Document ID: SEC-2016-0356-0001
Agency: sec
Document Type: Notice
Title: Joint Industry Plans: Filing of the Tenth Amendment to the National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Stock Exchange, Inc., et al.
Posted Date: 2016-02-29T05:00Z

[Federal Register Volume 81, Number 39 (Monday, February 29, 2016)]
[Notices]
[Pages 10315-10345]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-04246]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-77205; File No. 4-631]

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

February 22, 2016.

I. Introduction

    On February 19, 2016, Nasdaq, Inc., on behalf of the following 
parties to the National Market System Plan to Address Extraordinary 
Market Volatility (the

[[Page 10316]]

``Plan''): \1\ BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago 
Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., 
Financial Industry Regulatory Authority, Inc. (``FINRA''), NASDAQ OMX 
BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, National 
Stock Exchange, Inc., the New York Stock Exchange LLC, NYSE MKT LLC, 
and NYSE Arca, Inc. (collectively with the FINRA, the 
``Participants''), filed with the Securities and Exchange Commission 
(``Commission'') pursuant to Section 11A of the Securities Exchange Act 
of 1934 (``Act'') \2\ and Rule 608 thereunder,\3\ a proposal to amend 
the Plan (``Tenth Amendment'').\4\ The proposal reflects changes 
unanimously approved by the Participants. The Tenth Amendment proposes 
to extend the pilot for one year and to make one modification to the 
Plan, 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 Tenth 
Amendment.\5\
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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 (Jun. 6, 2012) (File No. 4-631) (``Approval 
Order''). On February 26, 2013, the Commission published for 
immediate effectiveness the Second Amendment to the Plan. See 
Securities Exchange Act Release No. 68953 (Feb. 20, 2013), 78 FR 
13113. On April 3, 2013, the Commission approved the Third Amendment 
to the Plan. See Securities Exchange Act Release No. 69287, 78 FR 
21483 (Apr. 10, 2013). On September 3, 2013, the Commission 
published for immediate effectiveness the Fourth Amendment to the 
Plan. See Securities Exchange Act Release No. 70273 (Aug. 27, 2013), 
78 FR 54321 (Fourth Amendment). On September 26, 2013, the 
Commission approved the Fifth Amendment to the Plan. See Securities 
Exchange Act Release No. 70530, 78 FR 60937 (Oct. 2, 2013). On 
January 13, 2014, the Commission published for immediate effective 
the Sixth Amendment to the Plan. See Securities Exchange Act Release 
No. 71247 (Jan. 7, 2014), 79 FR 2204 (Sixth Amendment). On April 3, 
2014, the Commission approved the Seventh Amendment to the Plan. See 
Securities Exchange Act Release No. 71851, 79 FR 19687 (Apr. 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 (Feb. 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 (Oct. 28, 2015).
    \2\ 15 U.S.C. 78k-1.
    \3\ 17 CFR 242.608.
    \4\ See Letter from Paul Roland, Principal, U.S. Equities, 
Nasdaq, to Brent Fields, Secretary, Commission, dated February 18, 
2016. (``Transmittal Letter''). This February letter replaces and 
supersedes, in its entirety, the letter dated October 22, 2015 from 
Christopher B. Stone, FINRA, to Brent J. Fields, Secretary, SEC, 
(proposing a tenth amendment to the Plan).
    \5\ 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 Amendment, along with the information required by Rule 
608(a)(4) and (5) under the Exchange Act,\6\ prepared and submitted by 
the Participants to the Commission.\7\
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    \6\ See 17 CFR 242.608(a)(4) and (a)(5).
    \7\ See Transmittal Letter, supra note 4.
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A. Statement of Purpose and Summary of the Plan Amendment

    The Participants filed the Plan on April 5, 2011, to create a 
market-wide Limit Up-Limit Down (``LULD'') mechanism intended to 
address extraordinary market volatility in NMS Stocks, as defined in 
Rule 600(b)(47) of Regulation NMS under the Exchange Act. The Plan sets 
forth procedures that provide for market-wide LULD requirements that 
prevent trades in individual NMS Stocks from occurring outside of the 
specified Price Bands.\8\ The LULD 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 the type of sudden price movements that the market 
experienced on the afternoon of May 6, 2010.
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    \8\ Unless otherwise specified, the terms used herein have the 
same meaning as set forth in the Plan.
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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 requirements specified in the Plan. More specifically, 
the single plan processor responsible for consolidation of information 
for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the 
Exchange Act will be 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 LULD 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.
    The Plan was initially approved for a one-year pilot period, which 
began on April 8, 2013.\9\ 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,\10\ 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,\11\ 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.
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    \9\ See Section VIII of the Plan.
    \10\ See supra note 1.
    \11\ See id.
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    In addition, pursuant to the Seventh Amendment to the Plan,\12\ the 
pilot period was extended from April 8, 2014 to February 20, 2015, and 
submission of the assessment of the Plan operations was accordingly 
extended to September 30, 2014. Without such extension, the Plan would 
have been in effect for the full trading day for less than two months 
before the end of the pilot period. The Participants believed that this 
short period of full implementation of the Plan would have provided 
insufficient time for both the Participants and the Commission to 
assess the impact of the Plan and determine whether the Plan should be 
modified prior to approval on a permanent basis.
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    \12\ See id.

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[[Page 10317]]

    The Commission set forth in its Approval Order a number of criteria 
for use in assessing the impact of the Plan and calibration of the 
Percentage Parameters. The Supplemental Joint Assessment prepared by 
Professor James J. Angel (``Angel Report'') \13\ and the various 
studies by the Participants were designed to address each of these 
criteria and provide data-driven support for any proposed 
recommendations. On September 29, 2014, the Participants submitted a 
Participant Impact Assessment,\14\ which provided the Commission with 
the Participants' initial observations in each area required to be 
addressed under Appendix B to the Plan. On May 28, 2015, the 
Participants submitted a Supplemental Joint Assessment, in which the 
Participants recommended that the Plan be adopted as permanent, with 
certain modifications, and discussed the areas of analysis set forth in 
Appendix B to the Plan.\15\ On August 14, 2015, Commission staff 
communicated that the Participants must, among other things, provide 
additional analysis required pursuant to Appendix B.III.H of the Plan 
and consider alternative approaches to proposed changes.\16\
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    \13\ See Letter from Christopher B. Stone, Vice President, 
FINRA, to Brent J. Fields, Secretary, SEC, dated May 28, 2015 and 
accompanying Supplemental Joint Assessment, prepared by Professor 
James Angel (the ``Supplemental Joint Assessment'' or ``Angel 
Report''). This report is available for public viewing at http://www.sec.gov/comments/4-631/4-631.shtml.
    \14\ See Joint SROs letter to Brent J. Fields, Secretary, SEC, 
dated September 29, 2014 (``Participant Impact Assessment'').
    \15\ See supra note 13.
    \16\ See Letter from Stephen Luparello, Director, Division of 
Trading Markets, to Christopher B. Stone, Chairman of the Plan 
Operating Committee, dated August 14, 2015 (``Luparello Letter'').
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(1) Executive Summary
    The Participants propose to amend the Plan to extend the pilot 
period of the Plan to April 21, 2017 with one modification to improve 
the operation of the Plan. Specifically, the Participants propose to 
modify the definition of Opening Price in cases where a security does 
not trade in the opening auction on the Primary Listing Exchange, which 
changes the manner in which the Reference Price of the day is 
determined.
    Currently under the Plan, if a security opens on the Primary 
Listing Exchange with a quotation because no trade is executed in the 
opening auction, the first Reference Price for such security would be 
the bid and ask mid-point of such quotations on the Primary Listing 
Exchange (``BAM''). After reviewing the data obtained from multiple 
analyses, the Participants recommend revising the current methodology 
for determining the initial Reference Price to a methodology that uses 
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.
    The Participants believe that this proposed modification to the 
manner in which the first Reference Price of the trading day is 
determined will improve the operation of the Plan's Trading Pause 
mechanism, so that Trading Pauses remain meaningful events that are 
indicative of potential volatility in the paused security.
    Below the Participants also present additional analyses regarding 
whether Trading Pauses are too long or short and whether the reopening 
procedures should be adjusted. The Participants are not recommending 
any changes to the length of Trading Pauses or to the reopening 
procedures at this time, as further discussed below.
    Last, the Participants are proposing to reorder three defined terms 
under Section I, which are currently not in alphabetical order. 
Specifically, the term ``Reference Price'' currently follows the 
defined terms ``Regular Trading Hours'' and ``Regulatory Halt.'' In 
keeping with the convention of the definitions section, the 
Participants are placing these terms in alphabetically order.
(2) Supplementary Analysis on the Length of Trading Pauses and 
Reopening Procedures
    As discussed above, as required by the Plan, the Participants 
submitted a Participant Impact Assessment and a subsequent Supplemental 
Joint Assessment, in which the Participants discussed the areas of 
analysis set forth in Appendix B.III of the Plan. The Commission staff 
requested that the Participants present additional analysis on the 
operation of the Plan, particularly regarding Item H of Section III of 
Appendix B, which required that the Participants assess whether the 
Trading Pauses are too long or short and whether the reopening 
procedures should be adjusted.\17\
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    \17\ See Luparello Letter.
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    To this end, the Primary Listing Exchanges undertook a study to 
assess the current Plan Parameters around Trading Pauses and reopenings 
as well as the potential for repeat pauses. The statistical evidence 
suggests that the current Plan parameters around reopenings are 
sufficient to promote liquidity in securities following a Trading Pause 
under the Plan. Although most Trading Pauses end within five minutes, 
the Plan permits the Primary Listing Exchange to extend the Trading 
Pause to 10 minutes. Following the ten minute period, market 
participants may resume trading, even if the Primary Listing Exchange 
has not reopened the security and has published a non-regulatory order 
imbalance halt.
(a) Nasdaq-Listed Securities
    The operation of LULD during reopenings reflects the same strengths 
and weaknesses as trading at other times of day for subject securities. 
Thus, active stocks that have temporary market disruptions reopen with 
active participation and effective price discovery as they do at the 
start of the trading day (and during continuous trading). Likewise, 
stocks experiencing extreme price uncertainty often have price 
variation before and after a Trading Pause and sometimes pause 
repeatedly. Inactive stocks that pause often lack investor trading 
interest, leading to insufficient participation in reopening crosses.
    The majority of securities that experience Trading Pauses currently 
reopen without any trades occurring in the reopening cross (3,916 out 
of 4,726 cases in Nasdaq-listed securities from January through August 
2015, or 83% (see Table 1)). Such securities typically have very low 
volume and relatively wide spreads, and, therefore, the BAM Reference 
Price is away from the last sale price. Frequently, these securities 
also lack an opening cross on the day on which the pause occurs.
    Trading volume in these securities following a Trading Pause 
typically is very low, with a mean of 264 shares and a median of zero 
shares over the five minute-period following the pause. In about a 
third of cases (36%), these securities pause again within the next five 
minutes because they continue to have little trading interest and 
Reference Prices that are not indicative of the current market for the 
security. Price volatility for these securities is low because they 
infrequently trade.

[[Page 10318]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.000

    Securities that have small reopening crosses (i.e., cross sizes up 
to 1,000 shares in Table 1) are less likely to pause again (less than 
5% of the time during the first five minutes following a Trading Pause) 
than securities that reopen without a trade. These securities also have 
relatively stable prices despite their low volumes.
    The behavior of stocks that have larger reopening crosses (i.e., 
above 1,000 shares and especially above 10,000 shares) suggests news 
driven volatility. In particular, securities with a trade size of more 
than 1,000 shares in the reopening cross were much more likely to halt 
again in the next five minutes than securities with trade sizes of 
1,000 shares or less in the reopening cross. These securities are more 
likely to trade actively and experience greater price variation in the 
subsequent five minutes and, therefore, are more likely to pause again 
within the next five minutes, reflecting continued price uncertainty. 
However, reopening crosses with more than 1,000 shares are less common, 
making up about 6% of pauses.
i. Market Conditions
    Participants also considered whether market conditions stabilized 
after Trading Pauses. Nasdaq compared spreads before and after each 
Pause (see Table 2). For example, Tier 1 Nasdaq-listed securities that 
have a reopening cross, relative quoted spreads averaged less than 1% 
at the time of the Pause (63 basis points), widened after the pause, 
but returned to 10-20 basis points 15 minutes later (10-20 basis points 
is $0.01-$0.02 on a $10 stock). Tier 1 securities that do not have an 
auction and Tier 2 stocks follow a similar pattern, but with wider 
average spreads. The results are consistent with the impact and 
recovery from a news event or temporary lack of liquidity.

[[Page 10319]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.001

    Nasdaq also looked at how prices converge toward the national best 
bid-ask (``NBBO'') midpoint 15 minutes after a reopening (Table 3). For 
example, Tier 1 stocks that have a reopening cross (not including 
August 24th) approached the benchmark relatively smoothly. The 
reopening cross averaged within 4% of the benchmark and the NBBO 
midpoint a minute after reopening was within 2% of the benchmark.
    Tier 1 stocks that did not have a reopening cross and Tier 2 stocks 
approach the benchmark more erratically. As a sign of the sustained 
lack of liquidity in many of these situations, the BAM often remains 
far from where it will be 15 minutes after the reopen. The reopening 
cross price, when it occurs, is on average much closer to the benchmark 
than the BAM even a minute after the reopen.
[GRAPHIC] [TIFF OMITTED] TN29FE16.002

[[Page 10320]]

ii. Repeat Pauses
    The frequency of repeated Trading Pauses in a single stock is an 
area of concern. From January to August 2015, 1,532 securities 
representing 33% of Nasdaq-listed stocks paused within five minutes of 
a previous pause (Table 3). Most of the pauses were in Tier 2 stocks 
that had little or no trading, and the Trading Pauses frequently were 
caused by Reference Prices that were not indicative of the current 
market.
    There were about 100 cases that occurred in more active Nasdaq-
listed stocks. One interpretation of repeat Trading Pauses in actively-
traded stocks is that it reflects continued uncertainty and price 
volatility that cannot be avoided. Another interpretation is that the 
current LULD Trading Pause process can be improved.
    A possible course to address these types of occurrences would be to 
extend the time the Primary Listing Exchange has to complete the 
reopening auction beyond 10 minutes and to examine whether price 
volatility declines. The hope would be that, with additional time, 
market participants would arrive at a price level that would remain 
stable after the reopen.
    However, the data indicates that extending the duration of a 
Trading Pause would be unlikely to result in additional liquidity or 
the elimination of price instability and repeat pauses. First, 15 out 
of 55 Trading Pauses in Tier 1 Nasdaq-listed stocks occurred within 
five minutes of the opening cross, which is a very active price 
discovery process lasting longer than five minutes. If the opening 
cross of the day often cannot address all concerns regarding price 
volatility, the Participants believe it is unlikely that extending 
pause durations would significantly reduce volatility.
    Second, Nasdaq currently extends the duration of Trading Pauses in 
its stocks under certain conditions (see Table 4). This occurred in 58 
cases between January and August 2015. The mean and median lengths of 
these delays were four and one minute, respectively. During the delays, 
the mean and median net numbers of orders entered (new orders less 
cancels) were 16 and three. The mean and median net new shares were 
12,310 and 2,010. Despite the delay, in 24 of these cases, there was 
another pause within five minutes of the delayed reopen.
[GRAPHIC] [TIFF OMITTED] TN29FE16.003

