[Federal Register Volume 82, Number 189 (Monday, October 2, 2017)]
[Notices]
[Pages 45922-45937]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-20974]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-81720; File No. 4-631]


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

September 26, 2017.

I. Introduction

    On August 31, 2017, NYSE Group, Inc., on behalf of the following 
parties to the National Market System Plan to Address Extraordinary 
Market Volatility (``the Plan''): \1\ Bats BZX Exchange, Inc., Bats BYX 
Exchange, Inc., Bats EDGA Exchange, Inc., Bats EDGX Exchange, Inc., 
Chicago Stock Exchange, Inc., the Financial Industry Regulatory 
Authority, Inc. (``FINRA''), Investors Exchange LLC, NASDAQ BX, Inc., 
NASDAQ PHLX LLC, The NASDAQ Stock Market LLC (``Nasdaq''), New York 
Stock Exchange LLC (``NYSE''), NYSE Arca, Inc., NYSE American LLC, and 
NYSE National Inc. (collectively, the ``Participants'') filed with the 
Securities and Exchange Commission (``Commission'') pursuant to Section 
11A(a)(3) of the Securities Exchange Act of 1934 (``Exchange Act'') \2\ 
and Rule 608 thereunder,\3\ a proposal to amend the Plan (``Fifteenth 
Amendment'').\4\ The proposal reflects changes unanimously approved by 
the Participants. The Fifteenth Amendment proposes to extend the 
implementation date for the twelfth amendment to the Plan (``Twelfth 
Amendment'') and related changes from the thirteenth amendment to the 
Plan (``Amendment 13 Changes'') set out in the fourteenth amendment to 
the Plan (``Fourteenth Amendment''), as discussed below.\5\ The 
Participants are filing the Fifteenth Amendment for immediate 
effectiveness pursuant to

[[Page 45923]]

Rule 608(b)(3)(iii) of Regulation NMS (``Rule 608'') under the Exchange 
Act.\6\ The Commission is publishing this notice to solicit comments 
from interested persons.\7\
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    \1\ On May 31, 2012, the Commission approved the Plan, as 
modified by Amendment No. 1. See Securities Exchange Act Release No. 
67091, 77 FR 33498 (June 6, 2012) (File No. 4-631). On February 20, 
2013, the Commission noticed for immediate effectiveness the Second 
Amendment to the Plan. See Securities Exchange Act Release No. 
68953, 78 FR 13113 (February 26, 2013). On April 3, 2013, the 
Commission approved the Third Amendment to the Plan. See Securities 
Exchange Act Release No. 69287, 78 FR 21483 (April 10, 2013). On 
August 27, 2013, the Commission noticed for immediate effectiveness 
the Fourth Amendment to the Plan. See Securities Exchange Act 
Release No. 70273, 78 FR 54321 (September 3, 2013). On September 26, 
2013, the Commission approved the Fifth Amendment to the Plan. See 
Securities Exchange Act Release No. 70530, 78 FR 60937 (October 2, 
2013). On January 7, 2014, the Commission noticed for immediate 
effectiveness the Sixth Amendment to the Plan. See Securities 
Exchange Act Release No. 71247, 79 FR 2204 (January 13, 2014). On 
April 3, 2014, the Commission approved the Seventh Amendment to the 
Plan. See Securities Exchange Act Release No. 71851, 79 FR 19687 
(April 9, 2014). On February 19, 2015, the Commission approved the 
Eight Amendment to the Plan. See Securities Exchange Act Release No. 
74323, 80 FR 10169 (February 25, 2015). On October 22, 2015, the 
Commission approved the Ninth Amendment to the Plan. See Securities 
Exchange Act Release No. 76244, 80 FR 66099 (October 28, 2015). On 
April 21, 2016, the Commission approved the Tenth Amendment to the 
Plan. See Securities Exchange Act Release No. 77679, 81 FR 24908 
(April 27, 2016). On August 26, 2016, the Commission noticed for 
immediate effectiveness the Eleventh Amendment to the Plan. See 
Securities Exchange Act Release No. 78703, 81 FR 60397 (September 1, 
2016). On January 19, 2017, the Commission approved the Twelfth 
Amendment to the Plan. See Securities Exchange Act Release No. 
79845, 82 FR 8551 (January 26, 2017). On April 13, 2017, the 
Commission approved the Thirteenth Amendment to the Plan. See 
Securities Exchange Act Release No. 80455, 82 FR 18519 (April 19, 
2017). On April 28, 2017, the Commission noticed for immediate 
effectiveness the Fourteenth Amendment to the Plan. See Securities 
Exchange Act Release No. 80549, 82 FR 20928 (May 4, 2017).
    \2\ 15 U.S.C 78k-1(a)(3).
    \3\ 17 CFR 242.608.
    \4\ See Letter from Elizabeth King, General Counsel and 
Corporate Secretary, NYSE, to Brent Fields, Secretary, Commission, 
dated August 30, 2017 (``Transmittal Letter'').
    \5\ The Participants also propose a non-substantive amendment to 
the Plan text to reflect the name change of NYSE MKT LLC to NYSE 
American LLC. See Securities Exchange Act Release No. Securities 
Exchange Act Release No. 80283 (March 21, 2017), 82 FR 15244 (March 
27, 2017) (SR-NYSEMKT-2017-14).
    \6\ 17 CFR 242.608(b)(3)(iii).
    \7\ 17 CFR 242.608(b)(1).
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II. Description of the Plan

    Set forth in this Section II is the statement of the purpose and 
summary of the Fourteenth Amendment, along with the information 
required by Rule 608(a)(4) and (5) under the Exchange Act,\8\ prepared 
and submitted by the Participants to the Commission.\9\
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    \8\ See 17 CFR 242.608(a)(4) and (a)(5).
    \9\ See Transmittal Letter, supra note 4.
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A. Statement of Purpose and Summary of the Plan Amendment

    The Participants filed the Plan on April 5, 2011, to create a 
market-wide limit up-limit down mechanism intended to address 
extraordinary market volatility in NMS Stocks, as defined in Rule 
600(b)(47) of Regulation NMS under the Exchange Act. The Plan sets 
forth procedures that provide for market-wide limit up-limit down 
requirements that would 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,\10\ as defined in 
Section I(Y) of the Plan, to accommodate more fundamental price moves. 
In particular, the Participants adopted this Plan to address the type 
of sudden price movements that the market experienced on the afternoon 
of May 6, 2010.
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    \10\ Unless otherwise specified, the terms used herein have the 
same meaning as set forth in the Plan.
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    As set forth in more detail in the Plan, all trading centers in NMS 
Stocks, including both those operated by Participants and those 
operated by members of Participants, shall establish, maintain, and 
enforce written policies and procedures that are reasonably designed to 
comply with the limit up-limit down requirements specified in the Plan. 
More specifically, the Processor responsible for consolidation of 
information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS 
under the Exchange Act will be responsible for calculating and 
disseminating a lower price band and upper price band, as provided for 
in Section V of the Plan. Section VI of the Plan sets forth the limit 
up-limit down requirements of the Plan, and in particular, that all 
trading centers in NMS Stocks, including both those operated by 
Participants and those operated by members of Participants, shall 
establish, maintain, and enforce written policies and procedures that 
are reasonably designed to prevent trades at prices that are below the 
lower price band or above the upper price band for an NMS Stock, 
consistent with the Plan.
    The changes approved by the Commission in the twelfth amendment to 
the Plan provide that a Trading Pause will continue until the Primary 
Listing Exchange has reopened trading using its established reopening 
procedures, and to require that trading centers not resume trading in 
an NMS Stock following a Trading Pause without Price Bands for such NMS 
Stock. In the Statement of Purpose filed with the twelfth amendment, 
the Participants stated that the changes described in the twelfth 
amendment would be implemented no later than six months after approval 
of that amendment. Based on the fourteenth amendment to the Plan, the 
twelfth amendment must be implemented no later than the end of the 
third quarter of 2017.
    Because the SIP technology changes necessary to implement the 
twelfth amendment to the Plan and the Amendment 13 Changes will not be 
ready by September 30, 2017, the Participants are filing this proposal 
to change the implementation date for the changes to the Plan set forth 
in the twelfth amendment and the Amendment 13 Changes to no later than 
November 30, 2017. Specifically, the CQS and CTA SIPs are in the 
process of upgrading to binary message type formats over their 
multicast channels and the changes described in the twelfth and 
thirteenth amendments to the Plan are scheduled to be implemented 
together with these upgrades. SIAC has announced revised implementation 
dates for the implementation of the CQS and CTA new binary formats, 
which impacts the implementation dates for SIAC's implementation of the 
twelfth amendment to the Plan and the Amendment 13 Changes.\11\
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    \11\ See Updated CQS and CTS Multicast Output Binary Formats: 
Testing and Implementation Schedule Update 7, available here: 
https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/CTS_CQS%20New%20Binary%20Formats_Update_v7_06262017.pdf.
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    Because of a dependency on certain SIP technology changes, certain 
Primary Listing Exchanges will not be ready to implement the changes to 
their automated reopening processes following a Trading Pause, which 
were made pursuant to exchange rule filings in conjunction with the 
twelfth amendment to the Plan, by September 30, 2017. To provide for a 
standardized approach that would allow for extensions of a Trading 
Pause by the Primary Listing Exchange if equilibrium cannot be met to 
establish a Reopening Price within specified parameters (``automated 
reopening changes''), the Primary Listing Exchanges amended their rules 
for automated reopenings.\12\ The Primary Listing Exchanges anticipate 
implementing the automated reopening changes commensurate with 
implementation of the twelfth amendment to the Plan and the Amendment 
13 Changes.\13\
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    \12\ See Securities Exchange Act Release Nos. 79846 (January 19, 
2017), 82 FR 8548 (January 26, 2017) (SR-NYSEArca-2016-130) 
(Approval Order); 79884 (January 26, 2017), 82 FR 8968 (February 1, 
2017) (SR-BatsBZX-2016-61) (Approval Order); 79876 (January 25, 
2017), 82 FR 8888 (January 31, 2017) (SR-Nasdaq-2016-131) (Approval 
Order).
    \13\ In other words, the Participants expect that both the 
changes pursuant to the twelfth amendment and the Primary Listing 
Exchange automated reopening changes would become operative at the 
same time.
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    Accordingly, both to provide time to support the technology changes 
for the twelfth amendment to the Plan and to align the implementation 
date of the twelfth amendment and the
    Amendment 13 Changes with the implementation timeline for the 
automated reopening changes by the Primary Listing Exchanges, the 
Participants propose to change the implementation date for the changes 
in the twelfth amendment to the Plan and the Amendment 13 Changes to no 
later than November 30, 2017. This proposed change does not require any 
changes to the text of the Plan.
    The Participants believe that the proposed modification to the 
implementation schedule is technical and ministerial in nature because 
it simply extends the implementation period for the twelfth amendment 
to the Plan and does not change any substantive elements of the 
Plan.\14\ The Participants believe that the proposal to extend the 
implementation schedule is consistent with the goal of the twelfth 
amendment to the Plan, which is to reduce the potential for sequential 
Trading Pauses in an NMS Stock by centralizing the reopening process 
through the Primary Listing Exchanges, because it would align the 
implementation schedule for the twelfth amendment to the Plan with the 
implementation schedule for the automated reopening changes. The 
proposed amendment would therefore protect investors and the public 
interest

