Joint Industry Plan; Notice of Filing of the Sixth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by BATS…
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Joint Industry Plan; Notice of Filing of the Sixth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by
Citation: "79 FR 2204"
Document Number: "Release No. 34-71247; File No. 4-631"
"Notices"
January 7, 2014.
Pursuant to Section 11A of the Securities Exchange Act of 1934 ("Act") /1/ and Rule 608 thereunder /2/ , notice is hereby given that, on
FOOTNOTE 1 15 U.S.C. 78k-1. END FOOTNOTE
FOOTNOTE 2 17 CFR 242.608. END FOOTNOTE
FOOTNOTE 3 See Letter from
I. Rule 608(a) of Regulation NMS
A. Purpose of the Plan
The Participants filed the Plan in order to create a market-wide limit up-limit down mechanism that is intended to address extraordinary market volatility in "NMS Stocks," as defined in Rule 600(b)(47) of Regulation NMS under the Act. /4/ The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would be designed to prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. /5/ These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity).
FOOTNOTE 4 17 CFR 242.600(b)(47). See also Section I(H) of the Plan. END FOOTNOTE
FOOTNOTE 5 See Section V of the Plan. END FOOTNOTE
As set forth in Section V of the Plan, the price bands would consist of a
FOOTNOTE 6 Capitalized terms used herein but not otherwise defined shall have the meaning ascribed to such terms in the Plan. See Exhibit A, infra. END FOOTNOTE
FOOTNOTE 7 17 CFR 242.603(b). The Plan refers to this entity as the Processor. END FOOTNOTE
FOOTNOTE 8 See Section I(T) of the Plan. END FOOTNOTE
FOOTNOTE 9 As initially proposed by the Participants, the Percentage Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index or Russell 1000 Index and certain ETPs) with a Reference Price of
The Processors would also calculate a Pro-Forma Reference Price for each NMS Stock on a continuous basis during Regular Trading Hours. If a Pro-Forma Reference Price did not move by one percent or more from the Reference Price in effect, no new price bands would be disseminated, and the current Reference Price would remain the effective Reference Price. If the Pro-Forma Reference Price moved by one percent or more from the Reference Price in effect, the Pro-Forma Reference Price would become the Reference Price, and the Processors would disseminate new price bands based on the new Reference Price. Each new Reference Price would remain in effect for at least 30 seconds.
When one side of the market for an individual security is outside the applicable price band, the Processors would be required to disseminate such National Best Bid /10/ or National Best Offer /11/ with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable price band, the market for an individual security would enter a Limit State, /12/ and the Processors would be required to disseminate such National Best Offer or National Best Bid with an appropriate flag identifying it as a Limit State Quotation. /13/ All trading would immediately enter a Limit State if the National Best Offer equals the
FOOTNOTE 10 17 CFR 242.600(b)(42). See also Section I(G) of the Plan. END FOOTNOTE
FOOTNOTE 11 Id. END FOOTNOTE
FOOTNOTE 12 A stock enters the Limit State if the National Best Offer equals the
FOOTNOTE 13 See Section I(D) of the Plan. END FOOTNOTE
These limit up-limit down requirements would be coupled with trading pauses /14/ to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the Plan, all trading centers /15/ in NMS Stocks, including both those operated by Participants and those operated by members of Participants, would be required to establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down and trading pause requirements specified in the Plan.
FOOTNOTE 14 The primary listing market would declare a trading pause in an NMS Stock; upon notification by the primary listing market, the Processor would disseminate this information to the public. No trades in that NMS Stock could occur during the trading pause, but all bids and offers may be displayed. See Section VII(A) of the Plan. END FOOTNOTE
FOOTNOTE 15 As defined in Section I(X) of the Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Act. END FOOTNOTE
Under the Plan, all trading centers would be required to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the display of offers below the
As stated by the Participants in the Plan, the limit up-limit down mechanism is intended to reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks, /16/ thereby protecting investors and promoting a fair and orderly market. /17/ In particular, the Plan is designed to address the type of sudden price movements that the market experienced on the afternoon of
FOOTNOTE 16 17 CFR 242.600(b)(47). END FOOTNOTE
FOOTNOTE 17 See Transmittal Letter, supra note 3. END FOOTNOTE
FOOTNOTE 18 The limit up-limit down mechanism set forth in the Plan would replace the existing single-stock circuit breaker pilot. See e.g., Securities Exchange Act Release Nos. 62251 (
The following summarizes the Sixth Amendment to the Plan and the rationale behind those changes:
The Participants propose to amend Section VIII.B of the Plan to establish a new implementation schedule for Phase II of the Plan. The Plan currently provides that eight months after the initial date of Plan operations, the Plan shall fully apply (A) to all NMS Stocks and (B) beginning at
The Participants now propose to amend Section VIII.B to provide that Phase II shall be separated into two sub-phases. The first sub-phase (Phase II.A.) would apply the Plan to all NMS Stocks beginning at
The Participants believe that this proposed amendment is technical and ministerial in nature because it simply extends the implementation period of the Plan with respect to Phase II.B. of the Plan, and it does not change any substantive elements of the Plan. The Participants note that at least two Participants plan to file proposed changes to their exchange rules to revise the manner by which they will interact with the Plan near the close. Specifically, the Participants will be proposing that if a Trading Pause is declared for an NMS Stock within the last ten minutes of trading, the Primary Listing Exchange will attempt to close the NMS Stock using a modified version of its established closing procedures. The Participants believe that the proposal to extend the implementation period is necessary to provide additional time for the amendment their exchange rules to go through the notice and comment period and approval process.
In addition, the proposed modification to the implementation schedule is in response to requests by the securities industry for additional time for systems testing by Participants and the securities industry, particularly to test with proposed Exchange rule and system modifications around the close. /19/ The Participants believe that providing additional time for the Participants and the securities industry to test the manner by which the Plan operates around the close, particularly when there is a trading pause less than five minutes before the scheduled close of trading, is necessary and appropriate in the public interest and for the protection of investors.
FOOTNOTE 19 See Letter from
The Participants believe it is important to implement all elements of the Plan in a prudent and cautious manner; however this interest is heightened where the Plan impacts the close of trading. A significant volume of trading occurs at the close, including in closing crosses on multiple exchanges. Additionally, the closing prices reached and disseminated by the Exchanges are used to price billions of dollars of mutual funds and other investments held by millions of individual investors and institutions. Accordingly, the need for thorough testing by all Participants and members is critical. The Participants believe that the proposed implementation date of
B. Governing or Constituent Documents
The governing documents of the Processor, as defined in Section I(P) of the Plan, will not be affected by the Plan, but once the Plan is implemented, the Processor's obligations will change, as set forth in detail in the Plan.
C. Implementation of Plan
The initial date of the Plan operations was
D. Development and Implementation Phases
The Plan will be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the Plan: Phase I of Plan implementation began on
E. Analysis of Impact on Competition
The proposed Plan does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants do not believe that the proposed Plan introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act. /20/
FOOTNOTE 20 15 U.S.C. 78k-1(c)(1)(D). END FOOTNOTE
F. Written Understanding or Agreements Relating to Interpretation of, or Participation in, Plan
The Participants have no written understandings or agreements relating to interpretation of the Plan. Section II(C) of the Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Participant.
