Joint Industry Plan; Notice of Filing of a National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE Amex LLC, and NYSE Arca, Inc., 31647-31659 [2011-13472]

Download as PDF Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices SECURITIES AND EXCHANGE COMMISSION [Release No. 34–64547; File No. 4–631] Joint Industry Plan; Notice of Filing of a National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y–Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE Amex LLC, and NYSE Arca, Inc. May 25, 2011. Pursuant to Section 11A of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 608 thereunder 2, notice is hereby given that, on April 5, 2011, NYSE Euronext, on behalf of New York Stock Exchange LLC (‘‘NYSE’’), NYSE Amex LLC (‘‘NYSE Amex’’), and NYSE Arca, Inc. (‘‘NYSE Arca’’), and the following parties to the proposed National Market System Plan: BATS Exchange, Inc., BATS Y–Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc. (collectively with NYSE, NYSE Amex, and NYSE Arca, the ‘‘Participants’’), filed with the Securities and Exchange Commission (the ‘‘Commission’’) a proposed Plan to Address Extraordinary Market Volatility (‘‘Plan’’).3 A copy of the proposed Plan is attached as Exhibit A hereto. The Commission is publishing this notice to solicit comments on the proposed Plan from interested persons.4 I. Rule 608(a) of Regulation NMS A. Purpose of the Plan mstockstill on DSK4VPTVN1PROD with NOTICES The Participants filed the proposed 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 1 15 U.S.C. 78k–1. CFR 242.608. 3 See Letter from Janet M. McGinness, Senior Vice President, Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated April 5, 2011. 4 For additional discussion about the Plan, including its relation to the single-stock circuit breakers, see discussion in Section II, infra. 2 17 VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 NMS under the Act.5 The proposed Plan sets forth proposed 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.6 These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(X) of the proposed Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the proposed Plan, all trading centers 7 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 uplimit down and trading pause requirements specified in the proposed Plan. The single plan processor responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act 8 would be responsible for calculating and disseminating the applicable Price Bands as provided for in Section V of the proposed Plan. The Processor for each NMS stock would calculate and disseminate to the public a lower Price Band and an upper Price Band during regular trading hours, as defined in Section I(R) of the proposed Plan, for such NMS Stock. The Price Bands would 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). The Price Bands for an NMS Stock would be calculated by applying the Percentage Parameter9 for such NMS 5 17 CFR 242.600(b)(47). See also Section I(H) of the proposed Plan. 6 As set forth in Section V of the proposed Plan, the Price Bands shall consist of a Lower Price Band and an Upper Price Band for each NMS Stock. The Price Bands shall be 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. As defined in the proposed Plan, Eligible Reported Transactions shall have the meaning prescribed by the Operating Committee for the proposed Plan, and generally mean transactions that are eligible to update the sale price of an NMS Stock. 7 As defined in Section I(W) of the proposed Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act. 8 17 CFR 242.603(b). The proposed Plan refers to this entity as the Processor. 9 As defined in Section (I)(M) of the proposed Plan, the Percentage Parameter shall mean the percentages for each tier of NMS Stocks set forth in PO 00000 Frm 00077 Fmt 4703 Sfmt 4703 31647 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. Section VI of the proposed Plan sets forth the details of the operation of the limit up-limit down mechanism. Section VI of the proposed Plan provides that all trading centers 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 prevent trades at prices that are below the lower Price Band or above the upper Price Band for an NMS Stock, consistent with the proposed Plan. As set forth in Section VI, when one side of the market for an individual security is outside the applicable Price Band (i.e., when the National Best Bid 10 is below the Lower Limit Band or the National Best Offer 11 is above the Upper Limit Band for an NMS Stock), the Processor would be required to disseminate such National Best Bid or National Best Offer with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable Price Band (i.e., when the National Best Offer is equal to the Lower Limit Band or the National Best Bid is equal to the Upper Limit Band for an NMS Stock), the market for an individual security would enter a Limit State,12 and the Processor 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 Trading for an NMS Stock would exit a Limit State if, within 15 seconds of entering the Limit State, the entire size of all Limit State Quotations is executed or cancelled. If Appendix A of the Plan. As such, the Percentage Parameters for Tier 1 NMS Stocks with a Reference Price of $1.00 or more shall be 5%, and the Percentage Parameters for Tier 2 NMS Stocks with a Reference Price of $1.00 or more shall be 10%. For Tier 1 and Tier 2 NMS Stocks with a Reference Price less than $1.00, the Percentage Parameters shall be the lesser of $0.15 or 75%. The Percentage Parameters for a Tier 2 NMS Stock that is a leveraged exchange-traded product shall be the applicable Percentage Parameter multiplied by the leverage ratio of such product. 10 17 CFR 242.600(b)(42). See also Section I(G) of the proposed Plan. 11 Id. 12 As set forth in Section VI(B) of the proposed Plan, when trading for an NMS Stock enters a Limit State, 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 of the proposed Plan. 13 See Section I(D) of the proposed Plan. E:\FR\FM\01JNN1.SGM 01JNN1 31648 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices the market does not exit a Limit State within 15 seconds, then the Primary Listing Exchange 14 would declare a five-minute Trading Pause pursuant to Section VII of the proposed Plan. The Participants believe that, if implemented, the limit up-limit down mechanism specified in the proposed Plan will reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks, thereby protecting investors and promoting a fair and orderly market. In particular, the Participants are proposing to adopt the Plan to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010.15 B. Governing or Constituent Documents The governing documents of the Processor, as defined in Section I(P) of the proposed Plan, would not be affected by the proposed Plan, but if the proposed Plan is implemented, the Processor’s obligations would change, as set forth in detail in the proposed Plan. In particular, as set forth in Section V of the proposed Plan, the Processor would be responsible for calculating and disseminating Price Bands during Regular Trading Hours, as defined in Section I(R) of the proposed Plan. Each Participant would take such actions as are necessary and appropriate as a party to the Market Data Plans, as defined in Section I(F) of the proposed Plan, to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in the proposed Plan. C. Implementation of Plan The Participants propose that the initial date of the proposed Plan operations would be 120 calendar days following the publication of the Commission’s order approving the proposed Plan in the Federal Register. mstockstill on DSK4VPTVN1PROD with NOTICES D. Development and Implementation Phases The Participants propose that the Plan would be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the proposed Plan. Phase I of proposed Plan implementation would apply immediately following the initial date of proposed Plan operations; Phase II of proposed Plan would commence six months after the initial date of the 14 See Section I(O) of the proposed Plan. limit up-limit down mechanism set forth in the proposed Plan would replace the existing single-stock circuit breaker pilot, described more fully in Section II, Solicitation of Comments. See e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR– FINRA–2010–025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR–FINRA–2010– 033). 15 The VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 proposed Plan or such earlier date as may be announced by the Processor with at least 30 days notice. During Phase I, the proposed Plan would apply only to Tier 1 NMS Stocks, as defined in Appendix A of the proposed Plan, and the first Price Bands would be calculated and disseminated 15 minutes after the start of Regular Trading Hours, as specified in Section V(A) of the proposed Plan, and no Price Bands would be calculated and disseminated less than 30 minutes before the end of Regular Trading Hours. In Phase II, the proposed Plan would fully apply to all NMS Stocks beginning at 9:30 a.m. ET and ending at 4 p.m. ET each trading day. E. Analysis of Impact on Competition The Participants do not believe that the proposed Plan imposes any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. The Participants also 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.16 F. Written Understanding or Agreements relating to Interpretation of, or Participation in, Plan The Participants state that they have no written understandings or agreements relating to interpretation of the proposed Plan. Section II(C) of the proposed Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Plan Participant. G. Approval of Amendment of the Plan Not applicable. H. Terms and Conditions of Access Section II(C) of the proposed 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 proposed 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 proposed Plan. I. Method of Determination and Imposition, and Amount of, Fees and Charges Not applicable. 16 15 PO 00000 U.S.C. 78k–1(c)(1)(D). Frm 00078 Fmt 4703 Sfmt 4703 J. Method and Frequency of Processor Evaluation Not applicable. K. Dispute Resolution The proposed Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the proposed Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee.17 No later than the initial date of the Plan, the Operating Committee would be required to designate one member of the Operating Committee to act as the Chair of the Operating Committee. The Operating Committee would monitor the procedures established pursuant to the Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. 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, would be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS under the Act.18 II. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed National Market System Plan is consistent with the Act. A stated purpose of the proposed Plan is to address extraordinary market volatility, such as the sudden price movements that the market experienced on the afternoon of May 6, 2010. Since the events of May 6, 2010, staff of the Commission and the SROs have been working on a variety of initiatives to reduce the risk of a recurrence of the extraordinary market volatility in NMS stocks that was experienced on that day. One such initiative is the single-stock circuit breaker pilot program, which currently extends to securities included in the S&P 500 index, the Russell 1000® index, and select exchange-traded products.19 The circuit breaker pilot is currently set to expire the earlier of August 11, 2011 or the date on which the limit up-limit down mechanism to 17 See Section I(J) of the proposed Plan. CFR 242.608. 19 See e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR–FINRA–2010–025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR– FINRA–2010–033). 18 17 E:\FR\FM\01JNN1.SGM 01JNN1 mstockstill on DSK4VPTVN1PROD with NOTICES Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices address extraordinary market volatility, if adopted, applies.20 • To the extent that the proposed Plan, if approved, would replace the current single-stock circuit breaker pilot, what are the advantages of a limit up-limit down mechanism over the current circuit breaker pilot? How would the limit up-limit down mechanism improve upon the current circuit breaker pilot? Would the proposed limit up-limit down mechanism prevent erroneous trades from occurring? What, if any, are the advantages of the current circuit breaker pilot over the proposed limit up-limit down mechanism? • With respect to competition, would the proposed Plan impact one category of market participants more than others? What, if any, costs would market participants incur as a result of the proposed Plan? Would different market participants bear any such costs differently? How would any such competitive impacts under the proposed Plan differ from the competitive impact, if any, that market participants have experienced under the current circuit breaker pilot? • What is ‘‘excessive short-term volatility?’’ Put another way, what level of volatility is appropriate in continuous trading, and at what point should circuit breakers or the proposed limit up-limit down mechanism take effect? • Section IX of the proposed Plan provides that a Participant may withdraw from the Plan, upon obtaining approval from the Commission and upon providing not less than 30 days written notice to the other participants. How, if at all, does the analysis of the impact of the proposed Plan upon competition change if one or more participants are permitted to withdraw from the proposed Plan? Would the operation of the proposed Plan be impaired if one or more participants were permitted to withdraw from the Plan? • Are the proposed percentage levels for the Price Bands appropriate? Are they sufficiently narrow to guard against excessive market volatility while sufficiently broad to allow trading to occur without triggering a Limit State too frequently? If not, what alternate percentage levels would be preferable? • Is 15 seconds an appropriate maximum length of time for a particular security to be in a Limit State? Is it long enough to reasonably attract additional available liquidity without recourse to a Trading Pause? Is it short enough to reasonably limit any market uncertainty that might accompany a Limit State? • Are the triggers for the Limit State appropriate? Would alternative triggers for entering the Limit State be more appropriate? For example, should a Limit State be entered when the National Best Bid falls below the Lower Limit Band (or the National Best Offer exceeds the Upper Limit Band), because at that point a seller (buyer) cannot submit a marketable order? What are the advantages and disadvantages of the proposed approach? What, if any, are the advantages of alternative approaches? Please describe any other potential alternative trigger, as well as its relative strengths and weaknesses. • Are the conditions required to exit the Limit State appropriate? Should alternative or additional conditions be imposed in order to exit the Limit State, and why might those conditions be appropriate? For example, should more be required to confirm that the market for a particular security has rebounded from a Limit State than the removal of a Limit State Quotation, such as a confirming quote or trade within the Price Bands? • Are the proposed procedures relating to the functioning of the Operating Committee appropriate? Do they appropriately balance the protection of individual Participant interests with the efficient operation of the Plan? Are there ways to improve the proposed procedures for handling a recommendation from the Operating Committee for an amendment to the Plan that receives substantial, but less than unanimous, support from Participants? • Should the list of exchange-traded products proposed to be included in Phase I of the proposed Plan be expanded to include additional such products, i.e., other exchange-traded products that have component securities that largely track the securities included in the S&P 500 and Russell 1000? • Is the proposed phased-in implementation schedule workable? Why or why not? Should the implementation of Phase II of the proposed Plan be conditioned upon Commission approval? Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an e-mail to rulecomments@sec.gov. Please include File Number 4–631 on the subject line. Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549–1090. All submissions should refer to File Number 4–631. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s Internet Web site (http://www.sec.gov/rules/ sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street, NE., Washington, DC 20549 on official business days between 10 a.m. and 3 p.m. Copies of the filing will also be available for inspection and copying at the Participants’ principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number 4–631 and should be submitted on or before June 22, 2011. By the Commission. Elizabeth M. Murphy, Secretary. EXHIBIT A 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 20 See e.g., Securities Exchange Act Release No. 64174 (April 4, 2011), 76 FR 19819 (April 8, 2011) (SR–NASDAQ–2011–042). VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 PO 00000 Frm 00079 Fmt 4703 Sfmt 4703 31649 E:\FR\FM\01JNN1.SGM 01JNN1 31650 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices TABLE OF CONTENTS Section Page 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 ........................................................................................................................................................................... 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. I. Definitions (M) ‘‘Percentage Parameter’’ shall mean the percentages for each tier of (A) ‘‘Eligible Reported Transactions’’ NMS Stocks set forth in Appendix A of shall have the meaning prescribed by the Plan. the Operating Committee and shall generally mean transactions that are (N) ‘‘Price Bands’’ shall have the eligible to update the last sale price of meaning provided in Section V of the an NMS Stock. Plan. (B) ‘‘Exchange Act’’ means the (O) ‘‘Primary Listing Exchange’’ shall Securities Exchange Act of 1934, as mean the Participant on which an NMS amended. Stock is listed. If an NMS Stock is listed (C) ‘‘Limit State’’ shall have the on more than one Participant, the meaning provided in Section VI of the Participant on which the NMS Stock has Plan. been listed the longest shall be the (D) ‘‘Limit State Quotation’’ shall have Primary Listing Exchange. the meaning provided in Section VI of (P) ‘‘Processor’’ shall mean the single the Plan. (E) ‘‘Lower Price Band’’ shall have the plan processor responsible for the consolidation of information for an meaning provided in Section V of the NMS Stock pursuant to Rule 603(b) of Plan. (F) ‘‘Market Data Plans’’ shall mean the Regulation NMS under the Exchange Act. effective national market system plans (Q) ‘‘Pro-Forma Reference Price’’ shall through which the Participants act have the meaning provided in Section jointly to disseminate consolidated V(A)(2) of the Plan. information in compliance with Rule (R) ‘‘Regular trading hours’’ shall have 603(b) of Regulation NMS under the the meaning provided in Rule 600(b)(64) Exchange Act. of Regulation NMS under the Exchange (G) ‘‘National Best Bid’’ and ‘‘National Act. Best Offer’’ shall have the meaning mstockstill on DSK4VPTVN1PROD with NOTICES 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. VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 PO 00000 Frm 00080 Fmt 4703 Sfmt 4703 1 2 4 6 7 8 10 12 14 14 15 17 18 (S) ‘‘Regulatory Halt’’ shall have the meaning specified in the Market Data Plans. (T) ‘‘Reference Price’’ shall have the meaning provided in Section V of the Plan. (U) ‘‘Reopening Price’’ shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations. (V) ‘‘SEC’’ shall mean the United States Securities and Exchange Commission. (W) ‘‘Trading center’’ shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act. (X) ‘‘Trading Pause’’ shall have the meaning provided in Section VII of the Plan. (Y) ‘‘Upper Price Band’’ shall have the meaning provided in Section V of the Plan. II. Parties (A) List of Parties The parties to the Plan are as follows: (1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214 (2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214 (3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle Street, Chicago, Illinois 60605 (4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605 (5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey City, NJ 07310 (6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey City, NJ 07310 (7) Financial Industry Regulatory Authority, Inc., 1735 K Street, NW., Washington, DC 20006 E:\FR\FM\01JNN1.SGM 01JNN1 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices (8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006 (9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103 (10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006 (11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey City, NJ 07302 (12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005 (13) NYSE Amex LLC, 20 Broad Street, New York, New York 10005 (14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 60606 (B) Compliance Undertaking By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan. (C) New Participants The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan. III. Amendments to Plan mstockstill on DSK4VPTVN1PROD with NOTICES (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. VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 (B) New Participants With respect to new Participants, an amendment to the Plan may be effected by the new national securities exchange or national securities association executing a copy of the Plan, as then in effect (with the only changes being the addition of the new Participant’s name in Section II(A) of the Plan) and submitting such executed Plan to the SEC for approval. The amendment shall be effective when it is approved by the SEC in accordance with Rule 608 of Regulation NMS under the Exchange Act or otherwise becomes effective pursuant to Rule 608 of Regulation NMS under the Exchange Act. (C) Operating Committee (1) Each Participant shall select from its staff one individual to represent the Participant as a member of an Operating Committee, together with a substitute for such individual. The substitute may participate in deliberations of the Operating Committee and shall be considered a voting member thereof only in the absence of the primary representative. Each Participant shall have one vote on all matters considered by the Operating Committee. No later than the initial date of Plan operations, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee. (2) The Operating Committee shall monitor the procedures established pursuant to this Plan and advise the Participants with respect to any deficiencies, problems, or recommendations as the Operating Committee may deem appropriate. The Operating Committee shall establish specifications and procedures for the implementation and operation of the Plan that are consistent with the provisions of this Plan and the Appendixes thereto. With respect to matters in this paragraph, Operating Committee decisions shall be approved by a simple majority vote. (3) Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the SEC as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS. IV. Trading Center Policies and Procedures All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, PO 00000 Frm 00081 Fmt 4703 Sfmt 4703 31651 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 beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If a Reopening Price does not occur within ten minutes after the beginning of a Trading Pause, the Price Band, for the first 30 seconds following the reopening after that Trading Pause, shall be calculated by applying triple the Percentage Parameters set forth in Appendix A. (2) The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new E:\FR\FM\01JNN1.SGM 01JNN1 31652 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices Price Bands based on the new Reference Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds. mstockstill on DSK4VPTVN1PROD with NOTICES (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 VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 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 Limit Band or above the Upper Limit Band for an NMS Stock. Single-priced opening, reopening, and closing transactions on the Primary Listing Exchange, however, shall be excluded from this limitation. (2) When a National Best Bid is below the Lower Limit Band or a National Best Offer is above the Upper Limit 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 Limit Band or a National Best Bid is equal to the Upper Limit 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. PO 00000 Frm 00082 Fmt 4703 Sfmt 4703 (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 Limit Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Limit Band and does not cross the National Best Offer. (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 reopening 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. If trading for an NMS Stock is in a Limit State at the end of Regular Trading Hours, the Limit State will terminate when the Primary Listing Exchange executes a closing transaction in the NMS Stock or five minutes after the end of Regular Trading Hours, whichever is earlier. VII. Trading Pauses (A) Declaration of Trading Pauses 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. The Processor shall disseminate this information to the public. No trades in an NMS Stock shall occur during a Trading Pause, but all bids and offers may be displayed. E:\FR\FM\01JNN1.SGM 01JNN1 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices (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 Five Minutes of the End of Regular Trading Hours (1) If a Trading Pause for an NMS Stock is declared less than five minutes before the end of Regular Trading Hours, the Primary Listing Exchange 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. (2) During Phase I, the Plan shall apply only to the 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 less than 30 minutes before the end of Regular Trading Hours, and trading shall not enter a Limit State less than 25 minutes before the end of Regular Trading Hours. NASDAQ OMX PHLX LLC (B) Phase II—Full Implementation (1) Six months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day. EDGX EXCHANGE, INC. 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. NEW YORK STOCK EXCHANGE LLC 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 ll day of lll 2011 by each of the parties hereto. BATS EXCHANGE, INC. BY: llllllllllllllll CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED BY: llllllllllllllll EDGA EXCHANGE, INC. VIII. Implementation llllllllllllllll BY: (1) Phase I of Plan implementation shall apply immediately following the initial date of Plan operations. mstockstill on DSK4VPTVN1PROD with NOTICES (A) Phase I FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC. BY: llllllllllllllll BY: llllllllllllllll NATIONAL STOCK EXCHANGE, INC. BY: llllllllllllllll NYSE AMEX LLC BY: llllllllllllllll BATS Y-EXCHANGE, INC. BY: llllllllllllllll CHICAGO STOCK EXCHANGE, INC. BY: BY: llllllllllllllll llllllllllllllll NASDAQ OMX BX, INC. BY: llllllllllllllll THE NASDAQ STOCK MARKET LLC BY: BY: llllllllllllllll llllllllllllllll NYSE ARCA, INC. BY: llllllllllllllll 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 exchangetraded products listed on Schedule 1 to this Appendix. (2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price of $1.00 or more shall be 5%. (3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $1.00 shall be the lesser of (a) $0.15 or (b) 75%. II. Tier 2 NMS Stocks (1) Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1. (2) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price of $1.00 or more shall be 10%. (3) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $1.00 shall be the lesser of (a) $0.15 or (b) 75%. (4) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged exchange-traded product shall be the applicable Percentage Parameter set forth in clauses (2) or (3) above, multiplied by the leverage ratio of such product. APPENDIX A—SCHEDULE 1 Symbol AAXJ .................................... ACWI .................................... ACWX ................................... ADRE ................................... VerDate Mar<15>2010 18:48 May 31, 2011 Name iShares MSCI All Country Asia ex Japan Index Fund. iShares MSCI ACWI Index Fund. iShares MSCI ACWI ex US Index Fund. BLDRS Emerging Markets 50 ADR Index Fund. Jkt 223001 31653 PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 E:\FR\FM\01JNN1.SGM 01JNN1 31654 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol AGG ..................................... AGZ ...................................... AMJ ...................................... BAB ...................................... BBH ...................................... BDG ...................................... BIK ........................................ BIL ........................................ BIV ........................................ BKF ...................................... BLV ....................................... BND ...................................... BOS ...................................... BRF ...................................... BSV ...................................... BWX ..................................... CEW ..................................... CFT ...................................... CIU ....................................... CSJ ....................................... CUT ...................................... CVY ...................................... CWB ..................................... CYB ...................................... DBA ...................................... DBB ...................................... DBC ...................................... DBO ...................................... DBP ...................................... DBV ...................................... DDG ..................................... DEM ..................................... DFJ ....................................... DGS ...................................... DIA ....................................... DJP ....................................... DNO ..................................... DOG ..................................... DVY ...................................... DWM .................................... DWX ..................................... ECH ...................................... EEB ...................................... EEM ...................................... EFA ...................................... EFG ...................................... EFV ...................................... EFZ ....................................... EIS ........................................ EMB ...................................... EPI ........................................ EPP ...................................... EPU ...................................... EUM ..................................... EWA ..................................... EWC ..................................... EWD ..................................... EWG ..................................... EWH ..................................... EWI ....................................... EWJ ...................................... EWK ..................................... EWL ...................................... EWM ..................................... EWN ..................................... EWO ..................................... EWP ..................................... EWQ ..................................... EWS ..................................... EWT ..................................... EWU ..................................... EWW .................................... VerDate Mar<15>2010 18:48 May 31, 2011 Name iShares Barclays Aggregate Bond Fund. iShares Barclays Agency Bond Fund. JPMorgan Alerian MLP Index ETN. PowerShares Build America Bond Portfolio. Biotech HOLDRs Trust. PowerShares DB Base Metals Long ETN. SPDR S&P BRIC 40 ETF. SPDR Barclays Capital 1–3 Month T-Bill ETF. Vanguard Intermediate-Term Bond ETF. iShares MSCI BRIC Index Fund. Vanguard Long-Term Bond ETF. Vanguard Total Bond Market ETF. PowerShares DB Base Metals Short ETN. Market Vectors Brazil Small-Cap ETF. Vanguard Short-Term Bond ETF. SPDR Barclays Capital International Treasury Bond ETF. WisdomTree Dreyfus Emerging Currency Fund. iShares Barclays Credit Bond Fund. iShares Barclays Intermediate Credit Bond Fund. iShares Barclays 1–3 Year Credit Bond Fund. Claymore/Beacon Global Timber Index ETF. Claymore/Zacks Multi-Asset Income Index ETF. SPDR Barclays Capital Convertible Securities ETF. WisdomTree Dreyfus Chinese Yuan Fund. PowerShares DB Agriculture Fund. PowerShares DB Base Metals Fund. PowerShares DB Commodity Index Tracking Fund. PowerShares DB Oil Fund. PowerShares DB Precious Metals Fund. PowerShares DB G10 Currency Harvest Fund. ProShares Short Oil & Gas. WisdomTree Emerging Markets Equity Income Fund. WisdomTree Japan SmallCap Dividend Fund. WisdomTree Emerging Markets SmallCap Dividend Fund. SPDR Dow Jones Industrial Average ETF Trust. iPath Dow Jones-UBS Commodity Index Total Return ETN/United States. United States Short Oil Fund. ProShares Short Dow30. iShares Dow Jones Select Dividend Index Fund. WisdomTree DEFA Fund. SPDR S&P International Dividend ETF. iShares MSCI Chile Investable Market Index Fund. Claymore/BNY BRIC ETF. iShares MSCI Emerging Markets Index Fund/United States. iShares MSCI EAFE Index Fund. iShares MSCI EAFE Growth Index. iShares MSCI EAFE Value Index. ProShares Short MSCI EAFE. iShares MSCI Israel Capped Index Fund. iShares JPMorgan USD Emerging Markets Bond Fund. WisdomTree India Earnings Fund. iShares MSCI Pacific ex-Japan Index Fund. iShares MSCI All Peru Capped Index Fund. ProShares Short MSCI Emerging Markets. iShares MSCI Australia Index Fund. iShares MSCI Canada Index Fund. iShares MSCI Sweden Index Fund. iShares MSCI Germany Index Fund. iShares MSCI Hong Kong Index Fund. iShares MSCI Italy Index Fund. iShares MSCI Japan Index Fund. iShares MSCI Belgium Investable Market Index Fund. iShares MSCI Switzerland Index Fund. iShares MSCI Malaysia Index Fund. iShares MSCI Netherlands Investable Market Index Fund. iShares MSCI Austria Investable Market Index Fund. iShares MSCI Spain Index Fund. iShares MSCI France Index Fund. iShares MSCI Singapore Index Fund. iShares MSCI Taiwan Index Fund. iShares MSCI United Kingdom Index Fund. iShares MSCI Mexico Investable Market Index Fund. Jkt 223001 PO 00000 Frm 00084 Fmt 4703 Sfmt 4703 E:\FR\FM\01JNN1.SGM 01JNN1 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol EWX ..................................... EWY ..................................... EWZ ..................................... EZA ...................................... EZU ...................................... FBT ....................................... FCG ...................................... FDN ...................................... FNI ........................................ FXA ...................................... FXB ...................................... FXC ...................................... FXD ...................................... FXE ...................................... FXF ....................................... FXI ........................................ FXY ...................................... FXZ ....................................... GAZ ...................................... GCC ..................................... GD ........................................ GDXJ .................................... GLD ...................................... GMF ..................................... GML ...................................... GSG ..................................... GSP ...................................... GUR ..................................... GVI ....................................... GVT ...................................... GWX ..................................... GXC ...................................... HAO ...................................... HYG ...................................... IAI ......................................... IAT ........................................ IAU ....................................... IBB ........................................ ICF ........................................ IDU ....................................... IDX ....................................... IEF ........................................ IEI ......................................... IEO ....................................... IEV ........................................ IEZ ........................................ IFGL ..................................... IGE ....................................... IGF ....................................... IGM ....................................... IGN ....................................... IGV ....................................... IGW ...................................... IHE ....................................... IHF ........................................ IHI ......................................... IJH ........................................ IJJ ......................................... IJK ........................................ IJR ........................................ IJS ........................................ IJT ........................................ ILF ........................................ INP ....................................... IOO ....................................... IPE ........................................ ITA ........................................ ITB ........................................ IVE ........................................ IVV ........................................ IVW ....................................... IWB ....................................... VerDate Mar<15>2010 18:48 May 31, 2011 Name SPDR S&P Emerging Small Cap ETF. iShares MSCI South Korea Index Fund. iShares MSCI Brazil Index Fund. iShares MSCI South Africa Index Fund. iShares MSCI EMU Index Fund. First Trust NYSE Arca Biotechnology Index Fund. First Trust ISE-Revere Natural Gas Index Fund. First Trust Dow Jones Internet Index Fund. First Trust ISE Chindia Index Fund. CurrencyShares Australian Dollar Trust. CurrencyShares British Pound Sterling Trust. CurrencyShares Canadian Dollar Trust. First Trust Consumer Discretionary AlphaDEX Fund. CurrencyShares Euro Trust. CurrencyShares Swiss Franc Trust. iShares FTSE/Xinhua China 25 Index Fund. CurrencyShares Japanese Yen Trust. First Trust Materials AlphaDEX Fund. iPath Dow Jones-UBS Natural Gas Subindex Total Return ETN. GreenHaven Continous Commodity Index Fund. Market Vectors—Gold Miners ETF. Market Vectors Junior Gold Miners ETF. SPDR Gold Trust. SPDR S&P Emerging Asia Pacific ETF. SPDR S&P Emerging Latin America ETF. iShares S&P GSCI Commodity Indexed Trust. iPath GSCI Total Return Index ETN. SPDR S&P Emerging Europe ETF. iShares Barclays Intermediate Government/Credit Bond Fund. Grail American Beacon Large Cap Value ETF. SPDR S&P International Small Cap ETF. SPDR S&P China ETF. Claymore/AlphaShares China Small Cap Index ETF. iShares iBoxx $ High Yield Corporate Bond Fund. iShares Dow Jones US Broker Dealers Index Fund. iShares Dow Jones US Regional Banks Index Fund. iShares COMEX Gold Trust. iShares Nasdaq Biotechnology Index Fund. iShares Cohen & Steers Realty Majors Index Fund. iShares Dow Jones US Utilities Sector Index Fund. Market Vectors—Indonesia Index ETF. iShares Barclays 7–10 Year Treasury Bond Fund. iShares Barclays 3–7 Year Treasury Bond Fund. iShares Dow Jones US Oil & Gas Exploration & Production Index Fund. iShares S&P Europe 350 Index Fund. iShares Dow Jones US Oil Equipment & Services Index Fund. iShares FTSE EPRA/NAREIT Developed Real Estate ex-US Index Fund. iShares S&P North American Natural Resources Sector Index Fund. iShares S&P Global Infrastructure Index Fund. iShares S&P North American Technology Sector Index Fund. iShares S&P North American Technology-Multimedia Networking Index Fund. iShares S&P North American Technology-Software Index Fund. iShares S&P North American Technology-Semiconductors Index Fund. iShares Dow Jones US Pharmaceuticals Index Fund. iShares Dow Jones US Healthcare Providers Index Fund. iShares Dow Jones US Medical Devices Index Fund. iShares S&P MidCap 400 Index Fund. iShares S&P MidCap 400/BARRA Value Index Fund. iShares S&P MidCap 400 Growth Index Fund. iShares S&P SmallCap 600 Index Fund. iShares S&P SmallCap 600 Value Index Fund. iShares S&P SmallCap 600/BARRA Growth Index Fund. iShares S&P Latin America 40 Index Fund. iPath MSCI India Index ETN. iShares S&P Global 100 Index Fund. SPDR Barclays Capital TIPS ETF. iShares Dow Jones US Aerospace & Defense Index Fund. iShares Dow Jones US Home Construction Index Fund. iShares S&P 500 Value Index Fund. iShares S&P 500 Index Fund/US. iShares S&P 500 Growth Index Fund. iShares Russell 1000 Index Fund. Jkt 223001 PO 00000 Frm 00085 Fmt 4703 Sfmt 4703 E:\FR\FM\01JNN1.SGM 01JNN1 31655 31656 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol IWC ...................................... IWD ...................................... IWF ....................................... IWL ....................................... IWM ...................................... IWN ...................................... IWO ...................................... IWP ....................................... IWR ...................................... IWS ....................................... IWV ....................................... IWW ...................................... IWX ....................................... IWY ....................................... IXC ....................................... IXG ....................................... IXJ ........................................ IXN ....................................... IXP ........................................ IYC ....................................... IYE ........................................ IYF ........................................ IYG ....................................... IYH ....................................... IYJ ........................................ IYK ........................................ IYM ....................................... IYR ....................................... IYT ........................................ IYW ....................................... IYY ........................................ IYZ ........................................ JJC ....................................... JJG ....................................... JKE ....................................... JKL ....................................... JNK ....................................... JXI ........................................ KBE ...................................... KCE ...................................... KIE ........................................ KOL ...................................... KRE ...................................... KXI ........................................ LQD ...................................... MBB ...................................... MBG ..................................... MDY ..................................... MINT ..................................... MLPI ..................................... MLPN ................................... MOO ..................................... MUB ..................................... MXI ....................................... MYY ...................................... OEF ...................................... OIH ....................................... OIL ........................................ OLO ...................................... ONEQ ................................... PALL ..................................... PBW ..................................... PCEF .................................... PCY ...................................... PFF ....................................... PGF ...................................... PGJ ...................................... PG ........................................ PHB ...................................... PHO ...................................... PHYS .................................... PID ....................................... VerDate Mar<15>2010 18:48 May 31, 2011 Name iShares Russell Microcap Index Fund. iShares Russell 1000 Value Index Fund. iShares Russell 1000 Growth Index Fund. iShares Russell Top 200 Index Fund. iShares Russell 2000 Index Fund. iShares Russell 2000 Value Index Fund. iShares Russell 2000 Growth Index Fund. iShares Russell Midcap Growth Index Fund. iShares Russell Midcap Index Fund. iShares Russell Midcap Value Index Fund. iShares Russell 3000 Index Fund. iShares Russell 3000 Value Index Fund. iShares Russell Top 200 Value Index Fund. iShares Russell Top 200 Growth Index Fund. iShares S&P Global Energy Sector Index Fund. iShares S&P Global Financials Sector Index Fund. iShares S&P Global Healthcare Sector Index Fund. iShares S&P Global Technology Sector Index Fund. iShares S&P Global Telecommunications Sector Index Fund. iShares Dow Jones US Consumer Services Sector Index Fund. iShares Dow Jones US Energy Sector Index Fund. iShares Dow Jones US Financial Sector Index Fund. iShares Dow Jones US Financial Services Index Fund. iShares Dow Jones US Healthcare Sector Index Fund. iShares Dow Jones US Industrial Sector Index Fund. iShares Dow Jones US Consumer Goods Sector Index Fund. iShares Dow Jones US Basic Materials Sector Index Fund. iShares Dow Jones US Real Estate Index Fund. iShares Dow Jones Transportation Average Index Fund. iShares Dow Jones US Technology Sector Index Fund. iShares Dow Jones US Index Fund. iShares Dow Jones US Telecommunications Sector Index Fund. iPath Dow Jones-UBS Copper Subindex Total Return ETN. iPath Dow Jones-UBS Grains Subindex Total Return ETN. iShares Morningstar Large Growth Index Fund. iShares Morningstar Small Value Index Fund. SPDR Barclays Capital High Yield Bond ETF. iShares S&P Global Utilities Sector Index Fund. SPDR KBW Bank ETF. SPDR KBW Capital Markets ETF. SPDR KBW Insurance ETF. Market Vectors—Coal ETF. SPDR KBW Regional Banking ETF. iShares S&P Global Consumer Staples Sector Index Fund. iShares iBoxx Investment Grade Corporate Bond Fund. iShares Barclays MBS Bond Fund. SPDR Barclays Capital Mortgage Backed Bond ETF. SPDR S&P MidCap 400 ETF Trust. PIMCO Enhanced Short Maturity Strategy Fund. UBS E–TRACS Alerian MLP Infrastructure ETN. Credit Suisse Cushing 30 MLP Index ETN. Market Vectors—Agribusiness ETF. iShares S&P National Municipal Bond Fund. iShares S&P Global Materials Sector Index Fund. ProShares Short MidCap400. iShares S&P 100 Index Fund. Oil Services Holders Trust. iPath Goldman Sachs Crude Oil Total Return Index ETN. PowerShares DB Crude Oil Long ETN. Fidelity NASDAQ Composite Index Tracking Stock ETF. ETFS Palladium Trust. Powershares WilderHill Clean Energy Portfolio. PowerShares CEF Income Composite Portfolio. PowerShares Emerging Markets Sovereign Debt Portfolio. iShares S&P US Preferred Stock Index Fund. PowerShares Financial Preferred Portfolio. Powershares Golden Dragon Halter USX China Portfolio. PowerShares Preferred Portfolio. PowerShares High Yield Corporate Bond Portfolio. PowerShares Water Resources Portfolio. Sprott Physical Gold Trust. PowerShares International Dividend Achievers Portfolio. Jkt 223001 PO 00000 Frm 00086 Fmt 4703 Sfmt 4703 E:\FR\FM\01JNN1.SGM 01JNN1 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol PIN ....................................... PIO ....................................... PMA ...................................... PPH ...................................... PPLT .................................... PQY ...................................... PRF ...................................... PRFZ .................................... PSQ ...................................... PVI ........................................ PWV ..................................... PXH ...................................... PZA ...................................... QQQQ .................................. QTEC ................................... REK ...................................... RFG ...................................... RJA ....................................... RJI ........................................ RKH ...................................... RPV ...................................... RSP ...................................... RSX ...................................... RTH ...................................... RWJ ...................................... RWK ..................................... RWL ..................................... RWM .................................... RWR ..................................... RWX ..................................... RZV ...................................... SBB ...................................... SBM ...................................... SCHA ................................... SCHB ................................... SCHE ................................... SCHF .................................... SCHX ................................... SCZ ...................................... SDY ...................................... SEF ...................................... SGG ..................................... SGOL ................................... SH ........................................ SHM ..................................... SHV ...................................... SHY ...................................... SIL ........................................ SIVR ..................................... SLV ....................................... SLX ....................................... SMH ..................................... SPY ...................................... STPZ .................................... SUB ...................................... TAN ...................................... TBF ....................................... TFI ........................................ THD ...................................... TIP ........................................ TLH ....................................... TLT ....................................... TUR ...................................... TUZ ...................................... UDN ...................................... UGA ...................................... UNG ..................................... USO ...................................... UUP ...................................... VAW ..................................... VB ......................................... VBK ...................................... VerDate Mar<15>2010 18:48 May 31, 2011 Name PowerShares India Portfolio. PowerShares Global Water Portfolio. PowerShares Active Mega Cap Fund. Pharmaceutical HOLDRs Trust. ETFS Platinum Trust. PowerShares Active AlphaQ Fund. Powershares FTSE RAFI US 1000 Portfolio. PowerShares FTSE RAFI US 1500 Small-Mid Portfolio. ProShares Short QQQ. PowerShares VRDO Tax Free Weekly Portfolio. PowerShares Dynamic Large Cap Value Portfolio. PowerShares FTSE RAFI Emerging Markets Portfolio. PowerShares Insured National Municipal Bond Portfolio. Powershares QQQ. First Trust NASDAQ-100 Technology Index Fund. ProShares Short Real Estate. Rydex S&P Midcap 400 Pure Growth ETF. ELEMENTS Linked to the Rogers International Commodity Index—Agri Tot Return. ELEMENTS Linked to the Rogers International Commodity Index—Total Return. Regional Bank HOLDRs Trust. Rydex S&P 500 Pure Value ETF. Rydex S&P Equal Weight ETF. Market Vectors—Russia ETF. Retail HOLDRs Trust. RevenueShares Small Cap Fund. RevenueShares Mid Cap Fund. RevenueShares Large Cap Fund. ProShares Short Russell2000. SPDR Dow Jones REIT ETF. SPDR Dow Jones International Real Estate ETF. Rydex S&P Smallcap 600 Pure Value ETF. ProShares Short SmallCap600. ProShares Short Basic Materials. Schwab US Small-Cap ETF. Schwab US Broad Market ETF. Schwab Emerging Markets Equity ETF. Schwab International Equity ETF. Schwab US Large-Cap ETF. iShares MSCI EAFE Small Cap Index Fund. SPDR S&P Dividend ETF. ProShares Short Financials. iPath Dow Jones-UBS Sugar Subindex Total Return ETN. ETFS Gold Trust. ProShares Short S&P500. SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF. iShares Barclays Short Treasury Bond Fund. iShares Barclays 1–3 Year Treasury Bond Fund. Global X Silver Miners ETF. ETFS Silver Trust. iShares Silver Trust. Market Vectors—Steel Index Fund. Semiconductor HOLDRs Trust. SPDR S&P 500 ETF Trust. PIMCO 1–5 Year US TIPS Index Fund. iShares S&P Short Term National AMT-Free Municipal Bond Fund. Claymore/MAC Global Solar Energy Index ETF. ProShares Short 20+ Year Treasury. SPDR Nuveen Barclays Capital Municipal Bond ETF. iShares MSCI Thailand Index Fund. iShares Barclays TIPS Bond Fund. iShares Barclays 10–20 Year Treasury Bond Fund. iShares Barclays 20+ Year Treasury Bond Fund. iShares MSCI Turkey Index Fund. PIMCO 1–3 Year U.S. Treasury Index Fund. PowerShares DB US Dollar Index Bearish Fund. United States Gasoline Fund LP. United States Natural Gas Fund LP. United States Oil Fund LP. PowerShares DB US Dollar Index Bullish Fund. Vanguard Materials ETF. Vanguard Small-Cap ETF. Vanguard Small-Cap Growth ETF. Jkt 223001 PO 00000 Frm 00087 Fmt 4703 Sfmt 4703 E:\FR\FM\01JNN1.SGM 01JNN1 31657 31658 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices APPENDIX A—SCHEDULE 1—Continued Symbol mstockstill on DSK4VPTVN1PROD with NOTICES VBR ...................................... VCIT ..................................... VCR ...................................... VCSH ................................... VDC ...................................... VD ........................................ VEA ...................................... VEU ...................................... VFH ...................................... VGK ...................................... VGT ...................................... VHT ...................................... VIG ....................................... VIS ........................................ VNM ..................................... VNQ ...................................... VO ........................................ VOE ...................................... VOT ...................................... VPL ....................................... VPU ...................................... VSS ...................................... VT ......................................... VTI ........................................ VTV ...................................... VUG ...................................... VV ......................................... VWO ..................................... VXF ...................................... VXX ...................................... VXZ ...................................... VYM ...................................... WIP ....................................... XBI ........................................ XES ...................................... XHB ...................................... XLB ....................................... XLE ....................................... XLF ....................................... XLG ...................................... XLI ........................................ XLK ....................................... XLP ....................................... XLU ...................................... XLV ....................................... XLY ....................................... XME ...................................... XOP ...................................... XPH ...................................... XRT ...................................... XSD ...................................... YXI ........................................ VerDate Mar<15>2010 18:48 May 31, 2011 Name Vanguard Small-Cap Value ETF. Vanguard Intermediate-Term Corporate Bond ETF. Vanguard Consumer Discretionary ETF. Vanguard Short-Term Corporate Bond ETF. Vanguard Consumer Staples ETF. Vanguard Energy ETF. Vanguard Europe Pacific ETF. Vanguard FTSE All-World ex-US ETF. Vanguard Financials ETF. Vanguard European ETF. Vanguard Information Technology ETF. Vanguard Health Care ETF. Vanguard Dividend Appreciation ETF. Vanguard Industrials ETF. Market Vectors Vietnam ETF. Vanguard REIT ETF. Vanguard Mid-Cap ETF. Vanguard Mid-Cap Value Index Fund. Vanguard Mid-Cap Growth Index Fund. Vanguard Pacific ETF. Vanguard Utilities ETF. Vanguard FTSE All World ex-US Small-Cap ETF. Vanguard Total World Stock Index Fund ETF. Vanguard Total Stock Market ETF. Vanguard Value ETF. Vanguard Growth ETF. Vanguard Large-Cap ETF. Vanguard Emerging Markets ETF. Vanguard Extended Market ETF. iPATH S&P 500 VIX Short-Term Futures ETN. iPATH S&P 500 VIX Mid-Term Futures ETN. Vanguard High Dividend Yield ETF. SPDR DB International Government Inflation-Protected Bond ETF. SPDR S&P Biotech ETF. SPDR S&P Oil & Gas Equipment & Services ETF. SPDR S&P Homebuilders ETF. Materials Select Sector SPDR Fund. Energy Select Sector SPDR Fund. Financial Select Sector SPDR Fund. Rydex Russell Top 50 ETF. Industrial Select Sector SPDR Fund. Technology Select Sector SPDR Fund. Consumer Staples Select Sector SPDR Fund. Utilities Select Sector SPDR Fund. Health Care Select Sector SPDR Fund. Consumer Discretionary Select Sector SPDR Fund. SPDR S&P Metals & Mining ETF. SPDR S&P Oil & Gas Exploration & Production ETF. SPDR S&P Pharmaceuticals ETF. SPDR S&P Retail ETF. SPDR S&P Semiconductor ETF. ProShares Short FTSE/Xinhua China 25. Jkt 223001 PO 00000 Frm 00088 Fmt 4703 Sfmt 9990 E:\FR\FM\01JNN1.SGM 01JNN1 Federal Register / Vol. 76, No. 105 / Wednesday, June 1, 2011 / Notices A. Self-Regulatory Organization’s Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change [FR Doc. 2011–13472 Filed 5–31–11; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–64542; File No. SR–NYSE– 2011–13] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Establishing a Revenue Sharing Program With Correlix, Inc. and a Free Trial Period for New Users of the Correlix Service May 25, 2011. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the ‘‘Act’’) 1 and Rule 19b–4 thereunder,2 notice is hereby given that on May 18, 2011, New York Stock Exchange LLC (‘‘NYSE’’ or the ‘‘Exchange’’) filed with the Securities and Exchange Commission (the ‘‘Commission’’) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to establish a revenue sharing program with Correlix, Inc. (‘‘Correlix’’) and a free trial period for new users of the Correlix service. The text of the proposed rule change is available at the Exchange, the Commission’s Public Reference Room and http://www.nyse.com. mstockstill on DSK4VPTVN1PROD with NOTICES II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements. 1 15 2 17 U.S.C.78s(b)(1). CFR 240.19b–4. VerDate Mar<15>2010 18:48 May 31, 2011 Jkt 223001 1. Purpose The Exchange is filing a proposed rule change to establish a revenue sharing program with Correlix effective upon filing with the Commission. The Exchange has entered into an agreement with Correlix to provide to users 3 of the Exchange real-time analytical tools to measure the latency of orders to and from the Exchange’s system as well as the latency of market data updates transmitted from the Exchange systems to the user. Under the agreement, the Exchange will receive 30 percent of the total monthly subscription fees received by Correlix from parties who have contracted directly with Correlix to use their RaceTeam latency measurement service for the Exchange. The Exchange will not bill or contract with any Correlix RaceTeam customer directly. Pricing for the Correlix RaceTeam product for users of the Exchange will be based on the number of ports requested by the user for monitoring by Correlix; each ‘‘port’’ is a FIX or binary protocol connection to the Common Customer Gateway (‘‘CCG’’) of NYSE Euronext, which provides connectivity to the national securities exchanges operated by NYSE Euronext (i.e., NYSE, NYSE Amex LLC (‘‘NYSE Amex’’) and NYSE Arca, Inc. (‘‘NYSE Arca’’)).4 The fee for users of the Exchange will be an initial $2,500 monthly base fee for the first 25 ports requested by the user for latency monitoring, and an additional $1,000 per month for each additional 25 ports (or portion thereof) requested by the user for latency monitoring. Correlix will charge for services based on the number of ports because of the CCG technology, which is unique to the NYSE Euronext exchanges. Specifically, the use of ports as the basis of charging will permit order-related messages transmitted through the CCG to the various NYSE Euronext markets (e.g., NYSE vs. NYSE Amex equities or NYSE Arca equities vs. NYSE Arca options) to be differentiated and kept separate. For these purposes, the combination of port and user ID provides the mechanism for users to receive latency data for their transactions on a particular NYSE Euronext market. The Correlix 3 For the purposes of this filing, the term ‘‘users’’ includes any ‘‘member organization,’’ as that term is defined in NYSE Rule 2(b) and any ‘‘Sponsored Participant,’’ as that term is defined in NYSE Rule 123B.30(a)(ii)(B). 4 NYSE Amex and NYSE Arca have submitted similar rule filings. See SR–NYSEAmex–2011–20 and SR–NYSEArca–2011–12. PO 00000 Frm 00089 Fmt 4703 Sfmt 4703 31659 RaceTeam product will include controls such that users will not be able to obtain latency information about options orders through an equities port connection and vice versa. Under the program, Correlix will see an individualized unique NYSE generated identifier that will allow Correlix RaceTeam to determine round trip order time,5 from the time the order reaches the Exchange extranet, through the Exchange matching engine, and back out of the Exchange extranet. The RaceTeam product offering does not measure latency outside of the Exchange extranet. The unique identifier serves as a technological information barrier so that the RaceTeam data collector will only be able to view data for Correlix RaceTeam subscribing users related to latency. Correlix will not see subscriber’s individual order detail such as security, price or size. Individual RaceTeam subscribers’ logins will restrict access to only their own latency data. Correlix will see no specific information regarding the trading activity of non-subscribers. The Exchange believes that the above arrangement will provide users of the Exchange with greater transparency into the processing of their trading activity and allow them to make more efficient trading decisions. In addition, the Exchange proposes to establish a flexible 60-day free trial so parties will be eligible for one free 60day trial period of Correlix services whenever they initially elect to sign-up for the service, now or in the future. The Exchange is proposing the flexible trial to ensure that all Correlix users have an equal opportunity to take advantage of an initial free trial period. 2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6(b) of the Act,6 in general, and furthers the objectives of Section 6(b)(5) of the Act,7 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. The 5 The product measures latency of orders whether the orders are rejected, executed, or partially executed. 6 15 U.S.C. 78f(b). 7 15 U.S.C. 78f(b)(5). E:\FR\FM\01JNN1.SGM 01JNN1

