[Federal Register Volume 85, Number 56 (Monday, March 23, 2020)]
[Notices]
[Pages 16408-16428]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2020-06024]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-88406; File No. 4-631]


Joint Industry Plan; Notice of Filing of the Twentieth Amendment 
to the National Market System Plan To Address Extraordinary Market 
Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe 
EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, 
Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange 
LLC, Long-Term Stock Exchange, 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.

March 17, 2020.

I. Introduction

    On February 13, 2020, NYSE Group, Inc., on behalf of the following 
parties to the National Market System Plan to Address Extraordinary 
Market Volatility (``the Plan''): \1\ Cboe BZX Exchange, Inc., Cboe BYX 
Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., 
Chicago Stock Exchange, Inc., the Financial Industry Regulatory 
Authority, Inc. (``FINRA''), Investors Exchange LLC, Long-Term Stock 
Exchange (``LTSE''), NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock 
Market LLC (``Nasdaq''), New York Stock Exchange LLC (``NYSE''), NYSE 
Arca, Inc., NYSE National Inc., and NYSE American LLC (collectively, 
the ``Participants'') filed with the Securities and Exchange Commission 
(``Commission'') pursuant to Section 11A(a)(3) of the Securities 
Exchange Act of 1934 (``Exchange Act'') \2\ and Rule 608 thereunder,\3\ 
a proposal to amend the Plan (``Twentieth Amendment'').\4\ The proposal 
reflects changes unanimously approved by the Participants. The 
Twentieth Amendment proposes to: (i) Amend Section II.B of Appendix B, 
concerning the quarterly reports provided by the Operating Committee to 
the Commission; and amend the Plan to reflect the name change of the 
Chicago Stock Exchange, Inc. to NYSE Chicago, Inc. The Commission is 
publishing this notice to solicit comments from interested persons on 
the Twentieth Amendment.\5\
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    \1\ On May 31, 2012, the Commission approved the Plan, as 
modified by Amendment No. 1. See Securities Exchange Act Release No. 
67091, 77 FR 33498 (June 6, 2012) (File No. 4-631) (``Approval 
Order''). On February 20, 2013, the Commission noticed for immediate 
effectiveness the Second Amendment to the Plan. See Securities 
Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On 
April 3, 2013, the Commission approved the Third Amendment to the 
Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483 
(April 10, 2013). On August 27, 2013, the Commission noticed for 
immediate effectiveness the Fourth Amendment to the Plan. See 
Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3, 
2013). On September 26, 2013, the Commission approved the Fifth 
Amendment to the Plan. See Securities Exchange Act Release No. 
70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the 
Commission noticed for immediate effectiveness the Sixth Amendment 
to the Plan. See Securities Exchange Act Release No. 71247, 79 FR 
2204 (January 13, 2014). On April 3, 2014, the Commission approved 
the Seventh Amendment to the Plan. See Securities Exchange Act 
Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19, 
2015, the Commission approved the Eight Amendment to the Plan. See 
Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25, 
2015). On October 22, 2015, the Commission approved the Ninth 
Amendment to the Plan. See Securities Exchange Act Release No. 
76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the 
Commission approved the Tenth Amendment to the Plan. See Securities 
Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On 
August 26, 2016, the Commission noticed for immediate effectiveness 
the Eleventh Amendment to the Plan. See Securities Exchange Act 
Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19, 
2017, the Commission approved the Twelfth Amendment to the Plan. See 
Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26, 
2017). On April 13, 2017, the Commission approved the Thirteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the 
Commission noticed for immediate effectiveness the Fourteenth 
Amendment to the Plan. See Securities Exchange Act Release No. 
80549, 82 FR 20928 (May 4, 2017). On September 26, 2017, the 
Commission noticed for immediate effectiveness the Fifteenth 
Amendment to Plan. See Securities Exchange Act Release No. 81720, 82 
FR 45922 (October 2, 2017). On March 15, 2018, the Commission 
noticed for immediate effectiveness the Sixteenth Amendment to the 
Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414 
(March 21, 2018). On April 12, 2018, the Commission approved the 
Seventeenth Amendment to the Plan. See Securities Exchange Act 
Release No. 83044, 83 FR 17205 (April 18, 2018). On April 11, 2019, 
the Commission approved the Eighteenth Amendment to the Plan. See 
Securities Exchange Act Release No. 85623 (April 11, 2019), 84 FR 
16086 (April 17, 2019). On February 5, 2020, the Commission noticed 
for immediate effectiveness the Nineteenth Amendment to the Plan. 
See Securities Exchange Act Release No. 88122 (February 5, 2020), 85 
FR 7805 (February 11, 2020).
    \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 Vanessa Countryman, Secretary, 
Commission, dated February 13, 2020 (``Transmittal Letter'').
    \5\ 17 CFR 242.608.
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II. Description of the Plan

    Set forth in this Section II is the statement of the purpose and 
summary of the Eighteenth Amendment, along with the information 
required by Rule 608(a)(4) and (5) under the Exchange Act,\6\ 
substantially prepared and submitted by the Participants to the 
Commission.\7\
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    \6\ See 17 CFR 242.608(a)(4) and (a)(5).
    \7\ See Transmittal Letter, supra note 4. The statement of the 
purpose and summary of the amendment and the information required by 
Rule 608(a)(4) and (5) is reproduced verbatim from the Transmittal 
Letter unless otherwise noted; cross-references have been revised to 
conform with the footnote sequencing of this notice.
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A. Statement of Purpose and Summary of the Plan Amendment

    The Participants filed the Plan with the Commission on April 5, 
2011 to create a market-wide limit up-limit down mechanism intended to 
address extraordinary market volatility in NMS Stocks, as defined in 
Rule 600(b)(47) of Regulation NMS under the Exchange Act.\8\ The Plan 
sets forth procedures that provide for market-wide limit up-limit down 
requirements to prevent trades in individual NMS Stocks from occurring 
outside of the specified Price Bands. These limit up-limit down 
requirements are coupled with Trading Pauses, as defined in Section 
I(Y) of the Plan, to accommodate more fundamental price moves. In 
particular, the Participants adopted this Plan to address extraordinary 
volatility in the securities markets, i.e., significant fluctuations in 
individual securities' prices over a short period of time, such as 
those experienced during the ``Flash Crash'' on the afternoon of May 6, 
2010.
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    \8\ 17 CFR 242.600(b)(47).
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    As detailed above, the Plan was amended numerous times between 2011

[[Page 16409]]

and 2019. On April 11, 2019, the Commission approved the eighteenth 
amendment to the Plan,\9\ which transitioned the Plan from operating on 
a pilot to a permanent basis. The eighteenth amendment included changes 
to the Plan's Appendix B, ``Data and Reporting,'' which revised the 
Participants' requirements to report data about the Plan's ongoing 
operation to the Commission. Under the eighteenth amendment, the Plan 
requires the Participants to provide to the Commission an annual report 
assessing the Plan's performance, quarterly reports providing basic 
statistics, and ad hoc reports that may be requested by the Commission 
following significant market events.
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    \9\ See Securities Exchange Act Release No. 85623 (April 11, 
2019), 84 FR 16086 (April 17, 2019) (File No. 4-631).
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    Section II.B of Appendix B (``Appendix B.II.B'') concerns the 
quarterly reports to be provided to the Commission. Appendix B.II.B 
currently provides that 30 days following the end of each calendar 
quarter, the Operating Committee shall provide the Commission and make 
publicly available a report including basic statistics regarding the 
Plan's operation (``Monitoring Report'') during the preceding calendar 
quarter as well as aggregated data from the previous 12 quarters 
beginning with the calendar quarter covered by the first Monitoring 
Report. Appendix B.II.B requires the Monitoring Report to include data 
on the number and rate of recurrence of Limit States, Straddle States, 
and Trading Pauses for each month during the calendar quarter, as well 
as the performance of reopening procedures following a Trading Pause. 
Appendix B.II.B also currently provides that the Monitoring Report will 
include data on the number of Clearly Erroneous Executions that occur 
during the preceding calendar quarter. In addition, Appendix B.II.B 
currently states that the data in the Monitoring Report should be 
partitioned by ``category'' (i.e., type of issue and price range), as 
well as by the ``time of day'' of the event. \10\
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    \10\ In several places in the Notice describing the Monitoring 
Report requirements, the Participants state that they ``should'' do 
certain things or provide certain data. The Commission notes that 
LULD Plan requires the Participants to meet such obligations and 
they are not voluntary on the part of the Participants. Therefore, 
in instances where the Notice states that the Participants 
``should'' include something in the Monitoring Report, the 
Commission notes that the LULD Plan requires that the data be 
provided.
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    The Participants now propose to amend Appendix B.II.B in order to 
improve the clarity and transparency of the quarterly reporting 
requirements. The Participants also propose to make a non-substantive 
amendment to the Plan to reflect the name change of Chicago Stock 
Exchange, Inc., to NYSE Chicago, Inc.
1. Proposal To Improve Clarity and Transparency of Appendix B.II.B
    The Participants propose to amend Appendix B.II.B to improve its 
clarity and transparency by revising and supplementing the current 
language. In preparing to compile and aggregate the data required for 
the first quarterly report, the Participants determined that the 
language of Appendix B.II.B could be improved by, among other things: 
(a) Emphasizing from the outset that the data should be aggregated 
across primary listing exchanges, (b) specifying the specific 
partitions that should be applied to each data point, (c) specifying 
the specific distribution statistics that should be applied to each 
data point, and (d) providing additional clarity as to what Reopening 
data should be included.
    The Participants emphasize that the intention of this amendment is 
not to substantively change the requirements in Appendix B.II.B, but to 
amend the language of Appendix B.II.B to give more complete directions 
as to the information that should be included in the quarterly 
Monitoring Reports.
a. Data Aggregated Across Primary Listing Exchanges
    The opening paragraph of Appendix B.II.B currently refers to 
``aggregate data,'' but is not clear that the data for the quarterly 
Monitoring Report should be aggregated across primary listing 
exchanges, as opposed to aggregated in some other fashion. The 
Participants propose to amend this paragraph to make clear that the 
quarterly Monitoring Report will include basic statistics aggregated 
across primary listing exchanges regarding the Plan's operation during 
the preceding calendar quarter, as well as data aggregated across 
exchanges from the previous 12 quarters beginning with the calendar 
covered by the first Monitoring Report.
b. Specific Partitions To Apply to Each Data Category
    Appendix B.II.B currently contains provisions entitled ``Partition 
stocks by category'' and ``Partition by time of day.'' The Participants 
propose to replace this text to specify more clearly (i) which 
partitions apply to the data for Limit States, Trading Pauses, Straddle 
States, and Clearly Erroneous Events, and which partitions apply to the 
data for Reopenings, which differ; (ii) the 18 different category 
partitions that apply to the data for Limit States, Trading Pauses, 
Straddle States, and Clearly Erroneous Events; (iii) the specific time-
frames covered by each time-of-day partition; and (iv) that the data 
provided for Reopenings must take into account the differences between 
manual and automated reopenings.
    First, in preparing to compile the data required for the first 
quarterly report, the Participants determined that the partitions 
listed in the current Appendix B.II.B reasonably apply to the data for 
Limit States, Trading Pauses, Straddle States, and Clearly Erroneous 
Events, and that the Reopenings data requires different partitions. The 
Participants therefore propose to restructure Appendix B.II.B into two 
subsections, each with their own ``Definitions'' section that specifies 
the partitions that would be applicable to that subsection. 
Specifically, proposed Appendix B.II.B.1.a would define the partitions 
that would apply to data about Limit States, Trading Pauses, Straddle 
States, and Clearly Erroneous Events, and proposed Appendix B.II.B.2.a 
would define the partitions that would apply to data about Reopenings.
    Second, the current version of Appendix B.II.B. lists only eight 
separate ``categories'' into which securities should be partitioned, 
but the full language of that provision indicates that 18 categories 
are actually intended. Appendix B.II.B currently lists the first three 
categories as ``Tier 1 non-ETP issues > $3.00,'' ``Tier 1 non-ETP >= 
$0.75 and <= $3.00,'' and ``Tier 1 non-ETP issues < $0.75,'' and then 
lists five other categories of securities that should also be divided 
``in each of the above categories.'' The Participants understand this 
language to mean that each of the six categories of securities listed--
that is, Tier 1 non-ETPs, Tier 1 non-leveraged ETPs, Tier 1 leveraged 
ETPs, Tier 2 non-ETPs, Tier 2 non-leveraged ETPs, and Tier 2 leveraged 
ETPs--should each be further subdivided into three subcategories: 
Greater than $3.00, between $0.75 and $3.00, and less than $0.75. As 
such, the Participants propose to clearly list in the amended Appendix 
B.II.B.1.a.i all 18 of the categories of securities into which the 
Limit State, Trading Pause, Straddle State, and Clearly Erroneous 
Events data should be partitioned:

(1) Tier 1 non-ETP securities > $3.00
(2) Tier 1 non-ETP securities >= $0.75 and <= $3.00
(3) Tier 1 non-ETP securities < $0.75
(4) Tier 1 non-leveraged ETPs > $3.00
(5) Tier 1 non-leveraged ETPs >= $0.75 and <= $3.00

[[Page 16410]]