G. Approval of Amendment of the Plan
Each of the Plan's Participants has executed a written amended Plan.
H. Terms and Conditions of Access
Section II(C) of the Plan provides that any entity registered as a national securities exchange or national securities association under the Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans, as defined in Section I(F) of the Plan; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan.
I. Method of Determination and Imposition, and Amount of, Fees and Charges
Not applicable.
J. Method and Frequency of Processor Evaluation
Not applicable.
K. Dispute Resolution
Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee. /21/ No later than the initial date of the Plan, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee. Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608. /22/
FOOTNOTE 21 See Section I(J) of the Plan. END FOOTNOTE
FOOTNOTE 22 17 CFR 242.608. END FOOTNOTE
On
II. Solicitation of Comments
Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Sixth Amendment to the Plan is consistent with the Act. Comments may be 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
All submissions should refer to File Number 4-631. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Sixth Amendment to the Plan that are filed with the Commission, and all written communications relating to the Sixth Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the
By the Commission.
Kevin M. O'Neill,
Deputy Secretary.
Exhibit A
Proposed new language is italicized; proposed deletions are in [brackets].
Plan To Address Extraordinary Market Volatility Submitted to the Securities and Exchange Commission Pursuant to Rule 608 of Regulation NMS Under the Securities Exchange Act of 1934
Table of Contents
Section
Preamble
I. Definitions
II. Parties
III. Amendments to Plan
IV. Trading Center Policies and Procedures
V. Price Bands
VI. Limit Up-Limit Down Requirements
VII. Trading Pauses
VIII. Implementation
IX. Withdrawal from Plan
X. Counterparts and Signatures
Appendix A--Percentage Parameters
Appendix A--Schedule 1
Appendix B--Data
Preamble
The Participants submit to the
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) "
(F) "Market Data Plans" shall mean the effective national market system plans through which the Participants act jointly to disseminate consolidated information in compliance with Rule 603(b) of Regulation NMS under the Exchange Act.
(G) "National Best Bid" and "National Best Offer" shall have the meaning provided in Rule 600(b)(42) of Regulation NMS under the Exchange Act.
(H) "NMS Stock" shall have the meaning provided in Rule 600(b)(47) of Regulation NMS under the Exchange Act.
(I) "Opening Price" shall mean the price of a transaction that opens trading on the Primary Listing Exchange, or, if the Primary Listing Exchange opens with quotations, the midpoint of those quotations.
(J) "Operating Committee" shall have the meaning provided in Section III(C) of the Plan.
(K) "Participant" means a party to the Plan.
(L) "Plan" means the plan set forth in this instrument, as amended from time to time in accordance with its provisions.
(M) "Percentage Parameter" shall mean the percentages for each tier of NMS Stocks set forth in Appendix A of the Plan.
(N) "Price Bands" shall have the meaning provided in Section V of the Plan.
(O) "Primary Listing Exchange" shall mean the Participant on which an NMS Stock is listed. If an NMS Stock is listed on more than one Participant, the Participant on which the NMS Stock has been listed the longest shall be the Primary Listing Exchange.
(P) "Processor" shall mean the single plan processor responsible for the consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act.
(Q) "Pro-Forma Reference Price" shall have the meaning provided in Section V(A)(2) of the Plan.
(R) "Regular Trading Hours" shall have the meaning provided in Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes of the Plan, Regular Trading Hours can end earlier than
(S) "Regulatory Halt" shall have the meaning specified in the Market Data Plans.
(T) "Reference Price" shall have the meaning provided in Section V of the Plan.
(U) "Reopening Price" shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations.
(V) "
(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) "
II. Parties
(A) List of Parties
The parties to the Plan are as follows:
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9) NASDAQ OMX PHLX LLC,
(10)
(11)
(12)
(13)
(14)
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the
(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
(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
(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
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
(2) The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new Price Bands based on the new Reference Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds.
(B) Openings
(1) Except when a Regulatory Halt is in effect at the start of Regular Trading Hours, the first Reference Price for a trading day shall be the Opening Price on the Primary Listing Exchange in an NMS Stock if such Opening Price occurs less than five minutes after the start of Regular Trading Hours. During the period less than five minutes after the Opening Price, a Pro-Forma Reference Price shall be updated on a continuous basis to be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock during the period following the Opening Price (including the Opening Price), and if it differs from the current Reference Price by 1% or more shall become the new Reference Price, except that a new Reference Price shall remain in effect for at least 30 seconds. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2) If the Opening Price on the Primary Listing Exchange in an NMS Stock does not occur within five minutes after the start of Regular Trading Hours, the first Reference Price for a trading day shall be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(C) Reopenings
(1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange if such Reopening Price occurs within ten minutes after the beginning of the Trading Pause, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Reopening Price does not occur within ten minutes after the beginning of the Trading Pause, the first Reference Price following the Trading Pause shall be equal to the last effective Reference Price before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the Primary Listing Exchange if such Opening or Reopening Price occurs within five minutes after the end of the Regulatory Halt, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Opening or Reopening Price has not occurred within five minutes after the end of the Regulatory Halt, the Reference Price shall be equal to the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent trades at prices that are below the
(2) When a National Best Bid is below the
(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
(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
(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
(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
(3) The Processor shall disseminate Trading Pause information to the public. No trades in an NMS Stock shall occur during a Trading Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
(1) Five minutes after declaring a Trading Pause for an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the Primary Listing Exchange shall attempt to reopen trading using its established reopening procedures. The Trading Pause shall end when the Primary Listing Exchange reports a Reopening Price.
(2) The Primary Listing Exchange shall notify the Processor if it is unable to reopen trading in an NMS Stock for any reason other than a significant order imbalance and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public, and all trading centers may begin trading the NMS Stock at this time.
(3) If the Primary Listing Exchange does not report a Reopening Price within ten minutes after the declaration of a Trading Pause in an NMS Stock, and has not declared a Regulatory Halt, all trading centers may begin trading the NMS Stock.
(4) When trading begins after a Trading Pause, the Processor shall update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C) Trading Pauses Within Ten Minutes of the End of Regular Trading Hours
(1) If a Trading Pause for an NMS Stock is declared in the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen trading and shall attempt to execute a closing transaction using its established closing procedures. All trading centers may begin trading the NMS Stock when the Primary Listing Exchange executes a closing transaction.
(2) If the Primary Listing Exchange does not execute a closing transaction within five minutes after the end of Regular Trading Hours, all trading centers may begin trading the NMS Stock.
VIII. Implementation
The initial date of Plan operations shall be
(A) Phase I
(1) On the initial date of Plan operations, Phase I of Plan implementation shall begin in select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan.
(2) Three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified in Appendix A of the Plan.