[[Page 45924]]

and is appropriate to the maintenance of fair and orderly markets.
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    \14\ See, e.g., Securities Exchange Act Release Nos. 70273 
(amending Section VIII.B of the Plan to establish a new 
implementation schedule for Phase II of the Plan) and 71247 
(amending Section VIII.B of the Plan to establish a new 
implementation schedule for Phase II of the Plan), supra note 1.
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B. Governing or Constituent Documents

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

C. Implementation of Plan

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

D. Development and Implementation Phases

    The Plan was initially implemented as a one-year pilot program in 
two Phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation began on April 8, 2013 and was completed on May 3, 2013. 
Implementation of Phase II of the Plan began on August 5, 2013 and was 
completed on February 24, 2014. The tenth amendment to the Plan was 
implemented on July 18, 2016. Pursuant to the proposed thirteenth 
amendment to the Plan, the Participants propose [sic] to extend the 
pilot period until April 16, 2018.\15\ Currently, the Participants must 
implement the twelfth amendment to the Plan to no later than the end of 
the third quarter of 2017. Pursuant to this proposed amendment, the 
Participants propose to extend the time frame to implement the twelfth 
amendment to the Plan and the Amendment 13 Changes to no later than 
November 30, 2017.
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    \15\ See Securities Exchange Act Release No. 80455 (order 
approving the thirteenth amendment to the Plan), supra note 1.
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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 
Exchange Act. The Participants do not believe that the proposed Plan 
introduces terms that are unreasonably discriminatory for the purposes 
of Section 11A(c)(1)(D) of the Exchange Act.

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

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

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

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

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

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.

K. Dispute Resolution

    Section III(C) of the Plan provides that each Participant shall 
designate an individual to represent the Participant as a member of an 
Operating Committee. No later than the initial date of the Plan, the 
Operating Committee shall designate one member of the Operating 
Committee to act as the Chair of the Operating Committee. Any 
recommendation for an amendment to the Plan from the Operating 
Committee that receives an affirmative vote of at least two-thirds of 
the Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608.
    On July 19, 2017, the Operating Committee, duly constituted and 
chaired by Mr. Robert Books of Bats, met and voted unanimously to amend 
the Plan as set forth herein in accordance with Section III(C) of the 
Plan. The Plan Advisory Committee was notified in connection with the 
Fifteenth Amendment and was in favor.

III. Solicitation of Comments

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

Electronic Comments

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

Paper Comments

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

All submissions should refer to File Number 4-631.This file number 
should be included on the subject line if e-mail 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 proposed plan amendment that are filed 
with the Commission, and all written communications relating to the 
amendment between the Commission and any person, other than those that 
may be withheld from the public in accordance with the provisions of 5 
U.S.C. 552, will be available for Web site viewing and printing in the 
Commission's Public Reference Room, 100 F Street NE., Washington, DC 
20549, on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of such filing also will be available for inspection 
and copying at the Participants' 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 
October 23, 2017.

    By the Commission.
Brent J. Fields,
Secretary.

ATTACHMENT A

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

[[Page 45925]]

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
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                            Section                                Page
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Preamble.......................................................        1
I. Definitions.................................................        2
II. Parties....................................................        4
III. Amendments to Plan........................................        7
IV. Trading Center Policies and Procedures.....................        8
V. Price Bands.................................................        8
VI. Limit Up--Limit Down Requirements..........................       11
VII. Trading Pauses............................................       13
VIII. Implementation...........................................       15
IX. Withdrawal from Plan.......................................       16
X. Counterparts and Signatures.................................       16
Appendix A--Percentage Parameters..............................       18
Appendix A--Schedule 1.........................................       20
Appendix B--Data...............................................       35
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Preamble

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

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an 
NMS Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, 
as amended.
    (C) ``Limit State'' shall have the meaning provided in Section 
VI of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in 
Section V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national 
market system plans through which the Participants act jointly to 
disseminate consolidated information in compliance with Rule 603(b) 
of Regulation NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange. If the Primary 
Listing Exchange opens with quotations, the ``Opening Price'' shall 
mean the closing price of the NMS Stock on the Primary Listing 
Exchange on the previous trading day, or if no such closing price 
exists, the last sale on the Primary Listing Exchange.
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V 
of the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been 
listed the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor 
responsible for the consolidation of information for an NMS Stock 
pursuant to Rule 603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning 
provided in Section V(A)(2) of the Plan.
    (R) ``Reference Price'' shall have the meaning provided in 
Section V of the Plan.
    (S) ``Regular Trading Hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For 
purposes of the Plan, Regular Trading Hours can end earlier than 
4:00 p.m. ET in the case of an early scheduled close.
    (T) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (U) ``Reopening Price'' shall mean the price of a transaction 
that reopens trading on the Primary Listing Exchange following a 
Trading Pause or a Regulatory Halt, or, if the Primary Listing 
Exchange reopens with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in 
Section VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in 
Section V of the Plan.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:
(1) Bats BZX Exchange, Inc.
    8050 Marshall Drive
    Lenexa, Kansas 66214
(2) Bats BYX Exchange, Inc.
    8050 Marshall Drive
    Lenexa, Kansas 66214
(3) Bats EDGA Exchange, Inc.
    8050 Marshall Drive
    Lenexa, Kansas 66214
(4) Bats EDGX Exchange, Inc.
    8050 Marshall Drive
    Lenexa, Kansas 66214
(5) Chicago Stock Exchange, Inc.
    440 South LaSalle Street
    Chicago, Illinois 60605
(6) Financial Industry Regulatory Authority, Inc.
    1735 K Street, NW
    Washington, DC 20006
(7) Investors Exchange LLC
    4 World Trade Center, 44th Floor
    New York, New York 10007
(8) NASDAQ BX, Inc.
    One Liberty Plaza
    New York, New York 10006
(9) NASDAQ PHLX LLC
    1900 Market Street
    Philadelphia, Pennsylvania 19103
(10) The Nasdaq Stock Market LLC
    1 Liberty Plaza
    165 Broadway
    New York, NY 10006
(11) NYSE National, Inc.
    11 Wall Street
    New York, NY 10005
(12) New York Stock Exchange LLC
    11 Wall Street
    New York, New York 10005
(13) NYSE [MKT]American LLC
    11 Wall Street
    New York, New York 10005
(14) NYSE Arca, Inc.
    11 Wall Street
    New York, New York 10005

(B) Compliance Undertaking

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

(C) New Participants

    The Participants agree that any entity registered as a national 
securities exchange or national securities association under the 
Exchange Act may become a Participant by: (1) becoming a participant 
in the applicable Market Data Plans; (2) executing a copy of the 
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:

[[Page 45926]]

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

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

(C) Operating Committee

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

IV. Trading Center Policies and Procedures

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

V. Price Bands

(A) Calculation and Dissemination of Price Bands

    (1) The Processor for each NMS stock shall calculate and 
disseminate to the public a Lower Price Band and an Upper Price Band 
during Regular Trading Hours for such NMS 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 the Processor has not yet 
disseminated Price Bands, but a Reference Price is available, a 
trading center may calculate and apply Price Bands based on the same 
Reference Price that the Processor would use for calculating such 
Price Bands until such trading center receives Price Bands from the 
Processor. If, under Section VII(B)(2), the Primary Listing Exchange 
notifies the Processor that it is unable to reopen an NMS Stock due 
to a systems or technology issue and it has not declared a 
Regulatory Halt, the Processor will calculate and disseminate Price 
Bands by applying triple the Percentage Parameters set forth in 
Appendix A for the first 30 seconds such Price Bands are 
disseminated.
    (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, if the 
Primary Listing Exchange reopens trading with a transaction or 
quotation that does not include a zero bid or zero offer, the next 
Reference Price shall be the Reopening Price on the Primary Listing 
Exchange. Subsequent Reference Prices shall be determined in the 
manner prescribed for normal openings, as specified in Section 
V(B)(1) of the Plan. If the Primary Listing Exchange notifies the 
Processor that it is unable to reopen an NMS Stock due to a systems 
or technology issue,

[[Page 45927]]

or if the Primary Listing Exchange reopens trading with a quotation 
that has a zero bid or zero offer, or both, the next Reference Price 
shall be the last effective Price Band that was in a Limit State 
before the Trading Pause. Subsequent Reference Prices shall be 
calculated as specified in Section V(A) of the Plan.
    (2) Following a Regulatory Halt, the next Reference Price shall 
be the Opening or Reopening Price on the Primary Listing Exchange if 
such Opening or Reopening Price occurs within five minutes after the 
end of the Regulatory Halt, and subsequent Reference Prices shall be 
determined in the manner prescribed for normal openings, as 
specified in Section V(B)(1) of the Plan. If such Opening or 
Reopening Price has not occurred within five minutes after the end 
of the Regulatory Halt, the Reference Price shall be equal to the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the preceding five minute time period, and subsequent 
Reference Prices shall be calculated as specified in Section V(A) of 
the Plan.

