[Federal Register Volume 79, Number 8 (Monday, January 13, 2014)]
[Notices]
[Pages 2204-2219]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2014-00346]


=======================================================================
-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-71247; File No. 4-631]


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

January 7, 2014.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder \2\, notice is hereby given that, 
on December 3, 2013, The NASDAQ OMX Group, on behalf of NASDAQ OMX BX, 
Inc. (``BX''), NASDAQ OMX PHLX LLC (``Phlx''), and the Nasdaq Stock 
Market LLC (``Nasdaq''), and the following parties to the National 
Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago 
Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., 
EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc., National Stock Exchange, Inc., New York Stock Exchange 
LLC, NYSE MKT LLC, NYSE Arca, Inc., (collectively with BX, Phlx, and 
Nasdaq, the ``Participants''), filed with the Securities and Exchange 
Commission (the ``Commission'') a proposal to amend the Plan to Address 
Extraordinary Market Volatility (``Plan'').\3\ The proposal represents 
the sixth amendment to the Plan (``Sixth Amendment''), and reflects 
changes unanimously approved by the Participants. The Sixth Amendment 
to the Plan proposes to make technical changes to the implementation 
schedule of the Plan. A copy of the Plan, as proposed to be amended, is 
attached as Exhibit A hereto. The Commission is publishing this notice 
to solicit comments from interested persons on the Sixth Amendment to 
the Plan.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Jeffrey S. Davis, Vice President & Deputy 
General Counsel, The NASDAQ OMX Group, to Elizabeth M. Murphy, 
Secretary, Commission, dated December 3, 2013 (``Transmittal 
Letter'').
---------------------------------------------------------------------------

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

    The Participants filed the Plan in order to create a market-wide 
limit up-limit down mechanism that is intended to address extraordinary 
market volatility in ``NMS Stocks,'' as defined in Rule 600(b)(47) of 
Regulation NMS under the Act.\4\ The Plan sets forth procedures that 
provide for market-wide limit up-limit down requirements that would be 
designed to prevent trades in individual NMS Stocks from occurring 
outside of the specified Price Bands.\5\ These limit up-limit down 
requirements would be coupled with Trading Pauses, as defined in 
Section I(Y) of the Plan, to accommodate more fundamental price moves 
(as opposed to erroneous trades or momentary gaps in liquidity).
---------------------------------------------------------------------------

    \4\ 17 CFR 242.600(b)(47). See also Section I(H) of the Plan.
    \5\ See Section V of the Plan.
---------------------------------------------------------------------------

    As set forth in Section V of the Plan, the price bands would 
consist of a Lower Price Band and an Upper Price Band for each NMS 
Stock.\6\ The price bands would be calculated by the Securities 
Information Processors (``SIPs'' or ``Processors'') responsible for 
consolidation of information for an NMS Stock pursuant to Rule 603(b) 
of

[[Page 2205]]

Regulation NMS under the Act.\7\ Those price bands would be based on a 
Reference Price \8\ for each NMS Stock that equals the arithmetic mean 
price of Eligible Reported Transactions for the NMS Stock over the 
immediately preceding five-minute period. The price bands for an NMS 
Stock would be calculated by applying the Percentage Parameter for such 
NMS Stock to the Reference Price, with the Lower Price Band being a 
Percentage Parameter \9\ below the Reference Price, and the Upper Price 
Band being a Percentage Parameter above the Reference Price. Between 
9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price 
bands would be calculated by applying double the Percentage Parameters.
---------------------------------------------------------------------------

    \6\ Capitalized terms used herein but not otherwise defined 
shall have the meaning ascribed to such terms in the Plan. See 
Exhibit A, infra.
    \7\ 17 CFR 242.603(b). The Plan refers to this entity as the 
Processor.
    \8\ See Section I(T) of the Plan.
    \9\ As initially proposed by the Participants, the Percentage 
Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index 
or Russell 1000 Index and certain ETPs) with a Reference Price of 
$1.00 or more would be five percent and less than $1.00 would be the 
lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for 
Tier 2 NMS Stocks (i.e., all NMS Stocks other than those in Tier 1) 
with a Reference Price of $1.00 or more would be 10 percent and less 
than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The 
Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP 
would be the applicable Percentage Parameter set forth above 
multiplied by the leverage ratio of such product. On May 24, 2012, 
the Participants amended the Plan to create a 20% price band for 
Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and 
up to and including $3.00. The Percentage Parameter for stocks with 
a Reference Price below $0.75 would be the lesser of (a) $0.15 or 
(b) 75 percent. See Letter from Janet M. McGinness, Senior Vice 
President, Legal and Corporate Secretary, NYSE Euronext, to 
Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012 
(``First Amendment'').
---------------------------------------------------------------------------

    The Processors would also calculate a Pro-Forma Reference Price for 
each NMS Stock on a continuous basis during Regular Trading Hours. If a 
Pro-Forma Reference Price did not move by one percent or more from the 
Reference Price in effect, no new price bands would be disseminated, 
and the current Reference Price would remain the effective Reference 
Price. If the Pro-Forma Reference Price moved by one percent or more 
from the Reference Price in effect, the Pro-Forma Reference Price would 
become the Reference Price, and the Processors would disseminate new 
price bands based on the new Reference Price. Each new Reference Price 
would remain in effect for at least 30 seconds.
    When one side of the market for an individual security is outside 
the applicable price band, the Processors would be required to 
disseminate such National Best Bid \10\ or National Best Offer \11\ 
with an appropriate flag identifying it as non-executable. When the 
other side of the market reaches the applicable price band, the market 
for an individual security would enter a Limit State,\12\ and the 
Processors would be required to disseminate such National Best Offer or 
National Best Bid with an appropriate flag identifying it as a Limit 
State Quotation.\13\ All trading would immediately enter a Limit State 
if the National Best Offer equals the Lower Limit Band and does not 
cross the National Best Bid, or the National Best Bid equals the Upper 
Limit Band and does not cross the National Best Offer. Trading for an 
NMS Stock would exit a Limit State if, within 15 seconds of entering 
the Limit State, all Limit State Quotations were executed or canceled 
in their entirety. If the market did not exit a Limit State within 15 
seconds, then the Primary Listing Exchange would declare a five-minute 
trading pause, which would be applicable to all markets trading the 
security.
---------------------------------------------------------------------------

    \10\ 17 CFR 242.600(b)(42). See also Section I(G) of the Plan.
    \11\ Id.
    \12\ A stock enters the Limit State if the National Best Offer 
equals the Lower Price Band and does not cross the National Best 
Bid, or the National Best Bid equals the Upper Price Band and does 
not cross the National Best Offer. See Section VI(B) of the Plan.
    \13\ See Section I(D) of the Plan.
---------------------------------------------------------------------------

    These limit up-limit down requirements would be coupled with 
trading pauses \14\ to accommodate more fundamental price moves (as 
opposed to erroneous trades or momentary gaps in liquidity). As set 
forth in more detail in the Plan, all trading centers \15\ in NMS 
Stocks, including both those operated by Participants and those 
operated by members of Participants, would be required to establish, 
maintain, and enforce written policies and procedures that are 
reasonably designed to comply with the limit up-limit down and trading 
pause requirements specified in the Plan.
---------------------------------------------------------------------------

    \14\ The primary listing market would declare a trading pause in 
an NMS Stock; upon notification by the primary listing market, the 
Processor would disseminate this information to the public. No 
trades in that NMS Stock could occur during the trading pause, but 
all bids and offers may be displayed. See Section VII(A) of the 
Plan.
    \15\ As defined in Section I(X) of the Plan, a trading center 
shall have the meaning provided in Rule 600(b)(78) of Regulation NMS 
under the Act.
---------------------------------------------------------------------------

    Under the Plan, all trading centers would be required to establish, 
maintain, and enforce written policies and procedures reasonably 
designed to prevent the display of offers below the Lower Price Band 
and bids above the Upper Price Band for an NMS Stock. The Processors 
would disseminate an offer below the Lower Price Band or bid above the 
Upper Price Band that nevertheless inadvertently may be submitted 
despite such reasonable policies and procedures, but with an 
appropriate flag identifying it as non-executable; such bid or offer 
would not be included in National Best Bid or National Best Offer 
calculations. In addition, all trading centers would be required to 
develop, maintain, and enforce policies and procedures reasonably 
designed to prevent trades at prices outside the price bands, with the 
exception of single-priced opening, reopening, and closing transactions 
on the Primary Listing Exchange.
    As stated by the Participants in the Plan, the limit up-limit down 
mechanism is intended to reduce the negative impacts of sudden, 
unanticipated price movements in NMS Stocks,\16\ thereby protecting 
investors and promoting a fair and orderly market.\17\ In particular, 
the Plan is designed to address the type of sudden price movements that 
the market experienced on the afternoon of May 6, 2010.\18\
---------------------------------------------------------------------------

    \16\ 17 CFR 242.600(b)(47).
    \17\ See Transmittal Letter, supra note 3.
    \18\ The limit up-limit down mechanism set forth in the Plan 
would replace the existing single-stock circuit breaker pilot. See 
e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 
FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10, 
2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033).
---------------------------------------------------------------------------

    The following summarizes the Sixth Amendment to the Plan and the 
rationale behind those changes:
    The Participants propose to amend Section VIII.B of the Plan to 
establish a new implementation schedule for Phase II of the Plan. The 
Plan currently provides that eight months after the initial date of 
Plan operations, the Plan shall fully apply (A) to all NMS Stocks and 
(B) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading 
day, or earlier in the case of an early scheduled close. Because the 
initial date of Plan operations was April 8, 2013, the Plan currently 
provides that it shall be fully implemented by December 8, 2013.
    The Participants now propose to amend Section VIII.B to provide 
that Phase II shall be separated into two sub-phases. The first sub-
phase (Phase II.A.) would apply the Plan to all NMS Stocks beginning at 
9:30 a.m. ET, and ending at 3:45 p.m. ET each trading day, or earlier 
in the case of an early scheduled close by December 8, 2013 as planned. 
The second sub-phase (Phase II.B.) would cause the Plan to apply to all 
NMS Stocks beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each 
trading day, or earlier in the case of an early scheduled close by 
February 24, 2014. The Participants propose to make this