(3) During Phase I, the first Price Bands for a trading day shall be calculated and disseminated 15 minutes after the start of Regular Trading Hours as specified in Section (V)(A) of the Plan. No Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours.
(B) Phase II--Full Implementation
Phase II.A.: Eight months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at
Phase II.B.: By
(C) Pilot
The Plan shall be implemented on a one-year pilot basis.
IX. Withdrawal from Plan
If a Participant obtains
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
BATS EXCHANGE, INC.
BY:
BATS Y-EXCHANGE, INC.
BY:
BY:
BY:
EDGA EXCHANGE, INC.
BY:
EDGA EXCHANGE, INC.
BY:
BY:
NASDAQ OMX BX, INC.
BY:
NASDAQ OMX PHLX LLC
BY:
THE NASDAQ STOCK MARKET LLC
BY:
NATIONAL STOCK EXCHANGE, INC.
BY:
BY:
BY:
NYSE ARCA, INC.
BY:
Appendix A--Percentage Parameters
I. Tier 1 NMS Stocks
(1) Tier 1 NMS Stocks shall include all NMS Stocks included in the S&P 500 Index, the Russell 1000 Index, and the exchange-traded products ("ETP") listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume ("CADV"). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over
(2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than
(3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to
(4) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than
(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) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to
(4) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than
(5) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or (4) above, multiplied by the leverage ratio of such product.
(6) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.
Appendix A--Schedule 1
Ticker Name Primary exchange AAXJ iShares MSCI All Country NASDAQ GM. Asia ex Japan Index Fund ACWI iShares MSCI ACWI Index NASDAQ GM. Fund ACWV iShares MSCI All Country NYSE Arca. World Minimum Volatility Index Fund ACWX iShares MSCI ACWI ex US NASDAQ GM. Index Fund AGG iShares Core Total US NYSE Arca. Bond Market ETF AGOL ETFS Asian Gold Trust NYSE Arca. AGZ iShares Barclays Agency NYSE Arca. Bond Fund ALD WisdomTree Asia Local NYSE Arca. Debt Fund AMJ JPMorgan Alerian MLP NYSE Arca. Index ETN AMLP Alerian MLP ETF NYSE Arca. AMU ETRACS Alerian MLP Index NYSE Arca. ETN BAB PowerShares Build America NYSE Arca. Bond Portfolio BAL iPath Dow Jones-UBS NYSE Arca. Cotton Subindex Total Return Callable ETN BBH Market Vectors Biotech NYSE Arca. ETF BDG PowerShares DB Base NYSE Arca. Metals Long ETN BFOR Barron's 400 ETF NYSE Arca. BIK SPDR S&P BRIC 40 ETF NYSE Arca. BIL SPDR Barclays 1-3 Month NYSE Arca. T-Bill BIV Vanguard NYSE Arca. Intermediate-Term Bond ETF BKF iShares MSCI BRIC Index NYSE Arca. Fund BKLN PowerShares Senior Loan NYSE Arca. Portfolio BLV Vanguard Long-Term Bond NYSE Arca. ETF BND Vanguard Total Bond NYSE Arca. Market ETF BNDX Vanguard Total NASDAQ GM. International Bond ETF BNO United States Brent Oil NYSE Arca. Fund LP BOND Pimco Total Return ETF NYSE Arca. BOS PowerShares DB Base NYSE Arca. Metals Short ETN BRF Market Vectors Brazil NYSE Arca. Small-Cap ETF BSJE Guggenheim BulletShares NYSE Arca. 2014 High Yield Corporate Bond ETF BSJF Guggenheim BulletShares NYSE Arca. 2015 High Yield Corporate Bond ETF BSV Vanguard Short-Term Bond NYSE Arca. ETF BWV iPath CBOE S&P 500 NYSE Arca. BuyWrite Index ETN BWX SPDR Barclays NYSE Arca. International Treasury Bond ETF CEW WisdomTree Emerging NYSE Arca. Currency Fund CFT iShares Barclays Credit NYSE Arca. Bond Fund CHIQ Global X China Consumer NYSE Arca. ETF CIU iShares Barclays NYSE Arca. Intermediate Credit Bond Fund CLY iShares 10+ Year Credit NYSE Arca. Bond Fund CMF iShares S&P California NYSE Arca. AMT-Free Municipal Bond Fund CORN Teucrium Corn Fund NYSE Arca. CSD Guggenheim Spin-Off ETF NYSE Arca. CSJ iShares Barclays 1-3 Year NYSE Arca. Credit Bond Fund CUT Guggenheim Timber ETF NYSE Arca. CVY Guggenheim Multi-Asset NYSE Arca. Income ETF CWB SPDR Barclays Convertible NYSE Arca. Securities ETF CWI SPDR MSCI ACWI ex-US ETF NYSE Arca. DBA PowerShares DB NYSE Arca. Agriculture Fund DBB PowerShares DB Base NYSE Arca. Metals Fund DBC PowerShares DB Commodity NYSE Arca. Index Tracking Fund DBE PowerShares DB Energy NYSE Arca. Fund DBJP db X-trackers MSCI Japan NYSE Arca. Hedged Equity Fund DBO PowerShares DB Oil Fund NYSE Arca. DBP PowerShares DB Precious NYSE Arca. Metals Fund DBV PowerShares DB G10 NYSE Arca. Currency Harvest Fund DEM WisdomTree Emerging NYSE Arca. Markets Equity Income Fund DES WisdomTree SmallCap NYSE Arca. Dividend Fund DFJ WisdomTree Japan SmallCap NYSE Arca. Dividend Fund DGL PowerShares DB Gold Fund NYSE Arca. DGS WisdomTree Emerging NYSE Arca. Markets SmallCap Dividend Fund DGZ PowerShares DB Gold Short NYSE Arca. ETN DHS WisdomTree Equity Income NYSE Arca. Fund DIA SPDR Dow Jones Industrial NYSE Arca. Average ETF Trust DJCI ETRACS DJ-UBS Commodity NYSE Arca. Index Total Return ETN DJP iPath Dow Jones-UBS NYSE Arca. Commodity Index Total Return ETN DLN WisdomTree LargeCap NYSE Arca. Dividend Fund DLS WisdomTree International NYSE Arca. SmallCap Dividend Fund DOG ProShares Short Dow30 NYSE Arca. DON WisdomTree MidCap NYSE Arca. Dividend Fund DTN WisdomTree Dividend NYSE Arca. Ex-Financials Fund DVY iShares Dow Jones Select NYSE Arca. Dividend Index Fund DWX SPDR S&P International NYSE Arca. Dividend ETF DXJ WisdomTree Japan Hedged NYSE Arca. Equity Fund EBND SPDR Barclays