VI. Limit Up--Limit Down Requirements

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

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

(B) Entering and Exiting a Limit State

    (1) All trading for an NMS Stock shall immediately enter a Limit 
State if the National Best Offer equals the Lower Price Band and 
does not cross the National Best Bid, or the National Best Bid 
equals the Upper Price Band and does not cross the National Best 
Offer.
    (2) When trading for an NMS Stock enters a Limit State, the 
Processor shall disseminate this information by identifying the 
relevant quotation (i.e., a National Best Offer that equals the 
Lower Price Band or a National Best Bid that equals the Upper Price 
Band) as a Limit State Quotation. At this point, the Processor shall 
cease calculating and disseminating updated Reference Prices and 
Price Bands for the NMS Stock until either trading exits the Limit 
State or trading resumes with an opening or re-opening as provided 
in Section V.
    (3) Trading for an NMS Stock shall exit a Limit State if, within 
15 seconds of entering the Limit State, the entire size of all Limit 
State Quotations are executed or cancelled.
    (4) If trading for an NMS Stock exits a Limit State within 15 
seconds of entry, the Processor shall immediately calculate and 
disseminate updated Price Bands based on a Reference Price that 
equals the arithmetic mean price of Eligible Reported Transactions 
for the NMS Stock over the immediately preceding five-minute period 
(including the period of the Limit State).
    (5) If trading for an NMS Stock does not exit a Limit State 
within 15 seconds of entry, the Limit State will terminate when the 
Primary Listing Exchange declares a Trading Pause pursuant to 
Section VII of the Plan or at the end of Regular Trading Hours.

VII. Trading Pauses

(A) Declaration of Trading Pauses

    (1) If trading for an NMS Stock does not exit a Limit State 
within 15 seconds of entry during Regular Trading Hours, then the 
Primary Listing Exchange shall declare a Trading Pause for such NMS 
Stock and shall notify the Processor.
    (2) The Primary Listing Exchange may also declare a Trading 
Pause for an NMS Stock when an NMS Stock is in a Straddle State, 
which is when National Best Bid (Offer) is below (above) the Lower 
(Upper) Price Band and the NMS Stock is not in a Limit State, and 
trading in that NMS Stock deviates from normal trading 
characteristics such that declaring a Trading Pause would support 
the Plan's goal to address extraordinary market volatility. The 
Primary Listing Exchange shall develop policies and procedures for 
determining when it would declare a Trading Pause in such 
circumstances. If a Trading Pause is declared for an NMS Stock under 
this provision, the Primary Listing Exchange shall notify the 
Processor.
    (3) The Processor shall disseminate Trading Pause information to 
the public. No trades in an NMS Stock shall occur during a Trading 
Pause, but all bids and offers may be displayed.

(B) Reopening of Trading During Regular Trading Hours

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

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

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

VIII. Implementation

    The initial date of Plan operations shall be April 8, 2013.
    The Plan shall be implemented on a pilot basis set to end on 
April 16, 2018.

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

[[Page 45928]]

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 August 2017 [February 2017] by each of the parties hereto.

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

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

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

INVESTORS EXCHANGE LLC
BY:--------------------------------------------------------------------

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

NYSE NATIONAL, INC.
BY:--------------------------------------------------------------------

NYSE [MKT] American LLC
BY:--------------------------------------------------------------------

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

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

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

NASDAQ BX, Inc.
BY:--------------------------------------------------------------------

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

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

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

Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks

    (1) Tier 1 NMS Stocks shall include all NMS Stocks included in 
the S&P 500 Index, the Russell 1000 Index, and the exchange-traded 
products (``ETP'') identified as Schedule 1 to this Appendix. 
Schedule 1 to the Appendix will be reviewed and updated semi-
annually based on the fiscal year by the Primary Listing Exchange to 
add ETPs that meet the criteria, or delete ETPs that are no longer 
eligible. To determine eligibility for an ETP to be included as a 
Tier 1 NMS Stock, all ETPs across multiple asset classes and 
issuers, including domestic equity, international equity, fixed 
income, currency, and commodities and futures will be identified. 
Leveraged ETPs will be excluded and the list will be sorted by 
notional consolidated average daily volume (``CADV''). The period 
used to measure CADV will be from the first day of the previous 
fiscal half year up until one week before the beginning of the next 
fiscal half year. Daily volumes will be multiplied by closing prices 
and then averaged over the period. ETPs, including inverse ETPs, 
that trade over $2,000,000 CADV will be eligible to be included as a 
Tier 1 NMS Stock. The semi-annual updates to Schedule 1 do not 
require an amendment to the Plan. The Primary Listing Exchanges will 
maintain the updated Schedule 1 on their respective websites.
    (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 (as of January 3, 2017)

------------------------------------------------------------------------
        Ticker                  ETP name                 Exchange
------------------------------------------------------------------------
SPY...................  SPDR S&P 500 ETF Trust..  NYSE Arca
IWM...................  iShares Russell 2000 ETF  NYSE Arca
QQQ...................  Powershares QQQ Trust     NASDAQ
                         Series 1.
EEM...................  iShares MSCI Emerging     NYSE Arca
                         Markets ETF.
GDX...................  VanEck Vectors Gold       NYSE Arca
                         Miners ETF.
XLF...................  Financial Select Sector   NYSE Arca
                         SPDR Fund.
GLD...................  SPDR Gold Shares........  NYSE Arca
TLT...................  iShares 20+ Year          NASDAQ
                         Treasury Bond ETF.
VXX...................  iPATH S&P 500 VIX Short-  NYSE Arca
                         Term Futures ETN.
EFA...................  iShares MSCI EAFE ETF...  NYSE Arca
XLE...................  Energy Select Sector      NYSE Arca
                         SPDR Fund.
HYG...................  iShares iBoxx $ High      NYSE Arca
                         Yield Corporate Bond
                         ETF.
XIV...................  VelocityShares Daily      NASDAQ
                         Inverse VIX Short Term
                         ETN.
IVV...................  iShares Core S&P 500 ETF  NYSE Arca
XLU...................  Utilities Select Sector   NYSE Arca
                         SPDR Fund.
GDXJ..................  VanEck Vectors Junior     NYSE Arca
                         Gold Miners ETF.
XLP...................  Consumer Staples Select   NYSE Arca
                         Sector SPDR Fund.
FXI...................  iShares China Large-Cap   NYSE Arca
                         ETF.
EWZ...................  iShares MSCI Brazil       NYSE Arca
                         Capped ETF.
XLV...................  Health Care Select        NYSE Arca
                         Sector SPDR Fund.
IYR...................  iShares U.S. Real Estate  NYSE Arca
                         ETF.
LQD...................  iShares iBoxx $           NYSE Arca
                         Investment Grade
                         Corporate Bond ETF.
XLI...................  Industrial Select Sector  NYSE Arca
                         SPDR Fund.
DIA...................  SPDR Dow Jones            NYSE Arca
                         Industrial Average ETF
                         Trust.
XOP...................  SPDR S&P Oil & Gas        NYSE Arca
                         Exploration &
                         Production ETF.
VWO...................  Vanguard FTSE Emerging    NYSE Arca
                         Markets ETF.
IBB...................  iShares Nasdaq            NASDAQ
                         Biotechnology ETF.
XLK...................  Technology Select Sector  NYSE Arca
                         SPDR Fund.
XLY...................  Consumer Discretionary    NYSE Arca
                         Select Sector SPDR Fund.

[[Page 45929]]

