
                              Markets Equity ETF.
VTIP.......................  Vanguard Short-Term    NASDAQ.
                              Inflation-Protected
                              Securities ETF.
VMBS.......................  Vanguard Mortgage-     NASDAQ.
                              Backed Securities
                              ETF.
VOE........................  Vanguard Mid-Cap       NYSE Arca.
                              Value ETF.
ACWX.......................  iShares MSCI ACWI ex   NASDAQ.
                              U.S. ETF.
QUAL.......................  iShares Edge MSCI USA  Cboe BZX.
                              Quality Factor ETF.
HEWJ.......................  iShares Currency       NYSE Arca.
                              Hedged MSCI Japan
                              ETF.
VDE........................  Vanguard Energy ETF..  NYSE Arca.
EIDO.......................  iShares MSCI           NYSE Arca.
                              Indonesia ETF.
IJK........................  iShares S&P Mid-Cap    NYSE Arca.
                              400 Growth ETF.
KBWB.......................  Invesco KBW Bank ETF.  NASDAQ.
HEZU.......................  iShares Currency       NYSE Arca.
                              Hedged MSCI Eurozone
                              ETF.
VHT........................  Vanguard Health Care   NYSE Arca.
                              ETF.
VXF........................  Vanguard Extended      NYSE Arca.
                              Market ETF.
VLUE.......................  iShares Edge MSCI USA  Cboe BZX.
                              Value Factor ETF.
HEFA.......................  iShares Currency       Cboe BZX.
                              Hedged MSCI EAFE ETF.
SPIB.......................  SPDR Portfolio         NYSE Arca.
                              Intermediate Term
                              Corporate Bond ETF.
UUP........................  Invesco DB US Dollar   NYSE Arca.
                              Index Bullish Fund.
SRLN.......................  SPDR Blackstone/GSO    NYSE Arca.
                              Senior Loan ETF.
VNQI.......................  Vanguard Global ex-    NASDAQ.
                              U.S. Real Estate ETF.
SCHA.......................  Schwab U.S. Small-Cap  NYSE Arca.
                              ETF.
SPYG.......................  SPDR Portfolio S&P     NYSE Arca.
                              500 Growth ETF.
SCHH.......................  Schwab U.S. REIT ETF.  NYSE Arca.
SCHG.......................  Schwab U.S. Large-Cap  NYSE Arca.
                              Growth ETF.
PGX........................  Invesco Preferred ETF  NYSE Arca.
FLRN.......................  SPDR Bloomberg         NYSE Arca.
                              Barclays Investment
                              Grade Floating Rate
                              ETF.
VPL........................  Vanguard FTSE Pacific  NYSE Arca.
                              ETF.
VTEB.......................  Vanguard Tax-Exempt    NYSE Arca.
                              Bond ETF.
FTSM.......................  First Trust Enhanced   NASDAQ.
                              Short Maturity ETF.
FTEC.......................  Fidelity MSCI          NYSE Arca.
                              Information
                              Technology Index ETF.
SPSB.......................  SPDR Portfolio Short   NYSE Arca.
                              Term Corporate Bond
                              ETF.
EPP........................  iShares MSCI Pacific   NYSE Arca.
                              ex-Japan ETF.
DOG........................  ProShares Short Dow30  NYSE Arca.
EEMV.......................  iShares Edge MSCI Min  Cboe BZX.
                              Vol Emerging Markets
                              ETF.
IUSG.......................  iShares Core S&P U.S.  NASDAQ.
                              Growth ETF.
VSS........................  Vanguard FTSE All-     NYSE Arca.
                              World ex-US Small-
                              Cap ETF.
BWX........................  SPDR Bloomberg         NYSE Arca.
                              Barclays
                              International
                              Treasury Bond ETF.
TFI........................  SPDR Nuveen Bloomberg  NYSE Arca.
                              Barclays Municipal
                              Bond ETF.
SHM........................  SPDR Nuveen Bloomberg  NYSE Arca.
                              Barclays Short Term
                              Municipal Bond ETF.
IJS........................  iShares S&P Small-Cap  NYSE Arca.
                              600 Value ETF.
ROBO.......................  ROBO Global Robotics   NYSE Arca.
                              and Automation Index
                              ETF.
EWS........................  iShares MSCI           NYSE Arca.
                              Singapore ETF.
VBK........................  Vanguard Small-Cap     NYSE Arca.
                              Growth ETF.
RWX........................  SPDR Dow Jones         NYSE Arca.
                              International Real
                              Estate ETF.
DGRO.......................  iShares Core Dividend  NYSE Arca.
                              Growth ETF.
IYE........................  iShares U.S. Energy    NYSE Arca.
                              ETF.
IJT........................  iShares S&P Small-Cap  NASDAQ.
                              600 Growth ETF.
IDV........................  iShares International  Cboe BZX.
                              Select Dividend ETF.
HYLB.......................  Xtrackers USD High     NYSE Arca.
                              Yield Corporate Bond
                              ETF.
JUST.......................  Goldman Sachs JUST     NYSE Arca.
                              U.S. Large Cap
                              Equity ETF.
EFG........................  iShares MSCI EAFE      Cboe BZX.
                              Growth ETF.
MJ.........................  ETFMG Alternative      NYSE Arca.
                              Harvest ETF.
SPHD.......................  Invesco S&P 500 High   NYSE Arca.
                              Dividend Low
                              Volatility ETF.
THD........................  iShares MSCI Thailand  NYSE Arca.
                              ETF.
IHI........................  iShares U.S. Medical   NYSE Arca.
                              Devices ETF.
SCHZ.......................  Schwab US Aggregate    NYSE Arca.
                              Bond ETF.
VPU........................  Vanguard Utilities     NYSE Arca.
                              ETF.
SPAB.......................  SPDR Portfolio         NYSE Arca.
                              Aggregate Bond ETF.
HYD........................  VanEck Vectors High-   NYSE Arca.
                              Yield Municipal
                              Index ETF.
SPTM.......................  SPDR Portfolio Total   NYSE Arca.
                              Stock Market ETF.
NOBL.......................  ProShares S&P 500      Cboe BZX.
                              Dividend Aristocrats
                              ETF.
MGK........................  Vanguard Mega Cap      NYSE Arca.
                              Growth ETF.
ECH........................  iShares MSCI Chile     Cboe BZX.
                              ETF.
SCHO.......................  Schwab Short-Term US   NYSE Arca.
                              Treasury ETF.
VCLT.......................  Vanguard Long-Term     NASDAQ.
                              Corporate Bond ETF.
RWR........................  SPDR Dow Jones REIT    NYSE Arca.