[[Page 2206]]

change to accommodate a longer implementation period for Phase II.B. of 
the Plan, which is currently scheduled to be complete on December 8, 
2013.
    The Participants believe that this proposed amendment is technical 
and ministerial in nature because it simply extends the implementation 
period of the Plan with respect to Phase II.B. of the Plan, and it does 
not change any substantive elements of the Plan. The Participants note 
that at least two Participants plan to file proposed changes to their 
exchange rules to revise the manner by which they will interact with 
the Plan near the close. Specifically, the Participants will be 
proposing that if a Trading Pause is declared for an NMS Stock within 
the last ten minutes of trading, the Primary Listing Exchange will 
attempt to close the NMS Stock using a modified version of its 
established closing procedures. The Participants believe that the 
proposal to extend the implementation period is necessary to provide 
additional time for the amendment their exchange rules to go through 
the notice and comment period and approval process.
    In addition, the proposed modification to the implementation 
schedule is in response to requests by the securities industry for 
additional time for systems testing by Participants and the securities 
industry, particularly to test with proposed Exchange rule and system 
modifications around the close.\19\ The Participants believe that 
providing additional time for the Participants and the securities 
industry to test the manner by which the Plan operates around the 
close, particularly when there is a trading pause less than five 
minutes before the scheduled close of trading, is necessary and 
appropriate in the public interest and for the protection of investors.
---------------------------------------------------------------------------

    \19\ See Letter from T.R. Lazo, Managing Director and Associate 
General Counsel, SIFMA to John Ramsey, Acting Director, Division of 
Trading and Markets, Securities and Exchange Commission, dated July 
10, 2013. The Participants note that SIFMA supports the proposed 
adjustment to the implementation schedule of Phase II of the Plan.
---------------------------------------------------------------------------

    The Participants believe it is important to implement all elements 
of the Plan in a prudent and cautious manner; however this interest is 
heightened where the Plan impacts the close of trading. A significant 
volume of trading occurs at the close, including in closing crosses on 
multiple exchanges. Additionally, the closing prices reached and 
disseminated by the Exchanges are used to price billions of dollars of 
mutual funds and other investments held by millions of individual 
investors and institutions. Accordingly, the need for thorough testing 
by all Participants and members is critical. The Participants believe 
that the proposed implementation date of February 24, 2014, for Phase 
II.B. provides sufficient time to perform this thorough testing.

B. Governing or Constituent Documents

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

C. Implementation of Plan

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

D. Development and Implementation Phases

    The Plan will be implemented as a one-year pilot program in two 
Phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation began on April 8, 2013 and was completed on May 3, 2013. 
Implementation of Phase II of the Plan began on August 5, 2013. 
Pursuant to this proposed amendment, Phase II.A. of the implementation, 
which applies the Plan to all NMS Stocks beginning at 9:30 a.m. ET, and 
ending at 3:45 p.m. ET each trading day, or earlier in the case of an 
early scheduled close will be completed by December 8, 2013 as planned. 
Phase II.B. of the implementation, which causes the Plan to apply to 
all NMS Stocks beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET 
each trading day, or earlier in the case of an early scheduled close, 
will be completed by February 24, 2014. The Participants are hereby 
filing to extend the completion date for Phase II.B. to February 24, 
2014, at which time the Plan will apply to all NMS Stocks until 4:00 
p.m. ET, or earlier in the case of an early scheduled close.

E. Analysis of Impact on Competition

    The proposed Plan does not impose any burden on competition that is 
not necessary or appropriate in furtherance of the purposes of the Act. 
The Participants do not believe that the proposed Plan introduces terms 
that are unreasonably discriminatory for the purposes of Section 
11A(c)(1)(D) of the Act.\20\
---------------------------------------------------------------------------

    \20\ 15 U.S.C. 78k-1(c)(1)(D).
---------------------------------------------------------------------------

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

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

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

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

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

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.

K. Dispute Resolution

    Section III(C) of the Plan provides for each Participant to 
designate an individual to represent the Participant as a member of an 
Operating Committee.\21\ No later than the initial date of the Plan, 
the Operating Committee shall designate one member of the Operating 
Committee to act as the Chair of the Operating Committee. Any 
recommendation for an amendment to the Plan from the Operating 
Committee that receives an affirmative vote of at least two-thirds of 
the Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608.\22\
---------------------------------------------------------------------------

    \21\ See Section I(J) of the Plan.
    \22\ 17 CFR 242.608.
---------------------------------------------------------------------------

    On October 13, 2013, the Operating Committee, duly constituted and 
chaired by Mr. Burke Cook of NASDAQ OMX, met and voted to amend the 
Plan as set forth herein in accordance with Section III(C) of the Plan.

II. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the Sixth 
Amendment to the Plan is consistent with the Act. Comments may be

[[Page 2207]]

submitted by any of the following methods:

Electronic Comments

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

Paper Comments

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

All submissions should refer to File Number 4-631. This file number 
should be included on the subject line if email is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the Sixth Amendment to the Plan that are 
filed with the Commission, and all written communications relating to 
the Sixth Amendment to the Plan between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street NE., Washington, DC 20549 on official business days between 
10:00 a.m. and 3:00 p.m. Copies of the filing will also be available 
for inspection and copying at the Participants' principal offices. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number 4-631 and should be submitted 
on or before February 3, 2014.

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

Exhibit A

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

Plan To Address Extraordinary Market Volatility Submitted to the 
Securities and Exchange Commission Pursuant to Rule 608 of Regulation 
NMS Under the Securities Exchange Act of 1934

Table of Contents
Section
Preamble
I. Definitions
II. Parties
III. Amendments to Plan
IV. Trading Center Policies and Procedures
V. Price Bands
VI. Limit Up-Limit Down Requirements
VII. Trading Pauses
VIII. Implementation
IX. Withdrawal from Plan
X. Counterparts and Signatures
Appendix A--Percentage Parameters
Appendix A--Schedule 1
Appendix B--Data
Preamble
    The Participants submit to the SEC this Plan establishing 
procedures to address extraordinary volatility in NMS Stocks. The 
procedures provide for market-wide limit up-limit down requirements 
that prevent trades in individual NMS Stocks from occurring outside of 
the specified Price Bands. These limit up-limit down requirements are 
coupled with Trading Pauses to accommodate more fundamental price 
moves. The Plan procedures are designed, among other things, to protect 
investors and promote fair and orderly markets. The Participants 
developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under 
the Exchange Act, which authorizes the Participants to act jointly in 
preparing, filing, and implementing national market system plans.
I. Definitions
    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange, or, if the Primary 
Listing Exchange opens with quotations, the midpoint of those 
quotations.
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V of 
the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been listed 
the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor responsible 
for the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning provided 
in Section V(A)(2) of the Plan.
    (R) ``Regular Trading Hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes 
of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in 
the case of an early scheduled close.
    (S) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (T) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (U) ``Reopening Price'' shall mean the price of a transaction that 
reopens trading on the Primary Listing Exchange following a Trading 
Pause or a Regulatory Halt, or, if the Primary

[[Page 2208]]

Listing Exchange reopens with quotations, the midpoint of those 
quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in Section 
VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in Section 
V of the Plan.
II. Parties
(A) List of Parties
    The parties to the Plan are as follows:

(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle 
Street, Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, 
Illinois 60605
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey 
City, NJ 07310
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey 
City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street NW., 
Washington, DC 20006
(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 
19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway,New 
York, NY 10006
(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey 
City, NJ 07302
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 
10005
(13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 
60606
(B) Compliance Undertaking
    By subscribing to and submitting the Plan for approval by the SEC, 
each Participant agrees to comply with and to enforce compliance, as 
required by Rule 608(c) of Regulation NMS under the Exchange Act, by 
its members with the provisions of the Plan. To this end, each 
Participant shall adopt a rule requiring compliance by its members with 
the provisions of the Plan, and each Participant shall take such 
actions as are necessary and appropriate as a participant of the Market 
Data Plans to cause and enable the Processor for each NMS Stock to 
fulfill the functions set forth in this Plan.
(C) New Participants
    The Participants agree that any entity registered as a national 
securities exchange or national securities association under the 
Exchange Act may become a Participant by: (1) becoming a participant in 
the applicable Market Data Plans; (2) executing a copy of the Plan, as 
then in effect; (3) providing each then-current Participant with a copy 
of such executed Plan; and (4) effecting an amendment to the Plan as 
specified in Section III(B) of the Plan.
(D) Advisory Committee
    (1) Formation. Notwithstanding other provisions of this Plan, an 
Advisory Committee to the Plan shall be formed and shall function in 
accordance with the provisions set forth in this section.
    (2) Composition. Members of the Advisory Committee shall be 
selected for two-year terms as follows:
    (A) Advisory Committee Selections. By affirmative vote of a 
majority of the Participants, the Participants shall select at least 
one representatives from each of the following categories to be members 
of the Advisory Committee: (1) a broker-dealer with a substantial 
retail investor customer base; (2) a broker-dealer with a substantial 
institutional investor customer base; (3) an alternative trading 
system; (4) a broker-dealer that primarily engages in trading for its 
own account; and (5) an investor.
    (3) Function. Members of the Advisory Committee shall have the 
right to submit their views to the Operating Committee on Plan matters, 
prior to a decision by the Operating Committee on such matters. Such 
matters shall include, but not be limited to, proposed material 
amendments to the Plan.
    (4) Meetings and Information. Members of the Advisory Committee 
shall have the right to attend meetings of the Operating Committee and 
to receive any information concerning Plan matters; provided, however, 
that the Operating Committee may meet in executive session if, by 
affirmative vote of a majority of the Participants, the Operating 
Committee determines that an item of Plan business requires 
confidential treatment.
III. Amendments to Plan
(A) General Amendments
    Except with respect to the addition of new Participants to the 
Plan, any proposed change in, addition to, or deletion from the Plan 
shall be effected by means of a written amendment to the Plan that: (1) 
sets forth the change, addition, or deletion; (2) is executed on behalf 
of each Participant; and, (3) is approved by the SEC pursuant to Rule 
608 of Regulation NMS under the Exchange Act, or otherwise becomes 
effective under Rule 608 of Regulation NMS under the Exchange Act.
(B) New Participants
    With respect to new Participants, an amendment to the Plan may be 
effected by the new national securities exchange or national securities 
association executing a copy of the Plan, as then in effect (with the 
only changes being the addition of the new Participant's name in 
Section II(A) of the Plan) and submitting such executed Plan to the SEC 
for approval. The amendment shall be effective when it is approved by 
the SEC in accordance with Rule 608 of Regulation NMS under the 
Exchange Act or otherwise becomes effective pursuant to Rule 608 of 
Regulation NMS under the Exchange Act.
(C) Operating Committee
    (1) Each Participant shall select from its staff one individual to 
represent the Participant as a member of an Operating Committee, 
together with a substitute for such individual. The substitute may 
participate in deliberations of the Operating Committee and shall be 
considered a voting member thereof only in the absence of the primary 
representative. Each Participant shall have one vote on all matters 
considered by the Operating Committee. No later than the initial date 
of Plan operations, the Operating Committee shall designate one member 
of the Operating Committee to act as the Chair of the Operating 
Committee.
    (2) The Operating Committee shall monitor the procedures 
established pursuant to this Plan and advise the Participants with 
respect to any deficiencies, problems, or recommendations as the 
Operating Committee may deem appropriate. The Operating Committee shall 
establish specifications and procedures for the implementation and 
operation of the Plan that are consistent with the provisions of this 
Plan and the Appendixes thereto. With respect to matters in this 
paragraph, Operating Committee decisions shall be approved by a simple 
majority vote.

