Justia Agencies And Commissions Securities And Exchange Commission Joint Industry Plan; Notice of Filing of the Third Amendment to the National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc., 15757-15771 [2013-05635]

Joint Industry Plan; Notice of Filing of the Third Amendment to the National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc., 15757-15771 [2013-05635]

Download as PDF Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices mstockstill on DSK4VPTVN1PROD with NOTICES It is estimated that approximately eighteen respondents will utilize this application procedure annually, with a total burden of approximately 2,250 hours, based upon past submissions. This figure is based on eighteen respondents, spending approximately 125 hours each per year. It is estimated that each respondent will submit approximately 250 responses. The staff estimates that the average number of hours necessary to comply with the requirements of Rule 19d–1 for each submission is 0.5 hours. The average cost per hour, per each submission is approximately $101. Therefore, it is estimated that the internal labor cost of compliance for all respondents is approximately $227,250. (18 respondents × 250 responses per respondent × 0.5 hours per response × $101 per hour). Written comments are invited on: (a) Whether the proposed collection of information is necessary for the proper performance of the functions of the Commission, including whether the information shall have practical utility; (b) the accuracy of the Commission’s estimates of the burden of the proposed collection of information; (c) ways to enhance the quality, utility, and clarity of the information collected; and (d) ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication. The Commission may not conduct or sponsor a collection of information unless it displays a currently valid OMB control number. No person shall be subject to any penalty for failing to comply with a collection of information subject to the PRA that does not display a valid OMB control number. Please direct your written comments to: Thomas Bayer, Director/Chief Information Officer, Securities and Exchange Commission, c/o Remi PavlikSimon, 6432 General Green Way, Alexandria, VA 22312 or send an email to: PRA_Mailbox@sec.gov. Dated: March 5, 2013. Kevin M. O’Neill, Deputy Secretary. [FR Doc. 2013–05569 Filed 3–11–13; 8:45 am] BILLING CODE 8011–01–P VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 SECURITIES AND EXCHANGE COMMISSION Proposed Collection; Comment Request Upon Written Request, Copies Available From: Securities and Exchange Commission, Office of Investor Education and Advocacy, Washington, DC 20549–0213. Extension: Rule 19d–3; SEC File No. 270–245; OMB Control No. 3235–0204. Notice is hereby given that pursuant to the Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et seq.) (‘‘PRA’’), the Securities and Exchange Commission (‘‘Commission’’) is soliciting comments on the existing collection of information provided for in Rule 19d–3 (17 CFR 240.19d–3) under the Securities Exchange Act of 1934 (17 U.S.C. 78a et seq.) (‘‘Exchange Act’’). The Commission plans to submit this existing collection of information to the Office of Management and Budget (‘‘OMB’’) for extension and approval. Rule 19d–3 prescribes the form and content of applications to the Commission by persons seeking Commission review of final disciplinary actions against them taken by selfregulatory organizations (‘‘SROs’’) for which the Commission is the appropriate regulatory agency. The Commission uses the information provided in the application filed pursuant to Rule 19d–3 to review final actions taken by SROs including: (1) Final disciplinary sanctions; (2) denial or conditioning of membership, participation or association; and (3) prohibitions or limitations of access to services offered by a SRO or member thereof. It is estimated that approximately six respondents will utilize this application procedure annually, with a total burden of approximately 108 hours, for all respondents to complete all submissions. This figure is based upon past submissions. It is estimated that each respondent will submit approximately one response. The staff estimates that the average number of hours necessary to comply with the requirements of Rule 19d–3 will be approximately eighteen hours. The average cost per hour, to complete each submission, is approximately $101. Therefore, it is estimated the internal labor cost of compliance for all respondents is approximately $10,908 (6 submissions x 18 hours per response x $101 per hour). Written comments are invited on: (a) Whether the proposed collection of information is necessary for the proper PO 00000 Frm 00078 Fmt 4703 Sfmt 4703 15757 performance of the functions of the Commission, including whether the information shall have practical utility; (b) the accuracy of the Commission’s estimates of the burden of the proposed collection of information; (c) ways to enhance the quality, utility and clarity of the information collected; and (d) ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication. The Commission may not conduct or sponsor a collection of information unless it displays a currently valid OMB control number. No person shall be subject to any penalty for failing to comply with a collection of information subject to the PRA that does not display a valid OMB control number. Please direct your written comments to: Thomas Bayer, Director/Chief Information Officer, Securities and Exchange Commission, c/o Remi PavlikSimon, 6432 General Green Way, Alexandria, VA 22312 or send an email to: PRA_Mailbox@sec.gov. Dated: March 5, 2013. Kevin M. O’Neill, Deputy Secretary. [FR Doc. 2013–05573 Filed 3–11–13; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–69062; File No. 4–631] Joint Industry Plan; Notice of Filing of the Third Amendment to the National Market System Plan to Address Extraordinary Market Volatility by BATS Exchange, Inc., BATS YExchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, The Nasdaq Stock Market LLC, National Stock Exchange, Inc., New York Stock Exchange LLC, NYSE MKT LLC, and NYSE Arca, Inc. March 7, 2013. Pursuant to Section 11A of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 608 thereunder 2, 1 15 2 17 E:\FR\FM\12MRN1.SGM U.S.C. 78k–1. CFR 242.608. 