(6) Tier 1 non-leveraged ETPs < $0.75
(7) Tier 1 leveraged ETPs > $3.00
(8) Tier 1 leveraged ETPs >= $0.75 and <= $3.00
(9) Tier 1 leveraged ETPs < $0.75
(10) Tier 2 non-ETPs > $3.00
(11) Tier 2 non-ETPs >= $0.75 and <= $3.00
(12) Tier 2 non-ETPs < $0.75
(13) Tier 2 non-leveraged ETPs > $3.00
(14) Tier 2 non-leveraged ETPs >= $0.75 and <= $3.00
(15) Tier 2 non-leveraged ETPs < $0.75
(16) Tier 2 leveraged ETPs > $3.00
(17) Tier 2 leveraged ETPs >= $0.75 and <= $3.00
(18) Tier 2 leveraged ETPs < $0.75

    Third, the current Appendix B.II.B.3 states that the ``time of 
day'' partitions are ``Opening (prior to 9:45 a.m. ET),'' ``Regular 
(between 9:45 a.m. ET and 3:35 p.m. ET),'' ``Closing (after 3:35 p.m. 
ET),'' and ``Within five minutes of a Trading Pause re-open or IPO 
open.'' These partitions, however, assume that all trading days are 
full trading days, and do not account for partial trading days where 
the markets are scheduled to close early, such as the day after 
Thanksgiving and December 24. The Participants accordingly propose to 
amend Appendix B.II.B to add new subsection 1.a.ii, to specify that 
``Time of Day'' means the following time spans:

(1) Opening (prior to 9:45 a.m. ET)
(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of 
core trading hours)
(3) Closing (the last 25 minutes of core trading hours)
(4) Within five minutes of a Trading Pause reopen or IPO open

    Fourth, the current Appendix B.II.B does not include any language 
partitioning Reopenings data between manual and automated 
reopenings.\11\ The Participants accordingly propose to amend Appendix 
B.II.B to add new subsection 2.a.i requiring that they partition 
Reopening data by whether the reopening is manual or automated. The 
Participants also propose to add new subsection 2.a.iii, to require 
that the data for Reopenings be partitioned by the ``Length of the 
Trading Pause,'' which would be defined as:
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    \11\ For purposes of Appendix B, a reopening is considered 
``manual'' if it is facilitated by a member of an exchange (such as 
a Designated Market Maker on NYSE) that has obligations under that 
exchange's rules to facilitate the reopening process. (All 
reopenings on NYSE are manual.)
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     Less than 6 minutes (for manual reopenings) or no 
extensions of the Trading Pause (for automated reopenings);
     6 to 10 minutes (for manual reopenings) or one extension 
of the Trading Pause (for automated reopenings);
     more than 10 minutes (for manual reopenings) or more than 
one extension of the Trading Pause (for automated reopenings).
c. Specific Distribution Statistics To Apply to Each Data Category for 
Limit States, Trading Pauses, Straddle States, and Clearly Erroneous 
Events
    The current Appendix II.B.II states in general terms that the 
Monitoring Report should include data on the ``[n]umber of Limit 
States, Trading Pauses, and Straddle States per day, including 
distribution statistics such as the mean, median, minimum and maximum 
percentiles,'' and the ``[n]umber of NMS Stocks that experience more 
than one Limit State, Trading Pause, or Straddle State in a single day 
including the length of each Limit State, Trading Pause, and Straddle 
State per day.'' The current version also states generally that 
Participants should ``[P]artition stocks by category'' and 
``[P]artition by time of day,'' even though such partitions do not 
reasonably apply to every data set required to be supplied in the 
Monitoring Report.
    The Participants propose to add clarity to these reporting 
requirements by amending Appendix B.II.B to specify the precise 
distribution statistics and partitions to apply to each data request. 
Accordingly, the Participants propose to amend Appendix B.II.B.1.b 
clarify that the Monitoring Report would include:
For Limit States
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Limit States per day, broken 
out by Category and Time of Day.
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that experienced 
more than one Limit State on a single day, broken out by Category.
     Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the number of Limit States 
experienced per day by individual NMS Stocks that had more than one 
Limit State on a single day, broken out by Category.
     Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the total length of Limit States 
experienced per day by individual NMS Stocks that had more than one 
Limit State on a single day, broken out by Category.
For Trading Pauses
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Trading Pauses per day, 
broken out by Category and Time of Day.
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that experienced 
more than one Trading Pause on a single day, broken out by Category.
     Monthly distribution statistics (mean, median, 90th 
percentile, and maximum) on the number of Trading Pauses per day 
experienced by individual NMS Stocks having more than one Trading Pause 
on a single day, broken out by Category.
For Straddle States
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Straddle States per day, 
broken out by Category and Time of Day.
     Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that experienced 
more than one Straddle State on a single day, broken out by Category.
     Monthly distribution statistics (mean, median, 90th 
percentile, and 99.9th percentile) on the total time spent in a 
Straddle State per day for individual NMS Stocks experiencing one or 
more Straddle States on a single day, broken out by Category
For Clearly Erroneous Events
     The number of Clearly Erroneous Events per day for all NMS 
Stocks that occurred during the time when Price Bands re disseminated 
by the Processor, broken out by Category and Time of Day.
d. Additional Clarity on Reopening Data
    Finally, regarding Reopening data, Appendix B.II.B currently states 
that the Monitoring Report should include the ``[n]umber of times an 
automated reopening process is extended for and the length of the 
Trading Pause,'' ``[w]hether the reopening process ended in a trade,'' 
``[t]he price calculated by an automated reopening process for an NMS 
Stock existing a Trading Pause,'' and ``[f]or the five minutes 
following the conclusion of a Trading Pause, the highest price of all 
last sale eligible trades, the lowest price of all last sale eligible 
trades, and the average price of all last sale eligible trades.''
    These provisions, however, do not specify the specific distribution 
statistics or partitions that the Participants should apply to any of

[[Page 16411]]

these data requests. Additionally, the Participants believe that the 
quality and utility of the Monitoring Report will be enhanced if they 
supply additional information about Reopening statistics, including how 
the Trading Pause ended (whether in a trade, a quote, or a potential 
closing auction), whether the Trading Pause was preceded by a Limit Up 
state versus a Limit Down state, and the percentage price change 
between the price that triggered the Trading Pause and the reopening 
price on exiting the Trading Pause.
    Accordingly, the Participants propose to amend the provisions in 
Appendix B.II.B pertaining to Reopenings to specify that the Monitoring 
Report should include:
     The number of Trading Pauses per month, broken out by (a) 
Type of Reopening, (b) Category, and (c) Length of the Trading Pause.
     Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the duration of each Trading Pause, 
broken out by (a) Type of Reopening and (b) Category.
     The number of Trading Pauses ending in a (a) trade; (b) 
quote; and (c) potential closing auction, broken out by (i) Type of 
Reopening, (ii) Category, and (iii) Length of Trading Pause.
     For Trading Pauses in NMS Stocks preceded by a Limit Up 
state, monthly distribution statistics (mean, median, 90th percentile, 
and 99th percentile) on the percentage price change from the Limit Up 
pricing that triggered the Trading Pause to the reopening price on 
exiting the Trading Pause (i.e., the reopening trade or midpoint 
price), broken out by (a) Category and (b) whether the Trading Pause 
ended in a trade or (c) in a quote (i.e., the reopening price was a 
midpoint).
     For Trading Pauses in NMS Stocks preceded by a Limit Down 
state, monthly distribution statistics (mean, median, 90th percentile, 
and 99th percentile) on the percentage price change from the Limit Down 
pricing that triggered the Trading Pause to the reopening price on 
exiting the Trading Pause (i.e., the reopening trade or midpoint 
price), broken out by (a) Category and (b) whether the Trading Pause 
ended in a trade or (c) in a quote (i.e., the reopening price was a 
midpoint).
     For Trading Pauses in NMS Stocks where the reopening 
process ended in a trade or quote (with resulting reference price equal 
to the midpoint of that quote), monthly distribution statistics (mean, 
median, 90th percentile, and 99th percentile) on the percentage price 
change from the reopening price on exiting the Trading Pause (i.e., the 
reopening trade or midpoint price) to (a) the highest price of all last 
sale eligible trades, (b) the lowest price of all last sale eligible 
trades; and (c) the trade-weighted average price of all last sale 
eligible trades for the five minutes following the conclusion of the 
Trading Pause, broken out by (i) Category, (ii) whether the Trading 
Pause was preceded by a Limit Up state or (iii) a Limit Down state, and 
(iv) whether the Trading Pause ended in a trade or (v) in a quote 
(i.e., the reopening price was a midpoint).
    The Participants believe that the proposed amendments described 
above will enhance clarity, improve transparency, and provide direction 
to the Participants in compiling and aggregating the data required in 
the quarterly Monitoring Reports.
2. Proposal To Change Name of Chicago Stock Exchange, Inc. to NYSE 
Chicago, Inc.
    The Participants also propose to make a non-substantive amendment 
to the Plan to reflect the name change of Chicago Stock Exchange, Inc. 
to NYSE Chicago, Inc., and the change of its address from 440 South 
LaSalle Street, Chicago, Illinois 60605 to 11 Wall Street, New York, 
New York, 10005.
    On October 18, 2018, the Chicago Stock Exchange, Inc. filed a 
proposed rule change for immediate effectiveness to amend, among other 
things, its rules to reflect the change of its name to NYSE Chicago, 
Inc.\12\
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    \12\ See Securities Exchange Act Release No. 84494 (October 26, 
2018), 83 FR 54953 (November 1, 2018) (SR-CHX-2018-05).
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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 this proposed amendment to 
the Plan.

C. Implementation of Amendment

    The Participants are filing this proposed amendment pursuant to 
Rule 608(b)(1) of Regulation NMS under the Exchange Act.\13\
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    \13\ 17 CFR 242.608.
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D. Development and Implementation Phases

    The Plan has been fully implemented, and the amendments proposed 
herein are immediately effective, as noted above.\14\
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    \14\ The Commission notes that the Exchanges incorrectly stated 
in the Transmittal Letter, supra note 4, that the proposed 
amendments are effective upon filing. These amendments are being 
proposed pursuant to Rule 608(b)(1) of Regulation NMS under the 
Exchange Act, and the Commission is publishing the proposed 
amendments for public comment as required by Rule 608(b)(1). The 
Commission may approve these proposed amendments if it finds that 
they are consistent with the standards articulated in Rule 608(b)(2) 
of Regulation NMS.
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E. Analysis of Impact on Competition

    The Participants believe that the proposed amendment does not 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Securities Exchange Act of 1934 
(``Exchange Act''). The proposed amendments to Appendix B.II.B of the 
Plan pertain to the obligations of the Participants and the Operating 
Committee to provide periodic reports to the Commission about the 
Plan's ongoing operation. As such, they do not apply directly to any 
market participants and would not impose a competitive burden on one 
category of market participant in favor of another category of market 
participant. For the same reasons, 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.

G. Approval of Amendment of the Plan

    Each of the Participants has approved the amendment in accordance 
with Section III(C) of the Plan. Specifically, on February 12, 2020, 
the Operating Committee, duly constituted and chaired by Mr. Robert 
Books of Cboe Global Markets, Inc., voted unanimously to amend the Plan 
as set forth herein. The Participants also received and incorporated 
feedback from the Plan Advisory Committee in preparing this proposal.

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.

[[Page 16412]]

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

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

J. Method and Frequency of Processor Evaluation

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

K. Dispute Resolution

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

III. Solicitation of Comments

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

Electronic Comments

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

Paper Comments

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

All submissions should refer to File Number 4-631.This file number 
should be included on the subject line if email is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed plan amendment that are filed 
with the Commission, and all written communications relating to the 
amendment between the Commission and any person, other than those that 
may be withheld from the public in accordance with the provisions of 5 
U.S.C. 552, will be available for website viewing and printing in the 
Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549, on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of such filing also will be available for inspection 
and copying at the Participants' offices. All comments received will be 
posted without change. Persons submitting comments are cautioned that 
we do not redact or edit personal identifying information from comment 
submissions. You should submit only information that you wish to make 
available publicly. All submissions should refer to File Number 4-631 
and should be submitted on or before April 13, 2020.

    By the Commission.
J. Matthew DeLesDernier,
Assistant Secretary.

Exhibit A

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

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

Table of Contents

 
 
 
                             Section                               Page
Preamble........................................................       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........................................      15
X. Counterparts and Signatures..................................      15
Appendix A--Percentage Parameters...............................      17
Appendix A--Schedule 1..........................................      19
Appendix B--Data and Reporting..................................      37
 

Preamble

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

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange. 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.