[[Page 2209]]

    (3) Any recommendation for an amendment to the Plan from the 
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be 
submitted to the SEC as a request for an amendment to the Plan 
initiated by the Commission under Rule 608 of Regulation NMS.
IV. Trading Center Policies and Procedures
    All trading centers in NMS Stocks, including both those operated by 
Participants and those operated by members of Participants, shall 
establish, maintain, and enforce written policies and procedures that 
are reasonably designed to comply with the limit up--limit down 
requirements specified in Sections VI of the Plan, and to comply with 
the Trading Pauses specified in Section VII of the Plan.
V. Price Bands
(A) Calculation and Dissemination of Price Bands
    (1) The Processor for each NMS stock shall calculate and 
disseminate to the public a Lower Price Band and an Upper Price Band 
during Regular Trading Hours for such NMS Stock. The Price Bands shall 
be based on a Reference Price for each NMS Stock that equals the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
stock over the immediately preceding five-minute period (except for 
periods following openings and reopenings, which are addressed below). 
If no Eligible Reported Transactions for the NMS Stock have occurred 
over the immediately preceding five-minute period, the previous 
Reference Price shall remain in effect. The Price Bands for an NMS 
Stock shall be calculated by applying the Percentage Parameter for such 
NMS Stock to the Reference Price, with the Lower Price Band being a 
Percentage Parameter below the Reference Price, and the Upper Price 
Band being a Percentage Parameter above the Reference Price. The Price 
Bands shall be calculated during Regular Trading Hours. Between 9:30 
a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case 
of an early scheduled close, during the last 25 minutes of trading 
before the early scheduled close, the Price Bands shall be calculated 
by applying double the Percentage Parameters set forth in Appendix A. 
If a Reopening Price does not occur within ten minutes after the 
beginning of a Trading Pause, the Price Band, for the first 30 seconds 
following the reopening after that Trading Pause, shall be calculated 
by applying triple the Percentage Parameters set forth in Appendix A.
    (2) The Processor shall calculate a Pro-Forma Reference Price on a 
continuous basis during Regular Trading Hours, as specified in Section 
V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% 
or more from the Reference Price currently in effect, no new Price 
Bands shall be disseminated, and the current Reference Price shall 
remain the effective Reference Price. When the Pro-Forma Reference 
Price has moved by 1% or more from the Reference Price currently in 
effect, the Pro-Forma Reference Price shall become the Reference Price, 
and the Processor shall disseminate new Price Bands based on the new 
Reference Price; provided, however, that each new Reference Price shall 
remain in effect for at least 30 seconds.
(B) Openings
    (1) Except when a Regulatory Halt is in effect at the start of 
Regular Trading Hours, the first Reference Price for a trading day 
shall be the Opening Price on the Primary Listing Exchange in an NMS 
Stock if such Opening Price occurs less than five minutes after the 
start of Regular Trading Hours. During the period less than five 
minutes after the Opening Price, a Pro-Forma Reference Price shall be 
updated on a continuous basis to be the arithmetic mean price of 
Eligible Reported Transactions for the NMS Stock during the period 
following the Opening Price (including the Opening Price), and if it 
differs from the current Reference Price by 1% or more shall become the 
new Reference Price, except that a new Reference Price shall remain in 
effect for at least 30 seconds. Subsequent Reference Prices shall be 
calculated as specified in Section V(A) of the Plan.
    (2) If the Opening Price on the Primary Listing Exchange in an NMS 
Stock does not occur within five minutes after the start of Regular 
Trading Hours, the first Reference Price for a trading day shall be the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the preceding five minute time period, and subsequent 
Reference Prices shall be calculated as specified in Section V(A) of 
the Plan.
(C) Reopenings
    (1) Following a Trading Pause in an NMS Stock, and if the Primary 
Listing Exchange has not declared a Regulatory Halt, the next Reference 
Price shall be the Reopening Price on the Primary Listing Exchange if 
such Reopening Price occurs within ten minutes after the beginning of 
the Trading Pause, and subsequent Reference Prices shall be determined 
in the manner prescribed for normal openings, as specified in Section 
V(B)(1) of the Plan. If such Reopening Price does not occur within ten 
minutes after the beginning of the Trading Pause, the first Reference 
Price following the Trading Pause shall be equal to the last effective 
Reference Price before the Trading Pause. Subsequent Reference Prices 
shall be calculated as specified in Section V(A) of the Plan.
    (2) Following a Regulatory Halt, the next Reference Price shall be 
the Opening or Reopening Price on the Primary Listing Exchange if such 
Opening or Reopening Price occurs within five minutes after the end of 
the Regulatory Halt, and subsequent Reference Prices shall be 
determined in the manner prescribed for normal openings, as specified 
in Section V(B)(1) of the Plan. If such Opening or Reopening Price has 
not occurred within five minutes after the end of the Regulatory Halt, 
the Reference Price shall be equal to the arithmetic mean price of 
Eligible Reported Transactions for the NMS Stock over the preceding 
five minute time period, and subsequent Reference Prices shall be 
calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
    (1) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent trades at prices that are below 
the Lower Price Band or above the Upper Price Band for an NMS Stock. 
Single-priced opening, reopening, and closing transactions on the 
Primary Listing Exchange, however, shall be excluded from this 
limitation. In addition, any transaction that both (i) does not update 
the last sale price (except if solely because the transaction was 
reported late or because the transaction was an odd-lot sized 
transaction), and (ii) is excepted or exempt from Rule 611 under 
Regulation NMS shall be excluded from this limitation.
    (2) When a National Best Bid is below the Lower Price Band or a 
National Best Offer is above the Upper Price Band for an NMS Stock, the 
Processor shall disseminate such National Best Bid or National Best 
Offer with an appropriate flag identifying it as non-executable. When a 
National Best Offer is equal to the Lower Price Band or a National Best

[[Page 2210]]

Bid is equal to the Upper Price Band for an NMS Stock, the Processor 
shall distribute such National Best Bid or National Best Offer with an 
appropriate flag identifying it as a ``Limit State Quotation''.
    (3) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent the display of offers below the 
Lower Price Band and bids above the Upper Price Band for an NMS Stock. 
The Processor shall disseminate an offer below the Lower Price Band or 
bid above the Upper Price Band that may be submitted despite such 
reasonable policies and procedures, but with an appropriate flag 
identifying it as non-executable; provided, however, that any such bid 
or offer shall not be included in National Best Bid or National Best 
Offer calculations.
(B) Entering and Exiting a Limit State
    (1) All trading for an NMS Stock shall immediately enter a Limit 
State if the National Best Offer equals the Lower Price Band and does 
not cross the National Best Bid, or the National Best Bid equals the 
Upper Price Band and does not cross the National Best Offer.
    (2) When trading for an NMS Stock enters a Limit State, the 
Processor shall disseminate this information by identifying the 
relevant quotation (i.e., a National Best Offer that equals the Lower 
Price Band or a National Best Bid that equals the Upper Price Band) as 
a Limit State Quotation. At this point, the Processor shall cease 
calculating and disseminating updated Reference Prices and Price Bands 
for the NMS Stock until either trading exits the Limit State or trading 
resumes with an opening or re-opening as provided in Section V.
    (3) Trading for an NMS Stock shall exit a Limit State if, within 15 
seconds of entering the Limit State, the entire size of all Limit State 
Quotations are executed or cancelled.
    (4) If trading for an NMS Stock exits a Limit State within 15 
seconds of entry, the Processor shall immediately calculate and 
disseminate updated Price Bands based on a Reference Price that equals 
the arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the immediately preceding five-minute period (including the 
period of the Limit State).
    (5) If trading for an NMS Stock does not exit a Limit State within 
15 seconds of entry, the Limit State will terminate when the Primary 
Listing Exchange declares a Trading Pause pursuant to Section VII of 
the Plan or at the end of Regular Trading Hours.
VII. Trading Pauses
(A) Declaration of Trading Pauses
    (1) If trading for an NMS Stock does not exit a Limit State within 
15 seconds of entry during Regular Trading Hours, then the Primary 
Listing Exchange shall declare a Trading Pause for such NMS Stock and 
shall notify the Processor.
    (2) The Primary Listing Exchange may also declare a Trading Pause 
for an NMS Stock when an NMS Stock is in a Straddle State, which is 
when National Best Bid (Offer) is below (above) the Lower (Upper) Price 
Band and the NMS Stock is not in a Limit State, and trading in that NMS 
Stock deviates from normal trading characteristics such that declaring 
a Trading Pause would support the Plan's goal to address extraordinary 
market volatility. The Primary Listing Exchange shall develop policies 
and procedures for determining when it would declare a Trading Pause in 
such circumstances. If a Trading Pause is declared for an NMS Stock 
under this provision, the Primary Listing Exchange shall notify the 
Processor.
    (3) The Processor shall disseminate Trading Pause information to 
the public. No trades in an NMS Stock shall occur during a Trading 
Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
    (1) Five minutes after declaring a Trading Pause for an NMS Stock, 
and if the Primary Listing Exchange has not declared a Regulatory Halt, 
the Primary Listing Exchange shall attempt to reopen trading using its 
established reopening procedures. The Trading Pause shall end when the 
Primary Listing Exchange reports a Reopening Price.
    (2) The Primary Listing Exchange shall notify the Processor if it 
is unable to reopen trading in an NMS Stock for any reason other than a 
significant order imbalance and if it has not declared a Regulatory 
Halt. The Processor shall disseminate this information to the public, 
and all trading centers may begin trading the NMS Stock at this time.
    (3) If the Primary Listing Exchange does not report a Reopening 
Price within ten minutes after the declaration of a Trading Pause in an 
NMS Stock, and has not declared a Regulatory Halt, all trading centers 
may begin trading the NMS Stock.
    (4) When trading begins after a Trading Pause, the Processor shall 
update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C) Trading Pauses Within Ten Minutes of the End of Regular Trading 
Hours
    (1) If a Trading Pause for an NMS Stock is declared in the last ten 
minutes of trading before the end of Regular Trading Hours, the Primary 
Listing Exchange shall not reopen trading and shall attempt to execute 
a closing transaction using its established closing procedures. All 
trading centers may begin trading the NMS Stock when the Primary 
Listing Exchange executes a closing transaction.
    (2) If the Primary Listing Exchange does not execute a closing 
transaction within five minutes after the end of Regular Trading Hours, 
all trading centers may begin trading the NMS Stock.
VIII. Implementation
    The initial date of Plan operations shall be April 8, 2013.
(A) Phase I
    (1) On the initial date of Plan operations, Phase I of Plan 
implementation shall begin in select symbols from the Tier 1 NMS Stocks 
identified in Appendix A of the Plan.
    (2) Three months after the initial date of Plan operations, or such 
earlier date as may be announced by the Processor with at least 30 days 
notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified 
in Appendix A of the Plan.
    (3) During Phase I, the first Price Bands for a trading day shall 
be calculated and disseminated 15 minutes after the start of Regular 
Trading Hours as specified in Section (V)(A) of the Plan. No Price 
Bands shall be calculated and disseminated and therefore trading shall 
not enter a Limit State less than 30 minutes before the end of Regular 
Trading Hours.
(B) Phase II--Full Implementation
    Phase II.A.: Eight months after the initial date of Plan 
operations, or such earlier date as may be announced by the Processor 
with at least 30 days notice, the Plan shall fully apply (i) to all NMS 
Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 3:45 [4:00] 
p.m. ET each trading day, or earlier in the case of an early scheduled 
close.
    Phase II.B.: By February 24, 2014, or such earlier date as may be 
announced by the Processor with at least 30 days notice, the Plan shall 
fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, 
and ending at 4:00 p.m. ET each trading day, or earlier in the case of 
an early scheduled close.