    Another course to address repeat Trading Pauses is to widen the 
Price Bands temporarily after reopening the stock. While this would 
reduce the number of repeat pauses, it works against the goal of 
containing volatility. A further alternative is to widen the Price Band 
on the recovery side, to allow the price to return to where it was 
before the previous pause without pausing again. The Participants find 
that these adjustments to Price Bands should be considered as part of 
future consideration of adjusting Price Bands to minimize volatility.
(b) NYSE-Listed Securities

[[Page 10321]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.004

    Table 5 above shows the record of Trading Pauses and reopenings on 
the NYSE during the first half of 2015 and on August 24, 2015. The data 
excludes pauses in the last 10 minutes of trading, where the only trade 
possible was the closing auction trade executed pursuant to established 
closing procedures.
    Throughout the first half of 2015, there were 19 Trading Pauses in 
Tier 1 NYSE-listed securities and 51 in Tier 2 NYSE-listed securities. 
All of the pauses in Tier 1 securities resulted in a reopening auction, 
but only \1/3\ of pauses in Tier 2 securities resulted in a reopening 
auction
    On August 24, 2015, 28 of the 29 pauses in Tier 1 NYSE-listed 
securities reopened with an auction. This included NYSE opening 
auctions that followed a Trading Pause at 9:35 a.m.\18\ which NYSE 
categorizes as a regular open, but is a reopening from a Plan 
perspective. Some of these opens occurred following a subsequent order 
imbalance halt. An analysis of the pauses in Tier 1 securities would be 
unhelpful because it is not possible to obtain statistical significance 
comparing the market quality of the 28 securities that executed a 
reopening auction to the one security that did not.
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    \18\ All times refer to Eastern Standard Time unless otherwise 
noted.
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    Tier 2 NYSE-listed securities that entered a Trading Pause during 
the first half of 2015 reopened with an auction \1/3\ of the time. Many 
of the Tier 2 securities that were subjected to a pause were extremely 
illiquid (e.g., preferred and when-issued securities), with very wide 
spreads prior to the pause, indicative of data outliers. The data do 
show that spreads narrowed for Tier 2 securities within 15 minutes 
after reopening regardless of whether the security reopened with an 
auction.
    In addition, the data for the first half of 2015 show that the 
median time to reopen Tier 2 securities after a pause were not 
appreciably different than the median time to reopen Tier 1 securities, 
all of which opened with an auction (Table 6). The Tier 2 securities 
that reopened without an auction following a pause were generally 
extremely illiquid. As shown in Table 6 below, the median number of 
days these symbols traded on the NYSE was 79 out of 124 trading days in 
the first half of 2015, and the median number of trades per day on the 
NYSE was only 7.4 trades with a median NYSE average daily volume of 
2,281 shares. The Participants do not believe that extending the 
auction time for such illiquid securities would be likely to attract 
additional trading interest. Nevertheless, when there is a substantial 
order imbalance, waiting longer than five minutes may be useful, as 
would issuing an order imbalance halt after 10 minutes if deemed 
necessary.
[GRAPHIC] [TIFF OMITTED] TN29FE16.005

    Of the 49 pauses in Tier 2 securities on August 24, 2015, 31 
securities reopened with an auction (some of which were categorized by 
NYSE as regular opening auctions). Three very high-priced Tier 2 
securities partially skew the results, as well as several preferred 
stocks. If such securities are excluded, the median pre-pause spread in 
the remaining nine securities was $0.76, while the reopening, one-
minute and 15-minute spreads were $0.80, $0.65 and $0.54, respectively. 
This data shows continued tightening following the reopening, and the 
Participants reiterate that extending the time to reopen would be 
unlikely to significantly alter the results.
NYSE Arca-Listed Securities

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[GRAPHIC] [TIFF OMITTED] TN29FE16.006

    During the first half of 2015, there were 27 pauses in NYSE Arca-
listed Tier 1 ETPs. Table 7a, however, only includes data from 18 Tier 
1 NYSE Arca-listed ETPs because the Participants excluded nine pauses 
that occurred on March 31, 2015 in the UTG to ZSML range, as NYSE Arca 
had quoting and reopening issues in those securities that day. These 18 
Tier 1 ETPs have very low volume and are only categorized as Tier 1 
securities because of a few high volume days.
    With regard to the 1,498 Tier 2 NYSE Arca-listed ETPs that were 
paused during the first half of 2015, over 98% did not reopen with an 
auction. However, such Tier 2 ETPs that did not reopen with an auction 
saw spreads tighten more quickly than those Tier 2 ETPs that did reopen 
with an auction.
    The inability of a security to reopen with an auction may be due to 
a lack of interest in these very illiquid securities. Table 7a shows 
that Tier 2 securities that had no auction exhibited tighter median 
spreads pre-pause, at reopen, post one-minute and post 15-minutes than 
those Tier 2 securities that did reopen with an auction.
    Based on this data, there is little basis for a proposal to extend 
the pause time beyond the current maximum of 10 minutes. Finally, many 
of the pauses in Tier 2 ETPs occurred early in the trading session and 
may have been caused by skewed BAM Reference Prices, as illustrated in 
the discussion of the proposed amendment relating to the methodology 
for determining the first Reference Price of the trading day. 
Accordingly, certain of these pauses may have been avoided with the 
application of a different initial Reference Price methodology.
    On August 24, 2015, trading volumes were much higher than normal, 
contributing to the ability to reopen substantially more paused 
securities using auctions. Early in the trading session, several NYSE 
Arca-listed ETPs paused multiple times in a short period, which may 
have led ETP liquidity providers to delay entering the market until 
after 10:00 a.m. The fact that only 150 of the 635 pauses in Tier 1 
NYSE Arca-listed securities occurred after 10:00 a.m., and only 36 
pauses occurred after 10:15 a.m., appears to reflect the withdrawal of 
such liquidity providers (see Table 7b).
    On August 24, 2015, median spreads following reopening for NYSE 
Arca-listed ETPs that reopened with an auction continued to be wider 
than the median pre-pause spreads, even 15 minutes after those paused 
securities had reopened. However, it should be noted that some 
securities had more than one pause during the 15-minute period after 
reopening following the initial pause, which may have impacted median 
spread data at the post 15-minute mark.
    Multiple pauses within 15 minutes of reopening after the initial 
pause may indicate that some of the median spreads noted in the post 
15-minute column actually represent the spread for a pause that 
occurred shortly after a secondary pause. This may have impacted the 
post 15-minute median spread calculation, as it would represent a quote 
only minutes following the secondary pause (but that was 15 minutes 
after the initial pause). However, spreads for all NYSE Arca-listed 
ETPs were substantially tighter at post 15-minutes compared to the 
spreads at reopening, and the securities that reopened without an 
auction also had tighter spreads at post 15 minutes compared to pre-
pause spreads.
Additional Data--NYSE MKT and BATS
    During the first half of 2015 and on August 24, 2015, neither NYSE 
MKT-listed nor BATS-listed securities experienced a large sample of 
pauses, making any conclusions based on data from these markets of 
limited value. NYSE MKT did not have pauses in any Tier 1 securities 
\19\ during the first half of 2015, and averaged only two pauses per 
month in Tier 2 securities (for a total of 13 pauses, seven of which 
reopened with auctions). On August 24, 2015, four NYSE MKT securities 
experienced pauses, with three securities reopening with an auction. 
BATS-listed securities were paused seven times in the first half of 
2015, five of which occurred immediately after the LULD bands narrowed 
at 9:45 a.m. On August 24, 2015, BATS-listed ETPs were paused three 
times.
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    \19\ NYSE MKT lists one Tier 1 security. Five of BATS' ETPs are 
categorized as Tier 1. All BATS-listed securities are ETPs.
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    The data from these small samples are inconclusive, but are 
represented below in Table 8 for completeness:

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[GRAPHIC] [TIFF OMITTED] TN29FE16.007

(c) Participant's Conclusion on the Length of Trading Pauses and 
Reopening Procedures
    The current LULD rules already permit the Primary Listing Exchange 
to extend the initial five-minute Trading Pause to 10 minutes. The 
Participants' data prepared by Nasdaq and NYSE provide no indication 
that extending Trading Pauses beyond 10 minutes would prevent repeat 
pauses. Currently, Primary Listing Exchanges may extend the pause 
duration to 10 minutes in order to optimize the exchange reopening 
cross process and the Participants believe that this option to extend 
pause durations should remain part of the Primary Listing Exchange 
reopening process. However, absent clear evidence that longer pauses 
have resulted in better post-reopen market quality, the Participants 
recommend no change to the reopening process as it relates to LULD.
    The Primary Listing Exchange may wish to consider extending the 
reopening auction process following a pause beyond the initial five 
minutes on a more frequent basis and, in rare cases, may wish to 
consider calling a non-regulatory Imbalance Halt if the Primary Listing 
Exchange determines that reopening would add to volatility.\20\
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    \20\ While other markets may resume trading after 10 minutes, 
most markets wait until the Primary Listing Exchange has reopened.
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(3) Modification to Initial Reference Price Methodology
    The Plan provides that the first Reference Price for a trading day 
is the Opening Price on the Primary Listing Exchange if such Opening 
Price occurs less than five minutes after the start of Regular Trading 
Hours. However, if the Primary Listing Exchange opens with quotations, 
the first Reference Price for a trading day is the BAM.\21\
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    \21\ If such trade or quote has not occurred by 9:35 a.m., the 
open reference price for the trading day is the arithmetic mean 
price of eligible reported transactions for such security over the 
preceding five minute time period.
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    When the Participants proposed the Plan, several comment letters 
expressed concern that the application of Price Bands during the 
opening and closing could be disruptive to price discovery.\22\ The 
Participants have assessed the impact of Trading Pauses as well as the 
quality of trading around Trading Pauses. While the Participants' 
assessment of the impact of Trading Pauses indicates that the Plan has 
reduced the frequency of price dislocations in stocks, the Participants 
also found extensive evidence showing that the vast majority of Trading 
Pauses that currently occur are in stocks that did not trade at or near 
the time of the Trading Pause.
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    \22\ See Approval Order, supra note 1.
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    The Participants found that the use of the Primary Listing 
Exchange's BAM often produced a skewed initial Reference Price when 
trading interest is extremely thin or non-existent, rendering a 
security illiquid. This scenario occurs when the opening bid-ask quotes 
are wide or skewed and not indicative of the current market for the 
security. Back-testing analysis showed that nearly all of these Trading 
Pauses likely would not have occurred if the first Reference Price for 
the day was determined using the Primary Listing Exchange's previous 
closing price instead of the BAM because the BAM of the first quote may 
not represent fair value in less liquid securities. Therefore, the 
Participants recommend revising the current Plan methodology for 
determining the initial Reference Price to a methodology that uses the 
closing price of the security on the Primary Listing Exchange on the 
previous trading day, and if no such closing price exists, the last 
sale on the Primary Listing Exchange reported to the Processor.
    Although market makers do not have obligations prior to a security 
opening, they will often bracket the market around what they believe to 
be the fair value of a security. For example, the market maker may 
determine that a security is likely to open around $10 and would, 
before the market opens, enter a bid of $7 and an offer of $13. If no 
other orders enter the market prior to the open, the mid-point would 
then be $10, and, even if there is no opening trade, the exchange would 
establish a valid open Reference Price.
    However, if a market participant were to enter an aggressive bid 
prior to the open for such security at $10, then the mid-point would 
become skewed; in this example, the mid-point would be set at $11.50 
for a security with a fair value of $10. If this were a Tier 2 
security, the initial lower limit would be 20% below $11.50, or $9.20 
(assuming it is not a leveraged ETP), and the upper limit would be set 
at $13.80. At 9:45 a.m., the bands would narrow to 10%, which would put 
the lower band at $10.35 and the Upper Price Band at $12.65. If the 
security should be trading near $10, this would immediately result in a 
Trading Pause as the offer attempted to decline below the Lower Price 
Band of $10.35.
    Another example illustrating the impact of using BAM as the first 
Reference Price when quotes are not indicative of the security's 
trading price

[[Page 10324]]

is depicted in the following example and graph (Chart 1).\23\ As an 
example of the BAM deviating from the Reference Price, Professor James 
J. Angel studied, the UBS ETRACS CMCI Energy Total Return ETN (UBN). 
Chart 1 below shows the Upper and Lower Price Bands, with the reference 
and closing price of the day to display the imbalance between the 
intraday bands and the closing price. For an extended duration in 2014, 
the opening Lower Price Band was frequently above the security's 
closing price. The ETN experienced 111 Trading Pauses in 2014. The 
majority of the pauses occurred at 9:45 a.m., just as the Price Bands 
narrowed from double-wide (20%) to single-wide (10%).
---------------------------------------------------------------------------

    \23\ Analysis and graph provided by Professor James J. Angel.
    [GRAPHIC] [TIFF OMITTED] TN29FE16.008
    
    The analysis performed in the Angel Report also directly supports 
the Participants' observations regarding the need to adjust the 
procedure for determining an initial Reference Price when there is no 
trading interest in the opening auction.\24\ In such cases, the 
Participants believe the previous closing price generally is a better 
indication of the current market than a Reference Price based on the 
BAM. Participants also note that a small number of securities are 
responsible for a vast majority of Limit States and Straddle States. 
For example, from the inception of LULD in April 2013 through December 
31, 2014, there were approximately two million Limit States, 4.8 
million Straddle States and 8,500 Trading Pauses. Approximately 91% of 
the two million Limit States are accounted for by 50 securities that 
relied on a Reference Price that was calculated based on the BAM. 
Further, these securities also were responsible for as many as 81% of 
Straddle States and 30% of Trading Pauses.\25\
---------------------------------------------------------------------------

    \24\ See Angel Report, Section V: The Opening Reference Price 
Problem.
    \25\ See Angel Report, Table 3: Impact of Bad Reference Prices 
on Numbers of Observations at page 17.
---------------------------------------------------------------------------

    The Participants believe that the disproportionately high number of 
Trading Pauses in stocks that did not trade in the opening cross can 
reduce market participant attention to Trading Pauses. On volatile 
days, Trading Pauses in stocks that have not traded distract attention 
from the smaller number of stocks that are in Limit State or paused 
because of significant order imbalances. The distraction necessitates 
an unnecessary filtering requirement that could discourage submission 
of offsetting trading interest during the Limit State and the reopening 
auction.
    In addition to the analysis contained in the Angel Report, the 
Participants performed the following data analysis to support the 
proposed recommendations intended to address the current use of the BAM 
as the first Reference Price for illiquid securities. Back-testing of 
securities listed on Nasdaq and NYSE trading venues has shown that, in 
stocks that have no opening cross, the previous closing price results 
in fewer Trading Pauses than the BAM.\26\
---------------------------------------------------------------------------

    \26\ The data was analyzed based on venue to account for 
differences in the availability and formats of the data from NYSE 
and Nasdaq.
---------------------------------------------------------------------------