                              ETF.
VIS........................  Vanguard Industrials   NYSE Arca.
                              ETF.
DBEU.......................  Xtrackers MSCI Europe  NYSE Arca.
                              Hedged Equity ETF.
IUSV.......................  iShares Core S&P US    NASDAQ.
                              Value ETF.
VAW........................  Vanguard Materials     NYSE Arca.
                              ETF.
VGSH.......................  Vanguard Short-Term    NASDAQ.
                              Treasury ETF.
DBJP.......................  Xtrackers MSCI Japan   NYSE Arca.
                              Hedged Equity ETF.
VDC........................  Vanguard Consumer      NYSE Arca.
                              Staples ETF.

[[Page 66496]]

 
BLV........................  Vanguard Long-Term     NYSE Arca.
                              Bond ETF.
SPYV.......................  SPDR Portfolio S&P     NYSE Arca.
                              500 Value ETF.
SPDW.......................  SPDR Portfolio         NYSE Arca.
                              Developed World ex-
                              US ETF.
VOT........................  Vanguard Mid-Cap       NYSE Arca.
                              Growth ETF.
PDBC.......................  Invesco Optimum Yield  NASDAQ.
                              Diversified
                              Commodity Strategy K-
                              1 ETF.
SCHR.......................  Schwab Intermediate-   NYSE Arca.
                              Term US Treasury ETF.
FPE........................  First Trust Preferred  NYSE Arca.
                              Securities & Income
                              ETF.
ERUS.......................  iShares MSCI Russia    NYSE Arca.
                              ETF.
IYG........................  iShares US Financial   NYSE Arca.
                              Services ETF.
LIT........................  Global X Lithium &     NYSE Arca.
                              Battery Tech ETF.
IEUR.......................  iShares Core MSCI      NYSE Arca.
                              Europe ETF.
SCHM.......................  Schwab U.S. Mid-Cap    NYSE Arca.
                              ETF.
PRF........................  Invesco FTSE RAFI US   NYSE Arca.
                              1000 ETF.
SPEM.......................  SPDR Portfolio         NYSE Arca.
                              Emerging Markets ETF.
SCHV.......................  Schwab U.S. Large-Cap  NYSE Arca.
                              Value ETF.
QTEC.......................  First Trust NASDAQ-    NASDAQ.
                              100 Technology
                              Sector Index Fund.
VCR........................  Vanguard Consumer      NYSE Arca.
                              Discretionary ETF.
TOTL.......................  SPDR DoubleLine Total  NYSE Arca.
                              Return Tactical ETF.
FXY........................  Invesco                NYSE Arca.
                              CurrencyShares
                              Japanese Yen Trust.
FVD........................  First Trust Value      NYSE Arca.
                              Line Dividend Index
                              Fund.
TUR........................  iShares MSCI Turkey    NASDAQ.
                              ETF.
GSY........................  Invesco Ultra Short    NYSE Arca.
                              Duration ETF.
ARKK.......................  ARK Innovation ETF...  NYSE Arca.
RPG........................  Invesco S&P 500 Pure   NYSE Arca.
                              Growth ETF.
IYM........................  iShares U.S. Basic     NYSE Arca.
                              Materials ETF.
PHB........................  Invesco Fundamental    NYSE Arca.
                              High Yield Corporate
                              Bond ETF.
ISTB.......................  iShares Core 1-5 Year  NASDAQ.
                              USD Bond ETF.
EMLP.......................  First Trust North      NYSE Arca.
                              American Energy
                              Infrastructure Fund.
ACWV.......................  iShares Edge MSCI Min  Cboe BZX.
                              Vol Global ETF.
SPLG.......................  SPDR Portfolio Large   NYSE Arca.
                              Cap ETF.
RWO........................  SPDR Dow Jones Global  NYSE Arca.
                              Real Estate ETF.
SKYY.......................  First Trust Cloud      NASDAQ.
                              Computing ETF.
ICF........................  iShares Cohen &        Cboe BZX.
                              Steers REIT ETF.
IYH........................  iShares U.S.           NYSE Arca.
                              Healthcare ETF.
IXC........................  iShares Global Energy  NYSE Arca.
                              ETF.
ANGL.......................  VanEck Vectors Fallen  NYSE Arca.
                              Angel High Yield
                              Bond ETF.
XES........................  SPDR S&P Oil & Gas     NYSE Arca.
                              Equipment & Services
                              ETF.
RWM........................  ProShares Short        NYSE Arca.
                              Russell2000.
DBO........................  Invesco DB Oil Fund..  NYSE Arca.
IJJ........................  iShares S&P Mid-Cap    NYSE Arca.
                              400 Value ETF.
DBA........................  Invesco DB             NYSE Arca.
                              Agriculture Fund.
TBF........................  Proshares Short 20+    NYSE Arca.
                              Year Treasury.
GSLC.......................  Goldman Sachs          NYSE Arca.
                              ActiveBeta U.S.
                              Large Cap Equity ETF.
FNCL.......................  Fidelity MSCI          NYSE Arca.
                              Financials Index ETF.
IGF........................  iShares Global         NASDAQ.
                              Infrastructure ETF.
FNDX.......................  Schwab Fundamental US  NYSE Arca.
                              Large Co. Index ETF.
REM........................  iShares Mortgage Real  Cboe BZX.
                              Estate ETF.
KIE........................  SPDR S&P Insurance     NYSE Arca.
                              ETF.
ONEQ.......................  Fidelity NASDAQ        NASDAQ.
                              Composite Index
                              Tracking Stock.
LMBS.......................  First Trust Low        NASDAQ.
                              Duration
                              Opportunities ETF.
GUNR.......................  FlexShares             NYSE Arca.
                              Morningstar Global
                              Upstream Natural
                              Resources Index Fund.
HACK.......................  ETFMG Prime Cyber      NYSE Arca.
                              Security ETF.
EWD........................  iShares MSCI Sweden    NYSE Arca.
                              ETF.
AIA........................  iShares Asia 50 ETF..  NASDAQ.
IGOV.......................  iShares International  NASDAQ.
                              Treasury Bond ETF.
ARKW.......................  ARK Web x.0 ETF......  NYSE Arca.
IXN........................  iShares Global Tech    NYSE Arca.
                              ETF.
STIP.......................  iShares 0-5 Year TIPS  NYSE Arca.
                              Bond ETF.
VOOG.......................  Vanguard S&P 500       NYSE Arca.
                              Growth ETF.
XAR........................  SPDR S&P Aerospace &   NYSE Arca.
                              Defense ETF.
RYT........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Technology
                              ETF.