 
VOO...................  Vanguard S&P 500 ETF....  NYSE Arca
USO...................  United States Oil Fund    NYSE Arca
                         LP.
JNK...................  SPDR Bloomberg Barclays   NYSE Arca
                         High Yield Bond ETF.
XBI...................  SPDR S&P Biotech ETF....  NYSE Arca
MDY...................  SPDR S&P MidCap 400 ETF   NYSE Arca
                         Trust.
VNQ...................  Vanguard REIT ETF.......  NYSE Arca
EWJ...................  iShares MSCI Japan ETF..  NYSE Arca
SVXY..................  ProShares Short VIX       NYSE Arca
                         Short-Term Futures ETF.
AGG...................  iShares Core U.S.         NYSE Arca
                         Aggregate Bond ETF.
IEMG..................  iShares Core MSCI         NYSE Arca
                         Emerging Markets ETF.
KRE...................  SPDR S&P Regional         NYSE Arca
                         Banking ETF.
EMB...................  iShares JP Morgan USD     NYSE Arca
                         Emerging Markets Bond
                         ETF.
IWD...................  iShares Russell 1000      NYSE Arca
                         Value ETF.
VEA...................  Vanguard FTSE Developed   NYSE Arca
                         Markets ETF.
VTI...................  Vanguard Total Stock      NYSE Arca
                         Market ETF.
DXJ...................  WisdomTree Japan Hedged   NYSE Arca
                         Equity Fund.
XLB...................  Materials Select Sector   NYSE Arca
                         SPDR Fund.
EWW...................  iShares MSCI Mexico       NYSE Arca
                         Capped ETF.
IEF...................  iShares 7-10 Year         NYSE Arca
                         Treasury Bond ETF.
IJH...................  iShares Core S&P Mid-Cap  NYSE Arca
                         ETF.
XRT...................  SPDR S&P Retail ETF.....  NYSE Arca
SLV...................  iShares Silver Trust....  NYSE Arca
IWF...................  iShares Russell 1000      NYSE Arca
                         Growth ETF.
VGK...................  Vanguard FTSE Europe ETF  NYSE Arca
SMH...................  VanEck Vectors            NYSE Arca
                         Semiconductor ETF.
IWN...................  iShares Russell 2000      NYSE Arca
                         Value ETF.
BND...................  Vanguard Total Bond       NYSE Arca
                         Market ETF.
RSX...................  VanEck Vectors Russia     NYSE Arca
                         ETF.
USMV..................  iShares MSCI USA Minimum  NYSE Arca
                         Volatility ETF.
TIP...................  iShares TIPS Bond ETF...  NYSE Arca
EZU...................  iShares MSCI Eurozone     Bats
                         ETF.
IJR...................  iShares Core S&P Small-   NYSE Arca
                         Cap ETF.
SHY...................  iShares 1-3 Year          NYSE Arca
                         Treasury Bond ETF.
OIH...................  VanEck Vectors Oil        NYSE Arca
                         Service ETF.
EWY...................  iShares MSCI South Korea  NYSE Arca
                         Capped ETF.
PFF...................  iShares US Preferred      NYSE Arca
                         Stock ETF.
XME...................  SPDR S&P Metals & Mining  NYSE Arca
                         ETF.
IEFA..................  iShares Core MSCI EAFE    NYSE Arca
                         ETF.
IWB...................  iShares Russell 1000 ETF  NYSE Arca
KBE...................  SPDR S&P Bank ETF.......  NYSE Arca
BSV...................  Vanguard Short-Term Bond  NYSE Arca
                         ETF.
IWO...................  iShares Russell 2000      NYSE Arca
                         Growth ETF.
HEDJ..................  WisdomTree Europe Hedged  NYSE Arca
                         Equity Fund.
EWT...................  iShares MSCI Taiwan ETF.  NYSE Arca
SH....................  ProShares Short S&P 500.  NYSE Arca
ACWI..................  iShares MSCI ACWI ETF...  NASDAQ
VCSH..................  Vanguard Short-Term       NASDAQ
                         Corporate Bond ETF.
SPLV..................  PowerShares S&P 500 Low   NYSE Arca
                         Volatility Portfolio.
EWG...................  iShares MSCI Germany ETF  NYSE Arca
VTV...................  Vanguard Value ETF......  NYSE Arca
AMLP..................  Alerian MLP ETF.........  NYSE Arca
DBEF..................  Deutsche X-trackers MSCI  NYSE Arca
                         EAFE Hedged Equity ETF.
IAU...................  iShares Gold Trust......  NYSE Arca
UNG...................  United States Natural     NYSE Arca
                         Gas Fund LP.
DVY...................  iShares Select Dividend   NYSE Arca
                         ETF.
BKLN..................  PowerShares Senior Loan   NYSE Arca
                         Portfolio.
VB....................  Vanguard Small-Cap ETF..  NYSE Arca
VEU...................  Vanguard FTSE All-World   NYSE Arca
                         ex-US ETF.
IVE...................  iShares S&P 500 Value     NYSE Arca
                         ETF.
RSP...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight ETF.
SHV...................  iShares Short Treasury    NYSE Arca
                         Bond ETF.
VIXY..................  ProShares VIX Short-Term  NYSE Arca
                         Futures ETF.
XHB...................  SPDR S&P Homebuilders     NYSE Arca
                         ETF.
IVW...................  iShares S&P 500 Growth    NYSE Arca
                         ETF.
VCIT..................  Vanguard Intermediate-    NASDAQ
                         Term Corporate Bond ETF.
EPI...................  WisdomTree India          NYSE Arca
                         Earnings Fund.
EFAV..................  iShares MSCI EAFE         NYSE Arca
                         Minimum Volatility ETF.
ITB...................  iShares U.S. Home         NYSE Arca
                         Construction ETF.
SDY...................  SPDR S&P Dividend ETF...  NYSE Arca
MUB...................  iShares National Muni     NYSE Arca
                         Bond ETF.
VUG...................  Vanguard Growth ETF.....  NYSE Arca
VYM...................  Vanguard High Dividend    NYSE Arca
                         Yield ETF.
INDA..................  iShares MSCI India ETF..  Bats
BIV...................  Vanguard Intermediate-    NYSE Arca
                         Term Bond ETF.

[[Page 45930]]

 
FEZ...................  SPDR EURO STOXX 50 ETF..  NYSE Arca
AAXJ..................  iShares MSCI All Country  NASDAQ
                         Asia ex Japan ETF.
VIG...................  Vanguard Dividend         NYSE Arca
                         Appreciation ETF.
MCHI..................  iShares MSCI China ETF..  NASDAQ
AMJ...................  JPMorgan Alerian MLP      NYSE Arca
                         Index ETN.
EWH...................  iShares MSCI Hong Kong    NYSE Arca
                         ETF.
EWU...................  iShares MSCI United       NYSE Arca
                         Kingdom ETF.
SOXX..................  iShares PHLX              NASDAQ
                         Semiconductor ETF.
FXE...................  CurrencyShares Euro       NYSE Arca
                         Trust.
MBB...................  iShares MBS ETF.........  NYSE Arca
CIU...................  iShares Intermediate      NYSE Arca
                         Credit Bond ETF.
VO....................  Vanguard Mid-Cap ETF....  NYSE Arca
EWC...................  iShares MSCI Canada ETF.  NYSE Arca
IEI...................  iShares 3-7 Year          NYSE Arca
                         Treasury Bond ETF.
CSJ...................  iShares 1-3 Year Credit   NYSE Arca
                         Bond ETF.
OEF...................  iShares S&P 100 ETF.....  NYSE Arca
ILF...................  iShares Latin America 40  NYSE Arca
                         ETF.
IYE...................  iShares U.S. Energy ETF.  NYSE Arca
VGT...................  Vanguard Information      NYSE Arca
                         Technology ETF.
XLRE..................  Real Estate Select        NYSE Arca
                         Sector SPDR Fund.
IYT...................  iShares Transportation    NYSE Arca
                         Average ETF.
PCY...................  PowerShares Emerging      NYSE Arca
                         Markets Sovereign Debt
                         Portfolio.
IWS...................  iShares Russell Mid-Cap   NYSE Arca
                         Value ETF.
EEMV..................  iShares MSCI Emerging     NYSE Arca
                         Markets Minimum
                         Volatility ETF/Dup.
IYF...................  iShares US Financials     NYSE Arca
                         ETF.
VBR...................  Vanguard Small-Cap Value  NYSE Arca
                         ETF.
UUP...................  PowerShares DB US Dollar  NYSE Arca
                         Index Bullish Fund.
BNDX..................  Vanguard Total            NASDAQ
                         International Bond ETF.
SJNK..................  SPDR Bloomberg Barclays   NYSE Arca
                         Short Term High Yield
                         Bond ETF.
EWA...................  iShares MSCI Australia    NYSE Arca
                         ETF.
MINT..................  PIMCO Enhanced Short      NYSE Arca
                         Maturity Active
                         Exchange-Traded Fund.
HDV...................  iShares High Dividend     NYSE Arca
                         ETF.
SCHF..................  Schwab International      NYSE Arca
                         Equity ETF.
BIL...................  SPDR Bloomberg Barclays   NYSE Arca
                         1-3 Month T-Bill.
CWB...................  SPDR Bloomberg Barclays   NYSE Arca
                         Convertible Securities
                         ETF.
FDN...................  First Trust Dow Jones     NYSE Arca
                         Internet Index Fund.
PGX...................  PowerShares Preferred     NYSE Arca
                         Portfolio.
VFH...................  Vanguard Financials ETF.  NYSE Arca
IWR...................  iShares Russell Mid-Cap   NYSE Arca
                         ETF.
HEFA..................  iShares Currency Hedged   NYSE Arca
                         MSCI EAFE ETF.
VT....................  Vanguard Total World      NYSE Arca
                         Stock ETF.
SCZ...................  iShares MSCI EAFE Small-  NASDAQ
                         Cap ETF.
VXF...................  Vanguard Extended Market  NYSE Arca
                         ETF.
HYS...................  PIMCO 0-5 Year High       NYSE Arca
                         Yield Corporate Bond
                         Index Exchange-Traded
                         Fund.
FLOT..................  iShares Floating Rate     NYSE Arca
                         Bond ETF.
DBC...................  PowerShares DB Commodity  NYSE Arca
                         Index Tracking Fund.
ICF...................  iShares Cohen & Steers    NYSE Arca
                         REIT ETF.
ITOT..................  iShares Core S&P Total    NYSE Arca
                         US Stock Market ETF.
RWM...................  ProShares Short           NYSE Arca
                         Russell2000.
SCHB..................  Schwab US Broad Market    NYSE Arca
                         ETF.
VHT...................  Vanguard Health Care ETF  NYSE Arca
RWR...................  SPDR Dow Jones REIT ETF.  NYSE Arca
IWV...................  iShares Russell 3000 ETF  NYSE Arca
IYW...................  iShares US Technology     NYSE Arca
                         ETF.
VXUS..................  Vanguard Total            NASDAQ
                         International Stock ETF.
EWP...................  iShares MSCI Spain        NYSE Arca
                         Capped ETF.
DBEU..................  Deutsche X-trackers MSCI  NYSE Arca
                         Europe Hedged Equity
                         ETF.
EZA...................  iShares MSCI South        NYSE Arca
                         Africa ETF.
DBJP..................  Deutsche X-trackers MSCI  NYSE Arca
                         Japan Hedged Equity ETF.
SCHX..................  Schwab US Large-Cap ETF.  NYSE Arca
IJJ...................  iShares S&P Mid-Cap 400   NYSE Arca
                         Value ETF.
ACWX..................  iShares MSCI ACWI ex US   NASDAQ
                         ETF.
RWX...................  SPDR Dow Jones            NYSE Arca
                         International Real
                         Estate ETF.
IEV...................  iShares Europe ETF......  NYSE Arca
VBK...................  Vanguard Small-Cap        NYSE Arca
                         Growth ETF.
VOE...................  Vanguard Mid-Cap Value    NYSE Arca
                         ETF.
IWP...................  iShares Russell Mid-Cap   NYSE Arca
                         Growth ETF.
PSQ...................  ProShares Short QQQ.....  NYSE Arca
SCHD..................  Schwab US Dividend        NYSE Arca
                         Equity ETF.
QUAL..................  iShares MSCI USA Quality  NYSE Arca
                         Factor ETF.
SPHD..................  PowerShares S&P 500 High  NYSE Arca
                         Dividend Low Volatility
                         Portfolio.
FXG...................  First Trust Consumer      NYSE Arca
                         Staples AlphaDEX Fund.
BLV...................  Vanguard Long-Term Bond   NYSE Arca
                         ETF.
IJS...................  iShares S&P Small-Cap     NYSE Arca
                         600 Value ETF.