(a) Nasdaq-Listed Securities
    Between the start of LULD in 2013 and September 22, 2015, 9,118 
Trading Pauses occurred in Nasdaq-listed stocks before they had a 
trade. In the majority of those cases (5,404), after the Trading Pause 
was lifted, there were no trades at any point in the entire trading day 
for the security, which further supports that the pauses were 
uninformative because they were caused by lack of trading interest, 
rather than price volatility (Table 9).
    Of the cases where there was trading later in the day in the 
security, in the vast majority of cases, the closing price that day was 
closer to the previous day's close than the opening BAM. The rows 
highlighted in red in Table 9 are those where the difference matters 
most

[[Page 10325]]

because the previous close and the opening BAM were very different.
[GRAPHIC] [TIFF OMITTED] TN29FE16.009

    The argument against using the previous closing price is that the 
BAM is determined in real time and reflects the latest information. 
This is true when there is trading interest in a stock, but 
demonstrably not true in the thousands of cases each year when there is 
no trading interest and quotes are wide. Furthermore, when there is 
trading interest, stocks are more likely to have an opening cross, 
which obviates the need to use either the previous closing price or BAM 
in calculating the initial Reference Price. For example, during 2015 
through August 23, approximately 550 Nasdaq-listed stocks opened 
without an opening cross trade, but on August 24, 2015 there were only 
250 such stocks.
    Participants undertook back-tests to simulate the impact of the 
proposed change to the first Reference Price on the number of pauses in 
Nasdaq-listed securities that were not trading (see Table 10).\27\
---------------------------------------------------------------------------

    \27\ See Appendix A for details on how the back-testing was 
done.
---------------------------------------------------------------------------

    Participants used results for 182 trading days in all Nasdaq-listed 
LULD-eligible securities that did not have an opening cross (which 
averaged 526 stocks per day) from January to September 2015. For each 
stock and trading day, the test lasted from 9:30 a.m. until there was 
either a trade or a pause in that stock. The Participants tested for 
Limit States using two alternative Reference Prices: (i) The Reference 
Price based on the current Plan parameters; and (ii) the Reference 
Price based on the Primary Listing Exchange previous close. For this 
approach there were four possible comparative outcomes: (i) Both 
resulted in a Limit State and Trading Pause; (ii) neither resulted in a 
Limit State or Trading Pause; (iii) the current bands resulted in a 
Limit State and Trading Pause, but the previous close bands did not; 
and (iv) the previous close bands resulted in a Limit State and Trading 
Pause, but the current bands did not. Generally, the Participants 
expected to find that (i) and (ii) cases would be indicative of both 
Reference Prices having worked equally well and that excessive (iii) 
and (iv) cases would be indicative of poorly functioning Reference 
Prices under one alternative or the other.

[[Page 10326]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.010

    On average, 512.7 stocks per day would not pause with the Reference 
Price determined by either BAM or the previous close. An average of 0.8 
stocks per day would have paused with the Reference Price determined by 
either method. An average of 10.7 stocks per day pause using the 
current BAM Reference Price, but would not pause using the previous 
close Reference Price. Finally, an average of 1.3 stocks per day may 
pause using the previous close Reference Price but would not using the 
BAM Reference Price.
    Participants believe that, for Nasdaq-listed securities, the 10.7 
stocks per day in which the current Price Bands paused, but the 
previous close bands would not pause, could have been avoided if Price 
Bands based on the previous close were used in cases where there is no 
opening auction for a stock. This would represent an 83% reduction in 
the number of stocks pausing after opening on a quote.
(b) NYSE-Listed Securities
    The methodology that NYSE used for its analyses tested the NBBO 
first and continued to use the BAM as the initial Reference Price if 
the width of the quote was less than or equal to one-half of the 
applicable Price Band width, but if outside of such parameters, the 
previous closing price was instead utilized (the ``NYSE Methodology''). 
The differences in results between the methodology applied by Nasdaq in 
subsection (a) above (i.e., using the previous closing price only 
rather than checking the mid-quote first) and the NYSE Methodology were 
not substantial and are discussed further in subsection (d) below.
    NYSE's analyses applied the NYSE Methodology to all LULD Price 
Bands until there was either a trade in the security or until a pause 
was signaled in actual trading. The analyses considered a new pause any 
time a security hit a simulated Limit State based on the revised bands 
under the NYSE Methodology. Note, however, that this tends to 
overestimate pauses because, according to Nasdaq's analysis, only 
approximately five of every eight securities that hit a Limit State 
would ultimately enter a pause.
NYSE Arca Results
    Participants analyzed data from the first half of 2015, as well as 
for August 24, 2015, and found that the NYSE Methodology would have 
substantially reduced the number of pauses due to skewed quotes. NYSE 
defined a skewed quote as an opening quote for which the bid and offer 
were wide and for which an aggressive buyer or seller posted an order 
that resulted in a mid-point far from the security's market value. The 
NYSE simulation used the last sale on the Primary Listing Exchange 
whenever the Reference Price would have been based on such a skewed 
quote.
    As shown in Table 11, below, during the first half of 2015, NYSE 
Arca had a daily average of 14 Tier 1 securities and 432 Tier 2 
securities that opened on a quote. Of these, two Tier 1 and 119 Tier 2 
securities typically used initial Reference Prices that were based on 
skewed quotes. However, most Tier 1 securities execute an opening 
auction, or have an initial quote that is tight enough to allow for the 
use of the mid-quote as a valid Reference Price. On average, each day, 
0.1 Tier 1 and 10.9 Tier 2 securities were paused when their Reference 
Prices were based on skewed quotes (compared to 0.01 Tier 1 securities 
and 0.02 Tier 2 securities with good first Reference Prices that were 
paused during the same period). Application of the revised NYSE 
Methodology would have prevented all Tier 1 pauses and an average of 
9.8 of 10.9 daily Tier 2 pauses (i.e., a reduction of 90.5%).
    Participants have determined that it is critical that revising the 
initial Reference Price methodology does not cause pauses that would 
not otherwise have occurred using the current methodology. The data 
shows that application of the NYSE Methodology would have resulted in 
no such pauses in Tier 1 securities and 0.07 such pauses in Tier 2 
securities per day.
    Participants also reviewed the simulation data (see Table 11) to 
determine if any securities that actually

[[Page 10327]]

experienced a pause using the current methodology would have 
experienced a pause earlier in the same trading day if the NYSE 
Methodology had been applied. Participants found that there was an 
average of one such pause per day that would have occurred for Tier 2 
securities and there were no such occurrences for Tier 1 securities. 
However, the Participants do not consider this to be an issue, as these 
securities would have been subject to pauses already; the NYSE 
Methodology merely resulted in a pause occurring earlier in the trading 
session.
[GRAPHIC] [TIFF OMITTED] TN29FE16.011

NYSE Results
    Application of the NYSE Methodology during the first half of 2015 
for NYSE-listed securities would have prevented a total of 31 pauses, 
all in Tier 2 securities; on August 24, 2015, seven pauses would have 
been prevented (see Table 12). Participants estimate that a maximum of 
three pauses would have been caused by the NYSE Methodology that would 
not have occurred using the current methodology, all in Tier 2 
securities.
[GRAPHIC] [TIFF OMITTED] TN29FE16.012

NYSE MKT Results
    Application of the NYSE Methodology had no substantive impact on 
NYSE MKT-listed securities. For the first half of 2015, two pauses 
would have been avoided, and there would have been no pauses caused by 
the NYSE Methodology that would otherwise not have occurred using the 
current methodology. There would have been no impact on pauses on 
August 24, 2015 (Table 13).

[[Page 10328]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.013

(c) Participants' Conclusion on First Reference Price
    The Participants find that the vast majority of Trading Pauses 
occur when the current Plan methodology results in inappropriate 
Reference Prices. This occurs most often in low volume securities when 
there is no opening cross on the Primary Listing Exchange and the NBBO 
is wide or far from most recent last sale price of the security.\28\
---------------------------------------------------------------------------

    \28\ When there is no opening trade and the Primary Listing 
Exchange does not have a previous closing price for a security (such 
as on its first day of trading or due to a technical problem), the 
Primary Listing Exchange BAM will be the Reference Price.
---------------------------------------------------------------------------

    The Participants explored and back-tested multiple options for 
fixing the problem and recommend that the Plan be amended to change the 
first Reference Price when there is no opening trade from the BAM to 
the Primary Listing Exchange previous closing price.
    The Participants believe that the proposed amendments are 
consistent with Section 11A of the Exchange Act and Rule 608, of 
Regulation NMS thereunder,\29\ which authorizes the Participants to act 
jointly in preparing,

[[Page 10329]]

filing and implementing national market system plans.
---------------------------------------------------------------------------

    \29\ 17 CFR 242.608.
---------------------------------------------------------------------------

(d) Alternative Approaches To Establishing the First Reference Price
    The Commission staff requested that Participants consider 
alternative approaches to establishing the initial Reference Price when 
a security does not open on a trade. Under the current Plan, the 
Primary Listing Exchange determines the first Reference Price using BAM 
when no trade is executed in the opening auction, which the 
Participants believe results in unnecessary and avoidable trading 
pauses.
    i. Utilize the mid-point of the prior day's last NBBO and the last 
LULD Reference Price:
    In 2013 the Participants considered utilizing the mid-point of the 
prior day's last NBBO and the prior day's last LULD Reference Price to 
determine the open reference price. The Participants found that, while 
these simulations also resulted in a reduction of pauses, such 
alternative methods were not as effective in reducing the number of 
pauses as using the most recent last sale eligible execution on the 
Primary Listing Exchange.
    The results of those analyses are shown in Table 14, above, and 
Table 15, below. Results in Table 14 reflect those results for 
securities on NYSE and NYSE MKT that were subject to LULD at the time 
of the analyses. Results in Table 15 include those for the NYSE Arca-
listed securities that were subject to LULD at the time of the 
analyses. These tables compare the number of securities subject to LULD 
that had been paused before a trade had been executed with the 
estimated number of securities that would have been paused if the 
following methods had instead been implemented:
    a. Most recent prior day trade;
    b. Prior day's final LULD Reference Price;
    c. Final regular hours NBBO mid-point; and
    d. First NBBO mid-point.
    The Participants also reviewed, for securities that were not yet 
subject to LULD at the time of the analyses, theoretical possible 
pauses using these same methods. The results showed that using the most 
recent prior day's last sale or the prior day's final LULD Reference 
Price resulted in far fewer pauses than the current methodology 
utilizing the BAM.
[GRAPHIC] [TIFF OMITTED] TN29FE16.014

ii. Delay the Establishing of the Open Reference Price
    The Participants also considered a delay in establishing the open 
Reference Price until 9:32 a.m., but noted that such a delay would 
result in a period during which there was no LULD protection after the 
Primary Listing Exchange had already opened the security (Table 16).

[[Page 10330]]

[GRAPHIC] [TIFF OMITTED] TN29FE16.015

    Also, to review the feasibility of using such a delay, an analysis 
of spread changes in NYSE Arca ETPs between 9:30 a.m. and 9:32 a.m. was 
conducted for October 2013. This analysis used the percentage of NYSE 
Arca securities in the first half of 2015 that would have employed the 
most recent last sale eligible execution as the initial Reference 
Price, which was 7.94%,\30\ to establish the appropriate threshold to 
use in determining which spreads should be included in the analysis. 
The analysis applied 7.94% to the percentile rank of spreads at the 
open and at 9:32 a.m. (i.e., 100%-7.94% = 92.06 percentile). As shown 
in Table 16 above, securities in this percentile typically had a spread 
greater than 34% at the open, and the spread still remained relatively 
wide, at 5.84%, at 9:32 a.m. The risk posed by leaving securities 
without LULD protection for two minutes in addition to the risk that 
the mid-quotes may still be skewed two minutes after opening led to the 
Participants' determination that delaying until 9:32 a.m. to determine 
the open Reference Price was not a viable alternative.
---------------------------------------------------------------------------

    \30\ There was an average of 118.8 securities per day that would 
have used last sale as the open reference price as represented in 
Table 16 above. The average daily count of NYSE Arca-listed 
securities in the first half of 2015 was 1,493.
---------------------------------------------------------------------------

iii. Pause Trading Until the NBBO Meets Some Standard of Quality
    Another alternative suggestion would be pausing trading on stocks 
until the NBBO meets some standard of quality.
    The Participants find that it is unnecessarily disruptive to put 
stocks into a Trading Pause when there is little trading interest. In 
fact, the purpose of the recommended change in the initial Reference 
Price calculation methodology is to reduce unnecessary Trading Pauses. 
Instead, it should be recognized that when the NBBO in a stock is wider 
than the LULD bands, the stock is in a temporary form of Trading Pause 
because trades cannot occur at bids and offers outside the LULD bands 
(a trade may occur if non-displayed orders meet at prices within the 
Price Bands). Trading may resume smoothly when limit orders return 
within the Price Bands. Market participants also may move their orders 
to the Limit State and force an auction if they believe the appropriate 
price is not within the Price Bands.
iv. Test the Opening NBBO
    Another alternative suggestion is to test the NBBO and continue to 
use the BAM as the first reference price if the width of the quote is 
less than or equal to one-half of the applicable Price Band width, but 
if outside of such parameters, the previous closing price would be 
utilized. NYSE found that including this mid-quote check would have 
prevented, in the first half of 2015, an additional 54 pauses in NYSE 
Arca Tier 2 securities, three pauses in NYSE Arca Tier 1 securities, 
two pauses in NYSE Tier 1 securities and seven pauses in NYSE-listed 
Tier 2 securities (NYSE MKT and BATS results were not tested without 
the mid-quote check). However, a substantial number of such pauses were 
in a limited number of securities, most of which rarely traded.
    Therefore, the Participants believe that at this time the added 
complexity and potential for continuing to have inappropriate Reference 
Prices from such an approach would outweigh any incremental benefits. 
First, the complexity added by undertaking the test in every security 
that does not have a trade may further delay establishing the LULD 
Price Bands and adds a point of failure to the Price Band calculation. 
Second, in some cases the NBBO is narrow, but at prices far from the 
security's fundamental value. Third, there is no research available to 
justify any particular standard of how narrow the NBBO should be before 
it is acceptable. Finally, Nasdaq back-testing demonstrates that, at 
most, one Nasdaq-listed security will pause each day because of 
switching from the BAM to the previous closing price, but that is not a 
pause that should not have happened. The fact that the price has moved 
away from the previous close is an indication of news.
v. Alternatives External to the LULD Plan
    The Participants considered an alternative external to the LULD 
Plan to mitigate wide or skewed opening quotes resulting in an 
inaccurate midpoint--i.e., the imposition of enhanced or tighter market 
maker quoting obligations. Current market maker obligations generally 
require market makers to quote a designated percentage away from the 
NBBO or the last reported sale, but are not applicable until the stock 
has opened for trading. Thus, simply narrowing quoting obligations 
would be insufficient where there are no price references off which to 
measure, and would require a new structure to be effective prior to or 
upon the opening.
    Noting that the purpose of the pilot period and study is to correct 
unintended consequences of the Plan design, the Participants believe it 
is not necessary to create new regulatory obligations and attendant 
surveillances, enforcement and penalties in order to fix a design flaw 
created by the Participants when the recommended system changes can fix 
the mid-point issue in a more targeted manner.
    Other broader external solutions designed to mitigate fragmentation 
around the opening are beyond the scope of this study and the 
Participants.
(4) Discussion of Additional Potential Measures To Increase Liquidity 
and Promote Market Stability
    Trading venues undertake a range of activities to encourage deep 
liquidity and stable markets. In addition to the Plan, exchanges and 
non-exchange trading venues compete with innovative information 
products, order types, and pricing to attract and promote market 
making. The Participants also have rules that set standards and 
requirements for market maker quoting, market-wide circuit breakers, 
clearly erroneous trades and aberrant trades.
    All of these rules are interrelated, and any changes to the Plan 
may also affect the impact of other rules on the market. This section 
discusses alternatives Participants considered to promote liquidity 
provision and rule changes, in addition to the Plan, that the 
Participants believe could promote market stability.