INDY.......................  iShares India 50 ETF.  NASDAQ.
SCJ........................  iShares MSCI Japan     NYSE Arca.
                              Small-Cap ETF.
DEM........................  WisdomTree Emerging    NYSE Arca.
                              Markets High
                              Dividend Fund.
IYJ........................  iShares U.S.           Cboe BZX.
                              Industrials ETF.
XT.........................  iShares Exponential    NASDAQ.
                              Technologies ETF.
FNDF.......................  Schwab Fundamental     NYSE Arca.
                              International Large
                              Co. Index ETF.
MLPI.......................  ETRACS Alerian MLP     NYSE Arca.
                              Infrastructure Index
                              ETN.
VGIT.......................  Vanguard Intermediate- NASDAQ.
                              Term Treasury ETF.
JPST.......................  JPMorgan Ultra-Short   Cboe BZX.
                              Income ETF.
GVI........................  iShares Intermediate   Cboe BZX.
                              Government/Credit
                              Bond ETF.
BOND.......................  PIMCO Active Bond ETF  NYSE Arca.
SLYV.......................  SPDR S&P 600 Small     NYSE Arca.
                              Cap Value ETF.
ZIV........................  VelocityShares Daily   NASDAQ.
                              Inverse VIX Medium-
                              Term ETN.

[[Page 66497]]

 
SPHB.......................  Invesco S&P 500 High   NYSE Arca.
                              Beta ETF.
HEWG.......................  iShares Currency       NASDAQ.
                              Hedged MSCI Germany
                              ETF.
AMZA.......................  InfraCap MLP ETF.....  NYSE Arca.
FNDA.......................  Schwab Fundamental US  NYSE Arca.
                              Small Co. Index ETF.
XLC........................  Communication          NYSE Arca.
                              Services Select
                              Sector SPDR Fund.
BBRE.......................  JPMorgan BetaBuilders  Cboe BZX.
                              MSCI U.S. REIT ETF.
XSD........................  SPDR S&P               NYSE Arca.
                              Semiconductor ETF.
EUM........................  ProShares Short MSCI   NYSE Arca.
                              Emerging Markets.
EPOL.......................  iShares MSCI Poland    NYSE Arca.
                              ETF.
SLYG.......................  SPDR S&P 600 Small     NYSE Arca.
                              Cap Growth ETF.
DJP........................  iPath Bloomberg        NYSE Arca.
                              Commodity Index
                              Total Return ETN.
GSG........................  iShares S&P GSCI       NYSE Arca.
                              Commodity Indexed
                              Trust.
FDT........................  First Trust Developed  NASDAQ.
                              Markets ex-US
                              AlphaDEX Fund.
VOX........................  Vanguard               NYSE Arca.
                              Communication
                              Services ETF.
VRP........................  Invesco Variable Rate  NYSE Arca.
                              Preferred ETF.
FFTY.......................  Innovator IBD 50 ETF.  NYSE Arca.
IAT........................  iShares U.S. Regional  NYSE Arca.
                              Banks ETF.
EBND.......................  SPDR Bloomberg         NYSE Arca.
                              Barclays Emerging
                              Markets Local Bond
                              ETF.
DGRW.......................  WisdomTree US Quality  NASDAQ.
                              Dividend Growth Fund.
ITM........................  VanEck Vectors AMT-    NYSE Arca.
                              Free Intermediate
                              Municipal Index ETF.
SGOL.......................  ETFS Physical Swiss    NYSE Arca.
                              Shares.
FBT........................  First Trust NYSE Arca  NYSE Arca.
                              Biotechnology Index
                              Fund.
VONG.......................  Vanguard Russell 1000  NASDAQ.
                              Growth ETF.
FXL........................  First Trust            NYSE Arca.
                              Technology AlphaDEX
                              Fund.
FTSL.......................  First Trust Senior     NASDAQ.
                              Loan Fund.
DON........................  WisdomTree U.S.        NYSE Arca.
                              MidCap Dividend Fund.
SPSM.......................  SPDR Portfolio Small   NYSE Arca.
                              Cap ETF.
GXC........................  SPDR S&P China ETF...  NYSE Arca.
FV.........................  First Trust Dorsey     NASDAQ.
                              Wright Focus 5 ETF.
CEF........................  Sprott Physical Gold   NYSE Arca.
                              and Silver Trust
                              Units.
SPMD.......................  SPDR Portfolio Mid     NYSE Arca.
                              Cap ETF.
IDU........................  iShares U.S.           NYSE Arca.
                              Utilities ETF.
MDYG.......................  SPDR S&P 400 Mid Cap   NYSE Arca.
                              Growth ETF.
IYZ........................  iShares U.S.           Cboe BZX.
                              Telecommunications
                              ETF.
FNDE.......................  Schwab Fundamental     NYSE Arca.
                              Emerging Markets
                              Large Co. Index ETF.
CQQQ.......................  Invesco China          NYSE Arca.
                              Technology ETF.
IGM........................  iShares North          NYSE Arca.
                              American Tech ETF.
GBIL.......................  Goldman Sachs          NYSE Arca.
                              TreasuryAccess 0-1
                              Year ETF.
VGLT.......................  Vanguard Long-Term     NASDAQ.
                              Treasury ETF.
EPHE.......................  iShares MSCI           NYSE Arca.
                              Philippines ETF.
MLPA.......................  Global X MLP ETF.....  NYSE Arca.
EWN........................  iShares MSCI           NYSE Arca.
                              Netherlands ETF.
FM.........................  iShares MSCI Frontier  NYSE Arca.
                              100 ETF.
IVOG.......................  Vanguard S&P Mid-Cap   NYSE Arca.
                              400 Growth ETF.
LRGF.......................  iShares Edge MSCI      NYSE Arca.
                              Multifactor USA ETF.
DFJ........................  WisdomTree Japan       NYSE Arca.
                              SmallCap Dividend
                              Fund.
KBA........................  KraneShares Bosera     NYSE Arca.
                              MSCI China A Share
                              ETF.
CWI........................  SPDR MSCI ACWI ex-US   NYSE Arca.
                              ETF.
SPTL.......................  SPDR Portfolio Long    NYSE Arca.
                              Term Treasury ETF.
SUB........................  iShares Short-Term     NYSE Arca.
                              National Muni Bond
                              ETF.
FHLC.......................  Fidelity MSCI Health   NYSE Arca.
                              Care Index ETF.
GNR........................  SPDR S&P Global        NYSE Arca.
                              Natural Resources
                              ETF.
IUSB.......................  iShares Core Total     NASDAQ.
                              USD Bond Market ETF.