[[Page 45931]]

 
VPU...................  Vanguard Utilities ETF..  NYSE Arca
VDE...................  Vanguard Energy ETF.....  NYSE Arca
EPP...................  iShares MSCI Pacific ex   NYSE Arca
                         Japan ETF.
FXD...................  First Trust Consumer      NYSE Arca
                         Discretionary AlphaDEX
                         Fund.
IGV...................  iShares North American    NYSE Arca
                         Tech-Software ETF.
NEAR..................  iShares Short Maturity    Bats
                         Bond ETF.
HEWJ..................  iShares Currency Hedged   NYSE Arca
                         MSCI Japan ETF.
EWI...................  iShares MSCI Italy        NYSE Arca
                         Capped ETF.
EIDO..................  iShares MSCI Indonesia    NYSE Arca
                         ETF.
HYD...................  VanEck Vectors High       NYSE Arca
                         Yield Municipal Index
                         ETF.
SCPB..................  SPDR Bloomberg Barclays   NYSE Arca
                         Short Term Corporate
                         Bond ETF.
SCHH..................  Schwab U.S. REIT ETF....  NYSE Arca
EWL...................  iShares MSCI Switzerland  NYSE Arca
                         Capped ETF.
IJK...................  iShares S&P Mid-Cap 400   NYSE Arca
                         Growth ETF.
EFV...................  iShares MSCI EAFE Value   NYSE Arca
                         ETF.
IJT...................  iShares S&P Small-Cap     NYSE Arca
                         600 Growth ETF.
EMLC..................  VanEck Vectors J.P.       NYSE Arca
                         Morgan EM Local
                         Currency Bond ETF.
SCHA..................  Schwab US Small-Cap ETF.  NYSE Arca
IDU...................  iShares US Utilities ETF  NYSE Arca
HEZU..................  iShares Currency Hedged   NYSE Arca
                         MSCI Eurozone ETF.
SHM...................  SPDR Nuveen Barclays      NYSE Arca
                         Short Term Municipal
                         Bond ETF.
IYH...................  iShares U.S. Healthcare   NYSE Arca
                         ETF.
FV....................  First Trust Dorsey        NASDAQ
                         Wright Focus 5 ETF.
IHI...................  iShares U.S. Medical      NYSE Arca
                         Devices ETF.
ITA...................  iShares US Aerospace &    NYSE Arca
                         Defense ETF.
GOVT..................  iShares Core US Treasury  NYSE Arca
                         Bond ETF.
GUNR..................  FlexShares Global         NYSE Arca
                         Upstream Natural
                         Resources Index Fund.
VV....................  Vanguard Large-Cap ETF..  NYSE Arca
ASHR..................  Deutsche X-trackers       NYSE Arca
                         Harvest CSI 300 China A-
                         Shares ETF.
IYZ...................  iShares US                NYSE Arca
                         Telecommunications ETF.
BWX...................  SPDR Bloomberg Barclays   NYSE Arca
                         International Treasury
                         Bond ETF.
TFI...................  SPDR Nuveen Barclays      NYSE Arca
                         Municipal Bond ETF.
SCHZ..................  Schwab U.S. Aggregate     NYSE Arca
                         Bond ETF.
VCLT..................  Vanguard Long-Term        NASDAQ
                         Corporate Bond ETF.
VNQI..................  Vanguard Global ex-U.S.   NASDAQ
                         Real Estate ETF.
KBWB..................  PowerShares KBW Bank      NASDAQ
                         Portfolio.
IDV...................  iShares International     NYSE Arca
                         Select Dividend ETF.
IXUS..................  iShares Core MSCI Total   NASDAQ
                         International Stock ETF.
ACWV..................  iShares MSCI All Country  NYSE Arca
                         World Minimum
                         Volatility ETF.
FXY...................  CurrencyShares Japanese   NYSE Arca
                         Yen Trust.
NOBL..................  ProShares S&P 500         Bats
                         Dividend Aristocrats
                         ETF.
VPL...................  Vanguard FTSE Pacific     NYSE Arca
                         ETF.
THD...................  iShares MSCI Thailand     NYSE Arca
                         Capped ETF.
TOTL..................  SPDR Doubleline Total     NYSE Arca
                         Return Tactical ETF.
VDC...................  Vanguard Consumer         NYSE Arca
                         Staples ETF.
VOX...................  Vanguard                  NYSE Arca
                         Telecommunication
                         Services ETF.
VTIP..................  Vanguard Short-Term       NASDAQ
                         Inflation-Protected
                         Securities ETF.
MTUM..................  iShares MSCI USA          NYSE Arca
                         Momentum Factor ETF.
QTEC..................  First Trust NASDAQ-100    NASDAQ
                         Technology Index Fund.
EWM...................  iShares MSCI Malaysia     NYSE Arca
                         ETF.
FXN...................  First Trust Energy        NYSE Arca
                         AlphaDEX Fund.
OIL...................  iPath Goldman Sachs       NYSE Arca
                         Crude Oil Total Return
                         Index ETN.
REM...................  iShares Mortgage Real     NYSE Arca
                         Estate Capped ETF.
TBF...................  ProShares Short 20+ Year  NYSE Arca
                         Treasury.
FCG...................  First Trust Natural Gas   NYSE Arca
                         ETF.
FXR...................  First Trust Industrials/  NYSE Arca
                         Producer Durables
                         AlphaDEX Fund.
PIN...................  PowerShares India         NYSE Arca
                         Portfolio.
VIS...................  Vanguard Industrials ETF  NYSE Arca
TUR...................  iShares MSCI Turkey ETF.  NYSE Arca
VMBS..................  Vanguard Mortgage-Backed  NASDAQ
                         Securities ETF.
FVD...................  First Trust Value Line    NYSE Arca
                         Dividend Index Fund.
FXB...................  CurrencyShares British    NYSE Arca
                         Pound Sterling Trust.
PHB...................  PowerShares Fundamental   NYSE Arca
                         High Yield Corporate
                         Bond Portfolio.
DOG...................  ProShares Short Dow30...  NYSE Arca
EFG...................  iShares MSCI EAFE Growth  NYSE Arca
                         ETF.
EWQ...................  iShares MSCI France ETF.  NYSE Arca
IYJ...................  iShares U.S. Industrials  NYSE Arca
                         ETF.
IYG...................  iShares U.S. Financial    NYSE Arca
                         Services ETF.
BOND..................  PIMCO Total Return        NYSE Arca
                         Active Exchange-Traded
                         Fund.
HEWG..................  iShares Currency Hedged   NYSE Arca
                         MSCI Germany ETF.
SHYG..................  iShares 0-5 Year High     NYSE Arca
                         Yield Corporate Bond
                         ETF.
VLUE..................  iShares MSCI USA Value    NYSE Arca
                         Factor ETF.
SCHE..................  Schwab Emerging Markets   NYSE Arca
                         Equity ETF.
ECH...................  iShares MSCI Chile        NYSE Arca
                         Capped ETF.

[[Page 45932]]

 
FXU...................  First Trust Utilities     NYSE Arca
                         AlphaDEX Fund.
RWO...................  SPDR Dow Jones Global     NYSE Arca
                         Real Estate ETF.
PRF...................  Powershares FTSE RAFI US  NYSE Arca
                         1000 Portfolio.
VGLT..................  Vanguard Long-Term        NASDAQ
                         Government Bond ETF.
VOT...................  Vanguard Mid-Cap Growth   NYSE Arca
                         ETF.
SCHM..................  Schwab U.S. Mid-Cap ETF.  NYSE Arca
EUFN..................  iShares MSCI Europe       NASDAQ
                         Financials ETF.
EWS...................  iShares MSCI Singapore    NYSE Arca
                         ETF.
GVI...................  iShares Intermediate      NYSE Arca
                         Government/Credit Bond
                         ETF.
SCHV..................  Schwab U.S. Large-Cap     NYSE Arca
                         Value ETF.
SCHP..................  Schwab US TIPs ETF......  NYSE Arca
DEM...................  WisdomTree Emerging       NYSE Arca
                         Markets High Dividend
                         Fund.
IYM...................  iShares U.S. Basic        NYSE Arca
                         Materials ETF.
DBA...................  PowerShares DB            NYSE Arca
                         Agriculture Fund.
SCHG..................  Schwab U.S. Large-Cap     NYSE Arca
                         Growth ETF.
IGOV..................  iShares International     NASDAQ
                         Treasury Bond ETF.
IGF...................  iShares Global            NASDAQ
                         Infrastructure ETF.
TLH...................  iShares 10-20 Year        NYSE Arca
                         Treasury Bond ETF.
EPHE..................  iShares MSCI Philippines  NYSE Arca
                         ETF.
SCHO..................  Schwab Short-Term U.S.    NYSE Arca
                         Treasury ETF.
EUM...................  ProShares Short MSCI      NYSE Arca
                         Emerging Markets.
PGF...................  PowerShares Financial     NYSE Arca
                         Preferred Portfolio.
IHF...................  iShares U.S. Healthcare   NYSE Arca
                         Providers ETF.
VSS...................  Vanguard FTSE All World   NYSE Arca
                         ex-US Small-Cap ETF.
KIE...................  SPDR S&P Insurance ETF..  NYSE Arca
SPHB..................  PowerShares S&P 500 High  NYSE Arca
                         Beta Port ETF.
SDOG..................  ALPS Sector Dividend      NYSE Arca
                         Dogs ETF.
VAW...................  Vanguard Materials ETF..  NYSE Arca
FPE...................  First Trust Preferred     NYSE Arca
                         Securities and Income
                         ETF.
ITR...................  SPDR Bloomberg Barclays   NYSE Arca
                         Intermediate Term
                         Corporate Bond ETF.
VCR...................  Vanguard Consumer         NYSE Arca
                         Discretionary ETF.
IGE...................  iShares North American    NYSE Arca
                         Natural Resources ETF.
SIL...................  Global X Silver Miners    NYSE Arca
                         ETF.
EDV...................  Vanguard Extended         NYSE Arca
                         Duration Treasury ETF.
DLN...................  WisdomTree LargeCap       NYSE Arca
                         Dividend Fund.
DON...................  WisdomTree MidCap         NYSE Arca
                         Dividend Fund.
MLPI..................  ETRACS Alerian MLP        NYSE Arca
                         Infrastructure Index
                         ETN.
CLY...................  iShares 10+ Year Credit   NYSE Arca
                         Bond ETF.
IUSG..................  iShares Core US Growth    NYSE Arca
                         ETF.
ITM...................  VanEck Vectors AMT-Free   NYSE Arca
                         Intermediate Municipal
                         Index ETF.
RPG...................  Guggenheim S&P 500 Pure   NYSE Arca
                         Growth ETF.
VGIT..................  Vanguard Intermediate-    NASDAQ
                         Term Government Bond
                         ETF.
CRED..................  iShares Core US Credit    NYSE Arca
                         Bond ETF.
XES...................  SPDR S&P Oil & Gas        NYSE Arca
                         Equipment & Services
                         ETF.
PHYS..................  Sprott Physical Gold      NYSE Arca
                         Trust.
TLO...................  SPDR Bloomberg Barclays   NYSE Arca
                         Long Term Treasury ETF.
BBH...................  VanEck Vectors Biotech    NASDAQ
                         ETF.
RYT...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Technology ETF.
FXO...................  First Trust Financial     NYSE Arca
                         AlphaDEX Fund.
CWI...................  SPDR MSCI ACWI ex-US ETF  NYSE Arca
FXH...................  First Trust Health Care   NYSE Arca
                         AlphaDEX Fund.
FDL...................  First Trust Morningstar   NYSE Arca
                         Dividend Leaders Index.
PJP...................  Powershares Dynamic       NYSE Arca
                         Pharmaceuticals
                         Portfolio.
PZA...................  PowerShares National AMT- NYSE Arca
                         Free Municipal Bond
                         Portfolio.
RPV...................  Guggenheim S&P 500 Pure   NYSE Arca
                         Value ETF.
GSLC..................  Goldman Sachs ActiveBeta  NYSE Arca
                         U.S. Large Cap Equity
                         ETF.
SUB...................  iShares Short-Term        NYSE Arca
                         National Muni Bond ETF.
IXC...................  iShares Global Energy     NYSE Arca
                         ETF.
IAT...................  iShares US Regional       NYSE Arca
                         Banks ETF.
GSY...................  Guggenheim Enhanced       NYSE Arca
                         Short Duration ETF.
ERUS..................  iShares MSCI Russia       NYSE Arca
                         Capped ETF.
IXJ...................  iShares Global            NYSE Arca
                         Healthcare ETF.
DES...................  WisdomTree SmallCap       NYSE Arca
                         Dividend Fund.
DJP...................  iPath Bloomberg           NYSE Arca
                         Commodity Index Total
                         Return ETN.
FTSM..................  First Trust Enhanced      NASDAQ
                         Short Maturity ETF.
XPH...................  SPDR S&P Pharmaceuticals  NYSE Arca
                         ETF.
VTEB..................  Vanguard Tax-Exempt Bond  NYSE Arca
                         Index ETF.
VWOB..................  Vanguard Emerging         NASDAQ
                         Markets Government Bond
                         ETF.
IUSV..................  iShares Core US Value     NYSE Arca
                         ETF.
PDP...................  PowerShares DWA Momentum  NASDAQ
                         Portfolio.
MGK...................  Vanguard Mega Cap Growth  NYSE Arca
                         ETF.
HYLS..................  First Trust Exchange-     NASDAQ
                         Traded Fund IV First
                         Trust Tactical High
                         Yield ETF.
FEX...................  First Trust Large Cap     NASDAQ
                         Core AlphaDEX Fund.
HYMB..................  SPDR Nuveen S&P High      NYSE Arca
                         Yield Municipal Bond
                         ETF.