[[Page 16413]]

    (N) ``Price Bands'' shall have the meaning provided in Section V of 
the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been listed 
the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor responsible 
for the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning provided 
in Section V(A)(2) of the Plan.
    (R) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (S) ``Regular Trading Hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes 
of the Plan, Regular Trading Hours can end earlier than 4:00 p.m. ET in 
the case of an early scheduled close.
    (T) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (U) ``Reopening Price'' shall mean the price of a transaction that 
reopens trading on the Primary Listing Exchange following a Trading 
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens 
with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in Section 
VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in Section 
V of the Plan.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:

(1) Cboe BZX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(2) Cboe BYX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(3) Cboe EDGA Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
(4) Cboe EDGX Exchange, Inc., 400 South LaSalle Street, Chicago, 
Illinois 60605
[(5) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, 
Illinois 60605]
(5[6]) Financial Industry Regulatory Authority, Inc., 1735 K Street NW, 
Washington, DC 20006
(6[7]) Investors Exchange LLC, 4 World Trade Center, 44th Floor, New 
York, New York 10007
(7[8]) NASDAQ BX, Inc., One Liberty Plaza, New York, New York 10006
(8[9]) NASDAQ PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 
19103
(9[10]) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New 
York, NY 10006
(10[1]) NYSE National, Inc., 11 Wall Street, New York, NY 10005
(11[2]) New York Stock Exchange LLC, 11 Wall Street, New York, New York 
10005
(12[3]) NYSE American LLC, 11 Wall Street, New York, New York 10005
(13[4]) NYSE Arca, Inc., 11 Wall Street, New York, New York 10005
(14) NYSE Chicago, Inc., 11 Wall Street, New York, New York 10005

(B) Compliance Undertaking

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

(C) New Participants

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

(D) Advisory Committee

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

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

[[Page 16414]]

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 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 for (i) all Tier 1 NMS Stocks and 
(ii) Tier 2 NMS Stocks priced equal to or below $3.00. 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, 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.

[[Page 16415]]

    (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

[[Page 16416]]

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.

IX. Withdrawal From Plan

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

X. Counterparts and Signatures

    The Plan may be executed in any number of counterparts, no one of 
which need contain all signatures of all Participants, and as many of 
such counterparts as shall together contain all such signatures shall 
constitute one and the same instrument.
    IN WITNESS THEREOF, this Plan has been executed as of the __day of 
November 2019 [2018] by each of the parties hereto.

Cboe BZX EXCHANGE, INC.

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

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

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

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

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

BY:--------------------------------------------------------------------
NYSE American LLC

BY:--------------------------------------------------------------------
NYSE CHICAGO, INC.

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

BY:--------------------------------------------------------------------
Cboe 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[,] and 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 2, 2020]
------------------------------------------------------------------------
         Ticker                   ETP name                Exchange
------------------------------------------------------------------------
SPY.....................  SPDR S&P 500 ETF Trust..  NYSE Arca.
QQQ.....................  Invesco QQQ Trust.......  NASDAQ.
IWM.....................  iShares Russell 2000 ETF  NYSE Arca.
EEM.....................  iShares MSCI Emerging     NYSE Arca.
                           Markets ETF.
GDX.....................  VanEck Vectors Gold       NYSE Arca.
                           Miners ETF.
HYG.....................  iShares iBoxx $ High      NYSE Arca.
                           Yield Corporate Bond
                           ETF.
EFA.....................  iShares MSCI EAFE ETF...  NYSE Arca.
TLT.....................  iShares 20+ Year          NASDAQ.
                           Treasury Bond ETF.
GLD.....................  SPDR Gold Trust.........  NYSE Arca.
XLF.....................  Financial Select Sector   NYSE Arca.
                           SPDR Fund.

[[Page 16417]]

 
LQD.....................  iShares iBoxx $           NYSE Arca.
                           Investment Grade
                           Corporate Bond ETF.
IVV.....................  iShares Core S&P 500 ETF  NYSE Arca.
XLU.....................  Utilities Select Sector   NYSE Arca.
                           SPDR Fund.
EWZ.....................  iShares MSCI Brazil ETF.  NYSE Arca.
FXI.....................  iShares China Large-Cap   NYSE Arca.
                           ETF.
XLE.....................  Energy Select Sector      NYSE Arca.
                           SPDR Fund.
XLK.....................  Technology Select Sector  NYSE Arca.
                           SPDR Fund.
XLV.....................  Health Care Select        NYSE Arca.
                           Sector SPDR Fund.
VXX.....................  iPath Series B S&P 500    Cboe BZX.
                           VIX Short-Term Futures
                           ETN.
XLI.....................  Industrial Select Sector  NYSE Arca.
                           SPDR Fund.
XLP.....................  Consumer Staples Select   NYSE Arca.
                           Sector SPDR Fund.
DIA.....................  SPDR Dow Jones            NYSE Arca.
                           Industrial Average ETF
                           Trust.
VOO.....................  Vanguard S&P 500 ETF....  NYSE Arca.
IEMG....................  iShares Core MSCI         NYSE Arca.
                           Emerging Markets ETF.
IYR.....................  iShares U.S. Real Estate  NYSE Arca.
                           ETF.
GDXJ....................  VanEck Vectors Junior     NYSE Arca.
                           Gold Miners ETF.
JNK.....................  SPDR Bloomberg Barclays   NYSE Arca.
                           High Yield Bond ETF.
XOP.....................  SPDR S&P Oil & Gas        NYSE Arca.
                           Exploration &
                           Production ETF.
SMH.....................  VanEck Vectors            NASDAQ.
                           Semiconductor ETF.
IEF.....................  iShares 7-10 Year         NASDAQ.
                           Treasury Bond ETF.
VWO.....................  Vanguard FTSE Emerging    NYSE Arca.
                           Markets ETF.
IEFA....................  iShares Core MSCI EAFE    Cboe BZX.
                           ETF.
AGG.....................  iShares Core U.S.         NYSE Arca.
                           Aggregate Bond ETF.
VNQ.....................  Vanguard Real Estate ETF  NYSE Arca.
EMB.....................  iShares JP Morgan USD     NASDAQ.
                           Emerging Markets Bond
                           ETF.
XLY.....................  Consumer Discretionary    NYSE Arca.
                           Select Sector SPDR Fund.
VTI.....................  Vanguard Total Stock      NYSE Arca.
                           Market ETF.
XBI.....................  SPDR S&P BIOTECH ETF....  NYSE Arca.
EWJ.....................  iShares MSCI Japan ETF..  NYSE Arca.
MDY.....................  SPDR S&P Midcap 400 ETF   NYSE Arca.
                           Trust.
VEA.....................  Vanguard FTSE Developed   NYSE Arca.
                           Markets ETF.
XLB.....................  Materials Select Sector   NYSE Arca.
                           SPDR Fund.
KRE.....................  SPDR S&P Regional         NYSE Arca.
                           Banking ETF.
SLV.....................  iShares Silver Trust....  NYSE Arca.
USO.....................  United States Oil Fund    NYSE Arca.
                           LP.
IAU.....................  iShares Gold Trust......  NYSE Arca.
USMV....................  iShares Edge MSCI Min     Cboe BZX.
                           Vol USA ETF.
IBB.....................  iShares NASDAQ            NASDAQ.
                           Biotechnology ETF.
BND.....................  Vanguard Total Bond       NASDAQ.
                           Market ETF.
IJR.....................  iShares Core S&P Small    NYSE Arca.
                           Cap ETF.
SHV.....................  iShares Short Treasury    NASDAQ.
                           Bond ETF.
IWD.....................  iShares Russell 1000      NYSE Arca.
                           Value ETF.
SPLV....................  Invesco S&P 500 Low       NYSE Arca.
                           Volatility ETF.
IWF.....................  iShares Russell 1000      NYSE Arca.
                           Growth ETF.
XRT.....................  SPDR S&P Retail ETF.....  NYSE Arca.
EWY.....................  iShares MSCI South Korea  NYSE Arca.
                           ETF.
MCHI....................  iShares MSCI China ETF..  NASDAQ.
ACWI....................  iShares MSCI ACWI ETF...  NASDAQ.
VCIT....................  Vanguard Intermediate-    NASDAQ.
                           Term Corporate Bond ETF.
AMLP....................  Alerian MLP ETF.........  NYSE Arca.
SHY.....................  iShares 1-3 Year          NASDAQ.
                           Treasury Bond ETF.
VGK.....................  Vanguard FTSE Europe ETF  NYSE Arca.
BIL.....................  SPDR Bloomberg Barclays   NYSE Arca.
                           1-3 Month T-Bill ETF.
EZU.....................  iShares MSCI Eurozone     Cboe BZX.
                           ETF.
IJH.....................  iShares Core S&P Mid-Cap  NYSE Arca.
                           ETF.
XLRE....................  Real Estate Select        NYSE Arca.
                           Sector SPDR Fund.
XLC.....................  Communication Services    NYSE Arca.
                           Select Sector SPDR Fund.
IWB.....................  iShares Russell 1000 ETF  NYSE Arca.
EWT.....................  iShares MSCI Taiwan ETF.  NYSE Arca.
TIP.....................  iShares TIPS Bond ETF...  NYSE Arca.
MTUM....................  iShares Edge MSCI USA     Cboe BZX.
                           Momentum Factor ETF.
RSX.....................  VanEck Vectors Russia     Cboe BZX.
                           ETF.
VTV.....................  Vanguard Value ETF......  NYSE Arca.
INDA....................  iShares MSCI India ETF..  Cboe BZX.
PFF.....................  iShares Preferred &       NASDAQ.
                           Income Securities ETF.
EWH.....................  iShares MSCI Hong Kong    NYSE Arca.
                           ETF.
VT......................  Vanguard Total World      NYSE Arca.
                           Stock ETF.
MBB.....................  iShares MBS ETF.........  NASDAQ.
IGV.....................  iShares Expanded Tech-    Cboe BZX.
                           Software Sector ETF.
BSV.....................  Vanguard Short-Term Bond  NYSE Arca.
                           ETF.
SVXY....................  ProShares Short VIX       NYSE Arca.
                           Short-Term Futures ETF.

[[Page 16418]]

 
BKLN....................  Invesco Senior Loan ETF.  NYSE Arca.
VIG.....................  Vanguard Dividend         NYSE Arca.
                           Appreciation ETF.
OIH.....................  VanEck Vectors Oil        NYSE Arca.
                           Services ETF.
EWW.....................  iShares MSCI Mexico ETF.  NYSE Arca.
VEU.....................  Vanguard FTSE All-World   NYSE Arca.
                           ex-US Index Fund.
VCSH....................  Vanguard Short-Term       NASDAQ.
                           Corporate Bond ETF.
SH......................  ProShares Short S&P500..  NYSE Arca.
IEI.....................  iShares 3-7 Year          NASDAQ.
                           Treasury Bond ETF.
GOVT....................  iShares U.S. Treasury     Cboe BZX.
                           Bond ETF.
SOXX....................  iShares PHLX              NASDAQ.
                           Semiconductor ETF.
VGT.....................  Vanguard Information      NYSE Arca.
                           Technology ETF.
BNDX....................  Vanguard Total            NASDAQ.
                           International Bond ETF.
ASHR....................  Xtrackers Harvest CSI     NYSE Arca.
                           300 China A-Shares ETF.
ITOT....................  iShares Core S&P Total    NYSE Arca.
                           U.S. Stock Market ETF.
IWO.....................  iShares Russell 2000      NYSE Arca.
                           Growth ETF.
VUG.....................  Vanguard Growth ETF.....  NYSE Arca.
JPST....................  JPMorgan Ultra-Short      Cboe BZX.
                           Income ETF.
IWN.....................  iShares Russell 2000      NYSE Arca.
                           Value ETF.
MINT....................  PIMCO Enhanced Short      NYSE Arca.
                           Maturity Active ETF.
VYM.....................  Vanguard High Dividend    NYSE Arca.
                           Yield Index ETF.
ITB.....................  iShares U.S. Home         Cboe BZX.
                           Construction ETF.
FEZ.....................  SPDR EURO STOXX 50 ETF..  NYSE Arca.
QUAL....................  iShares Edge MSCI USA     Cboe BZX.
                           Quality Factor ETF.
EWG.....................  iShares MSCI Germany ETF  NYSE Arca.
MUB.....................  iShares National Muni     NYSE Arca.
                           Bond ETF.
IVE.....................  iShares S&P 500 Value     NYSE Arca.
                           ETF.
SCHF....................  Schwab International      NYSE Arca.
                           Equity ETF.
VXUS....................  Vanguard Total            NASDAQ.
                           International Stock ETF.
XHB.....................  SPDR S&P Homebuilders     NYSE Arca.
                           ETF.
AAXJ....................  iShares MSCI All Country  NASDAQ.
                           Asia ex Japan ETF.
EWU.....................  iShares MSCI United       NYSE Arca.
                           Kingdom ETF.
IVW.....................  iShares S&P 500 Growth    NYSE Arca.
                           ETF.
KBE.....................  SPDR S&P Bank ETF.......  NYSE Arca.
VO......................  Vanguard Mid-Cap ETF....  NYSE Arca.
VB......................  Vanguard Small-Cap ETF..  NYSE Arca.
EMLC....................  VanEck Vectors J.P.       NYSE Arca.
                           Morgan EM Local
                           Currency Bond ETF.
SCHX....................  Schwab U.S. Large-Cap     NYSE Arca.
                           ETF.
IGSB....................  iShares Short-Term        NASDAQ.
                           Corporate Bond ETF.
ACWX....................  iShares MSCI ACWI ex      NASDAQ.
                           U.S. ETF.
PSQ.....................  ProShares Short QQQ.....  NYSE Arca.
FLOT....................  iShares Floating Rate     Cboe BZX.
                           Bond ETF.
IGIB....................  iShares Intermediate-     NASDAQ.
                           Term Corporate Bond ETF.
SJNK....................  SPDR Bloomberg Barclays   NYSE Arca.
                           Short Term High Yield
                           Bond ETF.
UNG.....................  United States Natural     NYSE Arca.
                           Gas Fund LP.
XME.....................  SPDR S&P Metals & Mining  NYSE Arca.
                           ETF.
BIV.....................  Vanguard Intermediate-    NYSE Arca.
                           Term Bond ETF.
NEAR....................  iShares Short Maturity    Cboe BZX.
                           Bond ETF.
DXJ.....................  WisdomTree Japan Hedged   NYSE Arca.
                           Equity Fund.
VIXY....................  ProShares VIX Short-Term  NYSE Arca.
                           Futures ETF.
KWEB....................  KraneShares CSI China     NYSE Arca.
                           Internet ETF.
IWR.....................  iShares Russell Midcap    NYSE Arca.
                           ETF.
EFAV....................  iShares Edge MSCI Min     Cboe BZX.
                           Vol EAFE ETF.
EWC.....................  iShares MSCI Canada ETF.  NYSE Arca.
IXUS....................  iShares Core MSCI Total   NASDAQ.
                           International Stock ETF.
EWA.....................  iShares MSCI Australia    NYSE Arca.
                           ETF.
RSP.....................  Invesco S&P 500 Equal     NYSE Arca.
                           Weight ETF.
DGRO....................  iShares Core Dividend     NYSE Arca.
                           Growth ETF.
FDN.....................  First Trust Dow Jones     NYSE Arca.
                           Internet Index Fund.
SCZ.....................  iShares MSCI EAFE Small-  NASDAQ.
                           Cap ETF.
SCHB....................  Schwab U.S. Broad Market  NYSE Arca.
                           ETF.
DVY.....................  iShares Select Dividend   NASDAQ.
                           ETF.
SDY.....................  SPDR S&P Dividend ETF...  NYSE Arca.
IHI.....................  iShares U.S. Medical      NYSE Arca.
                           Devices ETF.
OEF.....................  iShares S&P 100 ETF.....  NYSE Arca.
SPIB....................  SPDR Portfolio            NYSE Arca.
                           Intermediate Term
                           Corporate Bond ETF.
IWS.....................  iShares Russell Mid-Cap   NYSE Arca.
                           Value ETF.
AMJ.....................  J.P. Morgan Alerian MLP   NYSE Arca.
                           Index ETN.
SCHO....................  Schwab Short-Term US      NYSE Arca.
                           Treasury ETF.
FTSM....................  First Trust Enhanced      NASDAQ.
                           Short Maturity ETF.
SPYG....................  SPDR Portfolio S&P 500    NYSE Arca.
                           Growth ETF.
SPAB....................  SPDR Portfolio Aggregate  NYSE Arca.
                           Bond ETF.