[[Page 10331]]

(a) Market Maker Quoting Standards
    Notwithstanding current SRO requirements for market makers, 
liquidity demand sometimes overwhelms supply and prices can move 
without a fundamental change in the value of the asset. The 
Participants considered alternative ways to enhance liquidity or limit 
such temporary price dislocations.
    Specifically, Participants considered suggestions that market maker 
incentives and obligations could be enhanced to encourage or require 
greater liquidity provision near the price of the asset. Such 
additional depth could be expected to absorb liquidity-taking orders 
that would otherwise push the price away from its fundamental value. 
Several exchanges have implemented innovative ways for issuers to 
compensate market makers for enhanced market making in certain 
securities. Participants believe that the SEC should encourage such 
innovation. Participants find that efforts to increase market maker 
obligations without compensation are untenable in the current 
fragmented market structure because market makers can avoid exchange-
level quoting obligations by moving market making activities to a non-
exchange venue that does not share the requirements. Participants find 
that future market structure considerations should be given to the 
benefits of reducing fragmentation in certain situations, particularly 
in trading of illiquid stocks.
    Furthermore, current market maker obligations generally require 
market makers to quote a designated percentage away from the NBBO or 
the last reported sale, but are not applicable until the stock has 
opened for trading. Thus, simply narrowing quoting obligations would be 
insufficient where there are no price references off of which to 
measure, and would require a new structure to be effective prior to or 
upon the opening.
    Several industry members have also recommended that to help 
increase the likelihood of a successful auction, and to improve price 
discovery, consideration should be given to routing of all orders to 
the Primary Listing Exchange during a halt. Auctions provide an 
opportunity to aggregate liquidity, and routing to the primary exchange 
could reduce fragmentation and may preclude a run-off of standing 
orders that could have been more efficiently handled by the Primary 
Listing Exchange's reopening auction.
(b) Market Orders and Stop Market Orders
    To limit the risk that retail investors receive executions at 
prices substantially different than those they expected to receive, 
particularly during periods of high volatility, the Participants 
believe consideration should be given to eliminating stop loss market 
orders. In addition, Participants recommend that market participants be 
provided the opportunity to consider and comment on proposals to limit 
or eliminate the use of market orders.
(c) Additional Alternatives
    Additional items that warrant further consideration in this context 
include possibly requiring the routing of all orders to the Primary 
Listing Exchange during the reopening auction process. Market 
participants and regulators may also consider providing ETP issuers the 
option of waiting until 9:45 a.m. to open their securities on volatile 
days. This may require a specific industry rule with respect to the 
definition of ``volatile.'' Finally, consideration should be given to 
incorporating indicative valuations into the set of criteria used to 
invoke auction reopenings.

B. Governing or Constituent Documents

    The governing documents of the Processor, as defined in Section 
I(P) of the Plan, will not be affected by the Plan, but once the Plan 
is implemented, the Processor's obligations will change, as set forth 
in detail in the Plan.

C. Implementation of Plan

    The initial date of the Plan operations was April 8, 2013.

D. Development and Implementation Phases

    The Plan 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. Pursuant to the Ninth Amendment, the 
Participants extended the Pilot until April 22, 2016.\31\ Pursuant to 
the instant proposal, the Plan would be extended until April 21, 2017 
with the proposed modifications described herein. The amendments would 
be implemented three months after SEC approval of Amendment No. 10.
---------------------------------------------------------------------------

    \31\ See supra note 1.
---------------------------------------------------------------------------

E. Analysis of Impact on Competition

    The proposed amendment to the 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.

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

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

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

    Section II(C) of the Plan provides that any entity registered as a 
national securities exchange or national securities association under 
the 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

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.

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.

[[Page 10332]]

    On February 17, 2016, the Operating Committee, duly constituted and 
chaired by Mr. Paul Roland, Nasdaq, met and 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 
Tenth Amendment and was in favor.

III. Solicitation of Comments

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

Electronic Comments

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

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.

All submissions should refer to File Number 4-631. This file number 
should be included on the subject line if email is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the Plan that are filed with the Commission, 
and all written communications relating to the Plan between the 
Commission and any person, other than those that may be withheld from 
the public in accordance with the provisions of 5 U.S.C. 552, will be 
available for Web site viewing and printing in the Commission's Public 
Reference Room, 100 F Street NE., Washington, DC 20549, on official 
business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of 
the filing also will be available for inspection and copying at the 
Participants' principal offices. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number 4-631 and should be submitted on or before March 21, 2016.

    By the Commission.
Robert W. Errett,
Deputy Secretary.

Appendix A

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

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

Table of Contents

 
                     Section                                Page
 
Preamble.........................................  1
I. Definitions...................................  2
II. Parties......................................  4
III. Amendments to Plan..........................  7
IV. Trading Center Policies and Procedures.......  [8]9
V. Price Bands...................................  9
VI. Limit Up-Limit Down Requirements.............  11
VII. Trading Pauses..............................  13
VIII. Implementation.............................  15
IX. Withdrawal from Plan.........................  16
X. Counterparts and Signatures...................  [16]17
Appendix A--Percentage Parameters................  [19]18
Appendix A--Schedule 1...........................  [21]20
Appendix B--Data.................................  [34]37
 

Preamble

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

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an 
NMS Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, 
as amended.
    (C) ``Limit State'' shall have the meaning provided in Section 
VI of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in 
Section V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national 
market system plans through which the Participants act jointly to 
disseminate consolidated information in compliance with Rule 603(b) 
of Regulation NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange[, or,]. [i]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 
[midpoint of those quotations].
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V 
of the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been 
listed the longest shall be the Primary Listing Exchange.

[[Page 10333]]

    (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)[(R)] ``Regular Trading Hours'' shall have the meaning 
provided in Rule 600(b)(64) of Regulation NMS under the Exchange 
Act. For purposes of the Plan, Regular Trading Hours can end earlier 
than 4:00 p.m. ET in the case of an early scheduled close.
    (T)[(S)] ``Regulatory Halt'' shall have the meaning specified in 
the Market Data Plans.
    [(T) ``Reference Price'' shall have the meaning provided in 
Section V of the Plan.]
    (U) ``Reopening Price'' shall mean the price of a transaction 
that reopens trading on the Primary Listing Exchange following a 
Trading Pause or a Regulatory Halt, or, if the Primary Listing 
Exchange reopens with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in 
Section VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in 
Section V of the Plan.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:

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

    (1) The Processor for each NMS stock shall calculate and 
disseminate to the public a Lower Price Band and an Upper Price Band 
during Regular Trading Hours for such NMS

[[Page 10334]]

Stock. The Price Bands shall be based on a Reference Price for each 
NMS Stock that equals the arithmetic mean price of Eligible Reported 
Transactions for the NMS stock over the immediately preceding five-
minute period (except for periods following openings and reopenings, 
which are addressed below). If no Eligible Reported Transactions for 
the NMS Stock have occurred over the immediately preceding five-
minute period, the previous Reference Price shall remain in effect. 
The Price Bands for an NMS Stock shall be calculated by applying the 
Percentage Parameter for such NMS Stock to the Reference Price, with 
the Lower Price Band being a Percentage Parameter below the 
Reference Price, and the Upper Price Band being a Percentage 
Parameter above the Reference Price. The Price Bands shall be 
calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 
a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early 
scheduled close, during the last 25 minutes of trading before the 
early scheduled close, the Price Bands shall be calculated by 
applying double the Percentage Parameters set forth in Appendix A. 
If a Reopening Price does not occur within ten minutes after the 
beginning of a Trading Pause, the Price Band, for the first 30 
seconds following the reopening after that Trading Pause, shall be 
calculated by applying triple the Percentage Parameters set forth in 
Appendix A.
    (2) The Processor shall calculate a Pro-Forma Reference Price on 
a continuous basis during Regular Trading Hours, as specified in 
Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not 
moved by 1% or more from the Reference Price currently in effect, no 
new Price Bands shall be disseminated, and the current Reference 
Price shall remain the effective Reference Price. When the Pro-Forma 
Reference Price has moved by 1% or more from the Reference Price 
currently in effect, the Pro-Forma Reference Price shall become the 
Reference Price, and the Processor shall disseminate new Price Bands 
based on the new Reference Price; provided, however, that each new 
Reference Price shall remain in effect for at least 30 seconds.

(B) Openings

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

(C) Reopenings

    (1) Following a Trading Pause in an NMS Stock, and if the 
Primary Listing Exchange has not declared a Regulatory Halt, the 
next Reference Price shall be the Reopening Price on the Primary 
Listing Exchange if such Reopening Price occurs within ten minutes 
after the beginning of the Trading Pause, and subsequent Reference 
Prices shall be determined in the manner prescribed for normal 
openings, as specified in Section V(B)(1) of the Plan. If such 
Reopening Price does not occur within ten minutes after the 
beginning of the Trading Pause, the first Reference Price following 
the Trading Pause shall be equal to the last effective Reference 
Price before the Trading Pause. Subsequent Reference Prices shall be 
calculated as specified in Section V(A) of the Plan.
    (2) Following a Regulatory Halt, the next Reference Price shall 
be the Opening or Reopening Price on the Primary Listing Exchange if 
such Opening or Reopening Price occurs within five minutes after the 
end of the Regulatory Halt, and subsequent Reference Prices shall be 
determined in the manner prescribed for normal openings, as 
specified in Section V(B)(1) of the Plan. If such Opening or 
Reopening Price has not occurred within five minutes after the end 
of the Regulatory Halt, the Reference Price shall be equal to the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the preceding five minute time period, and subsequent 
Reference Prices shall be calculated as specified in Section V(A) of 
the Plan.

VI. Limit Up-Limit Down Requirements

(A) Limitations on Trades and Quotations Outside of Price Bands

    (1) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of 
Participants, shall establish, maintain, and enforce written 
policies and procedures that are reasonably designed to prevent 
trades at prices that are below the Lower Price Band or above the 
Upper Price Band for an NMS Stock. Single-priced opening, reopening, 
and closing transactions on the Primary Listing Exchange, however, 
shall be excluded from this limitation. In addition, any transaction 
that both (i) does not update the last sale price (except if solely 
because the transaction was reported late or because the transaction 
was an odd-lot sized transaction), and (ii) is excepted or exempt 
from Rule 611 under Regulation NMS shall be excluded from this 
limitation.
    (2) When a National Best Bid is below the Lower Price Band or a 
National Best Offer is above the Upper Price Band for an NMS Stock, 
the Processor shall disseminate such National Best Bid or National 
Best Offer with an appropriate flag identifying it as non-
executable. When a National Best Offer is equal to the Lower Price 
Band or a National Best 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

[[Page 10335]]

below (above) the Lower (Upper) Price Band and the NMS Stock is not 
in a Limit State, and trading in that NMS Stock deviates from normal 
trading characteristics such that declaring a Trading Pause would 
support the Plan's goal to address extraordinary market volatility. 
The Primary Listing Exchange shall develop policies and procedures 
for determining when it would declare a Trading Pause in such 
circumstances. If a Trading Pause is declared for an NMS Stock under 
this provision, the Primary Listing Exchange shall notify the 
Processor.
    (3) The Processor shall disseminate Trading Pause information to 
the public. No trades in an NMS Stock shall occur during a Trading 
Pause, but all bids and offers may be displayed.

(B) Reopening of Trading During Regular Trading Hours

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

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

    (1) If a Trading Pause for an NMS Stock is declared in the last 
ten minutes of trading before the end of Regular Trading Hours, the 
Primary Listing Exchange shall not reopen trading and shall attempt 
to execute a closing transaction using its established closing 
procedures. All trading centers may begin trading the NMS Stock when 
the Primary Listing Exchange executes a closing transaction.
    (2) If the Primary Listing Exchange does not execute a closing 
transaction within five minutes after the end of Regular Trading 
Hours, all trading centers may begin trading the NMS Stock.

VIII. Implementation

    The initial date of Plan operations shall be April 8, 2013.

(A) Phase I

    (1) On the initial date of Plan operations, Phase I of Plan 
implementation shall begin in select symbols from the Tier 1 NMS 
Stocks identified in Appendix A of the Plan.
    (2) Three months after the initial date of Plan operations, or 
such earlier date as may be announced by the Processor with at least 
30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks 
identified in Appendix A of the Plan.
    (3) During Phase I, the first Price Bands for a trading day 
shall be calculated and disseminated 15 minutes after the start of 
Regular Trading Hours as specified in Section (V)(A) of the Plan. No 
Price Bands shall be calculated and disseminated and therefore 
trading shall not enter a Limit State less than 30 minutes before 
the end of Regular Trading Hours.

(B) Phase II--Full Implementation

    Phase II.A.: Eight months after the initial date of Plan 
operations, or such earlier date as may be announced by the 
Processor with at least 30 days notice, the Plan shall fully apply 
(i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, and 
ending at 3:45 p.m. ET each trading day, or earlier in the case of 
an early scheduled close.
    Phase II.B.: By February 24, 2014, or such earlier date as may 
be announced by the Processor with at least 30 days notice, the Plan 
shall fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 
a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in 
the case of an early scheduled close.

(C) Pilot

    The Plan shall be implemented on a pilot basis set to end on 
April 21[2], 2017[6].

IX. Withdrawal from Plan

    If a Participant obtains SEC approval to withdraw from the Plan, 
such Participant may withdraw from the Plan at any time on not less 
than 30 days' prior written notice to each of the other 
Participants. At such time, the withdrawing Participant shall have 
no further rights or obligations under the Plan.

X. Counterparts and Signatures

    The Plan may be executed in any number of counterparts, no one 
of which need contain all signatures of all Participants, and as 
many of such counterparts as shall together contain all such 
signatures shall constitute one and the same instrument.
    IN WITNESS THEREOF, this Plan has been executed as of the [31st] 
18th day of [July] February 2016[5] by each of the parties hereto.

BATS EXCHANGE, INC.

BY:--------------------------------------------------------------------

CHICAGO STOCK EXCHANGE, INC.

BY:--------------------------------------------------------------------

EDGX EXCHANGE, INC.

BY:--------------------------------------------------------------------

NASDAQ OMX BX, INC.