USMC.......................  Principal U.S. Mega-   NASDAQ.
                              Cap Multi-Factor
                              Index ETF.
SPYD.......................  SPDR Portfolio S&P     NYSE Arca.
                              500 High Dividend
                              ETF.
GREK.......................  Global X MSCI Greece   NYSE Arca.
                              ETF.
EDV........................  Vanguard Extended      NYSE Arca.
                              Duration Treasury
                              ETF.
VWOB.......................  Vanguard Emerging      NASDAQ.
                              Markets Government
                              Bond ETF.
CLY........................  iShares 10+ Year       NYSE Arca.
                              Credit Bond ETF.
JPIN.......................  J.P. Morgan            NYSE Arca.
                              Diversified Return
                              International Equity
                              ETF.
SCHC.......................  Schwab International   NYSE Arca.
                              Small-Cap Equity ETF.
SDOG.......................  ALPS Sector Dividend   NYSE Arca.
                              Dogs ETF.
FEP........................  First Trust Europe     NASDAQ.
                              AlphaDEX Fund.
VNM........................  VanEck Vectors         NYSE Arca.
                              Vietnam ETF.
INTF.......................  iShares Edge MSCI      NYSE Arca.
                              Multifactor Intl ETF.
VTWO.......................  Vanguard Russell 2000  NASDAQ.
                              ETF.
PICK.......................  iShares MSCI Global    Cboe BZX.
                              Metals & Mining
                              Producers ETF.
XMLV.......................  Invesco S&P MidCap     NYSE Arca.
                              Low Volatility ETF.
VYMI.......................  Vanguard               NASDAQ.
                              International High
                              Dividend Yield ETF.
PXH........................  Invesco FTSE RAFI      NYSE Arca.
                              Emerging Markets ETF.
XSLV.......................  Invesco S&P SmallCap   NYSE Arca.
                              Low Volatility ETF.
CRED.......................  iShares U.S. Credit    NASDAQ.
                              Bond ETF.
FENY.......................  Fidelity MSCI Energy   NYSE Arca.
                              Index ETF.
PZA........................  Invesco National AMT-  NYSE Arca.
                              Free Municipal Bond
                              ETF.

[[Page 66498]]

 
EMQQ.......................  Emerging Markets       NYSE Arca.
                              Internet & Ecommerce
                              ETF.
PPA........................  Invesco Aerospace &    NYSE Arca.
                              Defense ETF.
HYLS.......................  First Trust Tactical   NASDAQ.
                              High Yield ETF.
VONV.......................  Vanguard Russell 1000  NASDAQ.
                              Value ETF.
DGS........................  WisdomTree Emerging    NYSE Arca.
                              Markets SmallCap
                              Dividend Fund.
PSCH.......................  Invesco S&P SmallCap   NASDAQ.
                              Health Care ETF.
FIDU.......................  Fidelity MSCI          NYSE Arca.
                              Industrials Index
                              ETF.
FEM........................  First Trust Emerging   NASDAQ.
                              Markets AlphaDEX
                              Fund.
FXO........................  First Trust            NYSE Arca.
                              Financials AlphaDEX
                              Fund.
SPLB.......................  SPDR Portfolio Long    NYSE Arca.
                              Term Corporate Bond
                              ETF.
IXG........................  iShares Global         NYSE Arca.
                              Financials ETF.
IPE........................  SPDR Bloomberg         NYSE Arca.
                              Barclays TIPS ETF.
CORP.......................  PIMCO Investment       NYSE Arca.
                              Grade Corporate Bond
                              Index ETF.
WIP........................  SPDR FTSE              NYSE Arca.
                              International
                              Government Inflation-
                              Protected Bond ETF.
RPV........................  Invesco S&P 500 Pure   NYSE Arca.
                              Value ETF.
BSJI.......................  Invesco BulletShares   NYSE Arca.
                              2018 High Yield
                              Corporate Bond ETF.
IEO........................  iShares U.S. Oil &     Cboe BZX.
                              Gas Exploration &
                              Production ETF.
PRFZ.......................  Invesco FTSE RAFI US   NASDAQ.
                              1500 Small-Mid ETF.
FXR........................  First Trust            NYSE Arca.
                              Industrials/Producer
                              Durables AlphaDEX
                              Fund.
FEX........................  First Trust Large Cap  NASDAQ.
                              Core AlphaDEX Fund.
DLS........................  WisdomTree             NYSE Arca.
                              International
                              SmallCap Dividend
                              Fund.
DFE........................  WisdomTree Europe      NYSE Arca.
                              SmallCap Dividend
                              Fund.
FTCS.......................  First Trust Capital    NASDAQ.
                              Strength ETF.
BSJJ.......................  Invesco BulletShares   NYSE Arca.
                              2019 High Yield
                              Corporate Bond ETF.
PNQI.......................  Invesco NASDAQ         NASDAQ.
                              Internet ETF.
TLH........................  iShares 10-20 Year     NYSE Arca.
                              Treasury Bond ETF.
SLQD.......................  iShares 0-5 Year       NASDAQ.
                              Investment Grade
                              Corporate Bond ETF.
EXI........................  iShares Global         NYSE Arca.
                              Industrials ETF.
PGF........................  Invesco Financial      NYSE Arca.
                              Preferred ETF.
GEM........................  Goldman Sachs          NYSE Arca.
                              ActiveBeta Emerging
                              Markets Equity ETF.
PPH........................  VanEck Vectors         NASDAQ.
                              Pharmaceutical ETF.
PDP........................  Invesco DWA Momentum   NASDAQ.
                              ETF.
FDIS.......................  Fidelity MSCI          NYSE Arca.
                              Consumer
                              Discretionary Index
                              ETF.
FXB........................  Invesco                NYSE Arca.
                              CurrencyShares
                              British Pound
                              Sterling Trust.
PHYS.......................  Sprott Physical Gold   NYSE Arca.
                              Trust Units.
IAI........................  iShares U.S. Broker-   NYSE Arca.
                              Dealers & Securities
                              Exchanges ETF.
LEMB.......................  iShares J.P. Morgan    NYSE Arca.
                              EM Local Currency
                              Bond ETF.
BLOK.......................  Amplify                NYSE Arca.
                              Transformational
                              Data Sharing ETF.
USRT.......................  iShares Core U.S.      NYSE Arca.
                              REIT ETF.
SPTS.......................  SPDR Portfolio Short   NYSE Arca.
                              Term Treasury ETF.
IYC........................  iShares U.S. Consumer  NYSE Arca.
                              Services ETF.
CMF........................  iShares California     NYSE Arca.
                              Muni Bond ETF.