Agencies

[Federal Register Volume 76, Number 105 (Wednesday, June 1, 2011)]
[Notices]
[Pages 31647-31659]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2011-13472]



[[Page 31647]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-64547; File No. 4-631]


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

May 25, 2011.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder \2\, notice is hereby given that, 
on April 5, 2011, NYSE Euronext, on behalf of New York Stock Exchange 
LLC (``NYSE''), NYSE Amex LLC (``NYSE Amex''), and NYSE Arca, Inc. 
(``NYSE Arca''), and the following parties to the proposed National 
Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago 
Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., 
EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq 
Stock Market LLC, and National Stock Exchange, Inc. (collectively with 
NYSE, NYSE Amex, and NYSE Arca, the ``Participants''), filed with the 
Securities and Exchange Commission (the ``Commission'') a proposed Plan 
to Address Extraordinary Market Volatility (``Plan'').\3\ A copy of the 
proposed Plan is attached as Exhibit A hereto. The Commission is 
publishing this notice to solicit comments on the proposed Plan from 
interested persons.\4\
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Janet M. McGinness, Senior Vice President, 
Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. 
Murphy, Secretary, Commission, dated April 5, 2011.
    \4\ For additional discussion about the Plan, including its 
relation to the single-stock circuit breakers, see discussion in 
Section II, infra.
---------------------------------------------------------------------------