[[Page 45933]]

 
DGRO..................  iShares Core Dividend     NYSE Arca
                         Growth ETF.
VGSH..................  Vanguard Short-Term       NASDAQ
                         Government Bond ETF.
RHS...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Consumer Staples
                         ETF.
LEMB..................  iShares Emerging Markets  NYSE Arca
                         Local Currency Bond ETF.
FBT...................  First Trust NYSE Arca     NYSE Arca
                         Biotechnology Index
                         Fund.
IYK...................  iShares US Consumer       NYSE Arca
                         Goods ETF.
FNDX..................  Schwab Fundamental U.S.   NYSE Arca
                         Large Company Index.
BNDS..................  SPDR Bloomberg Barclays   NYSE Arca
                         Aggregate Bond ETF.
PEY...................  PowerShares High Yield    NASDAQ
                         Equity Dividend
                         Achievers Portfolio.
VRP...................  PowerShares Variable      NYSE Arca
                         Rate Preferred
                         Portfolio.
SPHQ..................  PowerShares S&P 500       NYSE Arca
                         Quality Portfolio.
GNR...................  SPDR S&P Global Natural   NYSE Arca
                         Resources ETF.
ANGL..................  VanEck Vectors Fallen     NYSE Arca
                         Angel High Yield Bond
                         ETF.
EMLP..................  First Trust North         NYSE Arca
                         American Energy
                         Infrastructure Fund.
VTWO..................  Vanguard Russell 2000...  NASDAQ
SRLN..................  SPDR Blackstone/GSO       NYSE Arca
                         Senior Loan ETF.
EWD...................  iShares MSCI Sweden ETF.  NYSE Arca
RING..................  iShares MSCI Global Gold  NYSE Arca
                         Miners ETF.
BAB...................  PowerShares Build         NYSE Arca
                         America Bond Portfolio.
XMLV..................  PowerShares S&P MidCap    NYSE Arca
                         Low Volatility
                         Portfolio.
KWEB..................  KraneShares CSI China     NASDAQ
                         Internet ETF.
IEO...................  iShares U.S. Oil & Gas    NYSE Arca
                         Exploration &
                         Production ETF.
XSLV..................  PowerShares S&P SmallCap  NYSE Arca
                         Low Volatility
                         Portfolio.
IEUR..................  iShares Core MSCI Europe  NYSE Arca
                         ETF.
IFGL..................  iShares International     NASDAQ
                         Developed Real Estate
                         ETF.
ZROZ..................  PIMCO 25+ Year Zero       NYSE Arca
                         Coupon U.S. Treasury
                         Index Exchange-Traded
                         Fund.
XSD...................  SPDR S&P Semiconductor    NYSE Arca
                         ETF.
DFE...................  WisdomTree Europe         NYSE Arca
                         SmallCap Dividend Fund.
FTSL..................  First Trust Senior Loan   NASDAQ
                         ETF.
FXZ...................  First Trust Materials     NYSE Arca
                         AlphaDEX Fund.
BLHY..................  Virtus Newfleet Dynamic   NYSE Arca
                         Credit ETF.
SCHR..................  Schwab Intermediate-Term  NYSE Arca
                         U.S. Treasury ETF.
EPOL..................  iShares MSCI Poland       NYSE Arca
                         Capped ETF.
CMF...................  iShares California Muni   NYSE Arca
                         Bond ETF.
GXC...................  SPDR S&P China ETF......  NYSE Arca
XAR...................  SPDR S&P Aerospace &      NYSE Arca
                         Defense ETF.
IYC...................  iShares U.S. Consumer     NYSE Arca
                         Services ETF.
FNDF..................  Schwab Fundamental        NYSE Arca
                         International Large
                         Company Index.
DWX...................  SPDR S&P International    NYSE Arca
                         Dividend ETF.
SGOL..................  ETFS Physical Swiss Gold  NYSE Arca
                         Shares.
EWN...................  iShares MSCI Netherlands  NYSE Arca
                         ETF.
PKW...................  PowerShares Buyback       NASDAQ
                         Achievers Portfolio.
PSLV..................  Sprott Physical Silver    NYSE Arca
                         Trust.
IGM...................  iShares North American    NYSE Arca
                         Tech ETF.
FNCL..................  Fidelity MSCI Financials  NYSE Arca
                         Index ETF.
PPLT..................  ETFS Physical Platinum    NYSE Arca
                         Shares.
ISTB..................  iShares Core 1-5 Year     NYSE Arca
                         USD Bond ETF.
DGRW..................  WisdomTree U.S. Quality   NASDAQ
                         Dividend Growth Fund.
IHE...................  iShares US                NYSE Arca
                         Pharmaceuticals ETF.
SLYV..................  SPDR S&P 600 Small        NYSE Arca
                         CapValue ETF.
HACK..................  PureFunds ISE Cyber       NYSE Arca
                         Security ETF.
FNDA..................  Schwab Fundamental U.S.   NYSE Arca
                         Small Company Index.
CORP..................  PIMCO Investment Grade    NYSE Arca
                         Corporate Bond Index
                         Exchange-Traded Fund.
BSJI..................  Guggenheim BulletShares   NYSE Arca
                         2018 High Yield
                         Corporate Bond ETF.
ECON..................  Columbia Emerging         NYSE Arca
                         Markets Consumer ETF.
PSK...................  SPDR Wells Fargo          NYSE Arca
                         Preferred Stock ETF.
GSG...................  iShares S&P GSCI          NYSE Arca
                         Commodity Indexed Trust.
VOOG..................  Vanguard S&P 500 Growth   NYSE Arca
                         ETF.
VXZ...................  iPATH S&P 500 VIX Mid-    NYSE Arca
                         Term Futures ETN.
ONEQ..................  Fidelity NASDAQ           NASDAQ
                         Composite Index
                         Tracking Stock ETF.
SLYG..................  SPDR S&P 600 Small Cap    NYSE Arca
                         Growth ETF.
STIP..................  iShares 0-5 Year TIPS     NYSE Arca
                         Bond ETF.
PDBC..................  PowerShares DB Optimum    NASDAQ
                         Yield Diversified
                         Commodity Strategy
                         Portfolio.
FXL...................  First Trust Technology    NYSE Arca
                         AlphaDEX Fund.
IXN...................  iShares Global Tech ETF.  NYSE Arca
MOO...................  VanEck Vectors            NYSE Arca
                         Agribusiness ETF.
EPU...................  iShares MSCI All Peru     NYSE Arca
                         Capped ETF.
SNLN..................  Highland/iBoxx Senior     NASDAQ
                         Loan ETF.
DHS...................  WisdomTree High Dividend  NYSE Arca
                         Fund.
AOR...................  iShares Core Growth       NYSE Arca
                         Allocation ETF.
QAI...................  IndexIQ ETF Trust--IQ     NYSE Arca
                         Hedge Multi-Strategy
                         Tracker ETF.
PPH...................  VanEck Vectors            NASDAQ
                         Pharmaceutical ETF.
FTEC..................  Fidelity MSCI             NYSE Arca
                         Information Technology
                         Index ETF.
DGS...................  WisdomTree Emerging       NYSE Arca
                         Markets SmallCap
                         Dividend Fund.