FXH........................  First Trust Health     NYSE Arca.
                              Care AlphaDEX Fund.
FNDC.......................  Schwab Fundamental     NYSE Arca.
                              International Small
                              Co. Index ETF.
OGIG.......................  O'Shares Global        NYSE Arca.
                              Internet Giants ETF.
IGHG.......................  ProShares Investment   Cboe BZX.
                              Grade-Interest Rate
                              Hedged.
MGC........................  Vanguard Mega Cap ETF  NYSE Arca.
DES........................  WisdomTree U.S.        NYSE Arca.
                              SmallCap Dividend
                              Fund.
DWX........................  SPDR S&P               NYSE Arca.
                              International
                              Dividend ETF.
PTLC.......................  Pacer Trendpilot US    Cboe BZX.
                              Large Cap ETF.
MGV........................  Vanguard Mega Cap      NYSE Arca.
                              Value ETF.
BSJK.......................  Invesco BulletShares   NYSE Arca.
                              2020 High Yield
                              Corporate Bond ETF.
MOAT.......................  VanEck Vectors         NYSE Arca.
                              Morningstar Wide
                              Moat ETF.
EELV.......................  Invesco S&P Emerging   NYSE Arca.
                              Markets Low
                              Volatility ETF.
SDIV.......................  Global X               NYSE Arca.
                              Superdividend ETF.
DSI........................  iShares MSCI KLD 400   NYSE Arca.
                              Social ETF.
VIGI.......................  Vanguard               NASDAQ.
                              International
                              Dividend
                              Appreciation ETF.
MDYV.......................  SPDR S&P 400 Mid Cap   NYSE Arca.
                              Value ETF.
REET.......................  iShares Global REIT    NYSE Arca.
                              ETF.
ITE........................  SPDR Bloomberg         NYSE Arca.
                              Barclays
                              Intermediate Term
                              Treasury ETF.
IWY........................  iShares Russell Top    NYSE Arca.
                              200 Growth ETF.
QDF........................  FlexShares Quality     NYSE Arca.
                              Dividend Index Fund.
FDL........................  First Trust            NYSE Arca.
                              Morningstar Dividend
                              Leaders Index Fund.
SPHQ.......................  Invesco S&P 500        NYSE Arca.
                              Quality ETF.
AOR........................  iShares Core Growth    NYSE Arca.
                              Allocation ETF.
AOM........................  iShares Core Moderate  NYSE Arca.
                              Allocation ETF.
COMT.......................  iShares Commodities    NASDAQ.
                              Select Strategy ETF.
IBND.......................  SPDR Bloomberg         NYSE Arca.
                              Barclays
                              International
                              Corporate Bond ETF.
EMHY.......................  iShares Emerging       Cboe BZX.
                              Markets High Yield
                              Bond ETF.
WPS........................  iShares International  NYSE Arca.
                              Developed Property
                              ETF.
FXZ........................  First Trust Materials  NYSE Arca.
                              AlphaDEX Fund.
ECON.......................  Columbia Emerging      NYSE Arca.
                              Markets Consumer ETF.
DLN........................  WisdomTree U.S.        NYSE Arca.
                              LargeCap Dividend
                              Fund.
MOO........................  VanEck Vectors         NYSE Arca.
                              Agribusiness ETF.

[[Page 66499]]

 
IBUY.......................  Amplify Online Retail  NASDAQ.
                              ETF.
BSCJ.......................  Invesco BulletShares   NYSE Arca.
                              2019 Corporate Bond
                              ETF.
GSIE.......................  Goldman Sachs          NYSE Arca.
                              ActiveBeta
                              International Equity
                              ETF.
TAN........................  Invesco Solar ETF....  NYSE Arca.
RING.......................  iShares MSCI Global    NASDAQ.
                              Gold Miners ETF.
VNLA.......................  Janus Henderson Short  NYSE Arca.
                              Duration Income ETF.
FXN........................  First Trust Energy     NYSE Arca.
                              AlphaDEX Fund.
PPLT.......................  ETFS Physical          NYSE Arca.
                              Platinum Shares.
EEMO.......................  Invesco S&P Emerging   NYSE Arca.
                              Markets Momentum ETF.
VXZ........................  iPath S&P 500 VIX Mid- NYSE Arca.
                              Term Futures ETN
                              Class A.
RODM.......................  Hartford Multifactor   NYSE Arca.
                              Developed Markets
                              (ex-US) ETF.
VIOO.......................  Vanguard S&P Small-    NYSE Arca.
                              Cap 600 ETF.
EEMA.......................  iShares MSCI Emerging  NASDAQ.
                              Markets Asia ETF.
URA........................  Global X Uranium ETF.  NYSE Arca.
BSCK.......................  Invesco BulletShares   NYSE Arca.
                              2020 Corporate Bond
                              ETF.
QAI........................  IQ Hedge Multi-        NYSE Arca.
                              Strategy Tracker ETF.
REMX.......................  VanEck Vectors Rare    NYSE Arca.
                              Earth/Strategic
                              Metals ETF.
STPZ.......................  PIMCO 1-5 Year US      NYSE Arca.
                              TIPS Index ETF.
FPX........................  First Trust US Equity  NYSE Arca.
                              Opportunities ETF.
FXC........................  Invesco                NYSE Arca.
                              CurrencyShares
                              Canadian Dollar
                              Trust.
IAGG.......................  iShares Core           Cboe BZX.
                              International
                              Aggregate Bond ETF.
PXF........................  Invesco FTSE RAFI      NYSE Arca.
                              Developed Markets ex-
                              U.S. ETF.
BBH........................  VanEck Vectors         NASDAQ.
                              Biotech ETF.
BSCI.......................  Invesco BulletShares   NYSE Arca.
                              2018 Corporate Bond
                              ETF.
VONE.......................  Vanguard Russell 1000  NASDAQ.
                              ETF.
PWV........................  Invesco Dynamic Large  NYSE Arca.
                              Cap Value ETF.
CIBR.......................  First Trust NASDAQ.    NASDAQ.
                              Cybersecurity ETF.
TOK........................  iShares MSCI Kokusai   NYSE Arca.
                              ETF.
ARGT.......................  Global X MSCI          NYSE Arca.
                              Argentina ETF.
IYK........................  iShares U.S. Consumer  NYSE Arca.
                              Goods ETF.
IYY........................  iShares Dow Jones      NYSE Arca.
                              U.S. ETF.
IHF........................  iShares U.S.           NYSE Arca.
                              Healthcare Providers
                              ETF.
TDTT.......................  FlexShares iBoxx 3     NYSE Arca.