BY:--------------------------------------------------------------------

THE NASDAQ STOCK MARKET LLC

BY:--------------------------------------------------------------------

NEW YORK STOCK EXCHANGE LLC

BY:--------------------------------------------------------------------

NYSE ARCA, INC.

BY:--------------------------------------------------------------------

BATS Y-EXCHANGE, INC.

BY:--------------------------------------------------------------------

EDGA EXCHANGE, INC.

BY:--------------------------------------------------------------------

FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.

BY:--------------------------------------------------------------------

NASDAQ OMX PHLX LLC

BY:--------------------------------------------------------------------

NATIONAL STOCK EXCHANGE, INC.

BY:--------------------------------------------------------------------

NYSE MKT LLC

BY:--------------------------------------------------------------------

Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks

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

II. Tier 2 NMS Stocks

    (1) Tier 2 NMS Stocks shall include all NMS Stocks other than 
those in Tier 1, provided, however, that all rights and warrants are 
excluded from the Plan.
    (2) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price more than $3.00 shall be 10%.
    (3) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price equal to

[[Page 10336]]

$0.75 and up to and including $3.00 shall be 20%.
    (4) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or 
(b) 75%.
    (5) Notwithstanding the foregoing, the Percentage Parameters for 
a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable 
Percentage Parameter set forth in clauses (2), (3), or (4) above, 
multiplied by the leverage ratio of such product.
    (6) The Reference Price used for determining which Percentage 
Parameter shall be applicable during a trading day shall be based on 
the closing price of the NMS Stock on the Primary Listing Exchange 
on the previous trading day, or if no closing price exists, the last 
sale on the Primary Listing Exchange reported by the Processor.

                         Appendix A--Schedule 1
                         (as of January 4, 2016)
------------------------------------------------------------------------
       Ticker                 ETP name                  Exchange
------------------------------------------------------------------------
AAXJ................  iShares MSCI All Country  NASDAQ
                       Asia ex Japan ETF.
ACWI................  iShares MSCI ACWI ETF...  NASDAQ
ACWV................  iShares MSCI All Country  NYSE Arca
                       World Minimum
                       Volatility ETF.
ACWX................  iShares MSCI ACWI ex US   NASDAQ
                       ETF.
AGG.................  iShares Core U.S.         NYSE Arca
                       Aggregate Bond ETF.
AGZ.................  iShares Agency Bond ETF.  NYSE Arca
AMJ.................  JPMorgan Alerian MLP      NYSE Arca
                       Index ETN.
AMLP................  Alerian MLP ETF.........  NYSE Arca
AMU.................  ETRACS Alerian MLP Index  NYSE Arca
                       ETN.
AOA.................  iShares Core Aggressive   NYSE Arca
                       Allocation ETF.
AOK.................  iShares Core              NYSE Arca
                       Conservative Allocation
                       ETF.
AOM.................  iShares Core Moderate     NYSE Arca
                       Allocation ETF.
AOR.................  iShares Core Growth       NYSE Arca
                       Allocation ETF.
ASHR................  Deutsche X-trackers       NYSE Arca
                       Harvest CSI 300 China A-
                       Shares ETF.
ASHS................  Deutsche X-trackers       NYSE Arca
                       Harvest CSI 500 China A-
                       Shares ETF.
ATMP................  Barclays ETN+ Select MLP  NYSE Arca
                       ETNs.
BAB.................  PowerShares Build         NYSE Arca
                       America Bond Portfolio.
BBH.................  Market Vectors Biotech    NYSE Arca
                       ETF.
BIL.................  SPDR Barclays 1-3 Month   NYSE Arca
                       T-Bill.
BIV.................  Vanguard Intermediate-    NYSE Arca
                       Term Bond ETF.
BKLN................  PowerShares Senior Loan   NYSE Arca
                       Portfolio.
BLV.................  Vanguard Long-Term Bond   NYSE Arca
                       ETF.
BND.................  Vanguard Total Bond       NYSE Arca
                       Market ETF.
BNDS................  SPDR Barclays Aggregate   NYSE Arca
                       Bond ETF.
BNDX................  Vanguard Total            NASDAQ
                       International Bond ETF.
BOND................  PIMCO Total Return        NYSE Arca
                       Active Exchange-Traded
                       Fund.
BSCG................  Guggenheim BulletShares   NYSE Arca
                       2016 Corporate Bond ETF.
BSCH................  Guggenheim BulletShares   NYSE Arca
                       2017 Corporate Bond ETF.
BSCI................  Guggenheim BulletShares   NYSE Arca
                       2018 Corporate Bond ETF.
BSCJ................  Guggenheim BulletShares   NYSE Arca
                       2019 Corporate Bond ETF.
BSCK................  Guggenheim BulletShares   NYSE Arca
                       2020 Corporate Bond ETF.
BSJF................  Guggenheim BulletShares   NYSE Arca
                       2015 High Yield
                       Corporate Bond ETF.
BSJG................  Guggenheim BulletShares   NYSE Arca
                       2016 High Yield
                       Corporate Bond ETF.
BSJH................  Guggenheim BulletShares   NYSE Arca
                       2017 High Yield
                       Corporate Bond ETF.
BSJI................  Guggenheim BulletShares   NYSE Arca
                       2018 High Yield
                       Corporate Bond ETF.
BSJJ................  Guggenheim BulletShares   NYSE Arca
                       2019 High Yield
                       Corporate Bond ETF.
BSV.................  Vanguard Short-Term Bond  NYSE Arca
                       ETF.
BTAL................  QuantShares US Market     NYSE Arca
                       Neutral Anti-Beta Fund.
BWX.................  SPDR Barclays             NYSE Arca
                       International Treasury
                       Bond ETF.
CHAD................  Direxion Daily CSI 300    NYSE Arca
                       China A Share Bear 1x
                       Shares.
CIU.................  iShares Intermediate      NYSE Arca
                       Credit Bond ETF.
CLY.................  iShares 10+ Year Credit   NYSE Arca
                       Bond ETF.
CMBS................  iShares CMBS ETF........  NYSE Arca
CMF.................  iShares California AMT-   NYSE Arca
                       Free Muni Bond ETF.
CNXT................  Market Vectors China AMC  NYSE Arca
                       SME-ChiNext ETF.
CORP................  PIMCO Investment Grade    NYSE Arca
                       Corporate Bond Index
                       Exchange-Traded Fund.
CRED................  iShares Core US Credit    NYSE Arca
                       Bond ETF.
CSD.................  Guggenheim Spin-Off ETF.  NYSE Arca
CSJ.................  iShares 1-3 Year Credit   NYSE Arca
                       Bond ETF.
CSM.................  ProShares Large Cap Core  BATS
                       Plus.
CVY.................  Guggenheim Multi-Asset    NYSE Arca
                       Income ETF.
CWB.................  SPDR Barclays             NYSE Arca
                       Convertible Securities
                       ETF.
CWI.................  SPDR MSCI ACWI ex-US ETF  NYSE Arca
DBA.................  PowerShares DB            NYSE Arca
                       Agriculture Fund.
DBC.................  PowerShares DB Commodity  NYSE Arca
                       Index Tracking Fund.
DBEF................  Deutsche X-trackers MSCI  NYSE Arca
                       EAFE Hedged Equity ETF.
DBEM................  Deutsche X-trackers MSCI  NYSE Arca
                       Emerging Markets Hedged
                       Equity ETF.
DBEU................  Deutsche X-trackers MSCI  NYSE Arca
                       Europe Hedged Equity
                       ETF.
DBGR................  Deutsche X-trackers MSCI  NYSE Arca
                       Germany Hedged Equity
                       ETF.
DBJP................  Deutsche X-trackers MSCI  NYSE Arca
                       Japan Hedged Equity ETF.
DBKO................  Deutsche X-trackers MSCI  NYSE Arca
                       South Korea Hedged
                       Equity ETF.
DBO.................  PowerShares DB Oil Fund.  NYSE Arca

[[Page 10337]]

 
DEM.................  WisdomTree Emerging       NYSE Arca
                       Markets High Dividend
                       Fund.
DES.................  WisdomTree SmallCap       NYSE Arca
                       Dividend Fund.
DFE.................  WisdomTree Europe         NYSE Arca
                       SmallCap Dividend Fund.
DFJ.................  WisdomTree Japan          NYSE Arca
                       SmallCap Dividend Fund.
DGRO................  iShares Core Dividend     NYSE Arca
                       Growth ETF.
DGRW................  WisdomTree U.S. Quality   NASDAQ
                       Dividend Growth Fund.
DGS.................  WisdomTree Emerging       NYSE Arca
                       Markets SmallCap
                       Dividend Fund.
DHS.................  WisdomTree High Dividend  NYSE Arca
                       Fund.
DIA.................  SPDR Dow Jones            NYSE Arca
                       Industrial Average ETF
                       Trust.
DJP.................  iPath Bloomberg           NYSE Arca
                       Commodity Index Total
                       Return ETN.
DLN.................  WisdomTree LargeCap       NYSE Arca
                       Dividend Fund.
DLS.................  WisdomTree International  NYSE Arca
                       SmallCap Dividend Fund.
DOG.................  ProShares Short Dow30...  NYSE Arca
DOL.................  WisdomTree International  NYSE Arca
                       LargeCap Dividend Fund.
DON.................  WisdomTree MidCap         NYSE Arca
                       Dividend Fund.
DSI.................  iShares MSCI KLD 400      NYSE Arca
                       Social ETF.
DTD.................  WisdomTree Total          NYSE Arca
                       Dividend Fund.
DTN.................  WisdomTree Dividend Ex-   NYSE Arca
                       Financials Fund.
DVY.................  iShares Select Dividend   NYSE Arca
                       ETF.
DWAS................  PowerShares DWA SmallCap  NYSE Arca
                       Momentum Portfolio.
DWM.................  WisdomTree International  NYSE Arca
                       Equity Fund.
DWTR................  PowerShares DWA Tactical  NASDAQ
                       Sector Rotation
                       Portfolio.
DWX.................  SPDR S&P International    NYSE Arca
                       Dividend ETF.
DXGE................  WisdomTree Germany        NASDAQ
                       Hedged Equity Fund.
DXJ.................  WisdomTree Japan Hedged   NYSE Arca
                       Equity Fund.
DXJS................  WisdomTree Japan Hedged   NASDAQ
                       SmallCap Equity Fund.
ECH.................  iShares MSCI Chile        NYSE Arca
                       Capped ETF.
ECON................  EGShares Emerging         NYSE Arca
                       Markets Consumer ETF.
EDIV................  SPDR S&P Emerging         NYSE Arca
                       Markets Dividend ETF.
EDV.................  Vanguard Extended         NYSE Arca
                       Duration Treasury ETF.
EELV................  PowerShares S&P Emerging  NYSE Arca
                       Markets Low Volatility
                       Portfolio.
EEM.................  iShares MSCI Emerging     NYSE Arca
                       Markets ETF.
EEMA................  iShares MSCI Emerging     NASDAQ
                       Markets Asia ETF.
EEMS................  iShares MSCI Emerging     NYSE Arca
                       Markets Small-Cap ETF.
EEMV................  iShares MSCI Emerging     NYSE Arca
                       Markets Minimum
                       Volatility ETF/Dup.
EFA.................  iShares MSCI EAFE ETF...  NYSE Arca
EFAV................  iShares MSCI EAFE         NYSE Arca
                       Minimum Volatility ETF.
EFG.................  iShares MSCI EAFE Growth  NYSE Arca
                       ETF.
EFV.................  iShares MSCI EAFE Value   NYSE Arca
                       ETF.
EFZ.................  ProShares Short MSCI      NYSE Arca
                       EAFE.
EIDO................  iShares MSCI Indonesia    NYSE Arca
                       ETF.
EIRL................  iShares MSCI Ireland      NYSE Arca
                       Capped ETF.
EIS.................  iShares MSCI Israel       NYSE Arca
                       Capped ETF.
ELD.................  WisdomTree Emerging       NYSE Arca
                       Markets Local Debt Fund.
EMB.................  iShares JP Morgan USD     NYSE Arca
                       Emerging Markets Bond
                       ETF.
EMHY................  iShares Emerging Markets  BATS
                       High Yield Bond ETF.
EMLC................  Market Vectors J.P.       NYSE Arca
                       Morgan EM Local
                       Currency Bond ETF.
EMLP................  First Trust North         NYSE Arca
                       American Energy
                       Infrastructure Fund.
EPHE................  iShares MSCI Philippines  NYSE Arca
                       ETF.
EPI.................  WisdomTree India          NYSE Arca
                       Earnings Fund.
EPOL................  iShares MSCI Poland       NYSE Arca
                       Capped ETF.
EPP.................  iShares MSCI Pacific ex   NYSE Arca
                       Japan ETF.
EPU.................  iShares MSCI All Peru     NYSE Arca
                       Capped ETF.
ERUS................  iShares MSCI Russia       NYSE Arca
                       Capped ETF.
EUFN................  iShares MSCI Europe       NASDAQ
                       Financials ETF.
EUM.................  ProShares Short MSCI      NYSE Arca
                       Emerging Markets.
EUSC................  Wisdomtree Europe Hedged  NYSE Arca
                       SmallCap Equity Fund.
EWA.................  iShares MSCI Australia    NYSE Arca
                       ETF.
EWC.................  iShares MSCI Canada ETF.  NYSE Arca
EWD.................  iShares MSCI Sweden ETF.  NYSE Arca
EWG.................  iShares MSCI Germany ETF  NYSE Arca
EWH.................  iShares MSCI Hong Kong    NYSE Arca
                       ETF.
EWI.................  iShares MSCI Italy        NYSE Arca
                       Capped ETF.
EWJ.................  iShares MSCI Japan ETF..  NYSE Arca
EWK.................  iShares MSCI Belgium      NYSE Arca
                       Capped ETF.
EWL.................  iShares MSCI Switzerland  NYSE Arca
                       Capped ETF.
EWM.................  iShares MSCI Malaysia     NYSE Arca
                       ETF.
EWN.................  iShares MSCI Netherlands  NYSE Arca
                       ETF.
EWP.................  iShares MSCI Spain        NYSE Arca
                       Capped ETF.
EWQ.................  iShares MSCI France ETF.  NYSE Arca
EWS.................  iShares MSCI Singapore    NYSE Arca
                       ETF.