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

    The Participants filed the proposed 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.\5\ The proposed Plan sets 
forth proposed 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.\6\ These limit up-limit down requirements would be coupled with 
Trading Pauses, as defined in Section I(X) of the proposed Plan, to 
accommodate more fundamental price moves (as opposed to erroneous 
trades or momentary gaps in liquidity).
---------------------------------------------------------------------------

    \5\ 17 CFR 242.600(b)(47). See also Section I(H) of the proposed 
Plan.
    \6\ As set forth in Section V of the proposed Plan, the Price 
Bands shall consist of a Lower Price Band and an Upper Price Band 
for each NMS Stock. The Price Bands shall be 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. As defined in the proposed Plan, Eligible Reported 
Transactions shall have the meaning prescribed by the Operating 
Committee for the proposed Plan, and generally mean transactions 
that are eligible to update the sale price of an NMS Stock.
---------------------------------------------------------------------------

    As set forth in more detail in the proposed Plan, all trading 
centers \7\ 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 proposed 
Plan.
---------------------------------------------------------------------------

    \7\ As defined in Section I(W) of the proposed Plan, a trading 
center shall have the meaning provided in Rule 600(b)(78) of 
Regulation NMS under the Exchange Act.
---------------------------------------------------------------------------

    The single plan processor responsible for consolidation of 
information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS 
under the Act \8\ would be responsible for calculating and 
disseminating the applicable Price Bands as provided for in Section V 
of the proposed Plan. The Processor for each NMS stock would calculate 
and disseminate to the public a lower Price Band and an upper Price 
Band during regular trading hours, as defined in Section I(R) of the 
proposed Plan, for such NMS Stock. The Price Bands would 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). The Price Bands for an NMS Stock would be 
calculated by applying the Percentage Parameter\9\ 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.
---------------------------------------------------------------------------

    \8\ 17 CFR 242.603(b). The proposed Plan refers to this entity 
as the Processor.
    \9\ As defined in Section (I)(M) of the proposed Plan, the 
Percentage Parameter shall mean the percentages for each tier of NMS 
Stocks set forth in Appendix A of the Plan. As such, the Percentage 
Parameters for Tier 1 NMS Stocks with a Reference Price of $1.00 or 
more shall be 5%, and the Percentage Parameters for Tier 2 NMS 
Stocks with a Reference Price of $1.00 or more shall be 10%. For 
Tier 1 and Tier 2 NMS Stocks with a Reference Price less than $1.00, 
the Percentage Parameters shall be the lesser of $0.15 or 75%. The 
Percentage Parameters for a Tier 2 NMS Stock that is a leveraged 
exchange-traded product shall be the applicable Percentage Parameter 
multiplied by the leverage ratio of such product.
---------------------------------------------------------------------------

    Section VI of the proposed Plan sets forth the details of the 
operation of the limit up-limit down mechanism. Section VI of the 
proposed Plan provides that all trading centers 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 
prevent trades at prices that are below the lower Price Band or above 
the upper Price Band for an NMS Stock, consistent with the proposed 
Plan.
    As set forth in Section VI, when one side of the market for an 
individual security is outside the applicable Price Band (i.e., when 
the National Best Bid \10\ is below the Lower Limit Band or the 
National Best Offer \11\ is above the Upper Limit Band for an NMS 
Stock), the Processor would be required to disseminate such National 
Best Bid or National Best Offer with an appropriate flag identifying it 
as non-executable. When the other side of the market reaches the 
applicable Price Band (i.e., when the National Best Offer is equal to 
the Lower Limit Band or the National Best Bid is equal to the Upper 
Limit Band for an NMS Stock), the market for an individual security 
would enter a Limit State,\12\ and the Processor 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\ Trading 
for an NMS Stock would exit a Limit State if, within 15 seconds of 
entering the Limit State, the entire size of all Limit State Quotations 
is executed or cancelled. If

[[Page 31648]]

the market does not exit a Limit State within 15 seconds, then the 
Primary Listing Exchange \14\ would declare a five-minute Trading Pause 
pursuant to Section VII of the proposed Plan.
---------------------------------------------------------------------------

    \10\ 17 CFR 242.600(b)(42). See also Section I(G) of the 
proposed Plan.
    \11\ Id.
    \12\ As set forth in Section VI(B) of the proposed Plan, when 
trading for an NMS Stock enters a Limit State, 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 of the proposed Plan.
    \13\ See Section I(D) of the proposed Plan.
    \14\ See Section I(O) of the proposed Plan.
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    The Participants believe that, if implemented, the limit up-limit 
down mechanism specified in the proposed Plan will reduce the negative 
impacts of sudden, unanticipated price movements in NMS Stocks, thereby 
protecting investors and promoting a fair and orderly market. In 
particular, the Participants are proposing to adopt the Plan to address 
the type of sudden price movements that the market experienced on the 
afternoon of May 6, 2010.\15\
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    \15\ The limit up-limit down mechanism set forth in the proposed 
Plan would replace the existing single-stock circuit breaker pilot, 
described more fully in Section II, Solicitation of Comments. See 
e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 
FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 (September 10, 
2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-2010-033).
---------------------------------------------------------------------------

B. Governing or Constituent Documents

    The governing documents of the Processor, as defined in Section 
I(P) of the proposed Plan, would not be affected by the proposed Plan, 
but if the proposed Plan is implemented, the Processor's obligations 
would change, as set forth in detail in the proposed Plan. In 
particular, as set forth in Section V of the proposed Plan, the 
Processor would be responsible for calculating and disseminating Price 
Bands during Regular Trading Hours, as defined in Section I(R) of the 
proposed Plan. Each Participant would take such actions as are 
necessary and appropriate as a party to the Market Data Plans, as 
defined in Section I(F) of the proposed Plan, to cause and enable the 
Processor for each NMS Stock to fulfill the functions set forth in the 
proposed Plan.

C. Implementation of Plan

    The Participants propose that the initial date of the proposed Plan 
operations would be 120 calendar days following the publication of the 
Commission's order approving the proposed Plan in the Federal Register.

D. Development and Implementation Phases

    The Participants propose that the Plan would be implemented as a 
one-year pilot program in two Phases, consistent with Section VIII of 
the proposed Plan. Phase I of proposed Plan implementation would apply 
immediately following the initial date of proposed Plan operations; 
Phase II of proposed Plan would commence six months after the initial 
date of the proposed Plan or such earlier date as may be announced by 
the Processor with at least 30 days notice. During Phase I, the 
proposed Plan would apply only to Tier 1 NMS Stocks, as defined in 
Appendix A of the proposed Plan, and the first Price Bands would be 
calculated and disseminated 15 minutes after the start of Regular 
Trading Hours, as specified in Section V(A) of the proposed Plan, and 
no Price Bands would be calculated and disseminated less than 30 
minutes before the end of Regular Trading Hours. In Phase II, the 
proposed Plan would fully apply to all NMS Stocks beginning at 9:30 
a.m. ET and ending at 4 p.m. ET each trading day.

E. Analysis of Impact on Competition

    The Participants do not believe that the proposed Plan imposes any 
burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Act. The Participants also 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.\16\
---------------------------------------------------------------------------

    \16\ 15 U.S.C. 78k-1(c)(1)(D).
---------------------------------------------------------------------------

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

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

G. Approval of Amendment of the Plan

    Not applicable.

H. Terms and Conditions of Access

    Section II(C) of the proposed 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 proposed 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 proposed 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

    The proposed Plan does not include specific provisions regarding 
resolution of disputes between or among Participants. Section III(C) of 
the proposed Plan provides for each Participant to designate an 
individual to represent the Participant as a member of an Operating 
Committee.\17\ No later than the initial date of the Plan, the 
Operating Committee would be required to designate one member of the 
Operating Committee to act as the Chair of the Operating Committee. The 
Operating Committee would monitor the procedures established pursuant 
to the Plan and advise the Participants with respect to any 
deficiencies, problems, or recommendations as the Operating Committee 
may deem appropriate. 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, would 
be submitted to the Commission as a request for an amendment to the 
Plan initiated by the Commission under Rule 608 of Regulation NMS under 
the Act.\18\
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    \17\ See Section I(J) of the proposed Plan.
    \18\ 17 CFR 242.608.
---------------------------------------------------------------------------

II. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed 
National Market System Plan is consistent with the Act. A stated 
purpose of the proposed Plan is to address extraordinary market 
volatility, such as the sudden price movements that the market 
experienced on the afternoon of May 6, 2010. Since the events of May 6, 
2010, staff of the Commission and the SROs have been working on a 
variety of initiatives to reduce the risk of a recurrence of the 
extraordinary market volatility in NMS stocks that was experienced on 
that day. One such initiative is the single-stock circuit breaker pilot 
program, which currently extends to securities included in the S&P 500 
index, the Russell 1000[supreg] index, and select exchange-traded 
products.\19\ The circuit breaker pilot is currently set to expire the 
earlier of August 11, 2011 or the date on which the limit up-limit down 
mechanism to

[[Page 31649]]

address extraordinary market volatility, if adopted, applies.\20\
---------------------------------------------------------------------------

    \19\ See e.g., Securities Exchange Act Release Nos. 62251 (June 
10, 2010), 75 FR 34183 (June 16, 2010) (SR-FINRA-2010-025); 62883 
(September 10, 2010), 75 FR 56608 (September 16, 2010) (SR-FINRA-
2010-033).
    \20\ See e.g., Securities Exchange Act Release No. 64174 (April 
4, 2011), 76 FR 19819 (April 8, 2011) (SR-NASDAQ-2011-042).
---------------------------------------------------------------------------