                              Year Target Duration
                              TIPS Index Fund.
CFO........................  VictoryShares US 500   NASDAQ.
                              Enhanced Volatility
                              Wtd ETF.
CLRG.......................  IQ Chaikin U.S. Large  NASDAQ.
                              Cap ETF.
RTM........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Materials ETF.
SMIN.......................  iShares MSCI India     Cboe BZX.
                              Small Cap ETF.
RWL........................  Oppenheimer S&P 500    NYSE Arca.
                              Revenue ETF.
SCHK.......................  Schwab 1000 Index ETF  NYSE Arca.
PSI........................  Invesco Dynamic        NYSE Arca.
                              Semiconductors ETF.
RHS........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Consumer
                              Staples ETF.
FTA........................  First Trust Large Cap  NASDAQ.
                              Value AlphaDEX Fund.
FCG........................  First Trust Natural    NYSE Arca.
                              Gas ETF.
DDWM.......................  WisdomTree Dynamic     Cboe BZX.
                              Currency Hedged
                              International Equity
                              Fund.
DBB........................  Invesco DB Base        NYSE Arca.
                              Metals Fund.
MNA........................  IQ Merger Arbitrage    NYSE Arca.
                              ETF.
PKW........................  Invesco Buyback        NASDAQ.
                              Achievers ETF.
EWO........................  iShares MSCI Austria   NYSE Arca.
                              ETF.
NANR.......................  SPDR S&P North         NYSE Arca.
                              American Natural
                              Resources ETF.
HYMB.......................  SPDR Nuveen S&P High   NYSE Arca.
                              Yield Municipal Bond
                              ETF.
IWC........................  iShares Micro-Cap ETF  NYSE Arca.
XLG........................  Invesco S&P 500 Top    NYSE Arca.
                              50 ETF.
SIL........................  Global X Silver        NYSE Arca.
                              Miners ETF.
FXD........................  First Trust Consumer   NYSE Arca.
                              Discretionary
                              AlphaDEX Fund.
BSCL.......................  Invesco BulletShares   NYSE Arca.
                              2021 Corporate Bond
                              ETF.
ICVT.......................  iShares Convertible    Cboe BZX.
                              Bond ETF.
BAB........................  Invesco Taxable        NYSE Arca.
                              Municipal Bond ETF.
FLTR.......................  VanEck Vectors         NYSE Arca.
                              Investment Grade
                              Floating Rate ETF.
PSK........................  SPDR Wells Fargo       NYSE Arca.
                              Preferred Stock ETF.
IXJ........................  iShares Global         NYSE Arca.
                              Healthcare ETF.
EEMS.......................  iShares MSCI Emerging  NYSE Arca.
                              Markets Small Cap
                              ETF.
AOA........................  iShares Core           NYSE Arca.
                              Aggressive
                              Allocation ETF.
GWX........................  SPDR S&P               NYSE Arca.
                              International Small
                              Cap ETF.
FREL.......................  Fidelity MSCI Real     NYSE Arca.
                              Estate Index ETF.
RFDI.......................  First Trust            NASDAQ.
                              Riverfront Dynamic
                              Developed
                              International ETF.
FMAT.......................  Fidelity MSCI          NYSE Arca.
                              Materials Index ETF.
SLX........................  VanEck Vectors Steel   NYSE Arca.
                              ETF.
WOOD.......................  iShares Global Timber  NASDAQ.
                              & Forestry ETF.
IEZ........................  iShares U.S. Oil       NYSE Arca.
                              Equipment & Services
                              ETF.
FEMS.......................  First Trust Emerging   NASDAQ.
                              Markets Small Cap
                              AlphaDEX Fund.
CHIQ.......................  Global X China         NYSE Arca.
                              Consumer ETF.
JKD........................  iShares Morningstar    NYSE Arca.
                              Large-Cap ETF.
IFV........................  First Trust Dorsey     NASDAQ.
                              Wright International
                              Focus 5 ETF.
BSCM.......................  Invesco BulletShares   NYSE Arca.
                              2022 Corporate Bond
                              ETF.

[[Page 66500]]

 
FTXO.......................  First Trust NASDAQ.    NASDAQ.
                              Bank ETF.
SCIF.......................  VanEck Vectors India   NYSE Arca.
                              Small-Cap Index ETF.
IPAC.......................  iShares Core MSCI      NYSE Arca.
                              Pacific ETF.
FTC........................  First Trust Large Cap  NASDAQ.
                              Growth AlphaDEX Fund.
PALL.......................  ETFS Physical          NYSE Arca.
                              Palladium Shares.
RDVY.......................  First Trust Rising     NASDAQ.
                              Dividend Achievers
                              ETF.
XPH........................  SPDR S&P               NYSE Arca.
                              Pharmaceuticals ETF.
HYEM.......................  VanEck Vectors         NYSE Arca.
                              Emerging Markets
                              High Yield Bond ETF.
ICSH.......................  iShares Ultra Short-   Cboe BZX.
                              Term Bond ETF.
URTH.......................  iShares MSCI World     NYSE Arca.
                              ETF.
BAR........................  GraniteShares Gold     NYSE Arca.
                              Shares.
BNO........................  United States Brent    NYSE Arca.
                              Oil Fund LP.
RYH........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Health Care
                              ETF.
BSJL.......................  Invesco Bulletshares   NYSE Arca.
                              2021 High Yield
                              Corporate Bond ETF.
USCI.......................  United States          NYSE Arca.
                              Commodity Index Fund.
RYF........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Financials
                              ETF.
IVOO.......................  Vanguard S&P Mid-Cap   NYSE Arca.
                              400 ETF.
SLY........................  SPDR S&P 600 Small     NYSE Arca.
                              Cap ETF.
XHE........................  SPDR S&P Health Care   NYSE Arca.
                              Equipment ETF.
IBDL.......................  iShares iBonds Dec     NYSE Arca.
                              2020 Term Corporate
                              ETF.
AGGY.......................  WisdomTree Barclays    NYSE Arca.
                              Yield Enhanced U.S.
                              Aggregate Bond Fund.
FMB........................  First Trust Managed    NASDAQ.
                              Municipal ETF.
IFGL.......................  iShares International  NASDAQ.
                              Developed Real
                              Estate ETF.
IBDK.......................  iShares iBonds Dec     NYSE Arca.
                              2019 Term Corporate
                              ETF.
IBDM.......................  iShares iBonds Dec     NYSE Arca.
                              2021 Term Corporate
                              ETF.
IQDF.......................  FlexShares             NYSE Arca.
                              International
                              Quality Dividend
                              Index Fund.