[[Page 45934]]

 
FHLC..................  Fidelity MSCI Health      NYSE Arca
                         Care Index ETF.
FNDE..................  Schwab Fundamental        NYSE Arca
                         Emerging Markets Large
                         Company Index ETF.
LMBS..................  First Trust Low Duration  NASDAQ
                         Opportunities ETF.
IPAC..................  iShares Core MSCI         NYSE Arca
                         Pacific ETF.
MGV...................  Vanguard Mega Cap Value   NYSE Arca
                         ETF.
FRI...................  First Trust S&P REIT      NYSE Arca
                         Index Fund.
JO....................  iPath Bloomberg Coffee    NYSE Arca
                         Subindex Total Return
                         ETN.
PXH...................  PowerShares FTSE RAFI     NYSE Arca
                         Emerging Markets
                         Portfolio.
WIP...................  SPDR Citi International   NYSE Arca
                         Government Inflation-
                         Protected Bond ETF.
AOM...................  iShares Core Moderate     NYSE Arca
                         Allocation ETF.
EWK...................  iShares MSCI Belgium      NYSE Arca
                         Capped ETF.
VIIX..................  VelocityShares VIX Short  NASDAQ
                         Term ETN.
SCJ...................  iShares MSCI Japan Small- NYSE Arca
                         Cap ETF.
DVYE..................  iShares Emerging Markets  NYSE Arca
                         Dividend ETF.
PXF...................  PowerShares FTSE RAFI     NYSE Arca
                         Developed Markets ex-
                         U.S. Portfolio.
DBB...................  PowerShares DB Base       NYSE Arca
                         Metals Fund.
HYEM..................  VanEck Vectors Emerging   NYSE Arca
                         High Yield Bond ETF.
PPA...................  PowerShares Aerospace &   NYSE Arca
                         Defense Portfolio.
FTGC..................  First Trust Global        NASDAQ
                         Tactical Commodity
                         Strategy Fund.
DLS...................  WisdomTree International  NYSE Arca
                         SmallCap Dividend Fund.
JHMD..................  John Hancock Multifactor  NYSE Arca
                         Developed International
                         ETF.
SDIV..................  Global X SuperDividend    NYSE Arca
                         ETF.
PICK..................  iShares MSCI Global       NYSE Arca
                         Metals & Mining
                         Producers ETF.
INDY..................  iShares India 50 ETF....  NASDAQ
SPYG..................  SPDR S&P 500 Growth ETF.  NYSE Arca
STPZ..................  PIMCO 1-5 Year U.S. TIPS  NYSE Arca
                         Index Exchange-Traded
                         Fund.
SCHC..................  Schwab International      NYSE Arca
                         Small-Cap Equity ETF.
IXG...................  iShares Global            NYSE Arca
                         Financials ETF.
IAGG..................  iShares International     Bats
                         Aggregate Bond Fund.
IWC...................  iShares Micro-Cap ETF...  NYSE Arca
DBO...................  PowerShares DB Oil Fund.  NYSE Arca
FXC...................  CurrencyShares Canadian   NYSE Arca
                         Dollar Trust.
USCI..................  United States Commodity   NYSE Arca
                         Index Fund.
PSCT..................  PowerShares S&P SmallCap  NASDAQ
                         Information Technology
                         Portfolio.
ITE...................  SPDR Bloomberg Barclays   NYSE Arca
                         Intermediate Term
                         Treasury ETF.
DBP...................  PowerShares DB Precious   NYSE Arca
                         Metals Fund.
FENY..................  Fidelity MSCI Energy      NYSE Arca
                         Index ETF.
ELD...................  WisdomTree Emerging       NYSE Arca
                         Markets Local Debt Fund.
REZ...................  iShares Residential Real  NYSE Arca
                         Estate Capped ETF.
EWX...................  SPDR S&P Emerging         NYSE Arca
                         Markets SmallCap ETF.
ENZL..................  iShares MSCI New Zealand  NASDAQ
                         Capped ETF.
IDLV..................  PowerShares S&P           NYSE Arca
                         International Developed
                         Low Volatility
                         Portfolio.
BSJJ..................  Guggenheim BulletShares   NYSE Arca
                         2019 High Yield
                         Corporate Bond ETF.
SILJ..................  PureFunds ISE Junior      NYSE Arca
                         Silver Small Cap Miners/
                         Explorers ETF.
VONG..................  Vanguard Russell 1000     NASDAQ
                         Growth ETF.
JPIN..................  JPMorgan Diversified      NYSE Arca
                         Return International
                         Equity ETF.
WBIY..................  WBI Power FactorTM High   NYSE Arca
                         Dividend ETF.
FTA...................  First Trust Large Cap     NASDAQ
                         Value AlphaDEX Fund.
GWX...................  SPDR S&P International    NYSE Arca
                         Small Cap ETF.
OUSA..................  O'Shares FTSE US Quality  NYSE Arca
                         Dividend ETF.
FM....................  iShares MSCI Frontier     NYSE Arca
                         100 ETF.
SJB...................  ProShares Short High      NYSE Arca
                         Yield.
RYH...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Healthcare ETF.
VONV..................  Vanguard Russell 1000     NASDAQ
                         Value.
PFXF..................  VanEck Vectors Preferred  NYSE Arca
                         Securities ex
                         Financials ETF.
QDF...................  FlexShares Quality        NYSE Arca
                         Dividend Index Fund.
RYF...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Financials ETF.
RYE...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Energy ETF.
PID...................  PowerShares               NASDAQ
                         International Dividend
                         Achievers Portfolio.
FUTY..................  Fidelity MSCI Utilities   NYSE Arca
                         Index ETF.
HDGE..................  AdvisorShares Ranger      NYSE Arca
                         Equity Bear ETF.
MOAT..................  VanEck Vectors            NYSE Arca
                         Morningstar Wide Moat
                         ETF.
PWV...................  PowerShares Dynamic       NYSE Arca
                         Large Cap Value
                         Portfolio.
BSCI..................  Guggenheim BulletShares   NYSE Arca
                         2018 Corporate Bond ETF.
DFJ...................  WisdomTree Japan          NYSE Arca
                         SmallCap Dividend Fund.
TDTT..................  FlexShares iBoxx 3-Year   NYSE Arca
                         Target Duration TIPS
                         Index Fund.
DGL...................  PowerShares DB Gold Fund  NYSE Arca
DBE...................  PowerShares DB Energy     NYSE Arca
                         Fund.
SMDV..................  Proshares Trust-          Bats
                         Proshares Russell 2000
                         Dividend Growers ETF.
IFV...................  First Trust Dorsey        NASDAQ
                         Wright International
                         Focus 5 ETF.
MDIV..................  First Trust Multi-Asset   NASDAQ
                         Diversified Income
                         Index Fund.
PRFZ..................  PowerShares FTSE RAFI US  NASDAQ
                         1500 Small-Mid
                         Portfolio.
FLRN..................  SPDR Bloomberg Barclays   NYSE Arca
                         Investment Grade
                         Floating Rate ETF.
EFZ...................  ProShares Short MSCI      NYSE Arca
                         EAFE.

[[Page 45935]]