[[Page 10338]]

 
EWT.................  iShares MSCI Taiwan ETF.  NYSE Arca
EWU.................  iShares MSCI United       NYSE Arca
                       Kingdom ETF.
EWW.................  iShares MSCI Mexico       NYSE Arca
                       Capped ETF.
EWX.................  SPDR S&P Emerging         NYSE Arca
                       Markets SmallCap ETF.
EWY.................  iShares MSCI South Korea  NYSE Arca
                       Capped ETF.
EWZ.................  iShares MSCI Brazil       NYSE Arca
                       Capped ETF.
EZA.................  iShares MSCI South        NYSE Arca
                       Africa ETF.
EZM.................  WisdomTree MidCap         NYSE Arca
                       Earnings Fund.
EZU.................  iShares MSCI Eurozone     NYSE Arca
                       ETF.
FBT.................  First Trust NYSE Arca     NYSE Arca
                       Biotechnology Index
                       Fund.
FCG.................  First Trust ISE-Revere    NYSE Arca
                       Natural Gas Index Fund.
FDIS................  Fidelity MSCI Consumer    NYSE Arca
                       Discretionary Index ETF.
FDL.................  First Trust Morningstar   NYSE Arca
                       Dividend Leaders Index.
FDN.................  First Trust Dow Jones     NYSE Arca
                       Internet Index Fund.
FEM.................  First Trust Emerging      NASDAQ
                       Markets AlphaDEX Fund.
FENY................  Fidelity MSCI Energy      NYSE Arca
                       Index ETF.
FEP.................  First Trust Europe        NASDAQ
                       AlphaDEX Fund.
FEX.................  First Trust Large Cap     NYSE Arca
                       Core AlphaDEX Fund.
FEZ.................  SPDR EURO STOXX 50 ETF..  NYSE Arca
FGD.................  First Trust DJ Global     NYSE Arca
                       Select Dividend Index
                       Fund.
FHLC................  Fidelity MSCI Health      NYSE Arca
                       Care Index ETF.
FIDU................  Fidelity MSCI             NYSE Arca
                       Industrials Index ETF.
FJP.................  First Trust Japan         NASDAQ
                       AlphaDEX Fund.
FKU.................  First Trust United        NASDAQ
                       Kingdom AlphaDEX Fund.
FLOT................  iShares Floating Rate     NYSE Arca
                       Bond ETF.
FLTB................  Fidelity Ltd Term Bond    NYSE Arca
                       ETF.
FM..................  iShares MSCI Frontier     NYSE Arca
                       100 ETF JDR.
FMAT................  Fidelity MSCI Materials   NYSE Arca
                       Index ETF.
FNCL................  Fidelity MSCI Financials  NYSE Arca
                       Index ETF.
FNDA................  Schwab Fundamental U.S.   NYSE Arca
                       Small Company Index.
FNDC................  Schwab Fundamental        NYSE Arca
                       International Small Cap
                       Company index.
FNDE................  Schwab Fundamental        NYSE Arca
                       Emerging Markets Large
                       Company Index ETF.
FNDF................  Schwab Fundamental        NYSE Arca
                       International Large
                       Company Index.
FNDX................  Schwab Fundamental U.S.   NYSE Arca
                       Large Company Index.
FNX.................  First Trust Mid Cap Core  NYSE Arca
                       AlphaDEX Fund.
FPE.................  First Trust Preferred     NYSE Arca
                       Securities and Income
                       ETF.
FPX.................  First Trust US IPO Index  NYSE Arca
                       Fund.
FSTA................  Fidelity MSCI Consumer    NYSE Arca
                       Staples Index ETF.
FTA.................  First Trust Large Cap     NYSE Arca
                       Value AlphaDEX Fund.
FTC.................  First Trust Large Cap     NYSE Arca
                       Growth AlphaDEX Fund.
FTEC................  Fidelity MSCI             NYSE Arca
                       Information Technology
                       Index ETF.
FTGC................  First Trust Global        NASDAQ
                       Tactical Commodity
                       Strategy Fund.
FTSL................  First Trust Senior Loan   NASDAQ
                       ETF.
FTSM................  First Trust Enhanced      NASDAQ
                       Short Maturity ETF.
FUTY................  Fidelity MSCI Utilities   NYSE Arca
                       Index ETF.
FV..................  First Trust Dorsey        NASDAQ
                       Wright Focus 5 ETF.
FVD.................  First Trust Value Line    NYSE Arca
                       Dividend Index Fund.
FXA.................  CurrencyShares            NYSE Arca
                       Australian Dollar Trust.
FXB.................  CurrencyShares British    NYSE Arca
                       Pound Sterling Trust.
FXC.................  CurrencyShares Canadian   NYSE Arca
                       Dollar Trust.
FXD.................  First Trust Consumer      NYSE Arca
                       Discretionary AlphaDEX
                       Fund.
FXE.................  CurrencyShares Euro       NYSE Arca
                       Trust.
FXG.................  First Trust Consumer      NYSE Arca
                       Staples AlphaDEX Fund.
FXH.................  First Trust Health Care   NYSE Arca
                       AlphaDEX Fund.
FXI.................  iShares China Large-Cap   NYSE Arca
                       ETF.
FXL.................  First Trust Technology    NYSE Arca
                       AlphaDEX Fund.
FXN.................  First Trust Energy        NYSE Arca
                       AlphaDEX Fund.
FXO.................  First Trust Financial     NYSE Arca
                       AlphaDEX Fund.
FXR.................  First Trust Industrials/  NYSE Arca
                       Producer Durables
                       AlphaDEX Fund.
FXU.................  First Trust Utilities     NYSE Arca
                       AlphaDEX Fund.
FXY.................  CurrencyShares Japanese   NYSE Arca
                       Yen Trust.
FXZ.................  First Trust Materials     NYSE Arca
                       AlphaDEX Fund.
FYX.................  First Trust Small Cap     NYSE Arca
                       Core AlphaDEX Fund.
GBF.................  iShares Government/       NYSE Arca
                       Credit Bond ETF.
GDX.................  Market Vectors Gold       NYSE Arca
                       Miners ETF.
GDXJ................  Market Vectors Junior     NYSE Arca
                       Gold Miners ETF.
GEM.................  Goldman Sachs ActiveBeta  NYSE Arca
                       Emerging Markets Equity
                       ETF.
GLD.................  SPDR Gold Shares........  NYSE Arca
GMF.................  SPDR S&P Emerging Asia    NYSE Arca
                       Pacific ETF.
GMM.................  SPDR S&P Emerging         NYSE Arca
                       Markets ETF.
GNR.................  SPDR S&P Global Natural   NYSE Arca
                       Resources ETF.

[[Page 10339]]

 
GOVT................  iShares Core US Treasury  NYSE Arca
                       Bond ETF.
GREK................  Global X FTSE Greece 20   NYSE Arca
                       ETF.
GSG.................  iShares S&P GSCI          NYSE Arca
                       Commodity Indexed Trust.
GSLC................  Goldman Sachs ActiveBeta  NYSE Arca
                       U.S. Large Cap Equity
                       ETF.
GSY.................  Guggenheim Enhanced       NYSE Arca
                       Short Duration ETF.
GUNR................  FlexShares Global         NYSE Arca
                       Upstream Natural
                       Resources Index Fund.
GVI.................  iShares Intermediate      NYSE Arca
                       Government/Credit Bond
                       ETF.
GWL.................  SPDR S&P World ex-US ETF  NYSE Arca
GWX.................  SPDR S&P International    NYSE Arca
                       Small Cap ETF.
GXC.................  SPDR S&P China ETF......  NYSE Arca
GYLD................  Arrow Dow Jones Global    NYSE Arca
                       Yield ETF.
HACK................  PureFunds ISE Cyber       NYSE Arca
                       Security ETF.
HAO.................  Guggenheim China Small    NYSE Arca
                       Cap ETF.
HDGE................  AdvisorShares Ranger      NYSE Arca
                       Equity Bear ETF.
HDV.................  iShares High Dividend     NYSE Arca
                       ETF JDR.
HEDJ................  WisdomTree Europe Hedged  NYSE Arca
                       Equity Fund.
HEEM................  iShares Currency Hedged   NYSE Arca
                       MSCI Emerging Markets
                       ETF.
HEFA................  iShares Currency Hedged   NYSE Arca
                       MSCI EAFE ETF.
HEWG................  iShares Currency Hedged   NYSE Arca
                       MSCI Germany ETF.
HEWJ................  iShares Currency Hedged   NYSE Arca
                       MSCI Japan ETF.
HEZU................  iShares Currency Hedged   NYSE Arca
                       MSCI Eurozone ETF.
HYD.................  Market Vectors High       NYSE Arca
                       Yield Municipal Index
                       ETF.
HYEM................  Market Vectors Emerging   NYSE Arca
                       High Yield Bond ETF.
HYG.................  iShares iBoxx $ High      NYSE Arca
                       Yield Corporate Bond
                       ETF.
HYLD................  Peritus High Yield ETF..  NYSE Arca
HYLS................  First Trust Exchange-     NASDAQ
                       Traded Fund IV First
                       Trust Tactical High
                       Yield ETF.
HYMB................  SPDR Nuveen S&P High      NYSE Arca
                       Yield Municipal Bond
                       ETF.
HYS.................  PIMCO 0-5 Year High       NYSE Arca
                       Yield Corporate Bond
                       Index Exchange-Traded
                       Fund.
IAGG................  iShares International     BATS
                       Aggregate Bond Fund.
IAI.................  iShares U.S. Broker-      NYSE Arca
                       Dealers & Securities
                       Exchanges ETF.
IAT.................  iShares US Regional       NYSE Arca
                       Banks ETF.
IAU.................  iShares Gold Trust......  NYSE Arca
IBB.................  iShares Nasdaq            NASDAQ
                       Biotechnology ETF.
ICF.................  iShares Cohen & Steers    NYSE Arca
                       REIT ETF.
IDLB................  PowerShares FTSE          NASDAQ
                       International Low Beta
                       Equal Weight Portfolio.
IDLV................  PowerShares S&P           NYSE Arca
                       International Developed
                       Low Volatility
                       Portfolio.
IDU.................  iShares US Utilities ETF  NYSE Arca
IDV.................  iShares International     NYSE Arca
                       Select Dividend ETF.
IEF.................  iShares 7-10 Year         NYSE Arca
                       Treasury Bond ETF.
IEFA................  iShares Core MSCI EAFE    NYSE Arca
                       ETF.
IEI.................  iShares 3-7 Year          NYSE Arca
                       Treasury Bond ETF.
IEMG................  iShares Core MSCI         NYSE Arca
                       Emerging Markets ETF
                       JDR.
IEO.................  iShares U.S. Oil & Gas    NYSE Arca
                       Exploration &
                       Production ETF.
IEUR................  iShares Core MSCI Europe  NYSE Arca
                       ETF.
IEV.................  iShares Europe ETF......  NYSE Arca
IEZ.................  iShares U.S. Oil          NYSE Arca
                       Equipment & Services
                       ETF.
IFGL................  iShares International     NASDAQ
                       Developed Real Estate
                       ETF.
IFV.................  First Trust Dorsey        NASDAQ
                       Wright International
                       Focus 5 ETF.
IGE.................  iShares North American    NYSE Arca
                       Natural Resources ETF.
IGF.................  iShares Global            NYSE Arca
                       Infrastructure ETF.
IGM.................  iShares North American    NYSE Arca
                       Tech ETF.
IGOV................  iShares International     NASDAQ
                       Treasury Bond ETF.
IGV.................  iShares North American    NYSE Arca
                       Tech-Software ETF.
IHDG................  WisdomTree International  NYSE Arca
                       Hedged Quality Dividend
                       Growth Fund.
IHE.................  iShares US                NYSE Arca
                       Pharmaceuticals ETF.
IHF.................  iShares U.S. Healthcare   NYSE Arca
                       Providers ETF.
IHI.................  iShares U.S. Medical      NYSE Arca
                       Devices ETF.
IJH.................  iShares Core S&P Mid-Cap  NYSE Arca
                       ETF.
IJJ.................  iShares S&P Mid-Cap 400   NYSE Arca
                       Value ETF.
IJK.................  iShares S&P Mid-Cap 400   NYSE Arca
                       Growth ETF.
IJR.................  iShares Core S&P Small-   NYSE Arca
                       Cap ETF.
IJS.................  iShares S&P Small-Cap     NYSE Arca
                       600 Value ETF.
IJT.................  iShares S&P Small-Cap     NYSE Arca
                       600 Growth ETF.
ILF.................  iShares Latin America 40  NYSE Arca
                       ETF.
IMLP................  iPath S&P MLP ETN.......  NYSE Arca
INDA................  iShares MSCI India ETF..  BATS
INDY................  iShares India 50 ETF....  NASDAQ
IOO.................  iShares Global 100 ETF..  NYSE Arca
IPAC................  iShares Core MSCI         NYSE Arca
                       Pacific ETF.
IQDF................  FlexShares International  NYSE Arca
                       Quality Dividend Index
                       Fund.
ISTB................  iShares Core 1-5 Year     NYSE Arca
                       USD Bond ETF.

[[Page 10340]]