FLTB.......................  Fidelity Limited Term  NYSE Arca.
                              Bond ETF.
KSA........................  iShares MSCI Saudi     NYSE Arca.
                              Arabia ETF.
BLCN.......................  Reality Shares Nasdaq  NASDAQ.
                              NextGen Economy ETF.
IOO........................  iShares Global 100     NYSE Arca.
                              ETF.
VOOV.......................  Vanguard S&P 500       NYSE Arca.
                              Value ETF.
EWX........................  SPDR S&P Emerging      NYSE Arca.
                              Markets Small Cap
                              ETF.
OUSA.......................  O'Shares FTSE US       NYSE Arca.
                              Quality Dividend ETF.
FNX........................  First Trust Mid Cap    NASDAQ.
                              Core AlphaDEX Fund.
FUTY.......................  Fidelity MSCI          NYSE Arca.
                              Utilities Index ETF.
DHS........................  WisdomTree U.S. High   NYSE Arca.
                              Dividend Fund.
DVYE.......................  iShares Emerging       NYSE Arca.
                              Markets Dividend ETF.
HYGH.......................  iShares Interest Rate  NYSE Arca.
                              Hedged High Yield
                              Bond ETF.
MLPX.......................  Global X MLP & Energy  NYSE Arca.
                              Infrastructure ETF.
AGZ........................  iShares Agency Bond    NYSE Arca.
                              ETF.
FDD........................  First Trust Stoxx      NYSE Arca.
                              European Select
                              Dividend Index Fund.
RGI........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Industrials
                              ETF.
SOCL.......................  Global X Social Media  NASDAQ.
                              ETF.
IGE........................  iShares North          Cboe BZX.
                              American Natural
                              Resources ETF.
TDTF.......................  FlexShares iBoxx 5     NYSE Arca.
                              Year Target Duration
                              TIPS Index Fund.
IPAY.......................  ETFMG Prime Mobile     NYSE Arca.
                              Payments ETF.
TDIV.......................  First Trust NASDAQ     NASDAQ.
                              Technology Dividend
                              Index Fund.
JKE........................  iShares Morningstar    NYSE Arca.
                              Large-Cap Growth ETF.
RYE........................  Invesco S&P 500 Equal  NYSE Arca.
                              Weight Energy ETF.
IHE........................  iShares U.S.           NYSE Arca.
                              Pharmaceuticals ETF.
PJP........................  Invesco Dynamic        NYSE Arca.
                              Pharmaceuticals ETF.
PID........................  Invesco International  NASDAQ.
                              Dividend Achievers
                              ETF.
PEY........................  Invesco High Yield     NASDAQ.
                              Equity Dividend
                              Achievers ETF.
ILTB.......................  iShares Core 10+ Year  NYSE Arca.
                              USD Bond ETF.
RDIV.......................  Oppenheimer S&P Ultra  NYSE Arca.
                              Dividend Revenue ETF.
LVHD.......................  Legg Mason Low         NASDAQ.
                              Volatility High
                              Dividend ETF.
EZM........................  WisdomTree U.S.        NYSE Arca.
                              MidCap Earnings Fund.
ARKG.......................  ARK Genomic            NYSE Arca.
                              Revolution Multi-
                              Sector ETF.
HFXI.......................  IQ 50 Percent Hedged   NYSE Arca.
                              FTSE International
                              ETF.
SNLN.......................  Highland iBoxx Senior  NASDAQ.
                              Loan ETF.
CSML.......................  IQ Chaikin U.S. Small  NASDAQ.
                              Cap ETF.
FXU........................  First Trust Utilities  NYSE Arca.
                              AlphaDEX Fund.
PSLV.......................  Sprott Physical        NYSE Arca.
                              Silver Trust.
QQEW.......................  First Trust Nasdaq-    NASDAQ.
                              100 Equal Weighted
                              Index Fund.
EMGF.......................  iShares Edge MSCI      Cboe BZX.
                              Multifactor Emerging
                              Markets ETF.
FXF........................  Invesco                NYSE Arca.
                              CurrencyShares Swiss
                              Franc Trust.
HYZD.......................  WisdomTree Interest    NASDAQ.
                              Rate Hedged High
                              Yield Bond Fund.
AGGP.......................  IQ Enhanced Core Plus  NYSE Arca.
                              Bond U.S. ETF.
AIEQ.......................  AI Powered Equity ETF  NYSE Arca.
PCEF.......................  Invesco CEF Income     NYSE Arca.
                              Composite ETF.
KBWY.......................  Invesco KBW Premium    NASDAQ.
                              Yield Equity REIT
                              ETF.
IBDN.......................  iShares iBonds Dec     NYSE Arca.
                              2022 Term Corporate
                              ETF.
PBP........................  Invesco S&P 500        NYSE Arca.
                              BuyWrite ETF.
CFA........................  VictoryShares US 500   NASDAQ.
                              Volatility Wtd ETF.

[[Page 66501]]

 
BWZ........................  SPDR Bloomberg         NYSE Arca.
                              Barclays Short Term
                              International
                              Treasury Bond ETF.
VIIX.......................  VelocityShares VIX     NASDAQ.
                              Short-Term ETN.
SJB........................  ProShares Short High   NYSE Arca.
                              Yield.
FSTA.......................  Fidelity MSCI          NYSE Arca.
                              Consumer Staples
                              Index ETF.
DWM........................  WisdomTree             NYSE Arca.
                              International Equity
                              Fund.
ESGE.......................  iShares MSCI EM ESG    NASDAQ.
                              Optimized ETF.
FXG........................  First Trust Consumer   NYSE Arca.
                              Staples AlphaDEX
                              Fund.
CXSE.......................  WisdomTree China ex-   NASDAQ.
                              State-Owned
                              Enterprises Fund.
EQAL.......................  Invesco Russell 1000   NYSE Arca.
                              Equal Weight ETF.
SMDV.......................  ProShares Russell      Cboe BZX.
                              2000 Dividend
                              Growers ETF.
MXI........................  iShares Global         NYSE Arca.
                              Materials ETF.
IHDG.......................  WisdomTree             NYSE Arca.
                              International Hedged
                              Quality Dividend
                              Growth Fund.
FYX........................  First Trust Small Cap  NASDAQ.
                              Core AlphaDEX Fund.
JPUS.......................  JPMorgan Diversified   NYSE Arca.
                              Return U.S. Equity
                              ETF.
CGW........................  Invesco S&P Global     NYSE Arca.
                              Water Index ETF.
SIZE.......................  iShares Edge MSCI USA  NYSE Arca.
                              Size Factor ETF.