[[Page 16419]]

 
VCLT....................  Vanguard Long-Term        NASDAQ.
                           Corporate Bond ETF.
SCHD....................  Schwab US Dividend        NYSE Arca.
                           Equity ETF.
EWL.....................  iShares MSCI Switzerland  NYSE Arca.
                           ETF.
IWV.....................  iShares Russell 3000 ETF  NYSE Arca.
VXF.....................  Vanguard Extended Market  NYSE Arca.
                           ETF.
FVD.....................  First Trust Value Line    NYSE Arca.
                           Dividend Index Fund.
IYT.....................  iShares Transportation    Cboe BZX.
                           Average ETF.
EWQ.....................  iShares MSCI France ETF.  NYSE Arca
VMBS....................  Vanguard Mortgage-Backed  NASDAQ.
                           Securities ETF.
ILF.....................  iShares Latin America 40  NYSE Arca.
                           ETF.
SPTL....................  SPDR Portfolio Long Term  NYSE Arca.
                           Treasury ETF.
BLV.....................  Vanguard Long-Term Bond   NYSE Arca.
                           ETF.
VBR.....................  Vanguard Small Cap Value  NYSE Arca.
                           ETF.
VLUE....................  iShares Edge MSCI USA     Cboe BZX.
                           Value Factor ETF.
EPI.....................  WisdomTree India          NYSE Arca.
                           Earnings Fund.
VFH.....................  Vanguard Financials ETF.  NYSE Arca.
VGSH....................  Vanguard Short-Term       NASDAQ.
                           Treasury ETF.
SCHP....................  Schwab US TIPS ETF......  NYSE Arca.
USIG....................  iShares Broad USD         NASDAQ.
                           Investment Grade
                           Corporate Bond ETF.
IWP.....................  iShares Russell Mid-Cap   NYSE Arca.
                           Growth ETF.
ITA.....................  iShares U.S. Aerospace &  Cboe BZX.
                           Defense ETF.
SCHG....................  Schwab U.S. Large-Cap     NYSE Arca.
                           Growth ETF.
PCY.....................  Invesco Emerging Markets  NYSE Arca.
                           Sovereign Debt ETF.
IUSG....................  iShares Core S&P U.S.     NASDAQ.
                           Growth ETF.
SPSB....................  SPDR Portfolio Short      NYSE Arca.
                           Term Corporate Bond ETF.
VTEB....................  Vanguard Tax-Exempt Bond  NYSE Arca.
                           ETF.
SPYV....................  SPDR Portfolio S&P 500    NYSE Arca.
                           Value ETF.
GSLC....................  Goldman Sachs ActiveBeta  NYSE Arca.
                           U.S. Large Cap Equity
                           ETF.
CWB.....................  SPDR Bloomberg Barclays   NYSE Arca.
                           Convertible Securities
                           ETF.
VTIP....................  Vanguard Short-Term       NASDAQ.
                           Inflation-Protected
                           Securities ETF.
HYLB....................  Xtrackers USD High Yield  NYSE Arca.
                           Corporate Bond ETF.
FLRN....................  SPDR Bloomberg Barclays   NYSE Arca.
                           Investment Grade
                           Floating Rate ETF.
SPEM....................  SPDR Portfolio Emerging   NYSE Arca.
                           Markets ETF.
VHT.....................  Vanguard Health Care ETF  NYSE Arca.
PGX.....................  Invesco Preferred ETF...  NYSE Arca.
EEMV....................  iShares Edge MSCI Min     Cboe BZX.
                           Vol Emerging Markets
                           ETF.
SPDW....................  SPDR Portfolio Developed  NYSE Arca.
                           World ex-US ETF.
NOBL....................  ProShares S&P 500         Cboe BZX.
                           Dividend Aristocrats
                           ETF.
HDV.....................  iShares Core High         NYSE Arca.
                           Dividend ETF.
EWP.....................  iShares MSCI Spain ETF..  NYSE Arca.
SHYG....................  iShares 0-5 Year High     NYSE Arca.
                           Yield Corporate Bond
                           ETF.
VBK.....................  Vanguard Small-Cap        NYSE Arca.
                           Growth ETF.
IUSV....................  iShares Core S&P US       NASDAQ.
                           Value ETF.
SCHE....................  Schwab Emerging Markets   NYSE Arca.
                           Equity ETF.
VGLT....................  Vanguard Long-Term        NASDAQ.
                           Treasury ETF.
SCHH....................  Schwab U.S. REIT ETF....  NYSE Arca.
SPLG....................  SPDR Portfolio Large Cap  NYSE Arca.
                           ETF.
IEUR....................  iShares Core MSCI Europe  NYSE Arca.
                           ETF.
VV......................  Vanguard Large-Cap ETF..  NYSE Arca.
ACWV....................  iShares Edge MSCI Min     Cboe BZX.
                           Vol Global ETF.
SCHV....................  Schwab U.S. Large-Cap     NYSE Arca.
                           Value ETF.
EFV.....................  iShares MSCI EAFE Value   Cboe BZX.
                           ETF.
VPL.....................  Vanguard FTSE Pacific     NYSE Arca.
                           ETF.
IJS.....................  iShares S&P Small-Cap     NYSE Arca.
                           600 Value ETF.
VOE.....................  Vanguard Mid-Cap Value    NYSE Arca.
                           ETF.
SCHZ....................  Schwab US Aggregate Bond  NYSE Arca.
                           ETF.
VDE.....................  Vanguard Energy ETF.....  NYSE Arca.
DBEF....................  Xtrackers MSCI EAFE       NYSE Arca.
                           Hedged Equity ETF.
EWI.....................  iShares MSCI Italy ETF..  NYSE Arca.
GBIL....................  Goldman Sachs Access      NYSE Arca.
                           Treasury 0-1 Year ETF.
ICSH....................  iShares Ultra Short-Term  Cboe BZX.
                           Bond ETF.
FPE.....................  First Trust Preferred     NYSE Arca.
                           Securities & Income ETF.
SCHA....................  Schwab U.S. Small-Cap     NYSE Arca.
                           ETF.
HYD.....................  VanEck Vectors High-      Cboe BZX.
                           Yield Municipal Index
                           ETF.
EDV.....................  Vanguard Extended         NYSE Arca.
                           Duration Treasury ETF.
HEDJ....................  WisdomTree Europe Hedged  NYSE Arca.
                           Equity Fund.
VPU.....................  Vanguard Utilities ETF..  NYSE Arca.
EZA.....................  iShares MSCI South        NYSE Arca.
                           Africa ETF.
HYS.....................  PIMCO 0-5 Year High       NYSE Arca.
                           Yield Corporate Bond
                           Index ETF.
VGIT....................  Vanguard Intermediate-    NASDAQ.
                           Term Treasury ETF.
LMBS....................  First Trust Low Duration  NASDAQ.
                           Opportunities ETF.

[[Page 16420]]

 
SCHR....................  Schwab Intermediate-Term  NYSE Arca.
                           US Treasury ETF.
GSY.....................  Invesco Ultra Short       NYSE Arca.
                           Duration ETF.
EPP.....................  iShares MSCI Pacific ex-  NYSE Arca.
                           Japan ETF.
FBT.....................  First Trust NYSE Arca     NYSE Arca.
                           Biotechnology Index
                           Fund.
IYF.....................  iShares U.S. Financials   NYSE Arca.
                           ETF.
IYW.....................  iShares U.S. Technology   NYSE Arca.
                           ETF.
SRLN....................  SPDR Blackstone/GSO       NYSE Arca.
                           Senior Loan ETF.
VNQI....................  Vanguard Global ex-U.S.   NASDAQ.
                           Real Estate ETF.
USHY....................  iShares Broad USD High    Cboe BZX.
                           Yield Corporate Bond
                           ETF.
IDV.....................  iShares International     Cboe BZX.
                           Select Dividend ETF.
MGK.....................  Vanguard Mega Cap Growth  NYSE Arca.
                           ETF.
TLH.....................  iShares 10-20 Year        NYSE Arca.
                           Treasury Bond ETF.
SPHD....................  Invesco S&P 500 High      NYSE Arca.
                           Dividend Low Volatility
                           ETF.
VTWO....................  Vanguard Russell 2000     NASDAQ.
                           ETF.
USFR....................  WisdomTree Floating Rate  NYSE Arca.
                           Treasury Fund.
VOT.....................  Vanguard Mid-Cap Growth   NYSE Arca.
                           ETF.
KSA.....................  iShares MSCI Saudi        NYSE Arca.
                           Arabia ETF.
PDBC....................  Invesco Optimum Yield     NASDAQ.
                           Diversified Commodity
                           Strategy No K-1 ETF.
IGLB....................  iShares Long-Term         NYSE Arca.
                           Corporate Bond ETF.
SCHM....................  Schwab U.S. Mid-Cap ETF.  NYSE Arca.
ISTB....................  iShares Core 1-5 Year     NASDAQ.
                           USD Bond ETF.
IJK.....................  iShares S&P Mid-Cap 400   NYSE Arca.
                           Growth ETF.
GLDM....................  SPDR Gold MiniShares      NYSE Arca.
                           Trust.
DOG.....................  ProShares Short Dow30...  NYSE Arca.
KBWB....................  Invesco KBW Bank ETF....  NASDAQ.
EUFN....................  iShares MSCI Europe       NASDAQ.
                           Financials ETF.
EIDO....................  iShares MSCI Indonesia    NYSE Arca.
                           ETF.
XAR.....................  SPDR S&P Aerospace &      NYSE Arca.
                           Defense ETF.
RWM.....................  ProShares Short           NYSE Arca.
                           Russell2000.
BOND....................  PIMCO Active Bond ETF...  NYSE Arca.
VDC.....................  Vanguard Consumer         NYSE Arca.
                           Staples ETF.
UUP.....................  Invesco DB US Dollar      NYSE Arca.
                           Index Bullish Fund.
SPTI....................  SPDR Portfolio            NYSE Arca.
                           Intermediate Term
                           Treasury ETF.
FXE.....................  Invesco CurrencyShares    NYSE Arca.
                           Euro Trust.
VSS.....................  Vanguard FTSE All-World   NYSE Arca.
                           ex-US Small-Cap ETF.
EFG.....................  iShares MSCI EAFE Growth  Cboe BZX.
                           ETF.
FXO.....................  First Trust Financials    NYSE Arca.
                           AlphaDEX Fund.
XMLV....................  Invesco S&P MidCap Low    NYSE Arca.
                           Volatility ETF.
FTEC....................  Fidelity MSCI             NYSE Arca.
                           Information Technology
                           Index ETF.
SPYD....................  SPDR Portfolio S&P 500    NYSE Arca.
                           High Dividend ETF.
QTEC....................  First Trust NASDAQ-100    NASDAQ.
                           Technology Sector Index
                           Fund.
THD.....................  iShares MSCI Thailand     NYSE Arca.
                           ETF.
MOAT....................  VanEck Vectors            Cboe BZX.
                           Morningstar Wide Moat
                           ETF.
EWM.....................  iShares MSCI Malaysia     NYSE Arca.
                           ETF.
RWR.....................  SPDR Dow Jones REIT ETF.  NYSE Arca.
BNO.....................  United States Brent Oil   NYSE Arca.
                           Fund LP.
FTCS....................  First Trust Capital       NASDAQ.
                           Strength ETF.
DBC.....................  Invesco DB Commodity      NYSE Arca.
                           Index Tracking Fund.
TOTL....................  SPDR DoubleLine Total     NYSE Arca.
                           Return Tactical ETF.
EWS.....................  iShares MSCI Singapore    NYSE Arca.
                           ETF.
PTLC....................  Pacer Trendpilot US       Cboe BZX.
                           Large Cap ETF.
SPTS....................  SPDR Portfolio Short      NYSE Arca.
                           Term Treasury ETF.
GUNR....................  FlexShares Morningstar    NYSE Arca.
                           Global Upstream Natural
                           Resources Index Fund.
PRF.....................  Invesco FTSE RAFI US      NYSE Arca.
                           1000 ETF.
ECH.....................  iShares MSCI Chile ETF..  Cboe BZX.
SPTM....................  SPDR Portfolio Total      NYSE Arca.
                           Stock Market ETF.
MJ......................  ETFMG Alternative         NYSE Arca.
                           Harvest ETF.
IYE.....................  iShares U.S. Energy ETF.  NYSE Arca.
VOX.....................  Vanguard Communication    NYSE Arca
                           Services ETF.
IJT.....................  iShares S&P Small-Cap     NASDAQ.
                           600 Growth ETF.
IPAY....................  ETFMG Prime Mobile        NYSE Arca.
                           Payments ETF.
RWX.....................  SPDR Dow Jones            NYSE Arca.
                           International Real
                           Estate ETF.
FNDX....................  Schwab Fundamental US     NYSE Arca.
                           Large Co. Index ETF.
IAGG....................  iShares Core              Cboe BZX.
                           International Aggregate
                           Bond ETF.
ANGL....................  VanEck Vectors Fallen     NASDAQ.
                           Angel High Yield Bond
                           ETF.
IEV.....................  iShares Europe ETF......  NYSE Arca.
VOOG....................  Vanguard S&P 500 Growth   NYSE Arca.
                           ETF.
FLCB....................  Franklin Liberty U.S.     NYSE Arca.
                           Core Bond ETF.
IJJ.....................  iShares S&P Mid-Cap 400   NYSE Arca
                           Value ETF.
IUSB....................  iShares Core Total USD    NASDAQ.
                           Bond Market ETF.
TBF.....................  Proshares Short 20+ Year  NYSE Arca.
                           Treasury.