[[Page 2211]]

(C) Pilot
    The Plan shall be implemented on a one-year pilot basis.
IX. Withdrawal from Plan
    If a Participant obtains SEC approval to withdraw from the Plan, 
such Participant may withdraw from the Plan at any time on not less 
than 30 days' prior written notice to each of the other Participants. 
At such time, the withdrawing Participant shall have no further rights 
or obligations under the Plan.
X. Counterparts and Signatures
    The Plan may be executed in any number of counterparts, no one of 
which need contain all signatures of all Participants, and as many of 
such counterparts as shall together contain all such signatures shall 
constitute one and the same instrument.
    IN WITNESS THEREOF, this Plan has been executed as of the -- day of 
November 2013 by each of the parties hereto.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks

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

II. Tier 2 NMS Stocks

    (1) Tier 2 NMS Stocks shall include all NMS Stocks other than those 
in Tier 1, provided, however, that all rights and warrants are excluded 
from the Plan.
    (2) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price more than $3.00 shall be 10%.
    (3) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price equal to $0.75 and up to and including $3.00 shall be 
20%.
    (4) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 
75%.
    (5) Notwithstanding the foregoing, the Percentage Parameters for a 
Tier 2 NMS Stock that is a leveraged ETP shall be the applicable 
Percentage Parameter set forth in clauses (2), (3), or (4) above, 
multiplied by the leverage ratio of such product.
    (6) The Reference Price used for determining which Percentage 
Parameter shall be applicable during a trading day shall be based on 
the closing price of the NMS Stock on the Primary Listing Exchange on 
the previous trading day, or if no closing price exists, the last sale 
on the Primary Listing Exchange reported by the Processor.

Appendix A--Schedule 1

----------------------------------------------------------------------------------------------------------------
                 Ticker                                     Name                           Primary exchange
----------------------------------------------------------------------------------------------------------------
AAXJ...................................  iShares MSCI All Country Asia ex Japan      NASDAQ GM.
                                          Index Fund.
ACWI...................................  iShares MSCI ACWI Index Fund..............  NASDAQ GM.
ACWV...................................  iShares MSCI All Country World Minimum      NYSE Arca.
                                          Volatility Index Fund.
ACWX...................................  iShares MSCI ACWI ex US Index Fund........  NASDAQ GM.
AGG....................................  iShares Core Total US Bond Market ETF.....  NYSE Arca.
AGOL...................................  ETFS Asian Gold Trust.....................  NYSE Arca.
AGZ....................................  iShares Barclays Agency Bond Fund.........  NYSE Arca.
ALD....................................  WisdomTree Asia Local Debt Fund...........  NYSE Arca.
AMJ....................................  JPMorgan Alerian MLP Index ETN............  NYSE Arca.
AMLP...................................  Alerian MLP ETF...........................  NYSE Arca.
AMU....................................  ETRACS Alerian MLP Index ETN..............  NYSE Arca.
BAB....................................  PowerShares Build America Bond Portfolio..  NYSE Arca.
BAL....................................  iPath Dow Jones-UBS Cotton Subindex Total   NYSE Arca.
                                          Return Callable ETN.
BBH....................................  Market Vectors Biotech ETF................  NYSE Arca.
BDG....................................  PowerShares DB Base Metals Long ETN.......  NYSE Arca.
BFOR...................................  Barron's 400 ETF..........................  NYSE Arca.

[[Page 2212]]

 
BIK....................................  SPDR S&P BRIC 40 ETF......................  NYSE Arca.
BIL....................................  SPDR Barclays 1-3 Month T-Bill............  NYSE Arca.
BIV....................................  Vanguard Intermediate-Term Bond ETF.......  NYSE Arca.
BKF....................................  iShares MSCI BRIC Index Fund..............  NYSE Arca.
BKLN...................................  PowerShares Senior Loan Portfolio.........  NYSE Arca.
BLV....................................  Vanguard Long-Term Bond ETF...............  NYSE Arca.
BND....................................  Vanguard Total Bond Market ETF............  NYSE Arca.
BNDX...................................  Vanguard Total International Bond ETF.....  NASDAQ GM.
BNO....................................  United States Brent Oil Fund LP...........  NYSE Arca.
BOND...................................  Pimco Total Return ETF....................  NYSE Arca.
BOS....................................  PowerShares DB Base Metals Short ETN......  NYSE Arca.
BRF....................................  Market Vectors Brazil Small-Cap ETF.......  NYSE Arca.
BSJE...................................  Guggenheim BulletShares 2014 High Yield     NYSE Arca.
                                          Corporate Bond ETF.
BSJF...................................  Guggenheim BulletShares 2015 High Yield     NYSE Arca.
                                          Corporate Bond ETF.
BSV....................................  Vanguard Short-Term Bond ETF..............  NYSE Arca.
BWV....................................  iPath CBOE S&P 500 BuyWrite Index ETN.....  NYSE Arca.
BWX....................................  SPDR Barclays International Treasury Bond   NYSE Arca.
                                          ETF.
CEW....................................  WisdomTree Emerging Currency Fund.........  NYSE Arca.
CFT....................................  iShares Barclays Credit Bond Fund.........  NYSE Arca.
CHIQ...................................  Global X China Consumer ETF...............  NYSE Arca.
CIU....................................  iShares Barclays Intermediate Credit Bond   NYSE Arca.
                                          Fund.
CLY....................................  iShares 10+ Year Credit Bond Fund.........  NYSE Arca.
CMF....................................  iShares S&P California AMT-Free Municipal   NYSE Arca.
                                          Bond Fund.
CORN...................................  Teucrium Corn Fund........................  NYSE Arca.
CSD....................................  Guggenheim Spin-Off ETF...................  NYSE Arca.
CSJ....................................  iShares Barclays 1-3 Year Credit Bond Fund  NYSE Arca.
CUT....................................  Guggenheim Timber ETF.....................  NYSE Arca.
CVY....................................  Guggenheim Multi-Asset Income ETF.........  NYSE Arca.
CWB....................................  SPDR Barclays Convertible Securities ETF..  NYSE Arca.
CWI....................................  SPDR MSCI ACWI ex-US ETF..................  NYSE Arca.
DBA....................................  PowerShares DB Agriculture Fund...........  NYSE Arca.
DBB....................................  PowerShares DB Base Metals Fund...........  NYSE Arca.
DBC....................................  PowerShares DB Commodity Index Tracking     NYSE Arca.
                                          Fund.
DBE....................................  PowerShares DB Energy Fund................  NYSE Arca.
DBJP...................................  db X-trackers MSCI Japan Hedged Equity      NYSE Arca.
                                          Fund.
DBO....................................  PowerShares DB Oil Fund...................  NYSE Arca.
DBP....................................  PowerShares DB Precious Metals Fund.......  NYSE Arca.
DBV....................................  PowerShares DB G10 Currency Harvest Fund..  NYSE Arca.
DEM....................................  WisdomTree Emerging Markets Equity Income   NYSE Arca.
                                          Fund.
DES....................................  WisdomTree SmallCap Dividend Fund.........  NYSE Arca.
DFJ....................................  WisdomTree Japan SmallCap Dividend Fund...  NYSE Arca.
DGL....................................  PowerShares DB Gold Fund..................  NYSE Arca.
DGS....................................  WisdomTree Emerging Markets SmallCap        NYSE Arca.
                                          Dividend Fund.
DGZ....................................  PowerShares DB Gold Short ETN.............  NYSE Arca.
DHS....................................  WisdomTree Equity Income Fund.............  NYSE Arca.
DIA....................................  SPDR Dow Jones Industrial Average ETF       NYSE Arca.
                                          Trust.
DJCI...................................  ETRACS DJ-UBS Commodity Index Total Return  NYSE Arca.
                                          ETN.
DJP....................................  iPath Dow Jones-UBS Commodity Index Total   NYSE Arca.
                                          Return ETN.
DLN....................................  WisdomTree LargeCap Dividend Fund.........  NYSE Arca.
DLS....................................  WisdomTree International SmallCap Dividend  NYSE Arca.
                                          Fund.
DOG....................................  ProShares Short Dow30.....................  NYSE Arca.
DON....................................  WisdomTree MidCap Dividend Fund...........  NYSE Arca.
DTN....................................  WisdomTree Dividend Ex-Financials Fund....  NYSE Arca.
DVY....................................  iShares Dow Jones Select Dividend Index     NYSE Arca.
                                          Fund.
DWX....................................  SPDR S&P International Dividend ETF.......  NYSE Arca.
DXJ....................................  WisdomTree Japan Hedged Equity Fund.......  NYSE Arca.
EBND...................................  SPDR Barclays Emerging Markets Local Bond   NYSE Arca.
                                          ETF.
ECH....................................  iShares MSCI Chile Capped Investable        NYSE Arca.
                                          Market Index Fund.
ECON...................................  EGShares Emerging Markets Consumer ETF....  NYSE Arca.
EDIV...................................  SPDR S&P Emerging Markets Dividend ETF....  NYSE Arca.
EDV....................................  Vanguard Extended Duration Treasury ETF...  NYSE Arca.
EEM....................................  iShares MSCI Emerging Markets Index Fund..  NYSE Arca.
EEMA...................................  iShares MSCI Emerging Markets Asia Index..  NASDAQ GM.
EEMV...................................  iShares MSCI Emerging Markets Minimum       NYSE Arca.
                                          Volatility Index Fund.
EFA....................................  iShares MSCI EAFE Index Fund..............  NYSE Arca.
EFAV...................................  iShares MSCI EAFE Minimum Volatility Index  NYSE Arca.
                                          Fund.
EFG....................................  iShares MSCI EAFE Growth Index............  NYSE Arca.
EFV....................................  iShares MSCI EAFE Value Index.............  NYSE Arca.
EFZ....................................  ProShares Short MSCI EAFE.................  NYSE Arca.
EIDO...................................  iSHARES MSCI Indonesia Investable Market    NYSE Arca.
                                          Index Fund.
ELD....................................  WisdomTree Emerging Markets Local Debt      NYSE Arca.
                                          Fund.
ELR....................................  SPDR Dow Jones Large Cap ETF..............  NYSE Arca.
EMB....................................  iShares JPMorgan USD Emerging Markets Bond  NYSE Arca.
                                          Fund.
EMLC...................................  Market Vectors Emerging Markets Local       NYSE Arca.
                                          Currency Bond ETF.