Emerging NYSE Arca. Markets Local Bond ETF ECH iShares MSCI Chile Capped NYSE Arca. Investable Market Index Fund ECON EGShares Emerging Markets NYSE Arca. Consumer ETF EDIV SPDR S&P Emerging Markets NYSE Arca. Dividend ETF EDV Vanguard Extended NYSE Arca. Duration Treasury ETF EEM iShares MSCI Emerging NYSE Arca. Markets Index Fund EEMA iShares MSCI Emerging NASDAQ GM. Markets Asia Index EEMV iShares MSCI Emerging NYSE Arca. Markets Minimum Volatility Index Fund EFA iShares MSCI EAFE Index NYSE Arca. Fund EFAV iShares MSCI EAFE Minimum NYSE Arca. Volatility Index Fund EFG iShares MSCI EAFE Growth NYSE Arca. Index EFV iShares MSCI EAFE Value NYSE Arca. Index EFZ ProShares Short MSCI EAFE NYSE Arca. EIDO iSHARES MSCI Indonesia NYSE Arca. Investable Market Index Fund ELD WisdomTree Emerging NYSE Arca. Markets Local Debt Fund ELR SPDR Dow Jones Large Cap NYSE Arca. ETF EMB iShares JPMorgan USD NYSE Arca. Emerging Markets Bond Fund EMLC Market Vectors Emerging NYSE Arca. Markets Local Currency Bond ETF EMM SPDR Dow Jones Mid Cap NYSE Arca. ETF ENZL iShares MSCI New Zealand NYSE Arca. Capped Investable Market Index Fund EPHE iShares MSCI Philippines NYSE Arca. Investable Market Index Fund EPI WisdomTree India Earnings NYSE Arca. Fund EPOL iShares MSCI Poland NYSE Arca. Capped Investable Market Index Fund EPP iShares MSCI Pacific NYSE Arca. ex-Japan Index Fund EPU iShares MSCI All Peru NYSE Arca. Capped Index Fund ERUS iShares MSCI Russia NYSE Arca. Capped Index Fund EUM ProShares Short MSCI NYSE Arca. Emerging Markets EWA iShares MSCI Australia NYSE Arca. Index Fund EWC iShares MSCI Canada Index NYSE Arca. Fund EWD iShares MSCI Sweden Index NYSE Arca. Fund EWG iShares MSCI Germany NYSE Arca. Index Fund EWH iShares MSCI Hong Kong NYSE Arca. Index Fund EWI iShares MSCI Italy Capped NYSE Arca. Index Fund EWJ iShares MSCI Japan Index NYSE Arca. Fund EWL iShares MSCI Switzerland NYSE Arca. Capped Index Fund EWM iShares MSCI Malaysia NYSE Arca. Index Fund EWN iShares MSCI Netherlands NYSE Arca. Investable Market Index Fund EWO iShares MSCI Austria NYSE Arca. Capped Investable Market Index Fund EWP iShares MSCI Spain Capped NYSE Arca. Index Fund EWQ iShares MSCI France Index NYSE Arca. Fund EWS iShares MSCI Singapore NYSE Arca. Index Fund EWT iShares MSCI Taiwan Index NYSE Arca. Fund EWU iShares MSCI United NYSE Arca. Kingdom Index Fund EWW iShares MSCI Mexico NYSE Arca. Capped Investable Market Index Fund EWX SPDR S&P Emerging Markets NYSE Arca. SmallCap ETF EWY iShares MSCI South Korea NYSE Arca. Capped Index Fund EWZ iShares MSCI Brazil NYSE Arca. Capped Index Fund EXI iShares S&P Global NYSE Arca. Industrials Sector Index Fund EZA iShares MSCI South Africa NYSE Arca. Index Fund EZU iShares MSCI EMU Index NYSE Arca. Fund FBT First Trust NYSE Arca NYSE Arca. Biotechnology Index Fund FCG First Trust ISE-Revere NYSE Arca. Natural Gas Index Fund FDL First Trust Morningstar NYSE Arca. Dividend Leaders Index FDN First Trust Dow Jones NYSE Arca. Internet Index Fund FEM First Trust Emerging NYSE Arca. Markets AlphaDEX Fund FEX First Trust Large Cap NYSE Arca. Core AlphaDEX Fund FEZ SPDR EURO STOXX 50 ETF NYSE Arca. FGD First Trust DJ Global NYSE Arca. Select Dividend Index Fund FLOT iShares Floating Rate NYSE Arca. Note Fund FLRN SPDR Barclays Investment NYSE Arca. Grade Floating Rate ETF FM iShares MSCI Frontier 100 NYSE Arca. ETF *X First Trust Mid Cap Core NYSE Arca. AlphaDEX Fund FRI First Trust S&P REIT NYSE Arca. Index Fund FTA First Trust Large Cap NYSE Arca. Value AlphaDEX Fund FVD First Trust Value Line NYSE Arca. Dividend Index Fund FXA CurrencyShares Australian NYSE Arca. Dollar Trust FXB CurrencyShares British NYSE Arca. Pound Sterling Trust FXC CurrencyShares Canadian NYSE Arca. Dollar Trust FXD First Trust Consumer NYSE Arca. Discretionary AlphaDEX Fund FXE CurrencyShares Euro Trust NYSE Arca. FXF CurrencyShares Swiss NYSE Arca. Franc Trust FXG First Trust Consumer NYSE Arca. Staples AlphaDEX Fund FXH First Trust Health Care NYSE Arca. AlphaDEX Fund FXI iShares FTSE China 25 NYSE Arca. Index Fund FXL First Trust Technology NYSE Arca. AlphaDEX Fund FXO First Trust Financial NYSE Arca. AlphaDEX Fund FXY CurrencyShares Japanese NYSE Arca. Yen Trust FXZ First Trust Materials NYSE Arca. AlphaDEX Fund GCC GreenHaven Continuous NYSE Arca. Commodity Index Fund GDX Market Vectors Gold NYSE Arca. Miners ETF GDXJ Market Vectors Junior NYSE Arca. Gold Miners ETF GII SPDR S&P Global NYSE Arca. Infrastructure ETF GIY Guggenheim Enhanced Core NYSE Arca. Bond ETF GLD SPDR Gold Shares NYSE Arca. GMF SPDR S&P Emerging Asia NYSE Arca. Pacific ETF GMM SPDR S&P Emerging Markets NYSE Arca. ETF GMTB Columbia Core Bond ETF NYSE Arca. GNR SPDR S&P Global Natural NYSE Arca. Resources ETF GOVT iShares Barclays U.S. NYSE Arca. Treasury Bond Fund GSG iShares S&P GSCI NYSE Arca. Commodity Indexed Trust GSP iPath GSCI Total Return NYSE Arca. Index ETN GSY Guggenheim Enhanced Short NYSE Arca. Duration Bond ETF GUNR FlexShares Global NYSE Arca. Upstream Natural Resources Index Fund GVI iShares Barclays NYSE Arca. Intermediate Government/Credit Bond Fund GWL SPDR S&P World ex-US ETF NYSE Arca. GWX SPDR S&P International NYSE Arca. Small Cap ETF GXC SPDR S&P China ETF NYSE Arca. GXG Global X FTSE Colombia 20 NYSE Arca. ETF HAO Guggenheim China Small NYSE Arca. Cap ETF HDGE Ranger Equity Bear ETF NYSE Arca. HDV iShares High Dividend NYSE Arca. Equity