[[Page 16421]]

 
BBEU....................  JPMorgan BetaBuilders     Cboe BZX.
                           Europe ETF.
SPSM....................  SPDR Portfolio Small Cap  NYSE Arca
                           ETF.
SIZE....................  iShares Edge MSCI USA     NYSE Arca.
                           Size Factor ETF.
SHM.....................  SPDR Nuveen Bloomberg     NYSE Arca.
                           Barclays Short Term
                           Municipal Bond ETF.
TUR.....................  iShares MSCI Turkey ETF.  NASDAQ.
RODM....................  Hartford Multifactor      NYSE Arca.
                           Developed Markets (ex-
                           US) ETF.
BBJP....................  JPMorgan BetaBuilders     Cboe BZX.
                           Japan ETF.
MLPI....................  ETRACS Alerian MLP        NYSE Arca.
                           Infrastructure Index
                           ETN.
IXN.....................  iShares Global Tech ETF.  NYSE Arca.
LGLV....................  SPDR SSGA US Large Cap    NYSE Arca.
                           Low Volatility Index
                           ETF.
FNDF....................  Schwab Fundamental        NYSE Arca.
                           International Large Co.
                           Index ETF.
SGOL....................  Aberdeen Standard         NYSE Arca.
                           Physical Gold Shares
                           ETF.
IGOV....................  iShares International     NASDAQ.
                           Treasury Bond ETF.
FIXD....................  First Trust TCW           NASDAQ.
                           Opportunistic Fixed
                           Income ETF.
EWD.....................  iShares MSCI Sweden ETF.  NYSE Arca.
ICF.....................  iShares Cohen & Steers    Cboe BZX.
                           REIT ETF.
VIS.....................  Vanguard Industrials ETF  NYSE Arca.
MDYV....................  SPDR S&P 400 Mid Cap      NYSE Arca.
                           Value ETF.
SPHQ....................  Invesco S&P 500 Quality   NYSE Arca.
                           ETF.
SKYY....................  First Trust Cloud         NASDAQ.
                           Computing ETF.
IGF.....................  iShares Global            NASDAQ.
                           Infrastructure ETF.
REM.....................  iShares Mortgage Real     Cboe BZX.
                           Estate ETF.
BOTZ....................  Global X Robotics &       NASDAQ.
                           Artificial Intelligence
                           ETF.
FXL.....................  First Trust Technology    NYSE Arca.
                           AlphaDEX Fund.
EMLP....................  First Trust North         NYSE Arca.
                           American Energy
                           Infrastructure Fund.
SUB.....................  iShares Short-Term        NYSE Arca.
                           National Muni Bond ETF.
SPLB....................  SPDR Portfolio Long Term  NYSE Arca.
                           Corporate Bond ETF.
HEWJ....................  iShares Currency Hedged   NYSE Arca.
                           MSCI Japan ETF.
VONG....................  Vanguard Russell 1000     NASDAQ.
                           Growth ETF.
IYG.....................  iShares US Financial      NYSE Arca.
                           Services ETF.
IYZ.....................  iShares U.S.              Cboe BZX.
                           Telecommunications ETF.
VCR.....................  Vanguard Consumer         NYSE Arca.
                           Discretionary ETF.
DGS.....................  WisdomTree Emerging       NYSE Arca.
                           Markets SmallCap
                           Dividend Fund.
XES.....................  SPDR S&P Oil & Gas        NYSE Arca.
                           Equipment & Services
                           ETF.
IHF.....................  iShares U.S. Healthcare   NYSE Arca.
                           Providers ETF.
VWOB....................  Vanguard Emerging         NASDAQ.
                           Markets Government Bond
                           ETF.
XSLV....................  Invesco S&P SmallCap Low  NYSE Arca.
                           Volatility ETF.
HEZU....................  iShares Currency Hedged   NYSE Arca.
                           MSCI Eurozone ETF.
ONEQ....................  Fidelity Nasdaq           NASDAQ.
                           Composite Index
                           Tracking Stock.
PULS....................  PGIM Ultra Short Bond     NYSE Arca.
                           ETF.
ARKK....................  ARK Innovation ETF......  NYSE Arca.
SLYV....................  SPDR S&P 600 Small Cap    NYSE Arca.
                           Value ETF.
DGRW....................  WisdomTree US Quality     NASDAQ.
                           Dividend Growth Fund.
FNDE....................  Schwab Fundamental        NYSE Arca.
                           Emerging Markets Large
                           Co. Index ETF.
KIE.....................  SPDR S&P Insurance ETF..  NYSE Arca.
USRT....................  iShares Core U.S. REIT    NYSE Arca.
                           ETF.
IYH.....................  iShares U.S. Healthcare   NYSE Arca.
                           ETF.
RPV.....................  Invesco S&P 500 Pure      NYSE Arca.
                           Value ETF.
DEM.....................  WisdomTree Emerging       NYSE Arca.
                           Markets High Dividend
                           Fund.
HEFA....................  iShares Currency Hedged   Cboe BZX.
                           MSCI EAFE ETF.
XSD.....................  SPDR S&P Semiconductor    NYSE Arca.
                           ETF.
IXC.....................  iShares Global Energy     NYSE Arca.
                           ETF.
MLPA....................  Global X MLP ETF........  NYSE Arca.
ERUS....................  iShares MSCI Russia ETF.  NYSE Arca.
SIL.....................  Global X Silver Miners    NYSE Arca.
                           ETF.
DON.....................  WisdomTree U.S. MidCap    NYSE Arca.
                           Dividend Fund.
VNLA....................  Janus Henderson Short     NYSE Arca.
                           Duration Income ETF.
AGGY....................  WisdomTree Yield          NYSE Arca.
                           Enhanced U.S. Aggregate
                           Bond Fund.
SPMD....................  SPDR Portfolio Mid Cap    NYSE Arca.
                           ETF.
RPG.....................  Invesco S&P 500 Pure      NYSE Arca.
                           Growth ETF.
BBRE....................  JPMorgan BetaBuilders     Cboe BZX.
                           MSCI U.S. REIT ETF.
STIP....................  iShares 0-5 Year TIPS     NYSE Arca.
                           Bond ETF.
FTSL....................  First Trust Senior Loan   NASDAQ.
                           Fund.
PHYS....................  Sprott Physical Gold      NYSE Arca.
                           Trust.
GXC.....................  SPDR S&P China ETF......  NYSE Arca.
PPLT....................  Aberdeen Standard         NYSE Arca.
                           Physical Platinum
                           Shares ETF.
FXB.....................  Invesco CurrencyShares    NYSE Arca.
                           British Pound Sterling
                           Trust.
TFI.....................  SPDR Nuveen Bloomberg     NYSE Arca.
                           Barclays Municipal Bond
                           ETF.
GVI.....................  iShares Intermediate      Cboe BZX.
                           Government/Credit Bond
                           ETF.
MLPX....................  Global X MLP & Energy     NYSE Arca.
                           Infrastructure ETF.
IXJ.....................  iShares Global            NYSE Arca.
                           Healthcare ETF.

[[Page 16422]]