 
ITA.................  iShares US Aerospace &    NYSE Arca
                       Defense ETF.
ITB.................  iShares U.S. Home         NYSE Arca
                       Construction ETF.
ITE.................  SPDR Barclays             NYSE Arca
                       Intermediate Term
                       Treasury ETF.
ITM.................  Market Vectors            NYSE Arca
                       Intermediate Municipal
                       ETF.
ITOT................  iShares Core S&P Total    NYSE Arca
                       US Stock Market ETF.
ITR.................  SPDR Barclays             NYSE Arca
                       Intermediate Term
                       Corporate Bond ETF.
IUSG................  iShares Core US Growth    NYSE Arca
                       ETF.
IUSV................  iShares Core US Value     NYSE Arca
                       ETF.
IVE.................  iShares S&P 500 Value     NYSE Arca
                       ETF.
IVV.................  iShares Core S&P 500 ETF  NYSE Arca
IVW.................  iShares S&P 500 Growth    NYSE Arca
                       ETF.
IWB.................  iShares Russell 1000 ETF  NYSE Arca
IWC.................  iShares Micro-Cap ETF...  NYSE Arca
IWD.................  iShares Russell 1000      NYSE Arca
                       Value ETF.
IWF.................  iShares Russell 1000      NYSE Arca
                       Growth ETF.
IWM.................  iShares Russell 2000 ETF  NYSE Arca
IWN.................  iShares Russell 2000      NYSE Arca
                       Value ETF.
IWO.................  iShares Russell 2000      NYSE Arca
                       Growth ETF.
IWP.................  iShares Russell Mid-Cap   NYSE Arca
                       Growth ETF.
IWR.................  iShares Russell Mid-Cap   NYSE Arca
                       ETF.
IWS.................  iShares Russell Mid-Cap   NYSE Arca
                       Value ETF.
IWV.................  iShares Russell 3000 ETF  NYSE Arca
IWY.................  iShares Russell Top 200   NYSE Arca
                       Growth ETF.
IXC.................  iShares Global Energy     NYSE Arca
                       ETF.
IXG.................  iShares Global            NYSE Arca
                       Financials ETF.
IXJ.................  iShares Global            NYSE Arca
                       Healthcare ETF.
IXN.................  iShares Global Tech ETF.  NYSE Arca
IXP.................  iShares Global Telecom    NYSE Arca
                       ETF.
IXUS................  iShares Core MSCI Total   NYSE Arca
                       International Stock ETF.
IYC.................  iShares U.S. Consumer     NYSE Arca
                       Services ETF.
IYE.................  iShares U.S. Energy ETF.  NYSE Arca
IYF.................  iShares US Financials     NYSE Arca
                       ETF.
IYG.................  iShares U.S. Financial    NYSE Arca
                       Services ETF.
IYH.................  iShares U.S. Healthcare   NYSE Arca
                       ETF.
IYJ.................  iShares U.S. Industrials  NYSE Arca
                       ETF.
IYK.................  iShares US Consumer       NYSE Arca
                       Goods ETF.
IYM.................  iShares U.S. Basic        NYSE Arca
                       Materials ETF.
IYR.................  iShares U.S. Real Estate  NYSE Arca
                       ETF.
IYT.................  iShares Transportation    NYSE Arca
                       Average ETF.
IYW.................  iShares US Technology     NYSE Arca
                       ETF.
IYY.................  iShares Dow Jones U.S.    NYSE Arca
                       ETF.
IYZ.................  iShares US                NYSE Arca
                       Telecommunications ETF.
JKD.................  iShares Morningstar       NYSE Arca
                       Large-Cap ETF.
JKE.................  iShares Morningstar       NYSE Arca
                       Large-Cap Growth ETF.
JKG.................  iShares Morningstar Mid-  NYSE Arca
                       Cap ETF.
JNK.................  SPDR Barclays High Yield  NYSE Arca
                       Bond ETF.
JO..................  iPath Bloomberg Coffee    NYSE Arca
                       Subindex Total Return
                       ETN.
KBE.................  SPDR S&P Bank ETF.......  NYSE Arca
KBWB................  PowerShares KBW Bank      NYSE Arca
                       Portfolio.
KIE.................  SPDR S&P Insurance ETF..  NYSE Arca
KRE.................  SPDR S&P Regional         NYSE Arca
                       Banking ETF.
KWEB................  KraneShares CSI China     NASDAQ
                       Internet ETF.
KXI.................  iShares Global Consumer   NYSE Arca
                       Staples ETF.
LEMB................  iShares Emerging Markets  NYSE Arca
                       Local Currency Bond ETF.
LQD.................  iShares iBoxx $           NYSE Arca
                       Investment Grade
                       Corporate Bond ETF.
LWC.................  SPDR Barclays Long Term   NYSE Arca
                       Corporate Bond ETF.
MBB.................  iShares MBS ETF.........  NYSE Arca
MCHI................  iShares MSCI China ETF..  NYSE Arca
MDIV................  First Trust Multi-Asset   NASDAQ
                       Diversified Income
                       Index Fund.
MDY.................  SPDR S&P MidCap 400 ETF   NYSE Arca
                       Trust.
MDYG................  SPDR S&P 400 Mid          NYSE Arca
                       CapGrowth ETF.
MGC.................  Vanguard Mega Cap ETF...  NYSE Arca
MGK.................  Vanguard Mega Cap Growth  NYSE Arca
                       ETF.
MGV.................  Vanguard Mega Cap Value   NYSE Arca
                       ETF.
MINT................  PIMCO Enhanced Short      NYSE Arca
                       Maturity Active
                       Exchange-Traded Fund.
MLPA................  Global X MLP ETF........  NYSE Arca
MLPI................  ETRACS Alerian MLP        NYSE Arca
                       Infrastructure Index
                       ETN.
MLPN................  Credit Suisse X-Links     NYSE Arca
                       Cushing MLP
                       Infrastructure ETNs due
                       April 20, 2020.
MLPX................  Global X MLP & Energy     NYSE Arca
                       Infrastructure ETF.
MOAT................  Market Vectors            NYSE Arca
                       Morningstar Wide Moat
                       ETF.
MOO.................  Market Vectors            NYSE Arca
                       Agribusiness ETF.

[[Page 10341]]

 
MTUM................  iShares MSCI USA          NYSE Arca
                       Momentum Factor ETF.
MUB.................  iShares National AMT-     NYSE Arca
                       Free Muni Bond ETF.
MXI.................  iShares Global Materials  NYSE Arca
                       ETF.
NANR................  SPDR S&P North American   NYSE Arca
                       Natural Resources ETF.
NEAR................  iShares Short Maturity    BATS
                       Bond ETF.
NFLT................  Virtus Newfleet Multi-    NYSE Arca
                       Sector Unconstrained
                       Bond ETF.
NFRA................  FlexShares STOXX Global   NYSE Arca
                       Broad Infrastructure
                       Index Fund.
NOBL................  ProShares S&P 500         NYSE Arca
                       Dividend Aristocrats
                       ETF.
OEF.................  iShares S&P 100 ETFJDR..  NYSE Arca
OIH.................  Market Vectors Oil        NYSE Arca
                       Service ETF.
OIL.................  iPath Goldman Sachs       NYSE Arca
                       Crude Oil Total Return
                       Index ETN.
ONEO................  SPDR Russell 1000         NYSE Arca
                       Momentum Focus ETF.
ONEQ................  Fidelity NASDAQ           NASDAQ
                       Composite Index
                       Tracking Stock ETF.
ONEV................  SPDR Russell 1000 Low     NYSE Arca
                       Volatility Focus ETF.
ONEY................  SPDR Russell 1000 Yield   NYSE Arca
                       Focus ETF.
PALL................  ETFS Physical Palladium   NYSE Arca
                       Shares.
PBE.................  Powershares Dynamic       NYSE Arca
                       Biotechnology & Genome
                       Portfolio.
PBJ.................  Powershares Dynamic Food  NYSE Arca
                       & Beverage Portfolio.
PBP.................  PowerShares S&P 500       NYSE Arca
                       BuyWrite Portfolio.
PCEF................  PowerShares CEF Income    NYSE Arca
                       Composite Portfolio.
PCY.................  PowerShares Emerging      NYSE Arca
                       Markets Sovereign Debt
                       Portfolio.
PDP.................  PowerShares DWA Momentum  NYSE Arca
                       Portfolio.
PEK.................  Market Vectors ChinaAMC   NYSE Arca
                       A-Share ETF.
PEY.................  PowerShares High Yield    NYSE Arca
                       Equity Dividend
                       Achievers Portfolio.
PEZ.................  PowerShares DWA Consumer  NYSE Arca
                       Cyclicals Momentum
                       Portfolio.
PFF.................  iShares US Preferred      NYSE Arca
                       Stock ETF.
PGF.................  PowerShares Financial     NYSE Arca
                       Preferred Portfolio.
PGX.................  PowerShares Preferred     NYSE Arca
                       Portfolio.
PHB.................  PowerShares Fundamental   NYSE Arca
                       High Yield Corporate
                       Bond Portfolio.
PHDG................  PowerShares S&P 500       NYSE Arca
                       Downside Hedged
                       Portfolio.
PHO.................  PowerShares Water         NYSE Arca
                       Resources Portfolio.
PHYS................  Sprott Physical Gold      NYSE Arca
                       Trust.
PID.................  PowerShares               NYSE Arca
                       International Dividend
                       Achievers Portfolio.
PIE.................  PowerShares DWA Emerging  NYSE Arca
                       Markets Momentum
                       Portfolio.
PIN.................  PowerShares India         NYSE Arca
                       Portfolio.
PIZ.................  PowerShares DWA           NYSE Arca
                       Developed Markets
                       Momentum Portfolio.
PJP.................  Powershares Dynamic       NYSE Arca
                       Pharmaceuticals
                       Portfolio.
PKW.................  PowerShares Buyback       NYSE Arca
                       Achievers Portfolio.
PLW.................  PowerShares 1-30          NYSE Arca
                       Laddered Treasury
                       Portfolio.
PNQI................  PowerShares NASDAQ        NASDAQ
                       Internet Portfolio.
PPH.................  Market Vectors            NYSE Arca
                       Pharmaceutical ETF.
PPLT................  ETFS Physical Platinum    NYSE Arca
                       Shares.
PRF.................  Powershares FTSE RAFI US  NYSE Arca
                       1000 Portfolio.
PRFZ................  PowerShares FTSE RAFI US  NASDAQ
                       1500 Small-Mid
                       Portfolio.
PRN.................  PowerShares Dynamic       NYSE Arca
                       Industrials Sector
                       Portfolio.
PSCH................  PowerShares S&P SmallCap  NASDAQ
                       Health Care Portfolio.
PSCT................  PowerShares S&P SmallCap  NASDAQ
                       Information Technology
                       Portfolio.
PSK.................  SPDR Wells Fargo          NYSE Arca
                       Preferred Stock ETF.
PSL.................  PowerShares DWA Consumer  NYSE Arca
                       Staples Momentum
                       Portfolio.
PSLV................  Sprott Physical Silver    NYSE Arca
                       Trust.
PSP.................  PowerShares Global        NYSE Arca
                       Listed Private Equity
                       Portfolio.
PSQ.................  ProShares Short QQQ.....  NYSE Arca
PTF.................  PowerShares DWA           NYSE Arca
                       Technology Momentum
                       Portfolio.
PTH.................  PowerShares DWA           NYSE Arca
                       Healthcare Momentum
                       Portfolio.
PTLC................  Pacer Trendpilot 750 ETF  BATS
PWV.................  PowerShares Dynamic       NYSE Arca
                       Large Cap Value
                       Portfolio.
PXF.................  PowerShares FTSE RAFI     NYSE Arca
                       Developed Markets ex-
                       U.S. Portfolio.
PXH.................  PowerShares FTSE RAFI     NYSE Arca
                       Emerging Markets
                       Portfolio.
PZA.................  PowerShares National AMT- NYSE Arca
                       Free Municipal Bond
                       Portfolio.
QABA................  First Trust NASDAQ ABA    NASDAQ
                       Community Bank Index
                       Fund.
QAI.................  IndexIQ ETF Trust--IQ     NYSE Arca
                       Hedge Multi-Strategy
                       Tracker ETF.
QDF.................  FlexShares Quality        NYSE Arca
                       Dividend Index Fund.
QLTA................  iShares Aaa--A Rated      NYSE Arca
                       Corporate Bond ETF.
QQEW................  First Trust NASDAQ-100    NASDAQ
                       Equal Weighted Index
                       Fund.
QQQ.................  Powershares QQQ Trust     NASDAQ
                       Series 1.
QUAL................  iShares MSCI USA Quality  NYSE Arca
                       Factor ETF.
RCD.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Consumer
                       Discretionary ETF.
REM.................  iShares Mortgage Real     NYSE Arca
                       Estate Capped ETF.
REZ.................  iShares Residential Real  NYSE Arca
                       Estate Capped ETF.
RFG.................  Guggenheim S&P Midcap     NYSE Arca
                       400 Pure Growth ETF.
RHS.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Consumer Staples
                       ETF.

[[Page 10342]]

 
RIGS................  Riverfront Strategic      NYSE Arca
                       Income Fund.
RJI.................  ELEMENTS Linked to the    NYSE Arca
                       Rogers International
                       Commodity Index--Total
                       Return.
RPG.................  Guggenheim S&P 500 Pure   NYSE Arca
                       Growth ETF.
RPV.................  Guggenheim S&P 500 Pure   NYSE Arca
                       Value ETF.
RSP.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight ETF.
RSX.................  Market Vectors Russia     NYSE Arca
                       ETF.
RTH.................  Market Vectors Retail     NYSE Arca
                       ETF.
RWM.................  ProShares Short Russell   NYSE Arca
                       2000.
RWO.................  SPDR Dow Jones Global     NYSE Arca
                       Real Estate ETF.
RWR.................  SPDR Dow Jones REIT ETF.  NYSE Arca
RWX.................  SPDR Dow Jones            NYSE Arca
                       International Real
                       Estate ETF.
RXI.................  iShares Global Consumer   NYSE Arca
                       Discretionary ETF.
RYE.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Energy ETF.
RYF.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Financials ETF.
RYH.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Healthcare ETF.
RYT.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight Technology ETF.
RZG.................  Guggenheim S&P Smallcap   NYSE Arca
                       600 Pure Growth ETF.
SBIO................  ALPS Medical              NYSE Arca
                       Breakthroughs ETF.
SCHA................  Schwab US Small-Cap ETF.  NYSE Arca
SCHB................  Schwab US Broad Market    NYSE Arca
                       ETF.
SCHC................  Schwab International      NYSE Arca
                       Small-Cap Equity ETF.
SCHD................  Schwab US Dividend        NYSE Arca
                       Equity ETF.
SCHE................  Schwab Emerging Markets   NYSE Arca
                       Equity ETF.
SCHF................  Schwab International      NYSE Arca
                       Equity ETF.
SCHG................  Schwab U.S. Large-Cap     NYSE Arca
                       Growth ETF.
SCHH................  Schwab U.S. REIT ETF....  NYSE Arca
SCHM................  Schwab U.S. Mid-Cap ETF.  NYSE Arca
SCHO................  Schwab Short-Term U.S.    NYSE Arca
                       Treasury ETF.
SCHP................  Schwab US TIPs ETF......  NYSE Arca
SCHR................  Schwab Intermediate-Term  NYSE Arca
                       U.S. Treasury ETF.
SCHV................  Schwab U.S. Large-Cap     NYSE Arca
                       Value ETF.
SCHX................  Schwab US Large-Cap ETF.  NYSE Arca
SCHZ................  Schwab U.S. Aggregate     NYSE Arca
                       Bond ETF.
SCIF................  Market Vectors India      NYSE Arca
                       Small-Cap Index ETF.
SCJ.................  iShares MSCI Japan Small- NYSE Arca
                       Cap ETF.
SCPB................  SPDR Barclays Short Term  NYSE Arca
                       Corporate Bond ETF.
SCZ.................  iShares MSCI EAFE Small-  NYSE Arca
                       Cap ETF.
SDIV................  Global X SuperDividend    NYSE Arca
                       ETF.
SDOG................  ALPS Sector Dividend      NYSE Arca
                       Dogs ETF.
SDY.................  SPDR S&P Dividend ETF...  NYSE Arca
SGOL................  ETFS Physical Swiss Gold  NYSE Arca
                       Shares.
SH..................  ProShares Short S&P500..  NYSE Arca
SHM.................  SPDR Nuveen Barclays      NYSE Arca
                       Short Term Municipal
                       Bond ETF.
SHV.................  iShares Short Treasury    NYSE Arca
                       Bond ETF.
SHY.................  iShares 1-3 Year          NYSE Arca
                       Treasury Bond ETF.
SHYG................  iShares 0-5 Year High     NYSE Arca
                       Yield Corporate Bond
                       ETF.
SJB.................  ProShares Short High      NYSE Arca
                       Yield.
SJNK................  SPDR Barclays Short Term  NYSE Arca
                       High Yield Bond ETF.
SKYY................  First Trust ISE Cloud     NASDAQ
                       Computing Index Fund.
SLV.................  iShares Silver Trust....  NYSE Arca
SLYG................  SPDR S&P 600 Small Cap    NYSE Arca
                       Growth ETF.
SLYV................  SPDR S&P 600 Small        NYSE Arca
                       CapValue ETF.
SMH.................  Market Vectors            NYSE Arca
                       Semiconductor ETF.
SNLN................  Highland/iBoxx Senior     NYSE Arca
                       Loan ETF.
SOXX................  iShares PHLX              NASDAQ
                       Semiconductor ETF.
SPHD................  PowerShares S&P 500 High  NYSE Arca
                       Dividend Low Volatility
                       Portfolio.
SPHQ................  PowerShares S&P 500 High  NYSE Arca
                       Quality Portfolio.
SPLV................  PowerShares S&P 500 Low   NYSE Arca
                       Volatility Portfolio.
SPY.................  SPDR S&P 500 ETF Trust..  NYSE Arca
SPYG................  SPDR S&P 500 Growth ETF.  NYSE Arca
SPYX................  SPDR S&P 500 Fossil Fuel  NYSE Arca
                       Free ETF.
SRLN................  SPDR Blackstone/GSO       NYSE Arca
                       Senior Loan ETF.
STIP................  iShares 0-5 Year TIPS     NYSE Arca
                       Bond ETF.
STPZ................  PIMCO 1-5 Year U.S. TIPS  NYSE Arca
                       Index Exchange-Traded
                       Fund.
SUB.................  iShares Short-Term        NYSE Arca
                       National AMT-Free Muni
                       Bond ETF.
SVXY................  ProShares Short VIX       NYSE Arca
                       Short-Term Futures ETF.
TAN.................  Guggenheim Solar ETF....  NYSE Arca
TBF.................  ProShares Short 20+ Year  NYSE Arca
                       Treasury.
TDIV................  First Trust NASDAQ        NASDAQ
                       Technology Dividend
                       Index Fund.
TDTT................  FlexShares iBoxx 3-Year   NYSE Arca
                       Target Duration TIPS
                       Index Fund.
TFI.................  SPDR Nuveen Barclays      NYSE Arca
                       Municipal Bond ETF.