Fund HEDJ WisdomTree Europe Hedged NYSE Arca. Equity Fund HUSE Huntington US Equity NYSE Arca. Rotation Strategy ETF HYD Market Vectors High Yield NYSE Arca. Municipal Index ETF HYG iShares iBoxx $High NYSE Arca. Yield Corporate Bond Fund HYLD Peritus High Yield ETF NYSE Arca. HYMB SPDR Nuveen S&P High NYSE Arca. Yield Municipal Bond ETF HYS PIMCO 0-5 Year High Yield NYSE Arca. Corporate Bond Index Exchange-Traded Fund IAI iShares Dow Jones US NYSE Arca. Broker Dealers Index Fund IAT iShares Dow Jones US NYSE Arca. Regional Banks Index Fund IAU iShares Gold Trust NYSE Arca. IBB iShares Nasdaq NASDAQ GM. Biotechnology Index Fund IBND SPDR Barclays NYSE Arca. International Corporate Bond ETF ICF iShares Cohen & Steers NYSE Arca. Realty Majors Index Fund IDU iShares Dow Jones US NYSE Arca. Utilities Sector Index Fund IDV iShares Dow Jones NYSE Arca. International Select Dividend Index Fund IDX Market Vectors Indonesia NYSE Arca. Index ETF IEF iShares Barclays 7-10 NYSE Arca. Year Treasury Bond Fund IEFA iShares Core MSCI EAFE NYSE Arca. ETF IEI iShares Barclays 3-7 Year NYSE Arca. Treasury Bond Fund IELG iShares Enhanced U.S. NYSE Arca. Large-Cap ETF IEMG iShares Core MSCI NYSE Arca. Emerging Markets ETF IEO iShares Dow Jones US Oil NYSE Arca. & Gas Exploration & Production Index Fund IESM iShares Enhanced U.S. NYSE Arca. Small-Cap ETF IEV iShares S&P Europe 350 NYSE Arca. Index Fund IEZ iShares Dow Jones US Oil NYSE Arca. Equipment & Services Index Fund IFGL iShares FTSE EPRA/NAREIT NASDAQ GM. Developed Real Estate ex-US Index Fund IGE iShares S&P North NYSE Arca. American Natural Resources Sector Index Fund IGF iShares S&P Global NYSE Arca. Infrastructure Index Fund IGM iShares S&P North NYSE Arca. American Technology Sector Index Fund IGN iShares S&P North NYSE Arca. American Technology-Multimedia Networking Index Fund IGOV iShares S&P/Citigroup NASDAQ GM. International Treasury Bond Fund IGS ProShares Short NYSE Arca. Investment Grade Corporate IGV iShares S&P North NYSE Arca. American Technology-Software Index Fund IHE iShares Dow Jones US NYSE Arca. Pharmaceuticals Index Fund IHF iShares Dow Jones US NYSE Arca. Healthcare Providers Index Fund IHI iShares Dow Jones US NYSE Arca. Medical Devices Index Fund IHY Market Vectors NYSE Arca. International High Yield Bond ETF IJH iShares Core S&P Mid-Cap NYSE Arca. ETF IJJ iShares S&P MidCap NYSE Arca. 400/BARRA Value Index Fund IJK iShares S&P MidCap 400 NYSE Arca. Growth Index Fund IJR iShares Core S&P NYSE Arca. Small-Cap ETF IJS iShares S&P SmallCap 600 NYSE Arca. Value Index Fund IJT iShares S&P SmallCap NYSE Arca. 600/BARRA Growth Index Fund ILF iShares S&P Latin America NYSE Arca. 40 Index Fund ILTB iShares Core Long-Term US NYSE Arca. Bond ETF INDA iShares MSCI India Index BATS. Fund INDY iShares India 50 ETF NASDAQ GM. INP iPath MSCI India Index NYSE Arca. ETN IOO iShares S&P Global 100 NYSE Arca. Index Fund IPE SPDR Barclays TIPS ETF NYSE Arca. ISHG iShares S&P/Citigroup 1-3 NASDAQ GM. Year International Treasury Bond Fund ITB iShares Dow Jones US Home NYSE Arca. Construction Index Fund ITM Market Vectors NYSE Arca. Intermediate Municipal ETF ITOT iShares Core S&P Total US NYSE Arca. Stock Market ETF ITR SPDR Barclays NYSE Arca. Intermediate Term Corporate Bond ETF IVE iShares S&P 500 Value NYSE Arca. Index Fund IVOO Vanguard S&P Mid-Cap 400 NYSE Arca. ETF IVV iShares Core S&P 500 ETF NYSE Arca. IVW iShares S&P 500 Growth NYSE Arca. Index Fund IWB iShares Russell 1000 NYSE Arca. Index Fund IWC iShares Russell Microcap NYSE Arca. Index Fund IWD iShares Russell 1000 NYSE Arca. Value Index Fund IWF iShares Russell 1000 NYSE Arca. Growth Index Fund IWM iShares Russell 2000 NYSE Arca. Index Fund IWN iShares Russell 2000 NYSE Arca. Value Index Fund IWO iShares Russell 2000 NYSE Arca. Growth Index Fund IWP iShares Russell Midcap NYSE Arca. Growth Index Fund IWR iShares Russell Midcap NYSE Arca. Index Fund IWS iShares Russell Midcap NYSE Arca. Value Index Fund IWV iShares Russell 3000 NYSE Arca. Index Fund IXC iShares S&P Global Energy NYSE Arca. Sector Index Fund IXG iShares S&P Global NYSE Arca. Financials Sector Index Fund IXJ iShares S&P Global NYSE Arca. Healthcare Sector Index Fund IXN iShares S&P Global NYSE Arca. Technology Sector Index Fund IXP iShares S&P Global NYSE Arca. Telecommunications Sector Index Fund IYC iShares Dow Jones US NYSE Arca. Consumer Services Sector Index Fund IYE iShares Dow Jones US NYSE Arca. Energy Sector Index Fund IYF iShares Dow Jones US NYSE Arca. Financial Sector Index Fund IYG iShares Dow Jones US NYSE Arca. Financial Services Index Fund IYH iShares Dow Jones US NYSE Arca. Healthcare Sector Index Fund IYJ iShares Dow Jones US NYSE Arca. Industrial Sector Index Fund IYK iShares Dow Jones US NYSE Arca. Consumer Goods Sector Index Fund IYM iShares Dow Jones US NYSE Arca. Basic Materials Sector Index Fund IYR iShares Dow Jones US Real NYSE Arca. Estate Index Fund IYT iShares Dow Jones NYSE Arca. Transportation Average Index Fund IYW iShares Dow Jones US NYSE Arca. Technology Sector Index Fund IYY iShares Dow Jones US NYSE Arca. Index Fund IYZ iShares Dow Jones US NYSE Arca. Telecommunications Sector Index Fund JJC iPath Dow Jones-UBS NYSE Arca. Copper Subindex Total Return ETN JJG iPath Dow Jones-UBS NYSE Arca. Grains Subindex Total Return ETN JKF iShares Morningstar Large NYSE Arca. Value Index Fund JKL iShares Morningstar