[[Page 2213]]

 
EMM....................................  SPDR Dow Jones Mid Cap ETF................  NYSE Arca.
ENZL...................................  iShares MSCI New Zealand Capped Investable  NYSE Arca.
                                          Market Index Fund.
EPHE...................................  iShares MSCI Philippines Investable Market  NYSE Arca.
                                          Index Fund.
EPI....................................  WisdomTree India Earnings Fund............  NYSE Arca.
EPOL...................................  iShares MSCI Poland Capped Investable       NYSE Arca.
                                          Market Index Fund.
EPP....................................  iShares MSCI Pacific ex-Japan Index Fund..  NYSE Arca.
EPU....................................  iShares MSCI All Peru Capped Index Fund...  NYSE Arca.
ERUS...................................  iShares MSCI Russia Capped Index Fund.....  NYSE Arca.
EUM....................................  ProShares Short MSCI Emerging Markets.....  NYSE Arca.
EWA....................................  iShares MSCI Australia Index Fund.........  NYSE Arca.
EWC....................................  iShares MSCI Canada Index Fund............  NYSE Arca.
EWD....................................  iShares MSCI Sweden Index Fund............  NYSE Arca.
EWG....................................  iShares MSCI Germany Index Fund...........  NYSE Arca.
EWH....................................  iShares MSCI Hong Kong Index Fund.........  NYSE Arca.
EWI....................................  iShares MSCI Italy Capped Index Fund......  NYSE Arca.
EWJ....................................  iShares MSCI Japan Index Fund.............  NYSE Arca.
EWL....................................  iShares MSCI Switzerland Capped Index Fund  NYSE Arca.
EWM....................................  iShares MSCI Malaysia Index Fund..........  NYSE Arca.
EWN....................................  iShares MSCI Netherlands Investable Market  NYSE Arca.
                                          Index Fund.
EWO....................................  iShares MSCI Austria Capped Investable      NYSE Arca.
                                          Market Index Fund.
EWP....................................  iShares MSCI Spain Capped Index Fund......  NYSE Arca.
EWQ....................................  iShares MSCI France Index Fund............  NYSE Arca.
EWS....................................  iShares MSCI Singapore Index Fund.........  NYSE Arca.
EWT....................................  iShares MSCI Taiwan Index Fund............  NYSE Arca.
EWU....................................  iShares MSCI United Kingdom Index Fund....  NYSE Arca.
EWW....................................  iShares MSCI Mexico Capped Investable       NYSE Arca.
                                          Market Index Fund.
EWX....................................  SPDR S&P Emerging Markets SmallCap ETF....  NYSE Arca.
EWY....................................  iShares MSCI South Korea Capped Index Fund  NYSE Arca.
EWZ....................................  iShares MSCI Brazil Capped Index Fund.....  NYSE Arca.
EXI....................................  iShares S&P Global Industrials Sector       NYSE Arca.
                                          Index Fund.
EZA....................................  iShares MSCI South Africa Index Fund......  NYSE Arca.
EZU....................................  iShares MSCI EMU Index Fund...............  NYSE Arca.
FBT....................................  First Trust NYSE Arca Biotechnology Index   NYSE Arca.
                                          Fund.
FCG....................................  First Trust ISE-Revere Natural Gas Index    NYSE Arca.
                                          Fund.
FDL....................................  First Trust Morningstar Dividend Leaders    NYSE Arca.
                                          Index.
FDN....................................  First Trust Dow Jones Internet Index Fund.  NYSE Arca.
FEM....................................  First Trust Emerging Markets AlphaDEX Fund  NYSE Arca.
FEX....................................  First Trust Large Cap Core AlphaDEX Fund..  NYSE Arca.
FEZ....................................  SPDR EURO STOXX 50 ETF....................  NYSE Arca.
FGD....................................  First Trust DJ Global Select Dividend       NYSE Arca.
                                          Index Fund.
FLOT...................................  iShares Floating Rate Note Fund...........  NYSE Arca.
FLRN...................................  SPDR Barclays Investment Grade Floating     NYSE Arca.
                                          Rate ETF.
FM.....................................  iShares MSCI Frontier 100 ETF.............  NYSE Arca.
FNX....................................  First Trust Mid Cap Core AlphaDEX Fund....  NYSE Arca.
FRI....................................  First Trust S&P REIT Index Fund...........  NYSE Arca.
FTA....................................  First Trust Large Cap Value AlphaDEX Fund.  NYSE Arca.
FVD....................................  First Trust Value Line Dividend Index Fund  NYSE Arca.
FXA....................................  CurrencyShares Australian Dollar Trust....  NYSE Arca.
FXB....................................  CurrencyShares British Pound Sterling       NYSE Arca.
                                          Trust.
FXC....................................  CurrencyShares Canadian Dollar Trust......  NYSE Arca.
FXD....................................  First Trust Consumer Discretionary          NYSE Arca.
                                          AlphaDEX Fund.
FXE....................................  CurrencyShares Euro Trust.................  NYSE Arca.
FXF....................................  CurrencyShares Swiss Franc Trust..........  NYSE Arca.
FXG....................................  First Trust Consumer Staples AlphaDEX Fund  NYSE Arca.
FXH....................................  First Trust Health Care AlphaDEX Fund.....  NYSE Arca.
FXI....................................  iShares FTSE China 25 Index Fund..........  NYSE Arca.
FXL....................................  First Trust Technology AlphaDEX Fund......  NYSE Arca.
FXO....................................  First Trust Financial AlphaDEX Fund.......  NYSE Arca.
FXY....................................  CurrencyShares Japanese Yen Trust.........  NYSE Arca.
FXZ....................................  First Trust Materials AlphaDEX Fund.......  NYSE Arca.
GCC....................................  GreenHaven Continuous Commodity Index Fund  NYSE Arca.
GDX....................................  Market Vectors Gold Miners ETF............  NYSE Arca.
GDXJ...................................  Market Vectors Junior Gold Miners ETF.....  NYSE Arca.
GII....................................  SPDR S&P Global Infrastructure ETF........  NYSE Arca.
GIY....................................  Guggenheim Enhanced Core Bond ETF.........  NYSE Arca.
GLD....................................  SPDR Gold Shares..........................  NYSE Arca.
GMF....................................  SPDR S&P Emerging Asia Pacific ETF........  NYSE Arca.
GMM....................................  SPDR S&P Emerging Markets ETF.............  NYSE Arca.
GMTB...................................  Columbia Core Bond ETF....................  NYSE Arca.
GNR....................................  SPDR S&P Global Natural Resources ETF.....  NYSE Arca.
GOVT...................................  iShares Barclays U.S. Treasury Bond Fund..  NYSE Arca.
GSG....................................  iShares S&P GSCI Commodity Indexed Trust..  NYSE Arca.
GSP....................................  iPath GSCI Total Return Index ETN.........  NYSE Arca.
GSY....................................  Guggenheim Enhanced Short Duration Bond     NYSE Arca.
                                          ETF.

[[Page 2214]]