 
ESGD....................  iShares ESG MSCI EAFE     NASDAQ.
                           ETF.
FNDA....................  Schwab Fundamental US     NYSE Arca.
                           Small Co. Index ETF.
CEF.....................  Sprott Physical Gold and  NYSE Arca.
                           Silver Trust.
SLQD....................  iShares 0-5 Year          NASDAQ.
                           Investment Grade
                           Corporate Bond ETF.
LEMB....................  iShares J.P. Morgan EM    NYSE Arca.
                           Local Currency Bond ETF.
IYC.....................  iShares U.S. Consumer     NYSE Arca.
                           Services ETF.
FMB.....................  First Trust Managed       NASDAQ.
                           Municipal ETF.
PDP.....................  Invesco DWA Momentum ETF  NASDAQ.
HYLS....................  First Trust Tactical      NASDAQ.
                           High Yield ETF.
DBEU....................  Xtrackers MSCI Europe     NYSE Arca.
                           Hedged Equity ETF.
IDEV....................  iShares Core MSCI         NYSE Arca.
                           International Developed
                           Markets ETF.
REET....................  iShares Global REIT ETF.  NYSE Arca.
RYT.....................  Invesco S&P 500 Equal     NYSE Arca.
                           Weight Technology ETF.
HYMB....................  SPDR Nuveen Bloomberg     NYSE Arca.
                           Barclays High Yield
                           Municipal Bond ETF.
MGC.....................  Vanguard Mega Cap ETF...  NYSE Arca.
IDU.....................  iShares U.S. Utilities    NYSE Arca.
                           ETF.
JPIN....................  J.P. Morgan Diversified   NYSE Arca.
                           Return International
                           Equity ETF.
XLG.....................  Invesco S&P 500 Top 50    NYSE Arca.
                           ETF.
SLYG....................  SPDR S&P 600 Small Cap    NYSE Arca.
                           Growth ETF.
SCHC....................  Schwab International      NYSE Arca.
                           Small-Cap Equity ETF.
RWO.....................  SPDR Dow Jones Global     NYSE Arca
                           Real Estate ETF.
VIOO....................  Vanguard S&P Small-Cap    NYSE Arca.
                           600 ETF.
VRP.....................  Invesco Variable Rate     NYSE Arca.
                           Preferred ETF.
FXY.....................  Invesco Currencyshares    NYSE Arca.
                           Japanese Yen Trust.
RDIV....................  Invesco S&P Ultra         NYSE Arca.
                           Dividend Revenue ETF.
PXH.....................  Invesco FTSE RAFI         NYSE Arca.
                           Emerging Markets ETF.
MGV.....................  Vanguard Mega Cap Value   NYSE Arca.
                           ETF.
CORP....................  PIMCO Investment Grade    NYSE Arca.
                           Corporate Bond Index
                           ETF.
VAW.....................  Vanguard Materials ETF..  NYSE Arca.
EWN.....................  iShares MSCI Netherlands  NYSE Arca.
                           ETF.
BWX.....................  SPDR Bloomberg Barclays   NYSE Arca.
                           International Treasury
                           Bond ETF.
EUM.....................  ProShares Short MSCI      NYSE Arca.
                           Emerging Markets.
QYLD....................  Global X NASDAQ 100       NASDAQ.
                           Covered Call ETF.
PGF.....................  Invesco Financial         NYSE Arca.
                           Preferred ETF.
FREL....................  Fidelity MSCI Real        NYSE Arca.
                           Estate Index ETF.
IGM.....................  iShares Expanded Tech     NYSE Arca.
                           Sector ETF.
IAT.....................  iShares U.S. Regional     NYSE Arca.
                           Banks ETF.
TAN.....................  Invesco Solar ETF.......  NYSE Arca.
VONV....................  Vanguard Russell 1000     NASDAQ.
                           Value ETF.
FUTY....................  Fidelity MSCI Utilities   NYSE Arca.
                           Index ETF.
KBA.....................  KraneShares Bosera MSCI   NYSE Arca.
                           China A Share ETF.
PRFZ....................  Invesco FTSE RAFI US      NASDAQ.
                           1500 Small-Mid ETF.
FBND....................  Fidelity Total Bond ETF.  NYSE Arca.
FXH.....................  First Trust Health Care   NYSE Arca.
                           AlphaDEX Fund.
PSK.....................  SPDR Wells Fargo          NYSE Arca.
                           Preferred Stock ETF.
IQLT....................  iShares Edge MSCI Intl    NYSE Arca.
                           Quality Factor ETF.
EPHE....................  iShares MSCI Philippines  NYSE Arca.
                           ETF.
ITM.....................  VanEck Vectors AMT-Free   Cboe BZX.
                           Intermediate Municipal
                           Index ETF.
GSIE....................  Goldman Sachs ActiveBeta  NYSE Arca.
                           International Equity
                           ETF.
DLN.....................  WisdomTree U.S. LargeCap  NYSE Arca.
                           Dividend Fund.
HACK....................  ETFMG Prime Cyber         NYSE Arca.
                           Security ETF.
DJP.....................  iPath Bloomberg           NYSE Arca.
                           Commodity Index Total
                           Return ETN.
FHLC....................  Fidelity MSCI Health      NYSE Arca.
                           Care Index ETF.
DBJP....................  Xtrackers MSCI Japan      NYSE Arca.
                           Hedged Equity ETF.
URTH....................  iShares MSCI World ETF..  NYSE Arca.
VYMI....................  Vanguard International    NASDAQ.
                           High Dividend Yield ETF.
FDT.....................  First Trust Developed     NASDAQ.
                           Markets ex-US AlphaDEX
                           Fund.
BSCL....................  Invesco BulletShares      NASDAQ.
                           2021 Corporate Bond ETF.
FXU.....................  First Trust Utilities     NYSE Arca.
                           AlphaDEX Fund.
BSCK....................  Invesco BulletShares      NASDAQ.
                           2020 Corporate Bond ETF.
IYJ.....................  iShares U.S. Industrials  Cboe BZX.
                           ETF.
AGZ.....................  iShares Agency Bond ETF.  NYSE Arca.
INTF....................  iShares Edge MSCI         NYSE Arca.
                           Multifactor Intl ETF.
SPMB....................  SPDR Portfolio Mortgage   NYSE Arca.
                           Backed Bond ETF.
GSG.....................  iShares S&P GSCI          NYSE Arca.
                           Commodity Indexed Trust.
PSJ.....................  Invesco Dynamic Software  NYSE Arca.
                           ETF.
SDIV....................  Global X Superdividend    NYSE Arca.
                           ETF.
VIGI....................  Vanguard International    NASDAQ
                           Dividend Appreciation
                           ETF.
RING....................  iShares MSCI Global Gold  NASDAQ.
                           Miners ETF.
CWI.....................  SPDR MSCI ACWI ex-US ETF  NYSE Arca.
IWY.....................  iShares Russell Top 200   NYSE Arca.
                           Growth ETF.

[[Page 16423]]

 
ESGU....................  iShares ESG MSCI USA ETF  NASDAQ.
ZROZ....................  PIMCO 25+ Year Zero       NYSE Arca.
                           Coupon US Treasury
                           Index ETF.
SPIP....................  SPDR Portfolio TIPS ETF.  NYSE Arca.
FNCL....................  Fidelity MSCI Financials  NYSE Arca.
                           Index ETF.
ESGE....................  iShares ESG MSCI EM ETF.  NASDAQ.
BAB.....................  Invesco Taxable           NYSE Arca.
                           Municipal Bond ETF.
PZA.....................  Invesco National AMT-     NYSE Arca.
                           Free Municipal Bond ETF.
MDYG....................  SPDR S&P 400 Mid Cap      NYSE Arca.
                           Growth ETF.
RDVY....................  First Trust Rising        NASDAQ.
                           Dividend Achievers ETF.
DSI.....................  iShares MSCI KLD 400      NYSE Arca.
                           Social ETF.
BSCM....................  Invesco BulletShares      NASDAQ.
                           2022 Corporate Bond ETF.
IXG.....................  iShares Global            NYSE Arca.
                           Financials ETF.
CIBR....................  First Trust NASDAQ        NASDAQ.
                           Cybersecurity ETF.
JHMM....................  John Hancock Multifactor  NYSE Arca.
                           Mid Cap ETF.
FCG.....................  First Trust Natural Gas   NYSE Arca.
                           ETF.
PHB.....................  Invesco Fundamental High  NYSE Arca.
                           Yield Corporate Bond
                           ETF.
FV......................  First Trust Dorsey        NASDAQ.
                           Wright Focus 5 ETF.
BSJL....................  Invesco Bulletshares      NASDAQ.
                           2021 High Yield
                           Corporate Bond ETF.
FNDC....................  Schwab Fundamental        NYSE Arca.
                           International Small Co.
                           Index ETF.
DVYE....................  iShares Emerging Markets  NYSE Arca.
                           Dividend ETF.
DES.....................  WisdomTree U.S. SmallCap  NYSE Arca.
                           Dividend Fund.
VONE....................  Vanguard Russell 1000     NASDAQ.
                           ETF.
GNR.....................  SPDR S&P Global Natural   NYSE Arca.
                           Resources ETF.
FPX.....................  First Trust US Equity     NYSE Arca.
                           Opportunities ETF.
BSJK....................  Invesco BulletShares      NASDAQ.
                           2020 High Yield
                           Corporate Bond ETF.
PSLV....................  Sprott Physical Silver    NYSE Arca.
                           Trust.
SUSA....................  iShares MSCI USA ESG      NYSE Arca.
                           Select ETF.
AOM.....................  iShares Core Moderate     NYSE Arca.
                           Allocation ETF.
IEO.....................  iShares U.S. Oil & Gas    Cboe BZX.
                           Exploration &
                           Production ETF.
XMMO....................  Invesco S&P MidCap        NYSE Arca.
                           Momentum ETF.
PPA.....................  Invesco Aerospace &       NYSE Arca.
                           Defense ETF.
NUSI....................  Nationwide Risk-Managed   NYSE Arca.
                           Income ETF.
COMT....................  iShares Commodities       NASDAQ.
                           Select Strategy ETF.
PDEC....................  Innovator S&P 500 Power   Cboe BZX.
                           Buffer ETF--December.
EBND....................  SPDR Bloomberg Barclays   NYSE Arca.
                           Emerging Markets Local
                           Bond ETF.
CMF.....................  iShares California Muni   NYSE Arca.
                           Bond ETF.
VOOV....................  Vanguard S&P 500 Value    NYSE Arca.
                           ETF.
IGE.....................  iShares North American    Cboe BZX.
                           Natural Resources ETF.
FDL.....................  First Trust Morningstar   NYSE Arca.
                           Dividend Leaders Index
                           Fund.
PXF.....................  Invesco FTSE RAFI         NYSE Arca.
                           Developed Markets ex-
                           U.S. ETF.
PFFD....................  Global X U.S. Preferred   Cboe BZX.
                           ETF.
ROBO....................  ROBO Global Robotics &    NYSE Arca.
                           Automation Index ETF.
IBDL....................  iShares iBonds Dec 2020   NYSE Arca.
                           Term Corporate ETF.
IDLV....................  Invesco S&P               NYSE Arca.
                           International Developed
                           Low Volatility ETF.
FFTY....................  Innovator IBD 50 ETF....  NYSE Arca.
SPHB....................  Invesco S&P 500 High      NYSE Arca.
                           Beta ETF.
DLS.....................  WisdomTree International  NYSE Arca.
                           SmallCap Dividend Fund.
LRGF....................  iShares Edge MSCI         NYSE Arca.
                           Multifactor USA ETF.
SDOG....................  ALPS Sector Dividend      NYSE Arca.
                           Dogs ETF.
QQEW....................  First Trust Nasdaq-100    NASDAQ.
                           Equal Weighted Index
                           Fund.
CQQQ....................  Invesco China Technology  NYSE Arca.
                           ETF.
EPOL....................  iShares MSCI Poland ETF.  NYSE Arca.
REZ.....................  iShares Residential Real  NYSE Arca
                           Estate ETF.
DBA.....................  Invesco DB Agriculture    NYSE Arca.
                           Fund.
ARKW....................  ARK Next Generation       NYSE Arca.
                           Internet ETF.
FSTA....................  Fidelity MSCI Consumer    NYSE Arca.
                           Staples Index ETF.
JXI.....................  iShares Global Utilities  NYSE Arca.
                           ETF.
AOR.....................  iShares Core Growth       NYSE Arca.
                           Allocation ETF.
MOO.....................  VanEck Vectors            NYSE Arca.
                           Agribusiness ETF.
IBDM....................  iShares iBonds Dec 2021   NYSE Arca.
                           Term Corporate ETF.
GREK....................  Global X MSCI Greece ETF  NYSE Arca.
PKW.....................  Invesco Buyback           NASDAQ.
                           Achievers ETF.
QUS.....................  SPDR MSCI USA             NYSE Arca.
                           StrategicFactors ETF.
XT......................  iShares Exponential       NASDAQ.
                           Technologies ETF.
PALL....................  Aberdeen Standard         NYSE Arca.
                           Physical Palladium
                           Shares ETF.
GEM.....................  Goldman Sachs ActiveBeta  NYSE Arca.
                           Emerging Markets Equity
                           ETF.
BBCA....................  JPMorgan BetaBuilders     Cboe BZX.
                           Canada ETF.
ESGV....................  Vanguard ESG U.S. Stock   Cboe BZX.
                           ETF.
INDY....................  iShares India 50 ETF....  NASDAQ.
FEX.....................  First Trust Large Cap     NASDAQ.
                           Core AlphaDEX Fund.
MNA.....................  IQ Merger Arbitrage ETF.  NYSE Arca.

[[Page 16424]]