Small NYSE Arca. Value Index Fund JNK SPDR Barclays High Yield NYSE Arca. Bond ETF JO iPath Dow Jones-UBS NYSE Arca. Coffee Subindex Total Return ETN JXI iShares S&P Global NYSE Arca. Utilities Sector Index Fund KBE SPDR S&P Bank ETF NYSE Arca. KBWB PowerShares KBW Bank NYSE Arca. Portfolio KBWD PowerShares KBW High NYSE Arca. Dividend Yield Financial Portfolio KIE SPDR S&P Insurance ETF NYSE Arca. KOL Market Vectors Coal ETF NYSE Arca. KRE SPDR S&P Regional Banking NYSE Arca. ETF KXI iShares S&P Global NYSE Arca. Consumer Staples Sector Index Fund LAG SPDR Barclays Aggregate NYSE Arca. Bond ETF LEMB iShares Emerging Markets NYSE Arca. Local Currency Bond Fund LQD iShares iBoxx Investment NYSE Arca. Grade Corporate Bond Fund LTPZ PIMCO 15+ Year U.S. TIPS NYSE Arca. Index Exchange-Traded Fund LWC SPDR Barclays Long Term NYSE Arca. Corporate Bond ETF MBB iShares Barclays MBS Bond NYSE Arca. Fund MBG SPDR Barclays Mortgage NYSE Arca. Backed Bond ETF MCHI iShares MSCI China Index NYSE Arca. Fund MDIV First Trust NASDAQ US NASDAQ GM. Multi-Asset Diversified Income Index Fun MDY SPDR S&P MidCap 400 ETF NYSE Arca. Trust MGC Vanguard Mega Cap ETF NYSE Arca. MGK Vanguard Mega Cap Growth NYSE Arca. ETF MGV Vanguard Mega Cap Value NYSE Arca. ETF MINT PIMCO Enhanced Short NYSE Arca. Maturity Exchange-Traded Fund MLPI ETRACS Alerian MLP NYSE Arca. Infrastructure Index ETN MLPN Credit Suisse Cushing 30 NYSE Arca. MLP Index ETN MOO Market Vectors NYSE Arca. Agribusiness ETF MUB iShares S&P National NYSE Arca. Municipal Bond Fund MXI iShares S&P Global NYSE Arca. Materials Sector Index Fund MYY ProShares Short MidCap NYSE Arca. 400 NKY MAXIS Nikkei 225 Index NYSE Arca. Fund ETF OEF iShares S&P 100 Index NYSE Arca. Fund OIH Market Vectors Oil NYSE Arca. Service ETF OIL iPath Goldman Sachs Crude NYSE Arca. Oil Total Return Index ETN PALL ETFS Physical Palladium NYSE Arca. Shares PBJ Powershares Dynamic Food NYSE Arca. & Beverage Portfolio PBP PowerShares S&P 500 NYSE Arca. BuyWrite Portfolio PBS Powershares Dynamic Media NYSE Arca. Portfolio PCEF PowerShares CEF Income NYSE Arca. Composite Portfolio PCY PowerShares Emerging NYSE Arca. Markets Sovereign Debt Portfolio PDP Powershares DWA Technical NYSE Arca. Leaders Portfolio PFF iShares S&P US Preferred NYSE Arca. Stock Index Fund PGF PowerShares Financial NYSE Arca. Preferred Portfolio PGX PowerShares Preferred NYSE Arca. Portfolio PHB PowerShares Fundamental NYSE Arca. High Yield Corporate Bond Portfolio PHDG PS S&P Downside Hdgd NYSE Arca. PHO PowerShares Water NYSE Arca. Resources Portfolio PHYS Sprott Physical Gold NYSE Arca. Trust PID PowerShares International NYSE Arca. Dividend Achievers Portfolio PIE PowerShares DWA Emerging NYSE Arca. Markets Technical Leaders Portfolio PIN PowerShares India NYSE Arca. Portfolio PIZ PowerShares DWA Developed NYSE Arca. Markets Technical Leaders Portfolio PJP Powershares Dynamic NYSE Arca. Pharmaceuticals Portfolio PKW PowerShares Buyback NYSE Arca. Achievers Portfolio PPH Market Vectors NYSE Arca. Pharmaceutical ETF PPLT ETFS Platinum Trust NYSE Arca. PRF Powershares FTSE RAFI US NYSE Arca. 1000 Portfolio PRFZ PowerShares FTSE RAFI US NASDAQ GM. 1500 Small-Mid Portfolio PSK SPDR Wells Fargo NYSE Arca. Preferred Stock ETF PSLV Sprott Physical Silver NYSE Arca. Trust PSP PowerShares Global Listed NYSE Arca. Private Equity Portfolio PSQ ProShares Short QQQ NYSE Arca. PWV PowerShares Dynamic Large NYSE Arca. Cap Value Portfolio PXF PowerShares FTSE RAFI NYSE Arca. Developed Markets ex-U.S. Portfolio PXH PowerShares FTSE RAFI NYSE Arca. Emerging Markets Portfolio PZA PowerShares Insured NYSE Arca. National Municipal Bond Portfolio QAI IndexIQ ETF Trust--IQ NYSE Arca. Hedge Multi-Strategy Tracker ETF QQQ Powershares QQQ Trust NASDAQ GM. Series 1 REM iShares FTSE NAREIT NYSE Arca. Mortgage Plus Capped Index Fund REZ iShares FTSE NAREIT NYSE Arca. Residential Plus Capped Index Fund RFG Guggenheim S&P Midcap 400 NYSE Arca. Pure Growth ETF RJA ELEMENTS Linked to the NYSE Arca. Rogers International Commodity Index--Agri Tot Return RJI ELEMENTS Linked to the NYSE Arca. Rogers International Commodity Index--Total Return RPG Guggenheim S&P 500 Pure NYSE Arca. Growth ETF RPV Guggenheim S&P 500 Pure NYSE Arca. Value ETF RSP Guggenheim S&P 500 Equal NYSE Arca. Weight ETF RSX Market Vectors Russia ETF NYSE Arca. RTH Market Vectors Retail ETF NYSE Arca. RWM ProShares Short NYSE Arca. Russell2000 RWO SPDR Dow Jones Global NYSE Arca. Real Estate ETF RWR SPDR Dow Jones REIT ETF NYSE Arca. RWX SPDR Dow Jones NYSE Arca. International Real Estate ETF RXI iShares S&P Global NYSE Arca. Consumer Discretionary Sector Index Fund SAGG Direxion Daily Total Bond NYSE Arca. Market Bear 1x Shares SBB ProShares Short NYSE Arca. SmallCap600 SCHA Schwab US Small-Cap ETF NYSE Arca. SCHB Schwab US Broad Market NYSE Arca. ETF SCHD Schwab US Dividend Equity NYSE Arca. ETF SCHE Schwab Emerging Markets NYSE Arca. Equity ETF SCHF Schwab International NYSE Arca. Equity ETF SCHG Schwab U.S. Large-Cap NYSE Arca. Growth ETF SCHH Schwab U.S. REIT ETF NYSE Arca. SCHM Schwab U.S. Mid-Cap ETF NYSE Arca. SCHO Schwab Short-Term U.S. NYSE Arca. Treasury ETF SCHP Schwab U.S. TIPs ETF NYSE Arca. SCHR Schwab Intermediate-Term NYSE Arca. U.S. Treasury ETF SCHV Schwab U.S. Large-Cap NYSE Arca. Value ETF SCHX Schwab US Large-Cap ETF NYSE Arca. SCHZ Schwab U.S. Aggregate NYSE Arca. Bond ETF