XNTK.......................  SPDR NYSE Technology   NYSE Arca.
                              ETF.
CDC........................  VictoryShares US EQ    NASDAQ.
                              Income Enhanced
                              Volatility Wtd ETF.
SIVR.......................  ETFS Physical Silver   NYSE Arca.
                              Shares.
IDLV.......................  Invesco S&P            NYSE Arca.
                              International
                              Developed Low
                              Volatility ETF.
FBND.......................  Fidelity Total Bond    NYSE Arca.
                              ETF.
VRIG.......................  Invesco Variable Rate  NASDAQ.
                              Investment Grade ETF.
XMX........................  WisdomTree Global ex-  NYSE Arca.
                              Mexico Equity Fund.
QABA.......................  First Trust NASDAQ     NASDAQ.
                              ABA Community Bank
                              Index Fund.
RIGS.......................  RiverFront Strategic   NYSE Arca.
                              Income Fund.
FDRR.......................  Fidelity Dividend ETF  NYSE Arca.
                              for Rising Rates.
EPU........................  iShares MSCI Peru ETF  NYSE Arca.
QYLD.......................  Recon Capital NASDAQ   NASDAQ.
                              100 Covered Call ETF.
CSM........................  ProShares Large Cap    Cboe BZX.
                              Core Plus.
FINX.......................  Global X FinTech ETF.  NASDAQ.
GLTR.......................  ETFS Physical          NYSE Arca.
                              Precious Metals
                              Basket Shares.
MDIV.......................  First Trust Multi-     NASDAQ.
                              Asset Diversified
                              Income Index Fund.
AADR.......................  AdvisorShares Dorsey   NYSE Arca.
                              Wright ADR ETF.
PFXF.......................  VanEck Vectors         NYSE Arca.
                              Preferred Securities
                              ex Financials ETF.
PGHY.......................  Invesco Global Short   NYSE Arca.
                              Term High Yield Bond
                              ETF.
BKF........................  iShares MSCI BRIC ETF  NYSE Arca.
PSCT.......................  Invesco S&P SmallCap   NASDAQ.
                              Information
                              Technology ETF.
JPN........................  Xtrackers Japan JPX-   NYSE Arca.
                              Nikkei 400 Equity
                              ETF.
ULVM.......................  USAA MSCI USA Value    NYSE Arca.
                              Momentum Blend Index
                              ETF.
AMU........................  ETRACS Alerian MLP     NYSE Arca.
                              Index ETN.
TFLO.......................  iShares Treasury       NYSE Arca.
                              Floating Rate Bond
                              ETF.
FIXD.......................  First Trust TCW        NASDAQ.
                              Opportunistic Fixed
                              Income ETF.
EES........................  WisdomTree U.S.        NYSE Arca.
                              SmallCap Earnings
                              Fund.
FVC........................  First Trust Dorsey     NASDAQ.
                              Wright Dynamic Focus
                              5 ETF.
EDIV.......................  SPDR S&P Emerging      NYSE Arca.
                              Markets Dividend ETF.
FCVT.......................  First Trust SSI        NASDAQ.
                              Strategic
                              Convertible
                              Securities ETF.
HDGE.......................  AdvisorShares Ranger   NYSE Arca.
                              Equity Bear ETF.
IBDO.......................  iShares iBonds Dec     NYSE Arca.
                              2023 Term Corporate
                              ETF.
TMFC.......................  Motley Fool 100 Index  Cboe BZX.
                              ETF.
FEU........................  SPDR STOXX Europe 50   NYSE Arca.
                              ETF.
PKB........................  Invesco Dynamic        NYSE Arca.
                              Building &
                              Construction ETF.
PTMC.......................  Pacer Trendpilot US    Cboe BZX.
                              Mid Cap ETF.
FTGC.......................  First Trust Global     NASDAQ.
                              Tactical Commodity
                              Strategy Fund.
ESGD.......................  iShares MSCI EAFE ESG  NASDAQ.
                              Optimized ETF.
KXI........................  iShares Global         NYSE Arca.
                              Consumer Staples ETF.
PWB........................  Invesco Dynamic Large  NYSE Arca.
                              Cap Growth ETF.
FXA........................  Invesco                NYSE Arca.
                              CurrencyShares
                              Australian Dollar
                              Trust.
REGL.......................  ProShares S&P MidCap   Cboe BZX.
                              400 Dividend
                              Aristocrats ETF.
JPGE.......................  J.P. Morgan            NYSE Arca.
                              Diversified Return
                              Global Equity ETF.
BSCN.......................  Invesco Bulletshares   NYSE Arca.
                              2023 Corporate Bond
                              ETF.
JKG........................  iShares Morningstar    NYSE Arca.
                              Mid-Cap ETF.
GMF........................  SPDR S&P Emerging      NYSE Arca.
                              Asia Pacific ETF.
NUAG.......................  NuShares Enhanced      NYSE Arca.
                              Yield U.S. Aggregate
                              Bond ETF.
NIB........................  iPath Bloomberg Cocoa  NYSE Arca.
                              Subindex Total
                              Return ETN.
PIE........................  Invesco DWA Emerging   NASDAQ.
                              Markets Momentum ETF.
PUTW.......................  WisdomTree CBOE S&P    NYSE Arca.
                              500 PutWrite
                              Strategy Fund.
FYC........................  First Trust Small Cap  NASDAQ.
                              Growth AlphaDEX Fund.
SUSA.......................  iShares MSCI USA ESG   NYSE Arca.
                              Select ETF.
RXI........................  iShares Global         NYSE Arca.
                              Consumer
                              Discretionary ETF.
IPKW.......................  Invesco International  NASDAQ.
                              BuyBack Achievers
                              ETF.
TLTE.......................  FlexShares             NYSE Arca.
                              Morningstar Emerging
                              Markets Factor Tilt
                              Index.
UDN........................  Invesco DB US Dollar   NYSE Arca.
                              Index Bearish Fund.
HDEF.......................  Xtrackers MSCI EAFE    NYSE Arca.
                              High Dividend Yield
                              Equity ETF.
ELD........................  WisdomTree Emerging    NYSE Arca.
                              Markets Local Debt
                              Fund.

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XTL........................  SPDR S&P Telecom ETF.  NYSE Arca.
ZROZ.......................  PIMCO 25+ Year Zero    NYSE Arca.
                              Coupon US Treasury
                              Index ETF.
ATMP.......................  Barclays ETN+ Select   NYSE Arca.
                              MLP ETN.
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BILLING CODE 8011-01-P

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[FR Doc. 2018-27819 Filed 12-21-18 8:45 am]
BILLING CODE 8011-01-C`