     To the extent that the proposed Plan, if approved, would 
replace the current single-stock circuit breaker pilot, what are the 
advantages of a limit up-limit down mechanism over the current circuit 
breaker pilot? How would the limit up-limit down mechanism improve upon 
the current circuit breaker pilot? Would the proposed limit up-limit 
down mechanism prevent erroneous trades from occurring? What, if any, 
are the advantages of the current circuit breaker pilot over the 
proposed limit up-limit down mechanism?
     With respect to competition, would the proposed Plan 
impact one category of market participants more than others? What, if 
any, costs would market participants incur as a result of the proposed 
Plan? Would different market participants bear any such costs 
differently? How would any such competitive impacts under the proposed 
Plan differ from the competitive impact, if any, that market 
participants have experienced under the current circuit breaker pilot?
     What is ``excessive short-term volatility?'' Put another 
way, what level of volatility is appropriate in continuous trading, and 
at what point should circuit breakers or the proposed limit up-limit 
down mechanism take effect?
     Section IX of the proposed Plan provides that a 
Participant may withdraw from the Plan, upon obtaining approval from 
the Commission and upon providing not less than 30 days written notice 
to the other participants. How, if at all, does the analysis of the 
impact of the proposed Plan upon competition change if one or more 
participants are permitted to withdraw from the proposed Plan? Would 
the operation of the proposed Plan be impaired if one or more 
participants were permitted to withdraw from the Plan?
     Are the proposed percentage levels for the Price Bands 
appropriate? Are they sufficiently narrow to guard against excessive 
market volatility while sufficiently broad to allow trading to occur 
without triggering a Limit State too frequently? If not, what alternate 
percentage levels would be preferable?
     Is 15 seconds an appropriate maximum length of time for a 
particular security to be in a Limit State? Is it long enough to 
reasonably attract additional available liquidity without recourse to a 
Trading Pause? Is it short enough to reasonably limit any market 
uncertainty that might accompany a Limit State?
     Are the triggers for the Limit State appropriate? Would 
alternative triggers for entering the Limit State be more appropriate? 
For example, should a Limit State be entered when the National Best Bid 
falls below the Lower Limit Band (or the National Best Offer exceeds 
the Upper Limit Band), because at that point a seller (buyer) cannot 
submit a marketable order? What are the advantages and disadvantages of 
the proposed approach? What, if any, are the advantages of alternative 
approaches? Please describe any other potential alternative trigger, as 
well as its relative strengths and weaknesses.
     Are the conditions required to exit the Limit State 
appropriate? Should alternative or additional conditions be imposed in 
order to exit the Limit State, and why might those conditions be 
appropriate? For example, should more be required to confirm that the 
market for a particular security has rebounded from a Limit State than 
the removal of a Limit State Quotation, such as a confirming quote or 
trade within the Price Bands?
     Are the proposed procedures relating to the functioning of 
the Operating Committee appropriate? Do they appropriately balance the 
protection of individual Participant interests with the efficient 
operation of the Plan? Are there ways to improve the proposed 
procedures for handling a recommendation from the Operating Committee 
for an amendment to the Plan that receives substantial, but less than 
unanimous, support from Participants?
     Should the list of exchange-traded products proposed to be 
included in Phase I of the proposed Plan be expanded to include 
additional such products, i.e., other exchange-traded products that 
have component securities that largely track the securities included in 
the S&P 500 and Russell 1000?
     Is the proposed phased-in implementation schedule 
workable? Why or why not? Should the implementation of Phase II of the 
proposed Plan be conditioned upon Commission approval?
    Comments may be submitted by any of the following methods:

Electronic Comments

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

Paper Comments

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

All submissions should refer to File Number 4-631. This file number 
should be included on the subject line if e-mail is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for Web site viewing and printing in 
the Commission's Public Reference Room, 100 F Street, NE., Washington, 
DC 20549 on official business days between 10 a.m. and 3 p.m. Copies of 
the filing will also be available for inspection and copying at the 
Participants' principal offices. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number 4-631 and should be submitted on or before June 22, 2011.

    By the Commission.
Elizabeth M. Murphy,
Secretary.

EXHIBIT A

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

[[Page 31650]]



                            Table of Contents
------------------------------------------------------------------------
                           Section                               Page
------------------------------------------------------------------------
Preamble....................................................           1
I. Definitions..............................................           2
II. Parties.................................................           4
III. Amendments to Plan.....................................           6
IV. Trading Center Policies and Procedures..................           7
V. Price Bands..............................................           8
VI. Limit Up-Limit Down Requirements........................          10
VII. Trading Pauses.........................................          12
VIII. Implementation........................................          14
IX. Withdrawal from Plan....................................          14
X. Counterparts and Signatures..............................          15
Appendix A--Percentage Parameters...........................          17
Appendix A--Schedule 1......................................          18
------------------------------------------------------------------------

Preamble

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

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange, or, if the Primary 
Listing Exchange opens with quotations, the midpoint of those 
quotations.
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V of 
the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been listed 
the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor responsible 
for the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning provided 
in Section V(A)(2) of the Plan.
    (R) ``Regular trading hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act.
    (S) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (T) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (U) ``Reopening Price'' shall mean the price of a transaction that 
reopens trading on the Primary Listing Exchange following a Trading 
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens 
with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (X) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Y) ``Upper Price Band'' shall have the meaning provided in Section 
V of the Plan.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:

(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle 
Street, Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, 
Illinois 60605
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey 
City, NJ 07310
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor, Jersey 
City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street, NW., 
Washington, DC 20006

[[Page 31651]]

(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 
19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New 
York, NY 10006
(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey 
City, NJ 07302
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 
10005
(13) NYSE Amex LLC, 20 Broad Street, New York, New York 10005
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 
60606

(B) Compliance Undertaking

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

(C) New Participants

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

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

(C) Operating Committee

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

IV. Trading Center Policies and Procedures

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

V. Price Bands

(A) Calculation and Dissemination of Price Bands

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

[[Page 31652]]

Price Bands based on the new Reference Price; provided, however, that 
each new Reference Price shall remain in effect for at least 30 
seconds.

(B) Openings

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

(C) Reopenings

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

VI. Limit Up-Limit Down Requirements

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

    (1) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent trades at prices that are below 
the Lower Limit Band or above the Upper Limit Band for an NMS Stock. 
Single-priced opening, reopening, and closing transactions on the 
Primary Listing Exchange, however, shall be excluded from this 
limitation.
    (2) When a National Best Bid is below the Lower Limit Band or a 
National Best Offer is above the Upper Limit 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 Limit Band or a National Best 
Bid is equal to the Upper Limit 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 Limit Band and does 
not cross the National Best Bid, or the National Best Bid equals the 
Upper Limit Band and does not cross the National Best Offer.
    (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. If trading for an NMS Stock is in a Limit State at the end of 
Regular Trading Hours, the Limit State will terminate when the Primary 
Listing Exchange executes a closing transaction in the NMS Stock or 
five minutes after the end of Regular Trading Hours, whichever is 
earlier.

VII. Trading Pauses

(A) Declaration of Trading Pauses

    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. The Processor shall disseminate this information 
to the public. No trades in an NMS Stock shall occur during a Trading 
Pause, but all bids and offers may be displayed.

[[Page 31653]]

(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 Five Minutes of the End of Regular Trading 
Hours

    (1) If a Trading Pause for an NMS Stock is declared less than five 
minutes before the end of Regular Trading Hours, the Primary Listing 
Exchange 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

(A) Phase I

    (1) Phase I of Plan implementation shall apply immediately 
following the initial date of Plan operations.
    (2) During Phase I, the Plan shall apply only to the 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 less than 30 minutes before 
the end of Regular Trading Hours, and trading shall not enter a Limit 
State less than 25 minutes before the end of Regular Trading Hours.

(B) Phase II--Full Implementation

    (1) Six months after the initial date of Plan operations, or such 
earlier date as may be announced by the Processor with at least 30 days 
notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) 
beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day.

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 ------ 2011 by each of the parties hereto.
BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------
EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------
NATIONAL STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
NYSE AMEX LLC
BY:--------------------------------------------------------------------
BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------
THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------
NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------
NYSE ARCA, INC.
BY:--------------------------------------------------------------------

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 listed on Schedule 1 to this Appendix.
    (2) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price of $1.00 or more shall be 5%.
    (3) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price less than $1.00 shall be the lesser of (a) $0.15 or 
(b) 75%.

II. Tier 2 NMS Stocks

    (1) Tier 2 NMS Stocks shall include all NMS Stocks other than 
those in Tier 1.
    (2) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price of $1.00 or more shall be 10%.
    (3) The Percentage Parameters for Tier 2 NMS Stocks with a 
Reference Price less than $1.00 shall be the lesser of (a) $0.15 or 
(b) 75%.
    (4) Notwithstanding the foregoing, the Percentage Parameters for 
a Tier 2 NMS Stock that is a leveraged exchange-traded product shall 
be the applicable Percentage Parameter set forth in clauses (2) or 
(3) above, multiplied by the leverage ratio of such product.

                         Appendix A--Schedule 1
------------------------------------------------------------------------
            Symbol                                Name
------------------------------------------------------------------------
AAXJ.........................  iShares MSCI All Country Asia ex Japan
                                Index Fund.
ACWI.........................  iShares MSCI ACWI Index Fund.
ACWX.........................  iShares MSCI ACWI ex US Index Fund.
ADRE.........................  BLDRS Emerging Markets 50 ADR Index Fund.

[[Page 31654]]