 
BSCH..................  Guggenheim BulletShares   NYSE Arca
                         2017 Corporate Bond ETF.
IGN...................  iShares North American    NYSE Arca
                         Tech-Multimedia
                         Networking ETF.
FYX...................  First Trust Small Cap     NASDAQ
                         Core AlphaDEX Fund.
IYY...................  iShares Dow Jones U.S.    NYSE Arca
                         ETF.
VNM...................  VanEck Vectors Vietnam    NYSE Arca
                         ETF.
DWM...................  WisdomTree International  NYSE Arca
                         Equity Fund.
BSCK..................  Guggenheim BulletShares   NYSE Arca
                         2020 Corporate Bond ETF.
EBND..................  SPDR Bloomberg Barclays   NYSE Arca
                         Emerging Markets Local
                         Bond ETF.
DSI...................  iShares MSCI KLD 400      NYSE Arca
                         Social ETF.
FREL..................  Fidelity MSCI Real        NYSE Arca
                         Estate Index ETF.
IOO...................  iShares Global 100 ETF..  NYSE Arca
KBWY..................  PowerShares KBW Premium   NASDAQ
                         Yield Equity REIT
                         Portfolio.
IHDG..................  WisdomTree International  NYSE Arca
                         Hedged Quality Dividend
                         Growth Fund.
FTC...................  First Trust Large Cap     NASDAQ
                         Growth AlphaDEX Fund.
IPE...................  SPDR Bloomberg Barclays   NYSE Arca
                         TIPS ETF.
GWL...................  SPDR S&P World ex-US ETF  NYSE Arca
SKYY..................  First Trust ISE Cloud     NASDAQ
                         Computing Index Fund.
XTN...................  SPDR S&P Transportation   NYSE Arca
                         ETF.
SLX...................  VanEck Vectors Steel      NYSE Arca
                         Index Fund.
REGL..................  Proshares S&P Midcap 400  Bats
                         Dividend Aristocrats
                         ETF.
FNX...................  First Trust Mid Cap Core  NASDAQ
                         AlphaDEX Fund.
SGDM..................  Sprott Gold Miners ETF..  NYSE Arca
CMBS..................  iShares CMBS ETF........  NYSE Arca
PKB...................  PowerShares Dynamic       NYSE Arca
                         Building & Construction
                         Portfolio.
QABA..................  First Trust NASDAQ ABA    NASDAQ
                         Community Bank Index
                         Fund.
MXI...................  iShares Global Materials  NYSE Arca
                         ETF.
TDIV..................  First Trust NASDAQ        NASDAQ
                         Technology Dividend
                         Index Fund.
FDIS..................  Fidelity MSCI Consumer    NYSE Arca
                         Discretionary Index ETF.
AOA...................  iShares Core Aggressive   NYSE Arca
                         Allocation ETF.
FPX...................  First Trust US IPO Index  NYSE Arca
                         Fund.
FNDC..................  Schwab Fundamental        NYSE Arca
                         International Small Cap
                         Company index.
BSCJ..................  Guggenheim BulletShares   NYSE Arca
                         2019 Corporate Bond ETF.
AIA...................  iShares Asia 50 ETF.....  NASDAQ
GLTR..................  ETFS Physical Precious    NYSE Arca
                         Metal Basket Shares.
VONE..................  Vanguard Russell 1000...  NASDAQ
FSTA..................  Fidelity MSCI Consumer    NYSE Arca
                         Staples Index ETF.
BSCL..................  Guggenheim BulletShares   NYSE Arca
                         2021 Corporate Bond ETF.
FDT...................  First Trust Developed     NASDAQ
                         Markets ex-US AlphaDEX
                         Fund.
COMT..................  iShares Commodities       NASDAQ
                         Select Strategy ETF.
PUI...................  PowerShares DWA           NASDAQ
                         Utilities Momentum
                         Portfolio.
PSL...................  PowerShares DWA Consumer  NASDAQ
                         Staples Momentum
                         Portfolio.
MGC...................  Vanguard Mega Cap ETF...  NYSE Arca
JKG...................  iShares Morningstar Mid-  NYSE Arca
                         Cap ETF.
BSJH..................  Guggenheim BulletShares   NYSE Arca
                         2017 High Yield
                         Corporate Bond ETF.
MDYG..................  SPDR S&P 400 Mid          NYSE Arca
                         CapGrowth ETF.
URTH..................  iShares MSCI World ETF..  NYSE Arca
RDIV..................  Oppenheimer Ultra         NYSE Arca
                         Dividend Revenue ETF.
SLY...................  SPDR S&P 600 Small        NYSE Arca
                         CapETF.
SGG...................  iPath Bloomberg Sugar     NYSE Arca
                         Subindex Total Return
                         ETN.
BSJK..................  Guggenheim BulletShares   NYSE Arca
                         2020 High Yield
                         Corporate Bond ETF.
AOK...................  iShares Core              NYSE Arca
                         Conservative Allocation
                         ETF.
VIOO..................  Vanguard S&P Small-Cap    NYSE Arca
                         600 ETF.
BSJG..................  Guggenheim BulletShares   NYSE Arca
                         2016 High Yield
                         Corporate Bond ETF.
PCEF..................  PowerShares CEF Income    NYSE Arca
                         Composite Portfolio.
RWL...................  Oppenheimer Large Cap     NYSE Arca
                         Revenue ETF.
PWZ...................  PowerShares California    NYSE Arca
                         AMT-Free Municipal Bond
                         Portfolio.
JHML..................  John Hancock Multi-       NYSE Arca
                         Factor Large Cap ETF.
FLTB..................  Fidelity Ltd Term Bond    NYSE Arca
                         ETF.
MDYV..................  SPDR S&P 400 Mid Cap      NYSE Arca
                         Value ETF.
RYU...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Utilities ETF.
RGI...................  Guggenheim S&P 500 Equal  NYSE Arca
                         Weight Industrials ETF.
PALL..................  ETFS Physical Palladium   NYSE Arca
                         Shares.
XHS...................  SPDR S&P Health Care      NYSE Arca
                         Services ETF.
FBND..................  Fidelity Total Bond ETF.  NYSE Arca
DVYA..................  iShares Asia/Pacific      NYSE Arca
                         Dividend ETF.
CORN..................  Teucrium Corn Fund......  NYSE Arca
IVOO..................  Vanguard S&P Mid-Cap 400  NYSE Arca
                         ETF.
FIDU..................  Fidelity MSCI             NYSE Arca
                         Industrials Index ETF.
JKE...................  iShares Morningstar       NYSE Arca
                         Large-Cap Growth ETF.
EMHY..................  iShares Emerging Markets  Bats
                         High Yield Bond ETF.
IQDF..................  FlexShares International  NYSE Arca
                         Quality Dividend Index
                         Fund.
VOOV..................  Vanguard S&P 500 Value    NYSE Arca
                         ETF.
HEWU..................  iShares Currency Hedged   NYSE Arca
                         MSCI United Kingdom ETF.
FVC...................  First Trust Dorsey        NASDAQ
                         Wright Dynamic Focus 5
                         ETF.

[[Page 45936]]

 
SIVR..................  ETFS Physical Silver      NYSE Arca
                         Shares.
KOL...................  VanEck Vectors Coal ETF.  NYSE Arca
MLPA..................  Global X MLP ETF........  NYSE Arca
AGZ...................  iShares Agency Bond ETF.  NYSE Arca
EELV..................  PowerShares S&P Emerging  NYSE Arca
                         Markets Low Volatility
                         Portfolio.
TAN...................  Guggenheim Solar ETF....  NYSE Arca
IUSB..................  iShares Core Total USD    NYSE Arca
                         Bond Market ETF.
IVOV..................  Vanguard S&P Mid-Cap 400  NYSE Arca
                         Value ETF.
GBF...................  iShares Government/       NYSE Arca
                         Credit Bond ETF.
TLTD..................  FlexShares Morningstar    NYSE Arca
                         Developed Markets ex-US
                         Factor Tilt Index Fund.
SLQD..................  iShares 0-5 Year          NASDAQ
                         Investment Grade
                         Corporate Bond ETF.
CSM...................  ProShares Large Cap Core  Bats
                         Plus.
TDTF..................  FlexShares iBoxx 5-Year   NYSE Arca
                         Target Duration TIPS
                         Index Fund.
SOCL..................  Global X Social Media     NASDAQ
                         Index ETF.
SLVP..................  iShares MSCI Global       NYSE Arca
                         Silver Miners ETF.
QQEW..................  First Trust NASDAQ-100    NASDAQ
                         Equal Weighted Index
                         Fund.
FJP...................  First Trust Japan         NASDAQ
                         AlphaDEX Fund.
FEP...................  First Trust Europe        NASDAQ
                         AlphaDEX Fund.
BNO...................  United States Brent Oil   NYSE Arca
                         Fund LP.
AMZA..................  InfraCap MLP ETF........  NYSE Arca
MBG...................  SPDR Bloomberg Barclays   NYSE Arca
                         Mortgage Backed Bond
                         ETF.
IWY...................  iShares Russell Top 200   NYSE Arca
                         Growth ETF.
FLQE..................  Franklin LibertyQ         NYSE Arca
                         Emerging Markets ETF.
GMM...................  SPDR S&P Emerging         NYSE Arca
                         Markets ETF.
BSCM..................  Guggenheim BulletShares   NYSE Arca
                         2022 Corporate Bond ETF.
GREK..................  Global X MSCI Greece ETF  NYSE Arca
FMAT..................  Fidelity MSCI Materials   NYSE Arca
                         Index ETF.
HEEM..................  iShares Currency Hedged   NYSE Arca
                         MSCI Emerging Markets
                         ETF.
GEM...................  Goldman Sachs ActiveBeta  NYSE Arca
                         Emerging Markets Equity
                         ETF.
DBKO..................  Deutsche X-trackers MSCI  NYSE Arca
                         South Korea Hedged
                         Equity ETF.
ILTB..................  iShares Core 10+ Year     NYSE Arca
                         USD Bond ETF.
GSIE..................  Goldman Sachs ActiveBeta  NYSE Arca
                         International Equity
                         ETF.
LRGF..................  iShares FactorSelect      NYSE Arca
                         MSCI USA ETF.
NFRA..................  FlexShares STOXX Global   NYSE Arca
                         Broad Infrastructure
                         Index Fund.
AGGP..................  IQ Enhanced Core Plus     NYSE Arca
                         Bond U.S. ETF.
KXI...................  iShares Global Consumer   NYSE Arca
                         Staples ETF.
EDIV..................  SPDR S&P Emerging         NYSE Arca
                         Markets Dividend ETF.
IEZ...................  iShares U.S. Oil          NYSE Arca
                         Equipment & Services
                         ETF.
ZIV...................  VelocityShares Daily      NASDAQ
                         Inverse VIX Medium Term
                         ETN.
DTD...................  WisdomTree Total          NYSE Arca
                         Dividend Fund.
JJG...................  iPath Bloomberg Grains    NYSE Arca
                         Subindex Total Return
                         ETN.
------------------------------------------------------------------------

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 am ET)
    b. Regular (between 9:45 am ET and 3:35 pm ET)
    c. Closing (after 3:35 pm ET)
    d. Within five minutes of a Trading Pause re-open or IPO open
3. Track reasons for entering a Limit State, such as:
    a. Liquidity gap-price reverts from a Limit State Quotation and 
returns to trading within the Price Bands
    b. Broken trades
    c. Primary Listing Exchange manually declares a Trading Pause 
pursuant to Section (VII)(2) of the Plan
    d. Other
B. Determine (1), (2) and (3) for when a Trading Pause has been 
declared for an NMS Stock pursuant to the Plan.

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

A. Record of every Straddle State

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

B. Record of every Price Band

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

C. Record of every Limit State

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

D. Record of every Trading Pause or halt

1. Ticker, date, time entered, time exited, type of halt (i.e., 
regulatory halt, non-regulatory halt, Trading Pause pursuant to the 
Plan, other)
2. Pipe delimited with field names as first record

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

1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit 
State side

[[Page 45937]]

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

A. Assess the statistical and economic impact on liquidity of 
approaching Price Bands.

B. Assess the statistical and economic impact of the Price Bands on 
erroneous trades.

C. Assess the statistical and economic impact of the appropriateness 
of the Percentage Parameters used for the Price Bands.

D. Assess whether the Limit State is the appropriate length to allow 
for liquidity replenishment when a Limit State is reached because of 
a temporary liquidity gap.

E. Evaluate concerns from the options markets regarding the 
statistical and economic impact of Limit States on liquidity and 
market quality in the options markets. (Participants that operate 
options exchange should also prepare such assessment reports.)

F. Assess whether the process for entering a Limit State should be 
adjusted and whether Straddle States are problematic.

G. Assess whether the process for exiting a Limit State should be 
adjusted.

H. Assess whether the Trading Pauses are too long or short and 
whether the reopening procedures should be adjusted.
[FR Doc. 2017-20974 Filed 9-29-17; 8:45 am]
 BILLING CODE 8011-01-P