 
NFRA....................  FlexShares STOXX Global   NYSE Arca.
                           Broad Infrastructure
                           Index Fund.
RPAR....................  RPAR Risk Parity ETF....  NYSE Arca.
EWX.....................  SPDR S&P Emerging         NYSE Arca.
                           Markets Small Cap ETF.
BSJM....................  Invesco BulletShares      NASDAQ.
                           2022 High Yield
                           Corporate Bond ETF.
FEM.....................  First Trust Emerging      NASDAQ.
                           Markets AlphaDEX Fund.
PTF.....................  Invesco DWA Technology    NASDAQ.
                           Momentum ETF.
ARKG....................  ARK Genomic Revolution    Cboe BZX.
                           ETF.
JKH.....................  iShares Morningstar Mid-  NYSE Arca.
                           Cap Growth ETF.
GBF.....................  iShares Government/       NYSE Arca.
                           Credit Bond ETF.
SILJ....................  ETFMG Prime Junior        NYSE Arca.
                           Silver Miners ETF.
SLY.....................  SPDR S&P 600 Small Cap    NYSE Arca.
                           ETF.
FTC.....................  First Trust Large Cap     NASDAQ.
                           Growth AlphaDEX Fund.
FTA.....................  First Trust Large Cap     NASDAQ.
                           Value AlphaDEX Fund.
QDF.....................  FlexShares Quality        NYSE Arca.
                           Dividend Index Fund.
IBDN....................  iShares iBonds Dec 2022   NYSE Arca.
                           Term Corporate ETF.
JPUS....................  JPMorgan Diversified      NYSE Arca.
                           Return U.S. Equity ETF.
AMZA....................  InfraCap MLP ETF........  NYSE Arca.
IBDO....................  iShares iBonds Dec 2023   NYSE Arca.
                           Term Corporate ETF.
SRET....................  Global X SuperDividend    NASDAQ.
                           REIT ETF.
VNM.....................  VanEck Vectors Vietnam    Cboe BZX.
                           ETF.
BSCN....................  Invesco Bulletshares      NASDAQ.
                           2023 Corporate Bond ETF.
USSG....................  Xtrackers MSCI USA ESG    NYSE Arca.
                           Leaders Equity ETF.
EMHY....................  iShares Emerging Markets  Cboe BZX.
                           High Yield Bond ETF.
IPAC....................  iShares Core MSCI         NYSE Arca.
                           Pacific ETF.
RYU.....................  Invesco S&P 500 Equal     NYSE Arca.
                           Weight Utilities ETF.
BSCO....................  Invesco BulletShares      NASDAQ.
                           2024 Corporate Bond ETF.
PWV.....................  Invesco Dynamic Large     NYSE Arca.
                           Cap Value ETF.
ICLN....................  iShares Global Clean      NASDAQ.
                           Energy ETF.
SMMV....................  iShares Edge MSCI Min     Cboe BZX.
                           Vol USA Small-Cap ETF.
FLCO....................  Franklin Liberty          NYSE Arca.
                           Investment Grade
                           Corporate ETF.
CLOU....................  Global X Cloud Computing  NASDAQ.
                           ETF.
PLW.....................  Invesco 1-30 Laddered     NASDAQ.
                           Treasury ETF.
IOO.....................  iShares Global 100 ETF..  NYSE Arca.
PPH.....................  VanEck Vectors            NASDAQ.
                           Pharmaceutical ETF.
SPGP....................  Invesco S&P 500 GARP ETF  NYSE Arca.
FINX....................  Global X FinTech ETF....  NASDAQ.
KXI.....................  iShares Global Consumer   NYSE Arca.
                           Staples ETF.
RHS.....................  Invesco S&P 500 Equal     NYSE Arca.
                           Weight Consumer Staples
                           ETF.
DIV.....................  Global X SuperDividend    NYSE Arca.
                           US ETF.
FDIS....................  Fidelity MSCI Consumer    NYSE Arca.
                           Discretionary Index ETF.
PFXF....................  VanEck Vectors Preferred  NYSE Arca.
                           Securities ex
                           Financials ETF.
IYM.....................  iShares U.S. Basic        NYSE Arca.
                           Materials ETF.
SIVR....................  Aberdeen Standard         NYSE Arca.
                           Physical Silver Shares
                           ETF.
FXG.....................  First Trust Consumer      NYSE Arca.
                           Staples AlphaDEX Fund.
PICK....................  iShares MSCI Global       Cboe BZX.
                           Metals & Mining
                           Producers ETF.
TFLO....................  iShares Treasury          NYSE Arca.
                           Floating Rate Bond ETF.
IWC.....................  iShares Micro-Cap ETF...  NYSE Arca.
FENY....................  Fidelity MSCI Energy      NYSE Arca.
                           Index ETF.
NUAG....................  Nuveen Enhanced Yield     NYSE Arca.
                           U.S. Aggregate Bond ETF.
JKE.....................  iShares Morningstar       NYSE Arca.
                           Large-Cap Growth ETF.
MXI.....................  iShares Global Materials  NYSE Arca.
                           ETF.
IBDP....................  iShares iBonds Dec 2024   NYSE Arca.
                           Term Corporate ETF.
LVHD....................  Legg Mason Low            NASDAQ.
                           Volatility High
                           Dividend ETF.
DBEH....................  iM DBi Hedge Strategy     NYSE Arca.
                           ETF.
FXR.....................  First Trust Industrials/  NYSE Arca.
                           Producer Durables
                           AlphaDEX Fund.
IYY.....................  iShares Dow Jones U.S.    NYSE Arca.
                           ETF.
EZM.....................  WisdomTree U.S. MidCap    NYSE Arca.
                           Fund.
XPH.....................  SPDR S&P Pharmaceuticals  NYSE Arca.
                           ETF.
DFJ.....................  WisdomTree Japan          NYSE Arca.
                           SmallCap Dividend Fund.
PCEF....................  Invesco CEF Income        NYSE Arca.
                           Composite ETF.
LIT.....................  Global X Lithium &        NYSE Arca.
                           Battery Tech ETF.
AOK.....................  iShares Core              NYSE Arca.
                           Conservative Allocation
                           ETF.
ILTB....................  iShares Core 10+ Year     NYSE Arca.
                           USD Bond ETF.
IQDF....................  FlexShares International  NYSE Arca.
                           Quality Dividend Index
                           Fund.
USMC....................  Principal U.S. Mega-Cap   NASDAQ.
                           Multi-Factor Index ETF.
IHE.....................  iShares U.S.              NYSE Arca.
                           Pharmaceuticals ETF.
FDVV....................  Fidelity High Dividend    NYSE Arca.
                           ETF.
FXD.....................  First Trust Consumer      NYSE Arca.
                           Discretionary AlphaDEX
                           Fund.
FM......................  iShares MSCI Frontier     NYSE Arca.
                           100 ETF.
PTMC....................  Pacer Trendpilot US Mid   Cboe BZX.
                           Cap ETF.
TDIV....................  First Trust NASDAQ        NASDAQ.
                           Technology Dividend
                           Index Fund.

[[Page 16425]]

 
QLTA....................  iShares Aaa-A Rated       NYSE Arca.
                           Corporate Bond ETF.
ICVT....................  iShares Convertible Bond  Cboe BZX.
                           ETF.
SCHK....................  Schwab 1000 Index ETF...  NYSE Arca.
SMDV....................  ProShares Russell 2000    Cboe BZX.
                           Dividend Growers ETF.
AVUS....................  Avantis U.S. Equity ETF.  NYSE Arca.
REGL....................  ProShares S&P MidCap 400  Cboe BZX.
                           Dividend Aristocrats
                           ETF.
FLQL....................  Franklin LibertyQ U.S.    Cboe BZX.
                           Equity ETF.
IXP.....................  iShares Global Comm       NYSE Arca.
                           Services ETF.
BBAX....................  JPMorgan BetaBuilders     Cboe BZX.
                           Developed Asia ex-Japan
                           ETF.
PUI.....................  Invesco DWA Utilities     NASDAQ.
                           Momentum ETF.
XHE.....................  SPDR S&P Health Care      NYSE Arca.
                           Equipment ETF.
XSOE....................  WisdomTree Emerging       NYSE Arca.
                           Markets ex-State-Owned
                           Enterprises Fund.
HYEM....................  VanEck Vectors Emerging   NYSE Arca.
                           Markets High Yield Bond
                           ETF.
FCOM....................  Fidelity MSCI             NYSE Arca.
                           Communication Services
                           Index ETF.
CFA.....................  VictoryShares US 500      NASDAQ.
                           Volatility Wtd ETF.
RYH.....................  Invesco S&P 500 Equal     NYSE Arca.
                           Weight Health Care ETF.
DBO.....................  Invesco DB Oil Fund.....  NYSE Arca.
CGW.....................  Invesco S&P Global Water  NYSE Arca.
                           Index ETF.
BAR.....................  GraniteShares Gold        NYSE Arca.
                           Shares.
PEY.....................  Invesco High Yield        NASDAQ.
                           Equity Dividend
                           Achievers ETF.
IBDQ....................  iShares iBonds Dec 2025   NYSE Arca.
                           Term Corporate ETF.
AOA.....................  iShares Core Aggressive   NYSE Arca.
                           Allocation ETF.
EES.....................  WisdomTree U.S. SmallCap  NYSE Arca.
                           Fund.
PTNQ....................  Pacer Trendpilot 100 ETF  Cboe BZX.
CMBS....................  iShares CMBS ETF........  NYSE Arca.
ATMP....................  Barclays ETN+ Select MLP  Cboe BZX.
                           ETN.
PHO.....................  Invesco Water Resources   NASDAQ.
                           ETF.
LDUR....................  PIMCO Enhanced Low        NYSE Arca.
                           Duration Active ETF.
CFO.....................  VictoryShares US 500      NASDAQ.
                           Enhanced Volatility Wtd
                           ETF.
GIGB....................  Goldman Sachs Access      NYSE Arca.
                           Investment Grade
                           Corporate Bond ETF.
DTD.....................  WisdomTree U.S. Total     NYSE Arca.
                           Dividend Fund.
FDLO....................  Fidelity Low Volatility   NYSE Arca.
                           Factor ETF.
JO......................  iPath Series B Bloomberg  NYSE Arca.
                           Coffee Subindex Total
                           Return ETN.
HDGE....................  AdvisorShares Ranger      NYSE Arca.
                           Equity Bear ETF.
JAGG....................  J.P. Morgan Exchange-     NYSE Arca.
                           Traded Fund Trust.
LTPZ....................  PIMCO 15+ Year US TIPS    NYSE Arca.
                           Index ETF.
SNLN....................  Highland iBoxx Senior     NASDAQ.
                           Loan ETF.
SMIN....................  iShares MSCI India Small  Cboe BZX.
                           Cap ETF.
SHE.....................  SPDR SSGA Gender          NYSE Arca.
                           Diversity Index ETF.
DWX.....................  SPDR S&P International    NYSE Arca.
                           Dividend ETF.
FLTR....................  VanEck Vectors            NYSE Arca.
                           Investment Grade
                           Floating Rate ETF.
FEP.....................  First Trust Europe        NASDAQ.
                           AlphaDEX Fund.
GWX.....................  SPDR S&P International    NYSE Arca.
                           Small Cap ETF.
VSGX....................  Vanguard ESG              Cboe BZX.
                           International Stock ETF.
ARGT....................  Global X MSCI Argentina   NYSE Arca.
                           ETF.
AMU.....................  ETRACS Alerian MLP Index  NYSE Arca.
                           ETN.
ENZL....................  iShares MSCI New Zealand  NASDAQ.
                           ETF.
IVOO....................  Vanguard S&P Mid-Cap 400  NYSE Arca.
                           ETF.
POCT....................  Innovator S&P 500 Power   Cboe BZX.
                           Buffer ETF--October.
PSCH....................  Invesco S&P SmallCap      NASDAQ.
                           Health Care ETF.
TPYP....................  Tortoise North American   NYSE Arca.
                           Pipeline Fund.
AWTM....................  Aware Ultra-Short         NYSE Arca.
                           Duration Enhanced
                           Income ETF.
XSW.....................  SPDR S&P Software &       NYSE Arca.
                           Services ETF.
IVLU....................  iShares Edge MSCI Intl    NYSE Arca.
                           Value Factor ETF.
VRIG....................  Invesco Variable Rate     NASDAQ.
                           Investment Grade ETF.
ZIV.....................  VelocityShares Daily      NASDAQ.
                           Inverse VIX Medium-Term
                           ETN.
QAI.....................  IQ Hedge Multi-Strategy   NYSE Arca.
                           Tracker ETF.
FGD.....................  First Trust Dow Jones     NYSE Arca.
                           Global Select Dividend
                           Index Fund.
XNTK....................  SPDR NYSE Technology ETF  NYSE Arca.
PNQI....................  Invesco NASDAQ Internet   NASDAQ.
                           ETF.
VTC.....................  Vanguard Total Corporate  NASDAQ.
                           Bond ETF.
EXI.....................  iShares Global            NYSE Arca.
                           Industrials ETF.
FLTB....................  Fidelity Limited Term     NYSE Arca.
                           Bond ETF.
SRVR....................  Pacer Benchmark Data &    NYSE Arca.
                           Infrastructure Real
                           Estate SCTR ETF.
EPS.....................  WisdomTree U.S. LargeCap  NYSE Arca.
                           Fund.
FXC.....................  Invesco CurrencyShares    NYSE Arca.
                           Canadian Dollar Trust.
REMX....................  VanEck Vectors Rare       NYSE Arca.
                           Earth/Strategic Metals
                           ETF.
ULST....................  SPDR SSgA Ultra Short     NYSE Arca.
                           Term Bond ETF.
BOCT....................  Innovator S&P 500 Buffer  Cboe BZX.
                           ETF--October.
SUSL....................  iShares ESG MSCI USA      NASDAQ.
                           Leaders ETF.
TILT....................  FlexShares Morningstar    Cboe BZX.
                           US Market Factor Tilt
                           Index Fund.