[[Page 10343]]

 
THD.................  iShares MSCI Thailand     NYSE Arca
                       Capped ETF.
TIP.................  iShares TIPS Bond ETF...  NYSE Arca
TLH.................  iShares 10-20 Year        NYSE Arca
                       Treasury Bond ETF.
TLO.................  SPDR Barclays Long Term   NYSE Arca
                       Treasury ETF.
TLT.................  iShares 20+ Year          NYSE Arca
                       Treasury Bond ETF.
TLTD................  FlexShares Morningstar    NYSE Arca
                       Developed Markets ex-US
                       Factor Tilt Index Fund.
TLTE................  FlexShares Morningstar    NYSE Arca
                       Emerging Markets Factor
                       Tilt Index Fund.
TOTL................  SPDR Doubleline Total     NYSE Arca
                       Return Tactical ETF.
TUR.................  iShares MSCI Turkey ETF.  NYSE Arca
UNG.................  United States Natural     NYSE Arca
                       Gas Fund LP.
URTH................  iShares MSCI World ETF..  NYSE Arca
USCI................  United States Commodity   NYSE Arca
                       Index Fund.
USDU................  WisdomTree Bloomberg      NYSE Arca
                       U.S. Dollar Bullish
                       Fund.
USLB................  PowerShares Russell Low   NASDAQ
                       Beta Equal Weight
                       Portfolio.
USMV................  iShares MSCI USA Minimum  NYSE Arca
                       Volatility ETF.
USO.................  United States Oil Fund    NYSE Arca
                       LP.
UUP.................  PowerShares DB US Dollar  NYSE Arca
                       Index Bullish Fund.
VAW.................  Vanguard Materials ETF..  NYSE Arca
VB..................  Vanguard Small-Cap ETF..  NYSE Arca
VBK.................  Vanguard Small-Cap        NYSE Arca
                       Growth ETF.
VBR.................  Vanguard Small-Cap Value  NYSE Arca
                       ETF.
VCIT................  Vanguard Intermediate-    NASDAQ
                       Term Corporate Bond ETF.
VCLT................  Vanguard Long-Term        NASDAQ
                       Corporate Bond ETF.
VCR.................  Vanguard Consumer         NYSE Arca
                       Discretionary ETF.
VCSH................  Vanguard Short-Term       NASDAQ
                       Corporate Bond ETF.
VDC.................  Vanguard Consumer         NYSE Arca
                       Staples ETF.
VDE.................  Vanguard Energy ETF.....  NYSE Arca
VEA.................  Vanguard FTSE Developed   NYSE Arca
                       Markets ETF.
VEU.................  Vanguard FTSE All-World   NYSE Arca
                       ex-US ETF.
VFH.................  Vanguard Financials ETF.  NYSE Arca
VGIT................  Vanguard Intermediate-    NASDAQ
                       Term Government Bond
                       ETF.
VGK.................  Vanguard FTSE Europe ETF  NYSE Arca
VGLT................  Vanguard Long-Term        NASDAQ
                       Government Bond ETF.
VGSH................  Vanguard Short-Term       NASDAQ
                       Government Bond ETF.
VGT.................  Vanguard Information      NYSE Arca
                       Technology ETF.
VHT.................  Vanguard Health Care ETF  NYSE Arca
VIDI................  Vident International      NASDAQ
                       Equity Fund.
VIG.................  Vanguard Dividend         NYSE Arca
                       Appreciation ETF.
VIIX................  VelocityShares VIX Short  NASDAQ
                       Term ETN.
VIS.................  Vanguard Industrials ETF  NYSE Arca
VIXY................  ProShares VIX Short-Term  NYSE Arca
                       Futures ETF.
VMBS................  Vanguard Mortgage-Backed  NASDAQ
                       Securities ETF.
VNM.................  Market Vectors Vietnam    NYSE Arca
                       ETF.
VNQ.................  Vanguard REIT ETF.......  NYSE Arca
VNQI................  Vanguard Global ex-U.S.   NASDAQ
                       Real Estate ETF.
VO..................  Vanguard Mid-Cap ETF....  NYSE Arca
VOE.................  Vanguard Mid-Cap Value    NYSE Arca
                       ETF.
VONE................  Vanguard Russell 1000...  NASDAQ
VONG................  Vanguard Russell 1000     NASDAQ
                       Growth ETF.
VONV................  Vanguard Russell 1000     NASDAQ
                       Value.
VOO.................  Vanguard S&P 500 ETF....  NYSE Arca
VOOG................  Vanguard S&P 500 Growth   NYSE Arca
                       ETF.
VOT.................  Vanguard Mid-Cap Growth   NYSE Arca
                       ETF.
VOX.................  Vanguard                  NYSE Arca
                       Telecommunication
                       Services ETF.
VPL.................  Vanguard FTSE Pacific     NYSE Arca
                       ETF.
VPU.................  Vanguard Utilities ETF..  NYSE Arca
VQT.................  Barclays ETN+ ETNs        NYSE Arca
                       Linked to the S&P 500
                       Dynamic VEQTORTM Total
                       Return Index.
VRP.................  PowerShares Variable      NYSE Arca
                       Rate Preferred
                       Portfolio.
VSS.................  Vanguard FTSE All World   NYSE Arca
                       ex-US Small-Cap ETF.
VT..................  Vanguard Total World      NYSE Arca
                       Stock ETF.
VTEB................  Vanguard Tax-Exempt Bond  NYSE Arca
                       Index ETF.
VTI.................  Vanguard Total Stock      NYSE Arca
                       Market ETF.
VTIP................  Vanguard Short-Term       NASDAQ
                       Inflation-Protected
                       Securities ETF.
VTV.................  Vanguard Value ETF......  NYSE Arca
VTWO................  Vanguard Russell 2000...  NASDAQ
VUG.................  Vanguard Growth ETF.....  NYSE Arca
VUSE................  Vident Core US Equity     NASDAQ
                       ETF.
VV..................  Vanguard Large-Cap ETF..  NYSE Arca
VWO.................  Vanguard FTSE Emerging    NYSE Arca
                       Markets ETF.
VWOB................  Vanguard Emerging         NASDAQ
                       Markets Government Bond
                       ETF.
VXF.................  Vanguard Extended Market  NYSE Arca
                       ETF.

[[Page 10344]]

 
VXUS................  Vanguard Total            NASDAQ
                       International Stock ETF.
VXX.................  iPATH S&P 500 VIX Short-  NYSE Arca
                       Term Futures ETN.
VXZ.................  iPATH S&P 500 VIX Mid-    NYSE Arca
                       Term Futures ETN.
VYM.................  Vanguard High Dividend    NYSE Arca
                       Yield ETF.
WIP.................  SPDR DB International     NYSE Arca
                       Government Inflation-
                       Protected Bond ETF.
XBI.................  SPDR S&P Biotech ETF....  NYSE Arca
XES.................  SPDR S&P Oil & Gas        NYSE Arca
                       Equipment & Services
                       ETF.
XHB.................  SPDR S&P Homebuilders     NYSE Arca
                       ETF.
XHS.................  SPDR S&P Health Care      NYSE Arca
                       Services ETF.
XIV.................  VelocityShares Daily      NASDAQ
                       Inverse VIX Short Term
                       ETN.
XLB.................  Materials Select Sector   NYSE Arca
                       SPDR Fund.
XLE.................  Energy Select Sector      NYSE Arca
                       SPDR Fund.
XLF.................  Financial Select Sectorl  NYSE Arca
                       SPDR Fund.
XLG.................  Guggenheim Russell Top    NYSE Arca
                       50 Mega Cap ETF.
XLI.................  Industrial Select Sector  NYSE Arca
                       SPDR Fund.
XLK.................  Technology Select Sector  NYSE Arca
                       SPDR Fund.
XLP.................  Consumer Staples Select   NYSE Arca
                       Sector SPDR Fund.
XLU.................  Utilities Select Sector   NYSE Arca
                       SPDR Fund.
XLV.................  Health Care Select        NYSE Arca
                       Sector SPDR Fund.
XLY.................  Consumer Discretionary    NYSE Arca
                       Select Sector SPDR Fund.
XME.................  SPDR S&P Metals & Mining  NYSE Arca
                       ETF.
XOP.................  SPDR S&P Oil & Gas        NYSE Arca
                       Exploration &
                       Production ETF.
XPH.................  SPDR S&P Pharmaceuticals  NYSE Arca
                       ETF.
XRT.................  SPDR S&P Retail ETF.....  NYSE Arca
XSD.................  SPDR S&P Semiconductor    NYSE Arca
                       ETF.
XTN.................  SPDR S&P Transportation   NYSE Arca
                       ETF.
ZIV.................  VelocityShares Daily      NASDAQ
                       Inverse VIX Medium Term
                       ETN.
ZROZ................  PIMCO 25+ Year Zero       NYSE Arca
                       Coupon U.S. Treasury
                       Index Exchange-Traded
                       Fund.
------------------------------------------------------------------------

Appendix B--Data

    Unless otherwise specified, the following data shall be 
collected and transmitted to the SEC in an agreed-upon format on a 
monthly basis, to be provided 30 calendar days following month end. 
Unless otherwise specified, the Primary Listing Exchanges shall be 
responsible for collecting and transmitting the data to the SEC. 
Data collected in connection with Sections II(E)--(G) below shall be 
transmitted to the SEC with a request for confidential treatment 
under the Freedom of Information Act. 5 U.S.C. 552, and the SEC's 
rules and regulations thereunder.

I. Summary Statistics

A. Frequency with which NMS Stocks enter a Limit State. Such summary 
data shall be broken down as follows:
    1. Partition stocks by category
    a. Tier 1 non-ETP issues > $3.00
    b. Tier 1 non-ETP issues >= $0.75 and <=$3.00
    c. Tier 1 non-ETP issues < $0.75
    d. Tier 1 non-leveraged ETPs in each of above categories
    e. Tier 1 leveraged ETPs in each of above categories
    f. Tier 2 non-ETPs in each of above categories
    g. Tier 2 non-leveraged ETPs in each of above categories
    h. Tier 2 leveraged ETPs in each of above categories
    2. Partition by time of day
    a. Opening (prior to 9:45 a.m. ET)
    b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET)
    c. Closing (after 3:35 p.m. ET)
    d. Within five minutes of a Trading Pause re-open or IPO open
    3. Track reasons for entering a Limit State, such as:
    a. Liquidity gap -price reverts from a Limit State Quotation and 
returns to trading within the Price Bands
    b. Broken trades
    c. Primary Listing Exchange manually declares a Trading Pause 
pursuant to Section (VII)(2) of the Plan
    d. Other
B. Determine (1), (2) and (3) for when a Trading Pause has been 
declared for an NMS Stock pursuant to the Plan.

II. Raw Data (all Participants, except A-E, which are for the Primary 
Listing Exchanges only)

A. Record of every Straddle State.
    1. Ticker, date, time entered, time exited, flag for ending with 
Limit State, flag for ending with manual override.
    2. Pipe delimited with field names as first record.
B. Record of every Price Band
    1. Ticker, date, time at beginning of Price Band, Upper Price 
Band, Lower Price Band
    2. Pipe delimited with field names as first record
C. Record of every Limit State
    1. Ticker, date, time entered, time exited, flag for halt
    2. Pipe delimited with field names as first record
D. Record of every Trading Pause or halt
    1. Ticker, date, time entered, time exited, type of halt (i.e., 
regulatory halt, non-regulatory halt, Trading Pause pursuant to the 
Plan, other)
    2. Pipe delimited with field names as first record
E. Data set or orders entered into reopening auctions during halts 
or Trading Pauses
    1. Arrivals, Changes, Cancels, # shares, limit/market, side, 
Limit State side
    2. Pipe delimited with field name as first record
F. Data set of order events received during Limit States
G. Summary data on order flow of arrivals and cancellations for each 
15-second period for discrete time periods and sample stocks to be 
determined by the SEC in subsequent data requests. Must indicate 
side(s) of Limit State.
    1. Market/marketable sell orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
    2. Market/marketable buy orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
    3. Count arriving, volume arriving and shares executing in limit 
sell orders above NBBO mid-point
    4. Count arriving, volume arriving and shares executing in limit 
sell orders at or below NBBO mid-point (non-marketable)
    5. Count arriving, volume arriving and shares executing in limit 
buy orders at or above NBBO mid-point (non-marketable)
    6. Count arriving, volume arriving and shares executing in limit 
buy orders below NBBO mid-point

[[Page 10345]]

    7. Count and volume arriving of limit sell orders priced at or 
above NBBO mid-point plus $0.05
    8. Count and volume arriving of limit buy orders priced at or 
below NBBO mid-point minus $0.05
    9. Count and volume of (3-8) for cancels
    10. Include: ticker, date, time at start, time of Limit State, 
all data item fields in 1, last sale prior to 15-second period (null 
if no trades today), range during 15-second period, last trade 
during 15-second period

III. On May 28, 2015, Participants provided to the SEC a supplemental 
joint assessment relating to the impact of the Plan and calibration of 
the Percentage Parameters as follows:

A. Assess the statistical and economic impact on liquidity of 
approaching Price Bands.
B. Assess the statistical and economic impact of the Price Bands on 
erroneous trades.
C. Assess the statistical and economic impact of the appropriateness 
of the Percentage Parameters used for the Price Bands.
D. Assess whether the Limit State is the appropriate length to allow 
for liquidity replenishment when a Limit State is reached because of 
a temporary liquidity gap.
E. Evaluate concerns from the options markets regarding the 
statistical and economic impact of Limit States on liquidity and 
market quality in the options markets. (Participants that operate 
options exchange should also prepare such assessment reports.)
F. Assess whether the process for entering a Limit State should be 
adjusted and whether Straddle States are problematic.
G. Assess whether the process for exiting a Limit State should be 
adjusted.
H. Assess whether the Trading Pauses are too long or short and 
whether the reopening procedures should be adjusted.

[FR Doc. 2016-04246 Filed 2-26-16; 8:45 am]
BILLING CODE 8011-01-P