SCIF Market Vectors India NYSE Arca. Small-Cap Index ETF SCPB SPDR Barclays Short Term NYSE Arca. Corporate Bond ETF SCZ iShares MSCI EAFE Small NYSE Arca. Cap Index Fund SDIV Global X SuperDividend NYSE Arca. ETF SDY SPDR S&P Dividend ETF NYSE Arca. SGOL ETFS Gold Trust NYSE Arca. SH ProShares Short S&P500 NYSE Arca. SHM SPDR Nuveen Barclays NYSE Arca. Short Term Municipal Bond ETF SHV iShares Barclays Short NYSE Arca. Treasury Bond Fund SHY iShares Barclays 1-3 Year NYSE Arca. Treasury Bond Fund SIL Global X Silver Miners NYSE Arca. ETF SIVR ETFS Physical Silver NYSE Arca. Shares SJB ProShares Short High NYSE Arca. Yield SJNK SPDR Barclays Short Term NYSE Arca. High Yield Bond ETF SLV iShares Silver Trust NYSE Arca. SLX Market Vectors Steel NYSE Arca. Index Fund SLY SPDR S&P 600 Small CapETF NYSE Arca. SMH Market Vectors NYSE Arca. Semiconductor ETF SNLN Highland/iBoxx Senior NYSE Arca. Loan ETF SOXX iShares PHLX SOX NASDAQ GM. Semiconductor Sector Index Fund SPHB PowerShares S&P 500 High NYSE Arca. Beta Port ETF SPHD PowerShares S&P 500 High NYSE Arca. Dividend Portfolio SPLV PowerShares S&P 500 Low NYSE Arca. Volatility Portfolio SPPP Sprott Physical Platinum NYSE Arca. & Palladium Trust SPY SPDR S&P 500 ETF Trust NYSE Arca. SPYG SPDR S&P 500 Growth ETF NYSE Arca. SPYV SPDR S&P 500 Value ETF NYSE Arca. SRLN SPDR Blackstone/GSO NYSE Arca. Senior Loan ETF STIP iShares Barclays 0-5 Year NYSE Arca. TIPS Bond Fund STPZ PIMCO 1-5 Year U.S. TIPS NYSE Arca. Index Exchange-Traded Fund SUB iShares S&P Short Term NYSE Arca. National AMT-Free Municipal Bond Fund SVXY ProShares Short VIX NYSE Arca. Short-Term Futures ETF SYLD Cambria Shareholder Yield NYSE Arca. ETF TAN Guggenheim Solar ETF NYSE Arca. TAO Guggenheim China Real NYSE Arca. Estate ETF TBF ProShares Short 20+ Year NYSE Arca. Treasury TBX ProShares Short 7-10 NYSE Arca. Treasury TDTT FlexShares iBoxx 3-Year NYSE Arca. Target Duration TIPS Index Fund TFI SPDR Nuveen Barclays NYSE Arca. Municipal Bond ETF THD iShares MSCI Thailand NYSE Arca. Capped Investable Market Index Fund TIP iShares Barclays TIPS NYSE Arca. Bond Fund TLH iShares Barclays 10-20 NYSE Arca. Year Treasury Bond Fund TLT iShares Barclays 20+ Year NYSE Arca. Treasury Bond Fund TUR iShares MSCI Turkey Index NYSE Arca. Fund UNG United States Natural Gas NYSE Arca. Fund LP USCI United States Commodity NYSE Arca. Index Fund USMV iShares MSCI USA Minimum NYSE Arca. Volatility Index Fund USO United States Oil Fund LP NYSE Arca. UUP PowerShares DB US Dollar NYSE Arca. Index Bullish Fund VAW Vanguard Materials ETF NYSE Arca. VB Vanguard Small-Cap ETF NYSE Arca. VBK Vanguard Small-Cap Growth NYSE Arca. ETF VBR Vanguard Small-Cap Value NYSE Arca. ETF VCIT Vanguard NASDAQ GM. Intermediate-Term Corporate Bond ETF VCLT Vanguard Long-Term NASDAQ GM. Corporate Bond ETF VCR Vanguard Consumer NYSE Arca. Discretionary ETF VCSH Vanguard Short-Term NASDAQ GM. Corporate Bond ETF VDC Vanguard Consumer Staples NYSE Arca. ETF VDE Vanguard Energy ETF NYSE Arca. VEA Vanguard FTSE Developed NYSE Arca. Markets ETF VEU Vanguard FTSE All-World NYSE Arca. ex-US ETF VFH Vanguard Financials ETF NYSE Arca. VGIT Vanguard NASDAQ GM. Intermediate-Term Government Bond ETF VGK Vanguard FTSE Europe ETF NYSE Arca. VGLT Vanguard Long-Term NASDAQ GM. Government Bond ETF VGSH Vanguard Short-Term NASDAQ GM. Government Bond ETF VGT Vanguard Information NYSE Arca. Technology ETF VHT Vanguard Health Care ETF NYSE Arca. VIG Vanguard Dividend NYSE Arca. Appreciation ETF VIIX VelocityShares VIX Short NYSE Arca. Term ETN VIIZ VelocityShares VIX Medium NYSE Arca. Term ETN VIOO Vanguard S&P Small-Cap NYSE Arca. 600 ETF VIS Vanguard Industrials ETF NYSE Arca. VIXM ProShares VIX Mid-Term NYSE Arca. Futures ETF VIXY ProShares VIX Short-Term NYSE Arca. Futures ETF VMBS Vanguard Mortgage-Backed NASDAQ GM. Securities ETF VNM Market Vectors Vietnam NYSE Arca. ETF VNQ Vanguard REIT ETF NYSE Arca. VNQI Vanguard Global ex-U.S. NASDAQ GM. Real Estate ETF VO Vanguard Mid-Cap ETF NYSE Arca. VOE Vanguard Mid-Cap Value NYSE Arca. ETF VONE Vanguard Russell 1000 NASDAQ GM. VONG Vanguard Russell 1000 NASDAQ GM. Growth ETF VONV Vanguard Russell 1000 NASDAQ GM. Value VOO Vanguard S&P 500 ETF NYSE Arca. VOOG Vanguard S&P 500 Growth NYSE Arca. ETF VOOV Vanguard S&P 500 Value NYSE Arca. ETF VOT Vanguard Mid-Cap Growth NYSE Arca. ETF VOX Vanguard NYSE Arca. Telecommunication Services ETF VPL Vanguard FTSE Pacific ETF NYSE Arca. VPU Vanguard Utilities ETF NYSE Arca. VQT Barclays ETN+ ETNs Linked NYSE Arca. to the S&P 500 Dynamic VEQTORTM TotaL Return Index VSS Vanguard FTSE All World NYSE Arca. ex-US Small-Cap ETF VT Vanguard Total World NYSE Arca. Stock ETF VTHR Vanguard Russell 3000 NASDAQ GM. VTI Vanguard Total Stock NYSE Arca. Market ETF VTIP Vanguard Short-Term NASDAQ GM. Inflation-Protected Securities ETF VTV Vanguard Value ETF NYSE Arca. VTWG Vanguard Russell 2000 NASDAQ GM. Growth VTWO Vanguard Russell 2000 NASDAQ GM. VTWV Vanguard Russell 2000 NASDAQ GM. Value VUG Vanguard Growth ETF NYSE Arca. VV Vanguard Large-Cap ETF NYSE Arca. VWO Vanguard FTSE Emerging NYSE Arca. Markets ETF VWOB Vanguard Emerging Markets NASDAQ GM. Government Bond ETF VXF Vanguard Extended Market NYSE Arca. ETF VXUS Vanguard Total NASDAQ GM. International Stock ETF VXX iPATH S&P 500 VIX NYSE Arca. Short-Term Futures ETN VXZ iPATH S&P 500 VIX NYSE Arca. Mid-Term Futures ETN VYM Vanguard