 
GUNR...................................  FlexShares Global Upstream Natural          NYSE Arca.
                                          Resources Index Fund.
GVI....................................  iShares Barclays Intermediate Government/   NYSE Arca.
                                          Credit Bond Fund.
GWL....................................  SPDR S&P World ex-US ETF..................  NYSE Arca.
GWX....................................  SPDR S&P International Small Cap ETF......  NYSE Arca.
GXC....................................  SPDR S&P China ETF........................  NYSE Arca.
GXG....................................  Global X FTSE Colombia 20 ETF.............  NYSE Arca.
HAO....................................  Guggenheim China Small Cap ETF............  NYSE Arca.
HDGE...................................  Ranger Equity Bear ETF....................  NYSE Arca.
HDV....................................  iShares High Dividend Equity Fund.........  NYSE Arca.
HEDJ...................................  WisdomTree Europe Hedged Equity Fund......  NYSE Arca.
HUSE...................................  Huntington US Equity Rotation Strategy ETF  NYSE Arca.
HYD....................................  Market Vectors High Yield Municipal Index   NYSE Arca.
                                          ETF.
HYG....................................  iShares iBoxx $ High Yield Corporate Bond   NYSE Arca.
                                          Fund.
HYLD...................................  Peritus High Yield ETF....................  NYSE Arca.
HYMB...................................  SPDR Nuveen S&P High Yield Municipal Bond   NYSE Arca.
                                          ETF.
HYS....................................  PIMCO 0-5 Year High Yield Corporate Bond    NYSE Arca.
                                          Index Exchange-Traded Fund.
IAI....................................  iShares Dow Jones US Broker Dealers Index   NYSE Arca.
                                          Fund.
IAT....................................  iShares Dow Jones US Regional Banks Index   NYSE Arca.
                                          Fund.
IAU....................................  iShares Gold Trust........................  NYSE Arca.
IBB....................................  iShares Nasdaq Biotechnology Index Fund...  NASDAQ GM.
IBND...................................  SPDR Barclays International Corporate Bond  NYSE Arca.
                                          ETF.
ICF....................................  iShares Cohen & Steers Realty Majors Index  NYSE Arca.
                                          Fund.
IDU....................................  iShares Dow Jones US Utilities Sector       NYSE Arca.
                                          Index Fund.
IDV....................................  iShares Dow Jones International Select      NYSE Arca.
                                          Dividend Index Fund.
IDX....................................  Market Vectors Indonesia Index ETF........  NYSE Arca.
IEF....................................  iShares Barclays 7-10 Year Treasury Bond    NYSE Arca.
                                          Fund.
IEFA...................................  iShares Core MSCI EAFE ETF................  NYSE Arca.
IEI....................................  iShares Barclays 3-7 Year Treasury Bond     NYSE Arca.
                                          Fund.
IELG...................................  iShares Enhanced U.S. Large-Cap ETF.......  NYSE Arca.
IEMG...................................  iShares Core MSCI Emerging Markets ETF....  NYSE Arca.
IEO....................................  iShares Dow Jones US Oil & Gas Exploration  NYSE Arca.
                                          & Production Index Fund.
IESM...................................  iShares Enhanced U.S. Small-Cap ETF.......  NYSE Arca.
IEV....................................  iShares S&P Europe 350 Index Fund.........  NYSE Arca.
IEZ....................................  iShares Dow Jones US Oil Equipment &        NYSE Arca.
                                          Services Index Fund.
IFGL...................................  iShares FTSE EPRA/NAREIT Developed Real     NASDAQ GM.
                                          Estate ex-US Index Fund.
IGE....................................  iShares S&P North American Natural          NYSE Arca.
                                          Resources Sector Index Fund.
IGF....................................  iShares S&P Global Infrastructure Index     NYSE Arca.
                                          Fund.
IGM....................................  iShares S&P North American Technology       NYSE Arca.
                                          Sector Index Fund.
IGN....................................  iShares S&P North American Technology-      NYSE Arca.
                                          Multimedia Networking Index Fund.
IGOV...................................  iShares S&P/Citigroup International         NASDAQ GM.
                                          Treasury Bond Fund.
IGS....................................  ProShares Short Investment Grade Corporate  NYSE Arca.
IGV....................................  iShares S&P North American Technology-      NYSE Arca.
                                          Software Index Fund.
IHE....................................  iShares Dow Jones US Pharmaceuticals Index  NYSE Arca.
                                          Fund.
IHF....................................  iShares Dow Jones US Healthcare Providers   NYSE Arca.
                                          Index Fund.
IHI....................................  iShares Dow Jones US Medical Devices Index  NYSE Arca.
                                          Fund.
IHY....................................  Market Vectors International High Yield     NYSE Arca.
                                          Bond ETF.
IJH....................................  iShares Core S&P Mid-Cap ETF..............  NYSE Arca.
IJJ....................................  iShares S&P MidCap 400/BARRA Value Index    NYSE Arca.
                                          Fund.
IJK....................................  iShares S&P MidCap 400 Growth Index Fund..  NYSE Arca.
IJR....................................  iShares Core S&P Small-Cap ETF............  NYSE Arca.
IJS....................................  iShares S&P SmallCap 600 Value Index Fund.  NYSE Arca.
IJT....................................  iShares S&P SmallCap 600/BARRA Growth       NYSE Arca.
                                          Index Fund.
ILF....................................  iShares S&P Latin America 40 Index Fund...  NYSE Arca.
ILTB...................................  iShares Core Long-Term US Bond ETF........  NYSE Arca.
INDA...................................  iShares MSCI India Index Fund.............  BATS.
INDY...................................  iShares India 50 ETF......................  NASDAQ GM.
INP....................................  iPath MSCI India Index ETN................  NYSE Arca.
IOO....................................  iShares S&P Global 100 Index Fund.........  NYSE Arca.
IPE....................................  SPDR Barclays TIPS ETF....................  NYSE Arca.
ISHG...................................  iShares S&P/Citigroup 1-3 Year              NASDAQ GM.
                                          International Treasury Bond Fund.
ITB....................................  iShares Dow Jones US Home Construction      NYSE Arca.
                                          Index Fund.
ITM....................................  Market Vectors Intermediate Municipal ETF.  NYSE Arca.
ITOT...................................  iShares Core S&P Total US Stock Market ETF  NYSE Arca.
ITR....................................  SPDR Barclays Intermediate Term Corporate   NYSE Arca.
                                          Bond ETF.
IVE....................................  iShares S&P 500 Value Index Fund..........  NYSE Arca.
IVOO...................................  Vanguard S&P Mid-Cap 400 ETF..............  NYSE Arca.
IVV....................................  iShares Core S&P 500 ETF..................  NYSE Arca.
IVW....................................  iShares S&P 500 Growth Index Fund.........  NYSE Arca.
IWB....................................  iShares Russell 1000 Index Fund...........  NYSE Arca.
IWC....................................  iShares Russell Microcap Index Fund.......  NYSE Arca.
IWD....................................  iShares Russell 1000 Value Index Fund.....  NYSE Arca.
IWF....................................  iShares Russell 1000 Growth Index Fund....  NYSE Arca.
IWM....................................  iShares Russell 2000 Index Fund...........  NYSE Arca.
IWN....................................  iShares Russell 2000 Value Index Fund.....  NYSE Arca.

[[Page 2215]]

 
IWO....................................  iShares Russell 2000 Growth Index Fund....  NYSE Arca.
IWP....................................  iShares Russell Midcap Growth Index Fund..  NYSE Arca.
IWR....................................  iShares Russell Midcap Index Fund.........  NYSE Arca.
IWS....................................  iShares Russell Midcap Value Index Fund...  NYSE Arca.
IWV....................................  iShares Russell 3000 Index Fund...........  NYSE Arca.
IXC....................................  iShares S&P Global Energy Sector Index      NYSE Arca.
                                          Fund.
IXG....................................  iShares S&P Global Financials Sector Index  NYSE Arca.
                                          Fund.
IXJ....................................  iShares S&P Global Healthcare Sector Index  NYSE Arca.
                                          Fund.
IXN....................................  iShares S&P Global Technology Sector Index  NYSE Arca.
                                          Fund.
IXP....................................  iShares S&P Global Telecommunications       NYSE Arca.
                                          Sector Index Fund.
IYC....................................  iShares Dow Jones US Consumer Services      NYSE Arca.
                                          Sector Index Fund.
IYE....................................  iShares Dow Jones US Energy Sector Index    NYSE Arca.
                                          Fund.
IYF....................................  iShares Dow Jones US Financial Sector       NYSE Arca.
                                          Index Fund.
IYG....................................  iShares Dow Jones US Financial Services     NYSE Arca.
                                          Index Fund.
IYH....................................  iShares Dow Jones US Healthcare Sector      NYSE Arca.
                                          Index Fund.
IYJ....................................  iShares Dow Jones US Industrial Sector      NYSE Arca.
                                          Index Fund.
IYK....................................  iShares Dow Jones US Consumer Goods Sector  NYSE Arca.
                                          Index Fund.
IYM....................................  iShares Dow Jones US Basic Materials        NYSE Arca.
                                          Sector Index Fund.
IYR....................................  iShares Dow Jones US Real Estate Index      NYSE Arca.
                                          Fund.
IYT....................................  iShares Dow Jones Transportation Average    NYSE Arca.
                                          Index Fund.
IYW....................................  iShares Dow Jones US Technology Sector      NYSE Arca.
                                          Index Fund.
IYY....................................  iShares Dow Jones US Index Fund...........  NYSE Arca.
IYZ....................................  iShares Dow Jones US Telecommunications     NYSE Arca.
                                          Sector Index Fund.
JJC....................................  iPath Dow Jones-UBS Copper Subindex Total   NYSE Arca.
                                          Return ETN.
JJG....................................  iPath Dow Jones-UBS Grains Subindex Total   NYSE Arca.
                                          Return ETN.
JKF....................................  iShares Morningstar Large Value Index Fund  NYSE Arca.
JKL....................................  iShares Morningstar Small Value Index Fund  NYSE Arca.
JNK....................................  SPDR Barclays High Yield Bond ETF.........  NYSE Arca.
JO.....................................  iPath Dow Jones-UBS Coffee Subindex Total   NYSE Arca.
                                          Return ETN.
JXI....................................  iShares S&P Global Utilities Sector Index   NYSE Arca.
                                          Fund.
KBE....................................  SPDR S&P Bank ETF.........................  NYSE Arca.
KBWB...................................  PowerShares KBW Bank Portfolio............  NYSE Arca.
KBWD...................................  PowerShares KBW High Dividend Yield         NYSE Arca.
                                          Financial Portfolio.
KIE....................................  SPDR S&P Insurance ETF....................  NYSE Arca.
KOL....................................  Market Vectors Coal ETF...................  NYSE Arca.
KRE....................................  SPDR S&P Regional Banking ETF.............  NYSE Arca.
KXI....................................  iShares S&P Global Consumer Staples Sector  NYSE Arca.
                                          Index Fund.
LAG....................................  SPDR Barclays Aggregate Bond ETF..........  NYSE Arca.
LEMB...................................  iShares Emerging Markets Local Currency     NYSE Arca.
                                          Bond Fund.
LQD....................................  iShares iBoxx Investment Grade Corporate    NYSE Arca.
                                          Bond Fund.
LTPZ...................................  PIMCO 15+ Year U.S. TIPS Index Exchange-    NYSE Arca.
                                          Traded Fund.
LWC....................................  SPDR Barclays Long Term Corporate Bond ETF  NYSE Arca.
MBB....................................  iShares Barclays MBS Bond Fund............  NYSE Arca.
MBG....................................  SPDR Barclays Mortgage Backed Bond ETF....  NYSE Arca.
MCHI...................................  iShares MSCI China Index Fund.............  NYSE Arca.
MDIV...................................  First Trust NASDAQ US Multi-Asset           NASDAQ GM.
                                          Diversified Income Index Fun.
MDY....................................  SPDR S&P MidCap 400 ETF Trust.............  NYSE Arca.
MGC....................................  Vanguard Mega Cap ETF.....................  NYSE Arca.
MGK....................................  Vanguard Mega Cap Growth ETF..............  NYSE Arca.
MGV....................................  Vanguard Mega Cap Value ETF...............  NYSE Arca.
MINT...................................  PIMCO Enhanced Short Maturity Exchange-     NYSE Arca.
                                          Traded Fund.
MLPI...................................  ETRACS Alerian MLP Infrastructure Index     NYSE Arca.
                                          ETN.
MLPN...................................  Credit Suisse Cushing 30 MLP Index ETN....  NYSE Arca.
MOO....................................  Market Vectors Agribusiness ETF...........  NYSE Arca.
MUB....................................  iShares S&P National Municipal Bond Fund..  NYSE Arca.
MXI....................................  iShares S&P Global Materials Sector Index   NYSE Arca.
                                          Fund.
MYY....................................  ProShares Short MidCap 400................  NYSE Arca.
NKY....................................  MAXIS Nikkei 225 Index Fund ETF...........  NYSE Arca.
OEF....................................  iShares S&P 100 Index Fund................  NYSE Arca.
OIH....................................  Market Vectors Oil Service ETF............  NYSE Arca.
OIL....................................  iPath Goldman Sachs Crude Oil Total Return  NYSE Arca.
                                          Index ETN.
PALL...................................  ETFS Physical Palladium Shares............  NYSE Arca.
PBJ....................................  Powershares Dynamic Food & Beverage         NYSE Arca.
                                          Portfolio.
PBP....................................  PowerShares S&P 500 BuyWrite Portfolio....  NYSE Arca.
PBS....................................  Powershares Dynamic Media Portfolio.......  NYSE Arca.
PCEF...................................  PowerShares CEF Income Composite Portfolio  NYSE Arca.
PCY....................................  PowerShares Emerging Markets Sovereign      NYSE Arca.
                                          Debt Portfolio.
PDP....................................  Powershares DWA Technical Leaders           NYSE Arca.
                                          Portfolio.
PFF....................................  iShares S&P US Preferred Stock Index Fund.  NYSE Arca.
PGF....................................  PowerShares Financial Preferred Portfolio.  NYSE Arca.
PGX....................................  PowerShares Preferred Portfolio...........  NYSE Arca.
PHB....................................  PowerShares Fundamental High Yield          NYSE Arca.
                                          Corporate Bond Portfolio.
PHDG...................................  PS S&P Downside Hdgd......................  NYSE Arca.
PHO....................................  PowerShares Water Resources Portfolio.....  NYSE Arca.