[[Page 16426]]

 
EPU.....................  iShares MSCI Peru ETF...  NYSE Arca.
PWB.....................  Invesco Dynamic Large     NYSE Arca.
                           Cap Growth ETF.
BSCP....................  Invesco Bulletshares      NASDAQ.
                           2025 Corporate Bond ETF.
PNOV....................  Innovator S&P 500 Power   Cboe BZX.
                           Buffer ETF--November.
WIP.....................  SPDR FTSE International   NYSE Arca.
                           Government Inflation-
                           Protected Bond ETF.
BDEC....................  Innovator S&P 500 Buffer  Cboe BZX.
                           ETF--December.
SCHI....................  Schwab 5-10 Year          NYSE Arca.
                           Corporate Bond ETF.
PJP.....................  Invesco Dynamic           NYSE Arca.
                           Pharmaceuticals ETF.
HDEF....................  Xtrackers MSCI EAFE High  NYSE Arca.
                           Dividend Yield Equity
                           ETF.
IHDG....................  WisdomTree International  NYSE Arca.
                           Hedged Quality Dividend
                           Growth Fund.
HEWG....................  iShares Currency Hedged   NASDAQ.
                           MSCI Germany ETF.
FIDU....................  Fidelity MSCI             NYSE Arca
                           Industrials Index ETF.
IBDR....................  iShares iBonds Dec 2026   NYSE Arca
                           Term Corporate ETF.
OUSA....................  O'Shares FTSE US Quality  NYSE Arca.
                           Dividend ETF.
FXF.....................  Invesco CurrencyShares    NYSE Arca.
                           Swiss Franc Trust.
HFXI....................  IQ 50 Percent Hedged      NYSE Arca.
                           FTSE International ETF.
FNY.....................  First Trust Mid Cap       NASDAQ.
                           Growth AlphaDEX Fund.
AVDE....................  Avantis International     NYSE Arca.
                           Equity ETF.
FIW.....................  First Trust Water ETF...  NYSE Arca.
FNX.....................  First Trust Mid Cap Core  NASDAQ.
                           AlphaDEX Fund.
CLTL....................  Invesco Treasury          NYSE Arca.
                           Collateral ETf.
AIA.....................  iShares Asia 50 ETF.....  NASDAQ.
DVOL....................  First Trust Dorsey        NASDAQ.
                           Wright Momentum & Low
                           Volatility ETF.
PAUG....................  Innovator S&P 500 Power   Cboe BZX.
                           Buffer ETF--August.
DIAL....................  Columbia Diversified      NYSE Arca.
                           Fixed Income Allocation
                           ETF.
FXZ.....................  First Trust Materials     NYSE Arca.
                           AlphaDEX Fund.
------------------------------------------------------------------------

Appendix B--Data and Reporting

    I. Data Provision. The Commission may request from the Primary 
Listing Exchanges the below data that is not otherwise publicly 
available. The requested data shall be collected and transmitted to 
the Commission in an agreed-upon format, to be provided 30 calendar 
days following the date of the request, or such other date as agreed 
upon by the Commission and Primary Listing Exchange. Data collected 
in connection with a Commission request shall be transmitted to the 
Commission with a request for confidential treatment under the 
Freedom of Information Act, 5 U.S.C. 552, and the Commission's rules 
and regulations thereunder. This section shall expire at the time 
the below data becomes available via the National Market System Plan 
Governing the Consolidated Audit Trail or becomes publicly 
available.
    A. Data set of all orders entered during halts or Trading 
Pauses.

1. Normal or Auction Only orders, Arrivals, Changes, Cancels, # 
shares, limit/market, side, Limit State side
2. Pipe delimited with field name as first record
    B. Data set of order events received during Limit States.
    C. Summary data on order flow of arrivals and cancellations for 
each 15-second period for discrete time periods and sample stocks to 
be determined by the SEC in subsequent data requests. Must indicate 
side(s) of Limit State.

1. Market/marketable sell orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
2. Market/marketable buy orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
3. Count arriving, volume arriving and shares executing in limit 
sell orders above NBO 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
    II. Reporting.
    A. Annual Report. No later than March 31, 2020 and annually 
thereafter, the Operating Committee, in consultation with the 
Advisory committee, will provide the Commission and make publicly 
available a report containing key information concerning the Plan's 
performance during the preceding calendar year which shall include 
the following items: (1) An update on the Plan's operations; (2) an 
analysis of any amendments to the Plan implemented during the period 
covered by the report; and (3) an analysis of potential material 
emerging issues that may directly impact the operation of the Plan.
    1. Update on the Plan's Operations. This section of the Annual 
Report shall analyze the Plan's operations during the covered 
period, including a discussion of any areas of the Plan's operation 
that require additional analysis. In particular, this section of the 
Annual Report shall examine the calibration of the parameters set 
forth in the Plan (e.g., Price Bands, duration of Limit States, 
impact of Straddle States, duration of Trading Pauses, and the 
performance of reopening procedures following a Trading Pause). This 
section of the Annual Report also shall consider stock 
characteristics and variations in market conditions over time, and 
may include tests that differentiate results for different 
characteristics, both in isolation and in combination.
    2. Analysis of Amendments Implemented. This section of the 
Annual Report shall provide an analysis of any amendments 
implemented during the covered period. The analysis shall include a 
discussion of any such amendment's operation and its impact on the 
overall operation of the Plan.
    3. Analysis of Emerging Issues. This section of the Annual 
Report should vary from year-to-year and will include a discussion 
and analysis of the Plan's operation during a significant market 
event that may have occurred during the covered period. This section 
shall also include any additional analyses performed during the 
covered period on issues that were raised in previous Annual 
Reports.
    B. Quarterly Data. Thirty [30] days following the end of each 
calendar quarter, the Operating Committee shall provide the

[[Page 16427]]

Commission and make publicly available a report (``Monitoring 
Report'') including basic statistics aggregated across primary 
listing exchanges regarding the Plan's operation [(``Monitoring 
Report'')] during the preceding calendar quarter, as well as data 
aggregated [data] across primary listing exchanges from the previous 
12 quarters beginning with the calendar quarter covered by the first 
Monitoring Report. The purpose of the Monitoring Report is to 
identify trends in the performance and impact of the Plan on market 
activity.
    [1.] The Monitoring Report [quarterly production] shall include 
data on the following events [data] for each month during the 
preceding calendar quarter:

a. Event Data.
    i. Number of Limit States, Trading Pauses, and Straddle States 
per day, including distribution statistics such as the mean, median, 
minimum and maximum percentiles
    ii. Number of NMS Stocks that experience more than one Limit 
State Trading Pause, or Straddle State in a single day including the 
length of each Limit State, Trading Pause, and Straddle State per 
day
b. The number of Clearly Erroneous Events per day for all NMS Stocks 
that occurred during the time when Price Bands are disseminated by 
the Processor
c. Reopening Data
    i. Number of times an automated reopening process is extended 
for and the length of the Trading Pause
    ii. Whether the reopening process ended in a trade
    iii. The price calculated by an automated reopening process for 
an NMS Stock exiting a Trading Pause
    iv. For the five minutes following the conclusion of a Trading 
Pause, the highest price of all last sale eligible trades, the 
lowest price of all last sale eligible trades, and the average price 
of all last sale eligible trades
    2. 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 the above categories
    e. Tier 1 leveraged ETPs in each of the above categories
    f. Tier 2 non-ETPs in each of the above categories
    g. Tier 2 non-leveraged ETPs in each of the above categories
    h. Tier 2 leveraged ETPs in each of the above categories
3. Partition by time of day
    a. Opening (prior to 9:45 a.m. ET)
    b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET)
    c. Closing (after 3:35 p.m. ET)
    d. Within five minutes of a Trading Pause re-open or IPO open]

1. Limit States, Trading Pauses, Straddle States, and Clearly 
Erroneous Events

    a. Definitions. For the purpose of this Section B.1, the 
following definitions apply:
    i. ``Category'' means the following categories of securities:

(1) Tier 1 non-ETP securities  $3.00
(2) Tier 1 non-ETP securities = $0.75 and <= $3.00
(3) Tier 1 non-ETP securities < $0.75
(4) Tier 1 non-leveraged ETPs  $3.00
(5) Tier 1 non-leveraged ETPs = $0.75 and <= $3.00
(6) Tier 1 non-leveraged ETPs < $0.75
(7) Tier 1 leveraged ETPs  $3.00
(8) Tier 1 leveraged ETPs = $0.75 and <= $3.00
(9) Tier 1 leveraged ETPs < $0.75
(10) Tier 2 non-ETPs  $3.00
(11) Tier 2 non-ETPs = $0.75 and <= $3.00
(12) Tier 2 non-ETPs < $0.75
(13) Tier 2 non-leveraged ETPs  $3.00
(14) Tier 2 non-leveraged ETPs = $0.75 and <= $3.00
(15) Tier 2 non-leveraged ETPs < $0.75
(16) Tier 2 leveraged ETPs > $3.00
(17) Tier 2 leveraged ETPs = $0.75 and <= $3.00
(18) Tier 2 leveraged ETPs < $0.75
    ii. ``Time of Day'' means the following time spans:
(1) Opening (prior to 9:45 a.m. ET)
(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of 
core trading hours)
(3) Closing (the last 25 minutes of core trading hours)
(4) Within five minutes of a Trading Pause reopen or IPO open
    b. Limit States. The Monitoring Report will include:
    i. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Limit States per day, 
broken out by Category and Time of Day.
    ii. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that 
experienced more than one Limit State on a single day, broken out by 
Category.
    iii. Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the number of Limit States 
experienced per day by individual NMS Stocks that had more than one 
Limit State on a single day, broken out by Category.
    iv. Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the total length of Limit States 
experienced per day by individual NMS Stocks that had more than one 
Limit State on a single day, broken out by Category.
    c. Trading Pauses. The Monitoring Report will include:
    i. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Trading Pauses per day, 
broken out by Category and Time of Day.
    ii. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that 
experienced more than one Trading Pause on a single day, broken out 
by Category.
    iii. Monthly distribution statistics (mean, median, 90th 
percentile, and maximum) on the number of Trading Pauses per day 
experienced by individual NMS Stocks having more than one Trading 
Pause on a single day, broken out by Category.
    d. Straddle States. The Monitoring Report will include:
    i. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of Straddle States per day, 
broken out by Category and Time of Day.
    ii. Monthly distribution statistics (mean, median, 25th 
percentile, and maximum) on the number of NMS Stocks that 
experienced more than one Straddle State on a single day, broken out 
by Category.
    iii. Monthly distribution statistics (mean, median, 90th 
percentile, and 99.9th percentile) on the total time spent in a 
Straddle State per day for individual NMS Stocks experiencing one or 
more Straddle States on a single day, broken out by Category.
    e. The Monitoring Report will include the number of Clearly 
Erroneous Events per day for all NMS Stocks that occurred during the 
time when Price Bands are disseminated by the Processor, broken out 
by Category and Time of Day.

2. Reopening Data

    a. Definitions. For the purpose of this Section B.2, the 
following definitions apply:
    i. ``Type of Reopening'' means either (1) manual or (2) 
automated.
    ii. ``Category'' means the following categories of securities:

(1) Tier 1 non-ETP securities
(2) Tier 1 non-leveraged ETPs
(3) Tier 1 leveraged ETPs
(4) Tier 2 non-ETP securities
(5) Tier 2 non-leveraged ETPs
(6) Tier 2 leveraged ETPs
    ii. ``Length of the Trading Pause'' means the following 
durations:
    (1) less than 6 minutes (for manual reopenings) or no extensions 
of the Trading Pause (for automated reopenings);
    (2) 6 to 10 minutes (for manual reopenings) or one extension of 
the Trading Pause (for automated reopenings);
    (3) more than 10 minutes (for manual reopenings) or more than 
one extension of the Trading Pause (for automated reopenings)
    b. The Monitoring Report will include the following monthly data 
on reopenings:
    i. The number of Trading Pauses per month, broken out by (1) 
Type of Reopening, (2) Category, and (3) Length of the Trading 
Pause.
    ii. Monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the duration of each Trading 
Pause, broken out by (1) Type of Reopening and (2) Category.
    iii. The number of Trading Pauses ending in a:
    (1) trade;
    (2) quote; and
    (3) potential closing auction, broken out by (a) Type of 
Reopening, (b) Category, and (c) Length of Trading Pause.
    iv. For Trading Pauses in NMS Stocks preceded by a Limit Up 
state, monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the percentage price change from 
the Limit Up pricing that triggered the Trading Pause to the 
reopening price on exiting the Trading Pause (i.e., the reopening 
trade or midpoint price), broken out by (1) Category and (2) whether 
the Trading Pause ended in a trade or (3) in a quote (i.e., the 
reopening price was a midpoint).

[[Page 16428]]

    v. For Trading Pauses in NMS Stocks preceded by a Limit Down 
state, monthly distribution statistics (mean, median, 90th 
percentile, and 99th percentile) on the percentage price change from 
the Limit Down pricing that triggered the Trading Pause to the 
reopening price on exiting the Trading Pause (i.e., the reopening 
trade or midpoint price), broken out by (1) Category and (2) whether 
the Trading Pause ended in a trade or (3) in a quote (i.e., the 
reopening price was a midpoint).
    vi. For Trading Pauses in NMS Stocks where the reopening process 
ended in a trade or quote (with resulting reference price equal to 
the midpoint of that quote), monthly distribution statistics (mean, 
median, 90th percentile, and 99th percentile) on the percentage 
price change from the reopening price on exiting the Trading Pause 
(i.e., the reopening trade or midpoint price) to
    (1) the highest price of all last sale eligible trades;
    (2) the lowest price of all last sale eligible trades; and
    (3) the trade-weighted average price of all last sale eligible 
trades for the five minutes following the conclusion of the Trading 
Pause, broken out by (a) Category, (b) whether the Trading Pause was 
preceded by a Limit Up state or (c) a Limit Down state, and (d) 
whether the Trading Pause ended in a trade or (e) in a quote (i.e., 
the reopening price was a midpoint).
    C. Reports on Market Events. At the Commission's request, the 
Operating Committee shall provide the Commission and make publicly 
available a report analyzing the Plan's operation during a 
significant market event that (1) materially impacted the trading of 
more than one security across multiple Trading Centers; and (2) is 
directly related to or implicating the performance of the Plan. Such 
report shall be provided to the Commission no later than 30 days 
following the Commission's request, or at a later date as agreed 
upon between the Commission and the Operation Committee. The 
requirement to submit a report under this section may be satisfied 
by including the required analysis within an Annual Report.

[FR Doc. 2020-06024 Filed 3-20-20; 8:45 am]
 BILLING CODE 8011-01-P