 
AGG..........................  iShares Barclays Aggregate Bond Fund.
AGZ..........................  iShares Barclays Agency Bond Fund.
AMJ..........................  JPMorgan Alerian MLP Index ETN.
BAB..........................  PowerShares Build America Bond Portfolio.
BBH..........................  Biotech HOLDRs Trust.
BDG..........................  PowerShares DB Base Metals Long ETN.
BIK..........................  SPDR S&P BRIC 40 ETF.
BIL..........................  SPDR Barclays Capital 1-3 Month T-Bill
                                ETF.
BIV..........................  Vanguard Intermediate-Term Bond ETF.
BKF..........................  iShares MSCI BRIC Index Fund.
BLV..........................  Vanguard Long-Term Bond ETF.
BND..........................  Vanguard Total Bond Market ETF.
BOS..........................  PowerShares DB Base Metals Short ETN.
BRF..........................  Market Vectors Brazil Small-Cap ETF.
BSV..........................  Vanguard Short-Term Bond ETF.
BWX..........................  SPDR Barclays Capital International
                                Treasury Bond ETF.
CEW..........................  WisdomTree Dreyfus Emerging Currency
                                Fund.
CFT..........................  iShares Barclays Credit Bond Fund.
CIU..........................  iShares Barclays Intermediate Credit Bond
                                Fund.
CSJ..........................  iShares Barclays 1-3 Year Credit Bond
                                Fund.
CUT..........................  Claymore/Beacon Global Timber Index ETF.
CVY..........................  Claymore/Zacks Multi-Asset Income Index
                                ETF.
CWB..........................  SPDR Barclays Capital Convertible
                                Securities ETF.
CYB..........................  WisdomTree Dreyfus Chinese Yuan Fund.
DBA..........................  PowerShares DB Agriculture Fund.
DBB..........................  PowerShares DB Base Metals Fund.
DBC..........................  PowerShares DB Commodity Index Tracking
                                Fund.
DBO..........................  PowerShares DB Oil Fund.
DBP..........................  PowerShares DB Precious Metals Fund.
DBV..........................  PowerShares DB G10 Currency Harvest Fund.
DDG..........................  ProShares Short Oil & Gas.
DEM..........................  WisdomTree Emerging Markets Equity Income
                                Fund.
DFJ..........................  WisdomTree Japan SmallCap Dividend Fund.
DGS..........................  WisdomTree Emerging Markets SmallCap
                                Dividend Fund.
DIA..........................  SPDR Dow Jones Industrial Average ETF
                                Trust.
DJP..........................  iPath Dow Jones-UBS Commodity Index Total
                                Return ETN/United States.
DNO..........................  United States Short Oil Fund.
DOG..........................  ProShares Short Dow30.
DVY..........................  iShares Dow Jones Select Dividend Index
                                Fund.
DWM..........................  WisdomTree DEFA Fund.
DWX..........................  SPDR S&P International Dividend ETF.
ECH..........................  iShares MSCI Chile Investable Market
                                Index Fund.
EEB..........................  Claymore/BNY BRIC ETF.
EEM..........................  iShares MSCI Emerging Markets Index Fund/
                                United States.
EFA..........................  iShares MSCI EAFE Index Fund.
EFG..........................  iShares MSCI EAFE Growth Index.
EFV..........................  iShares MSCI EAFE Value Index.
EFZ..........................  ProShares Short MSCI EAFE.
EIS..........................  iShares MSCI Israel Capped Index Fund.
EMB..........................  iShares JPMorgan USD Emerging Markets
                                Bond Fund.
EPI..........................  WisdomTree India Earnings Fund.
EPP..........................  iShares MSCI Pacific ex-Japan Index Fund.
EPU..........................  iShares MSCI All Peru Capped Index Fund.
EUM..........................  ProShares Short MSCI Emerging Markets.
EWA..........................  iShares MSCI Australia Index Fund.
EWC..........................  iShares MSCI Canada Index Fund.
EWD..........................  iShares MSCI Sweden Index Fund.
EWG..........................  iShares MSCI Germany Index Fund.
EWH..........................  iShares MSCI Hong Kong Index Fund.
EWI..........................  iShares MSCI Italy Index Fund.
EWJ..........................  iShares MSCI Japan Index Fund.
EWK..........................  iShares MSCI Belgium Investable Market
                                Index Fund.
EWL..........................  iShares MSCI Switzerland Index Fund.
EWM..........................  iShares MSCI Malaysia Index Fund.
EWN..........................  iShares MSCI Netherlands Investable
                                Market Index Fund.
EWO..........................  iShares MSCI Austria Investable Market
                                Index Fund.
EWP..........................  iShares MSCI Spain Index Fund.
EWQ..........................  iShares MSCI France Index Fund.
EWS..........................  iShares MSCI Singapore Index Fund.
EWT..........................  iShares MSCI Taiwan Index Fund.
EWU..........................  iShares MSCI United Kingdom Index Fund.
EWW..........................  iShares MSCI Mexico Investable Market
                                Index Fund.

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EWX..........................  SPDR S&P Emerging Small Cap ETF.
EWY..........................  iShares MSCI South Korea Index Fund.
EWZ..........................  iShares MSCI Brazil Index Fund.
EZA..........................  iShares MSCI South Africa Index Fund.
EZU..........................  iShares MSCI EMU Index Fund.
FBT..........................  First Trust NYSE Arca Biotechnology Index
                                Fund.
FCG..........................  First Trust ISE-Revere Natural Gas Index
                                Fund.
FDN..........................  First Trust Dow Jones Internet Index
                                Fund.
FNI..........................  First Trust ISE Chindia Index Fund.
FXA..........................  CurrencyShares Australian Dollar Trust.
FXB..........................  CurrencyShares British Pound Sterling
                                Trust.
FXC..........................  CurrencyShares Canadian Dollar Trust.
FXD..........................  First Trust Consumer Discretionary
                                AlphaDEX Fund.
FXE..........................  CurrencyShares Euro Trust.
FXF..........................  CurrencyShares Swiss Franc Trust.
FXI..........................  iShares FTSE/Xinhua China 25 Index Fund.
FXY..........................  CurrencyShares Japanese Yen Trust.
FXZ..........................  First Trust Materials AlphaDEX Fund.
GAZ..........................  iPath Dow Jones-UBS Natural Gas Subindex
                                Total Return ETN.
GCC..........................  GreenHaven Continous Commodity Index
                                Fund.
GD...........................  Market Vectors--Gold Miners ETF.
GDXJ.........................  Market Vectors Junior Gold Miners ETF.
GLD..........................  SPDR Gold Trust.
GMF..........................  SPDR S&P Emerging Asia Pacific ETF.
GML..........................  SPDR S&P Emerging Latin America ETF.
GSG..........................  iShares S&P GSCI Commodity Indexed Trust.
GSP..........................  iPath GSCI Total Return Index ETN.
GUR..........................  SPDR S&P Emerging Europe ETF.
GVI..........................  iShares Barclays Intermediate Government/
                                Credit Bond Fund.
GVT..........................  Grail American Beacon Large Cap Value
                                ETF.
GWX..........................  SPDR S&P International Small Cap ETF.
GXC..........................  SPDR S&P China ETF.
HAO..........................  Claymore/AlphaShares China Small Cap
                                Index ETF.
HYG..........................  iShares iBoxx $ High Yield Corporate Bond
                                Fund.
IAI..........................  iShares Dow Jones US Broker Dealers Index
                                Fund.
IAT..........................  iShares Dow Jones US Regional Banks Index
                                Fund.
IAU..........................  iShares COMEX Gold Trust.
IBB..........................  iShares Nasdaq Biotechnology Index Fund.
ICF..........................  iShares Cohen & Steers Realty Majors
                                Index Fund.
IDU..........................  iShares Dow Jones US Utilities Sector
                                Index Fund.
IDX..........................  Market Vectors--Indonesia Index ETF.
IEF..........................  iShares Barclays 7-10 Year Treasury Bond
                                Fund.
IEI..........................  iShares Barclays 3-7 Year Treasury Bond
                                Fund.
IEO..........................  iShares Dow Jones US Oil & Gas
                                Exploration & Production Index Fund.
IEV..........................  iShares S&P Europe 350 Index Fund.
IEZ..........................  iShares Dow Jones US Oil Equipment &
                                Services Index Fund.
IFGL.........................  iShares FTSE EPRA/NAREIT Developed Real
                                Estate ex-US Index Fund.
IGE..........................  iShares S&P North American Natural
                                Resources Sector Index Fund.
IGF..........................  iShares S&P Global Infrastructure Index
                                Fund.
IGM..........................  iShares S&P North American Technology
                                Sector Index Fund.
IGN..........................  iShares S&P North American Technology-
                                Multimedia Networking Index Fund.
IGV..........................  iShares S&P North American Technology-
                                Software Index Fund.
IGW..........................  iShares S&P North American Technology-
                                Semiconductors Index Fund.
IHE..........................  iShares Dow Jones US Pharmaceuticals
                                Index Fund.
IHF..........................  iShares Dow Jones US Healthcare Providers
                                Index Fund.
IHI..........................  iShares Dow Jones US Medical Devices
                                Index Fund.
IJH..........................  iShares S&P MidCap 400 Index Fund.
IJJ..........................  iShares S&P MidCap 400/BARRA Value Index
                                Fund.
IJK..........................  iShares S&P MidCap 400 Growth Index Fund.
IJR..........................  iShares S&P SmallCap 600 Index Fund.
IJS..........................  iShares S&P SmallCap 600 Value Index
                                Fund.
IJT..........................  iShares S&P SmallCap 600/BARRA Growth
                                Index Fund.
ILF..........................  iShares S&P Latin America 40 Index Fund.
INP..........................  iPath MSCI India Index ETN.
IOO..........................  iShares S&P Global 100 Index Fund.
IPE..........................  SPDR Barclays Capital TIPS ETF.
ITA..........................  iShares Dow Jones US Aerospace & Defense
                                Index Fund.
ITB..........................  iShares Dow Jones US Home Construction
                                Index Fund.
IVE..........................  iShares S&P 500 Value Index Fund.
IVV..........................  iShares S&P 500 Index Fund/US.
IVW..........................  iShares S&P 500 Growth Index Fund.
IWB..........................  iShares Russell 1000 Index Fund.

[[Page 31656]]

 
IWC..........................  iShares Russell Microcap Index Fund.
IWD..........................  iShares Russell 1000 Value Index Fund.
IWF..........................  iShares Russell 1000 Growth Index Fund.
IWL..........................  iShares Russell Top 200 Index Fund.
IWM..........................  iShares Russell 2000 Index Fund.
IWN..........................  iShares Russell 2000 Value Index Fund.
IWO..........................  iShares Russell 2000 Growth Index Fund.
IWP..........................  iShares Russell Midcap Growth Index Fund.
IWR..........................  iShares Russell Midcap Index Fund.
IWS..........................  iShares Russell Midcap Value Index Fund.
IWV..........................  iShares Russell 3000 Index Fund.
IWW..........................  iShares Russell 3000 Value Index Fund.
IWX..........................  iShares Russell Top 200 Value Index Fund.
IWY..........................  iShares Russell Top 200 Growth Index
                                Fund.
IXC..........................  iShares S&P Global Energy Sector Index
                                Fund.
IXG..........................  iShares S&P Global Financials Sector
                                Index Fund.
IXJ..........................  iShares S&P Global Healthcare Sector
                                Index Fund.
IXN..........................  iShares S&P Global Technology Sector
                                Index Fund.
IXP..........................  iShares S&P Global Telecommunications
                                Sector Index Fund.
IYC..........................  iShares Dow Jones US Consumer Services
                                Sector Index Fund.
IYE..........................  iShares Dow Jones US Energy Sector Index
                                Fund.
IYF..........................  iShares Dow Jones US Financial Sector
                                Index Fund.
IYG..........................  iShares Dow Jones US Financial Services
                                Index Fund.
IYH..........................  iShares Dow Jones US Healthcare Sector
                                Index Fund.
IYJ..........................  iShares Dow Jones US Industrial Sector
                                Index Fund.
IYK..........................  iShares Dow Jones US Consumer Goods
                                Sector Index Fund.
IYM..........................  iShares Dow Jones US Basic Mat