[[Page 2216]]

 
PHYS...................................  Sprott Physical Gold Trust................  NYSE Arca.
PID....................................  PowerShares International Dividend          NYSE Arca.
                                          Achievers Portfolio.
PIE....................................  PowerShares DWA Emerging Markets Technical  NYSE Arca.
                                          Leaders Portfolio.
PIN....................................  PowerShares India Portfolio...............  NYSE Arca.
PIZ....................................  PowerShares DWA Developed Markets           NYSE Arca.
                                          Technical Leaders Portfolio.
PJP....................................  Powershares Dynamic Pharmaceuticals         NYSE Arca.
                                          Portfolio.
PKW....................................  PowerShares Buyback Achievers Portfolio...  NYSE Arca.
PPH....................................  Market Vectors Pharmaceutical ETF.........  NYSE Arca.
PPLT...................................  ETFS Platinum Trust.......................  NYSE Arca.
PRF....................................  Powershares FTSE RAFI US 1000 Portfolio...  NYSE Arca.
PRFZ...................................  PowerShares FTSE RAFI US 1500 Small-Mid     NASDAQ GM.
                                          Portfolio.
PSK....................................  SPDR Wells Fargo Preferred Stock ETF......  NYSE Arca.
PSLV...................................  Sprott Physical Silver Trust..............  NYSE Arca.
PSP....................................  PowerShares Global Listed Private Equity    NYSE Arca.
                                          Portfolio.
PSQ....................................  ProShares Short QQQ.......................  NYSE Arca.
PWV....................................  PowerShares Dynamic Large Cap Value         NYSE Arca.
                                          Portfolio.
PXF....................................  PowerShares FTSE RAFI Developed Markets ex- NYSE Arca.
                                          U.S. Portfolio.
PXH....................................  PowerShares FTSE RAFI Emerging Markets      NYSE Arca.
                                          Portfolio.
PZA....................................  PowerShares Insured National Municipal      NYSE Arca.
                                          Bond Portfolio.
QAI....................................  IndexIQ ETF Trust--IQ Hedge Multi-Strategy  NYSE Arca.
                                          Tracker ETF.
QQQ....................................  Powershares QQQ Trust Series 1............  NASDAQ GM.
REM....................................  iShares FTSE NAREIT Mortgage Plus Capped    NYSE Arca.
                                          Index Fund.
REZ....................................  iShares FTSE NAREIT Residential Plus        NYSE Arca.
                                          Capped Index Fund.
RFG....................................  Guggenheim S&P Midcap 400 Pure Growth ETF.  NYSE Arca.
RJA....................................  ELEMENTS Linked to the Rogers               NYSE Arca.
                                          International Commodity Index--Agri Tot
                                          Return.
RJI....................................  ELEMENTS Linked to the Rogers               NYSE Arca.
                                          International Commodity Index--Total
                                          Return.
RPG....................................  Guggenheim S&P 500 Pure Growth ETF........  NYSE Arca.
RPV....................................  Guggenheim S&P 500 Pure Value ETF.........  NYSE Arca.
RSP....................................  Guggenheim S&P 500 Equal Weight ETF.......  NYSE Arca.
RSX....................................  Market Vectors Russia ETF.................  NYSE Arca.
RTH....................................  Market Vectors Retail ETF.................  NYSE Arca.
RWM....................................  ProShares Short Russell2000...............  NYSE Arca.
RWO....................................  SPDR Dow Jones Global Real Estate ETF.....  NYSE Arca.
RWR....................................  SPDR Dow Jones REIT ETF...................  NYSE Arca.
RWX....................................  SPDR Dow Jones International Real Estate    NYSE Arca.
                                          ETF.
RXI....................................  iShares S&P Global Consumer Discretionary   NYSE Arca.
                                          Sector Index Fund.
SAGG...................................  Direxion Daily Total Bond Market Bear 1x    NYSE Arca.
                                          Shares.
SBB....................................  ProShares Short SmallCap600...............  NYSE Arca.
SCHA...................................  Schwab US Small-Cap ETF...................  NYSE Arca.
SCHB...................................  Schwab US Broad Market ETF................  NYSE Arca.
SCHD...................................  Schwab US Dividend Equity ETF.............  NYSE Arca.
SCHE...................................  Schwab Emerging Markets Equity ETF........  NYSE Arca.
SCHF...................................  Schwab International Equity ETF...........  NYSE Arca.
SCHG...................................  Schwab U.S. Large-Cap Growth ETF..........  NYSE Arca.
SCHH...................................  Schwab U.S. REIT ETF......................  NYSE Arca.
SCHM...................................  Schwab U.S. Mid-Cap ETF...................  NYSE Arca.
SCHO...................................  Schwab Short-Term U.S. Treasury ETF.......  NYSE Arca.
SCHP...................................  Schwab U.S. TIPs ETF......................  NYSE Arca.
SCHR...................................  Schwab Intermediate-Term U.S. Treasury ETF  NYSE Arca.
SCHV...................................  Schwab U.S. Large-Cap Value ETF...........  NYSE Arca.
SCHX...................................  Schwab US Large-Cap ETF...................  NYSE Arca.
SCHZ...................................  Schwab U.S. Aggregate Bond ETF............  NYSE Arca.
SCIF...................................  Market Vectors India Small-Cap Index ETF..  NYSE Arca.
SCPB...................................  SPDR Barclays Short Term Corporate Bond     NYSE Arca.
                                          ETF.
SCZ....................................  iShares MSCI EAFE Small Cap Index Fund....  NYSE Arca.
SDIV...................................  Global X SuperDividend ETF................  NYSE Arca.
SDY....................................  SPDR S&P Dividend ETF.....................  NYSE Arca.
SGOL...................................  ETFS Gold Trust...........................  NYSE Arca.
SH.....................................  ProShares Short S&P500....................  NYSE Arca.
SHM....................................  SPDR Nuveen Barclays Short Term Municipal   NYSE Arca.
                                          Bond ETF.
SHV....................................  iShares Barclays Short Treasury Bond Fund.  NYSE Arca.
SHY....................................  iShares Barclays 1-3 Year Treasury Bond     NYSE Arca.
                                          Fund.
SIL....................................  Global X Silver Miners ETF................  NYSE Arca.
SIVR...................................  ETFS Physical Silver Shares...............  NYSE Arca.
SJB....................................  ProShares Short High Yield................  NYSE Arca.
SJNK...................................  SPDR Barclays Short Term High Yield Bond    NYSE Arca.
                                          ETF.
SLV....................................  iShares Silver Trust......................  NYSE Arca.
SLX....................................  Market Vectors Steel Index Fund...........  NYSE Arca.
SLY....................................  SPDR S&P 600 Small CapETF.................  NYSE Arca.
SMH....................................  Market Vectors Semiconductor ETF..........  NYSE Arca.
SNLN...................................  Highland/iBoxx Senior Loan ETF............  NYSE Arca.
SOXX...................................  iShares PHLX SOX Semiconductor Sector       NASDAQ GM.
                                          Index Fund.
SPHB...................................  PowerShares S&P 500 High Beta Port ETF....  NYSE Arca.
SPHD...................................  PowerShares S&P 500 High Dividend           NYSE Arca.
                                          Portfolio.

[[Page 2217]]