High Dividend NYSE Arca. Yield ETF WIP SPDR DB International NYSE Arca. Government Inflation-Protected Bond ETF WOOD iShares S&P Global Timber NASDAQ GM. & Forestry Index Fund XBI SPDR S&P Biotech ETF NYSE Arca. XES SPDR S&P Oil & Gas NYSE Arca. Equipment & Services ETF XHB SPDR S&P Homebuilders ETF NYSE Arca. XIV VelocityShares Daily NYSE Arca. Inverse VIX Short Term ETN XLB Materials Select Sector NYSE Arca. SPDR Fund XLE Energy Select Sector SPDR NYSE Arca. Fund XLF Financial Select Sector NYSE Arca. SPDR Fund XLG Guggenheim Russell Top 50 NYSE Arca. Mega Cap ETF XLI Industrial Select Sector NYSE Arca. SPDR Fund XLK Technology Select Sector NYSE Arca. SPDR Fund XLP Consumer Staples Select NYSE Arca. Sector SPDR Fund XLU Utilities Select Sector NYSE Arca. SPDR Fund XLV Health Care Select Sector NYSE Arca. SPDR Fund XLY Consumer Discretionary NYSE Arca. Select Sector SPDR Fund XME SPDR S&P Metals & Mining NYSE Arca. ETF XOP SPDR S&P Oil & Gas NYSE Arca. Exploration & Production ETF XPH SPDR S&P Pharmaceuticals NYSE Arca. ETF XRT SPDR S&P Retail ETF NYSE Arca. XSD SPDR S&P Semiconductor NYSE Arca. ETF XVZ iPath S&P 500 Dynamic VIX NYSE Arca. ETN YMLP Yorkville High Income MLP NYSE Arca. ZIV VelocityShares Daily NYSE Arca. Inverse VIX Medium Term ETN ZROZ PIMCO 25+ Year Zero NYSE Arca. Coupon U.S. Treasury Index Exchange-Traded Fund
Appendix B--Data
Unless otherwise specified, the following data shall be collected and transmitted to the
I. Summary Statistics
A. Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows:
1. Partition stocks by category
a. Tier 1 non-ETP issues >
b. Tier 1 non-ETP issues >=
c. Tier 1 non-ETP issues <
d. Tier 1 non-leveraged ETPs in each of above categories
e. Tier 1 leveraged ETPs in each of above categories
f. Tier 2 non-ETPs in each of above categories
g. Tier 2 non-leveraged ETPs in each of above categories
h. Tier 2 leveraged ETPs in each of above categories
2. Partition by time of day
a. Opening (prior to
b. Regular (
c. Closing (after
d. Within five minutes of a Trading Pause re-open or IPO open
3. Track reasons for entering a Limit State, such as:
a. Liquidity gap--price reverts from a Limit State Quotation and returns to trading within the Price Bands
b. Broken trades
c. Primary Listing Exchange manually declares a Trading Pause pursuant to Section (VII)(2) of the Plan
d. Other
B. Determine (1), (2) and (3) for when a Trading Pause has been declared for an NMS Stock pursuant to the Plan.
II. Raw Data (All Participants, Except A-E, Which Are for the Primary Listing Exchanges Only)
A. Record of every Straddle State.
1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for ending with manual override.
2. Pipe delimited with field names as first record.
B. Record of every
1. Ticker, date, time at beginning of
2. Pipe delimited with field names as first record
C. Record of every Limit State.
1. Ticker, date, time entered, time exited, flag for halt
2. Pipe delimited with field names as first record
D. Record of every Trading Pause or halt.
1. Ticker, date, time entered, time exited, type of halt (i.e., regulatory halt, non-regulatory halt, Trading Pause pursuant to the Plan, other)
2. Pipe delimited with field names as first record
E. Data set or orders entered into reopening auctions during halts or Trading Pauses.
1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side
2. Pipe delimited with field name as first record
F. Data set of order events received during Limit States.
G. Summary data on order flow of arrivals and cancellations for each 15-second period for discrete time periods and sample stocks to be determined by the
1. Market/marketable sell orders arrivals and executions
a. Count
b. Shares
c. Shares executed
2. Market/marketable buy orders arrivals and executions
a. Count
b. Shares
c. Shares executed
3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point
4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus
8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus
9. Count and volume of (3-8) for cancels
10. Include: ticker, date, time at start, time of Limit S t ate, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period
III. At Least Two Months Prior to the End of the Pilot Period, All Participants Shall Provide to the SEC Assessments Relating to the Impact of the Plan and Calibration of the Percentage Parameters as Follows
A. Assess the statistical and economic impact on liquidity of approaching Price Bands.
B. Assess the statistical and economic impact of the Price Bands on erroneous trades.
C. Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands.
D. Assess whether the Limit State is the appropriate length to allow for liquidity replenishment when a Limit State is reached because of a temporary liquidity gap.
E. Evaluate concerns from the options markets regarding the statistical and economic impact of Limit States on liquidity and market quality in the options markets. (Participants that operate options exchange should also prepare such assessment reports.)
F. Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic.
G. Assess whether the process for exiting a Limit State should be adjusted.
H. Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted.
[FR Doc. 2014-00346 Filed 1-10-14;
BILLING CODE 8011-01-P
Copyright: | (c) 2014 Federal Information & News Dispatch, Inc. |
Wordcount: | 13505 |
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