 
SPLV...................................  PowerShares S&P 500 Low Volatility          NYSE Arca.
                                          Portfolio.
SPPP...................................  Sprott Physical Platinum & Palladium Trust  NYSE Arca.
SPY....................................  SPDR S&P 500 ETF Trust....................  NYSE Arca.
SPYG...................................  SPDR S&P 500 Growth ETF...................  NYSE Arca.
SPYV...................................  SPDR S&P 500 Value ETF....................  NYSE Arca.
SRLN...................................  SPDR Blackstone/GSO Senior Loan ETF.......  NYSE Arca.
STIP...................................  iShares Barclays 0-5 Year TIPS Bond Fund..  NYSE Arca.
STPZ...................................  PIMCO 1-5 Year U.S. TIPS Index Exchange-    NYSE Arca.
                                          Traded Fund.
SUB....................................  iShares S&P Short Term National AMT-Free    NYSE Arca.
                                          Municipal Bond Fund.
SVXY...................................  ProShares Short VIX Short-Term Futures ETF  NYSE Arca.
SYLD...................................  Cambria Shareholder Yield ETF.............  NYSE Arca.
TAN....................................  Guggenheim Solar ETF......................  NYSE Arca.
TAO....................................  Guggenheim China Real Estate ETF..........  NYSE Arca.
TBF....................................  ProShares Short 20+ Year Treasury.........  NYSE Arca.
TBX....................................  ProShares Short 7-10 Treasury.............  NYSE Arca.
TDTT...................................  FlexShares iBoxx 3-Year Target Duration     NYSE Arca.
                                          TIPS Index Fund.
TFI....................................  SPDR Nuveen Barclays Municipal Bond ETF...  NYSE Arca.
THD....................................  iShares MSCI Thailand Capped Investable     NYSE Arca.
                                          Market Index Fund.
TIP....................................  iShares Barclays TIPS Bond Fund...........  NYSE Arca.
TLH....................................  iShares Barclays 10-20 Year Treasury Bond   NYSE Arca.
                                          Fund.
TLT....................................  iShares Barclays 20+ Year Treasury Bond     NYSE Arca.
                                          Fund.
TUR....................................  iShares MSCI Turkey Index Fund............  NYSE Arca.
UNG....................................  United States Natural Gas Fund LP.........  NYSE Arca.
USCI...................................  United States Commodity Index Fund........  NYSE Arca.
USMV...................................  iShares MSCI USA Minimum Volatility Index   NYSE Arca.
                                          Fund.
USO....................................  United States Oil Fund LP.................  NYSE Arca.
UUP....................................  PowerShares DB US Dollar Index Bullish      NYSE Arca.
                                          Fund.
VAW....................................  Vanguard Materials ETF....................  NYSE Arca.
VB.....................................  Vanguard Small-Cap ETF....................  NYSE Arca.
VBK....................................  Vanguard Small-Cap Growth ETF.............  NYSE Arca.
VBR....................................  Vanguard Small-Cap Value ETF..............  NYSE Arca.
VCIT...................................  Vanguard Intermediate-Term Corporate Bond   NASDAQ GM.
                                          ETF.
VCLT...................................  Vanguard Long-Term Corporate Bond ETF.....  NASDAQ GM.
VCR....................................  Vanguard Consumer Discretionary ETF.......  NYSE Arca.
VCSH...................................  Vanguard Short-Term Corporate Bond ETF....  NASDAQ GM.
VDC....................................  Vanguard Consumer Staples ETF.............  NYSE Arca.
VDE....................................  Vanguard Energy ETF.......................  NYSE Arca.
VEA....................................  Vanguard FTSE Developed Markets ETF.......  NYSE Arca.
VEU....................................  Vanguard FTSE All-World ex-US ETF.........  NYSE Arca.
VFH....................................  Vanguard Financials ETF...................  NYSE Arca.
VGIT...................................  Vanguard Intermediate-Term Government Bond  NASDAQ GM.
                                          ETF.
VGK....................................  Vanguard FTSE Europe ETF..................  NYSE Arca.
VGLT...................................  Vanguard Long-Term Government Bond ETF....  NASDAQ GM.
VGSH...................................  Vanguard Short-Term Government Bond ETF...  NASDAQ GM.
VGT....................................  Vanguard Information Technology ETF.......  NYSE Arca.
VHT....................................  Vanguard Health Care ETF..................  NYSE Arca.
VIG....................................  Vanguard Dividend Appreciation ETF........  NYSE Arca.
VIIX...................................  VelocityShares VIX Short Term ETN.........  NYSE Arca.
VIIZ...................................  VelocityShares VIX Medium Term ETN........  NYSE Arca.
VIOO...................................  Vanguard S&P Small-Cap 600 ETF............  NYSE Arca.
VIS....................................  Vanguard Industrials ETF..................  NYSE Arca.
VIXM...................................  ProShares VIX Mid-Term Futures ETF........  NYSE Arca.
VIXY...................................  ProShares VIX Short-Term Futures ETF......  NYSE Arca.
VMBS...................................  Vanguard Mortgage-Backed Securities ETF...  NASDAQ GM.
VNM....................................  Market Vectors Vietnam ETF................  NYSE Arca.
VNQ....................................  Vanguard REIT ETF.........................  NYSE Arca.
VNQI...................................  Vanguard Global ex-U.S. Real Estate ETF...  NASDAQ GM.
VO.....................................  Vanguard Mid-Cap ETF......................  NYSE Arca.
VOE....................................  Vanguard Mid-Cap Value ETF................  NYSE Arca.
VONE...................................  Vanguard Russell 1000.....................  NASDAQ GM.
VONG...................................  Vanguard Russell 1000 Growth ETF..........  NASDAQ GM.
VONV...................................  Vanguard Russell 1000 Value...............  NASDAQ GM.
VOO....................................  Vanguard S&P 500 ETF......................  NYSE Arca.
VOOG...................................  Vanguard S&P 500 Growth ETF...............  NYSE Arca.
VOOV...................................  Vanguard S&P 500 Value ETF................  NYSE Arca.
VOT....................................  Vanguard Mid-Cap Growth ETF...............  NYSE Arca.
VOX....................................  Vanguard Telecommunication Services ETF...  NYSE Arca.
VPL....................................  Vanguard FTSE Pacific ETF.................  NYSE Arca.
VPU....................................  Vanguard Utilities ETF....................  NYSE Arca.
VQT....................................  Barclays ETN+ ETNs Linked to the S&P 500    NYSE Arca.
                                          Dynamic VEQTORTM TotaL Return Index.
VSS....................................  Vanguard FTSE All World ex-US Small-Cap     NYSE Arca.
                                          ETF.
VT.....................................  Vanguard Total World Stock ETF............  NYSE Arca.
VTHR...................................  Vanguard Russell 3000.....................  NASDAQ GM.
VTI....................................  Vanguard Total Stock Market ETF...........  NYSE Arca.

[[Page 2218]]

 
VTIP...................................  Vanguard Short-Term Inflation-Protected     NASDAQ GM.
                                          Securities ETF.
VTV....................................  Vanguard Value ETF........................  NYSE Arca.
VTWG...................................  Vanguard Russell 2000 Growth..............  NASDAQ GM.
VTWO...................................  Vanguard Russell 2000.....................  NASDAQ GM.
VTWV...................................  Vanguard Russell 2000 Value...............  NASDAQ GM.
VUG....................................  Vanguard Growth ETF.......................  NYSE Arca.
VV.....................................  Vanguard Large-Cap ETF....................  NYSE Arca.
VWO....................................  Vanguard FTSE Emerging Markets ETF........  NYSE Arca.
VWOB...................................  Vanguard Emerging Markets Government Bond   NASDAQ GM.
                                          ETF.
VXF....................................  Vanguard Extended Market ETF..............  NYSE Arca.
VXUS...................................  Vanguard Total International Stock ETF....  NASDAQ GM.
VXX....................................  iPATH S&P 500 VIX Short-Term Futures ETN..  NYSE Arca.
VXZ....................................  iPATH S&P 500 VIX Mid-Term Futures ETN....  NYSE Arca.
VYM....................................  Vanguard High Dividend Yield ETF..........  NYSE Arca.
WIP....................................  SPDR DB International Government Inflation- NYSE Arca.
                                          Protected Bond ETF.
WOOD...................................  iShares S&P Global Timber & Forestry Index  NASDAQ GM.
                                          Fund.
XBI....................................  SPDR S&P Biotech ETF......................  NYSE Arca.
XES....................................  SPDR S&P Oil & Gas Equipment & Services     NYSE Arca.
                                          ETF.
XHB....................................  SPDR S&P Homebuilders ETF.................  NYSE Arca.
XIV....................................  VelocityShares Daily Inverse VIX Short      NYSE Arca.
                                          Term ETN.
XLB....................................  Materials Select Sector SPDR Fund.........  NYSE Arca.
XLE....................................  Energy Select Sector SPDR Fund............  NYSE Arca.
XLF....................................  Financial Select Sector SPDR Fund.........  NYSE Arca.
XLG....................................  Guggenheim Russell Top 50 Mega Cap ETF....  NYSE Arca.
XLI....................................  Industrial Select Sector SPDR Fund........  NYSE Arca.
XLK....................................  Technology Select Sector SPDR Fund........  NYSE Arca.
XLP....................................  Consumer Staples Select Sector SPDR Fund..  NYSE Arca.
XLU....................................  Utilities Select Sector SPDR Fund.........  NYSE Arca.
XLV....................................  Health Care Select Sector SPDR Fund.......  NYSE Arca.
XLY....................................  Consumer Discretionary Select Sector SPDR   NYSE Arca.
                                          Fund.
XME....................................  SPDR S&P Metals & Mining ETF..............  NYSE Arca.
XOP....................................  SPDR S&P Oil & Gas Exploration &            NYSE Arca.
                                          Production ETF.
XPH....................................  SPDR S&P Pharmaceuticals ETF..............  NYSE Arca.
XRT....................................  SPDR S&P Retail ETF.......................  NYSE Arca.
XSD....................................  SPDR S&P Semiconductor ETF................  NYSE Arca.
XVZ....................................  iPath S&P 500 Dynamic VIX ETN.............  NYSE Arca.
YMLP...................................  Yorkville High Income MLP.................  NYSE Arca.
ZIV....................................  VelocityShares Daily Inverse VIX Medium     NYSE Arca.
                                          Term ETN.
ZROZ...................................  PIMCO 25+ Year Zero Coupon U.S. Treasury    NYSE Arca.
                                          Index Exchange-Traded Fund.
----------------------------------------------------------------------------------------------------------------

Appendix B--Data

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

I. Summary Statistics

    A. Frequency with which NMS Stocks enter a Limit State. Such 
summary data shall be broken down as follows:

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

    B. Determine (1), (2) and (3) for when a Trading Pause has been 
declared for an NMS Stock pursuant to the Plan.

II. Raw Data (All Participants, Except A-E, Which Are for the Primary 
Listing Exchanges Only)

    A. Record of every Straddle State.

1. Ticker, date, time entered, time exited, flag for ending with Limit 
State, flag for ending with manual override.
2. Pipe delimited with field names as first record.

    B. Record of every Price Band.

1. Ticker, date, time at beginning of Price Band, Upper Price Band, 
Lower Price Band.
2. Pipe delimited with field names as first record

    C. Record of every Limit State.

1. Ticker, date, time entered, time exited, flag for halt
2. Pipe delimited with field names as first record

    D. Record of every Trading Pause or halt.

1. Ticker, date, time entered, time exited, type of halt (i.e., 
regulatory halt, non-regulatory halt, Trading Pause pursuant to the 
Plan, other)

[[Page 2219]]

2. Pipe delimited with field names as first record

    E. Data set or orders entered into reopening auctions during halts 
or Trading Pauses.

1. Arrivals, Changes, Cancels,  shares, limit/market, side, 
Limit State side
2. Pipe delimited with field name as first record

    F. Data set of order events received during Limit States.
    G. Summary data on order flow of arrivals and cancellations for 
each 15-second period for discrete time periods and sample stocks to be 
determined by the SEC in subsequent data requests. Must indicate 
side(s) of Limit State.

1. Market/marketable sell orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
2. Market/marketable buy orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
3. Count arriving, volume arriving and shares executing in limit sell 
orders above NBBO mid-point
4. Count arriving, volume arriving and shares executing in limit sell 
orders at or below NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy 
orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy 
orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above 
NBBO mid-point plus $0.05
8. Count and volume arriving of limit buy orders priced at or below 
NBBO mid-point minus $0.05
9. Count and volume of (3-8) for cancels
10. Include: ticker, date, time at start, time of Limit State, all data 
item fields in 1, last sale prior to 15-second period (null if no 
trades today), range during 15-second period, last trade during 15-
second period

III. At Least Two Months Prior to the End of the Pilot Period, All 
Participants Shall Provide to the SEC Assessments Relating to the 
Impact of the Plan and Calibration of the Percentage Parameters as 
Follows

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

[FR Doc. 2014-00346 Filed 1-10-14; 8:45 am]
BILLING CODE 8011-01-P