12MRN1 15758 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices notice is hereby given that, on February 21, 2013, NYSE Euronext, on behalf of New York Stock Exchange LLC (‘‘NYSE’’), NYSE MKT LLC (‘‘NYSE MKT’’), and NYSE Arca, Inc. (‘‘NYSE Arca’’), and the following parties to the National Market System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock Exchange, Inc. (collectively with NYSE, NYSE MKT, and NYSE Arca, the ‘‘Participants’’), filed with the Securities and Exchange Commission (the ‘‘Commission’’) a proposal to amend the Plan to Address Extraordinary Market Volatility (‘‘Plan’’).3 The proposal represents the third amendment to the Plan (‘‘Third Amendment’’), and reflects changes unanimously approved by the Participants. The Third Amendment to the Plan proposes to amend the Plan to provide that odd-lot sized transactions will not be exempt from the Plan and proposes to make a clarifying technical change. A copy of the Plan, as proposed to be amended, is attached as Exhibit A hereto. The Commission is publishing this notice to solicit comments from interested persons on the Third Amendment to the Plan. mstockstill on DSK4VPTVN1PROD with NOTICES I. Rule 608(a) of Regulation NMS A. Purpose of the Plan The Participants filed the Plan in order to create a market-wide limit uplimit down mechanism that is intended to address extraordinary market volatility in ‘‘NMS Stocks,’’ as defined in Rule 600(b)(47) of Regulation NMS under the Act.4 The Plan sets forth procedures that provide for market-wide limit up-limit down requirements that would be designed to prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands.5 These limit up-limit down requirements would be coupled with Trading Pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in Section V of the Plan, the price bands would consist of a Lower Price Band and an Upper Price 3 See Letter from Janet M. McGinness, Executive Vice President & Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated February 19, 2013 (‘‘Transmittal Letter’’). 4 17 CFR 242.600(b)(47). See also Section I(H) of the Plan. 5 See Section V of the Plan. VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 Band for each NMS Stock.6 The price bands would be calculated by the Securities Information Processors (‘‘SIPs’’ or ‘‘Processors’’) responsible for consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Act.7 Those price bands would be based on a Reference Price 8 for each NMS Stock that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period. The price bands for an NMS Stock would be calculated by applying the Percentage Parameter for such NMS Stock to the Reference Price, with the Lower Price Band being a Percentage Parameter 9 below the Reference Price, and the Upper Price Band being a Percentage Parameter above the Reference Price. Between 9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price bands would be calculated by applying double the Percentage Parameters. The Processors would also calculate a Pro-Forma Reference Price for each NMS Stock on a continuous basis during Regular Trading Hours. If a ProForma Reference Price did not move by one percent or more from the Reference Price in effect, no new price bands would be disseminated, and the current Reference Price would remain the effective Reference Price. If the ProForma Reference Price moved by one percent or more from the Reference Price in effect, the Pro-Forma Reference Price would become the Reference Price, and the Processors would disseminate new price bands based on the new Reference Price. Each new 6 Capitalized terms used herein but not otherwise defined shall have the meaning ascribed to such terms in the Plan. See Exhibit A, infra. 7 17 CFR 242.603(b). The Plan refers to this entity as the Processor. 8 See Section I(T) of the Plan. 9 As initially proposed by the Participants, the Percentage Parameters for Tier 1 NMS Stocks (i.e., stocks in the S&P 500 Index or Russell 1000 Index and certain ETPs) with a Reference Price of $1.00 or more would be five percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for Tier 2 NMS Stocks (i.e., all NMS Stocks other than those in Tier 1) with a Reference Price of $1.00 or more would be 10 percent and less than $1.00 would be the lesser of (a) $0.15 or (b) 75 percent. The Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP would be the applicable Percentage Parameter set forth above multiplied by the leverage ratio of such product. On May 24, 2012, the Participants amended the Plan to create a 20% price band for Tier 1 and Tier 2 stocks with a Reference Price of $0.75 or more and up to and including $3.00. The Percentage Parameter for stocks with a Reference Price below $0.75 would be the lesser of (a) $0.15 or (b) 75 percent. See Letter from Janet M. McGinness, Senior Vice President, Legal and Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated May 24, 2012 (‘‘First Amendment’’). PO 00000 Frm 00079 Fmt 4703 Sfmt 4703 Reference Price would remain in effect for at least 30 seconds. When one side of the market for an individual security is outside the applicable price band, the Processors would be required to disseminate such National Best Bid10 or National Best Offer 11 with an appropriate flag identifying it as non-executable. When the other side of the market reaches the applicable price band, the market for an individual security would enter a Limit State,12 and the Processors would be required to disseminate such National Best Offer or National Best Bid with an appropriate flag identifying it as a Limit State Quotation.13 All trading would immediately enter a Limit State if the National Best Offer equals the Lower Limit Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Limit Band and does not cross the National Best Offer. Trading for an NMS Stock would exit a Limit State if, within 15 seconds of entering the Limit State, all Limit State Quotations were executed or canceled in their entirety. If the market did not exit a Limit State within 15 seconds, then the Primary Listing Exchange would declare a five-minute trading pause, which would be applicable to all markets trading the security. These limit up-limit down requirements would be coupled with trading pauses 14 to accommodate more fundamental price moves (as opposed to erroneous trades or momentary gaps in liquidity). As set forth in more detail in the Plan, all trading centers 15 in NMS Stocks, including both those operated by Participants and those operated by members of Participants, would be required to establish, maintain, and enforce written policies and procedures that are reasonably designed to comply with the limit up-limit down and trading pause requirements specified in the Plan. Under the Plan, all trading centers would be required to establish, 10 17 CFR 242.600(b)(42). See also Section I(G) of the Plan. 11 Id. 12 A stock enters the Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer. See Section VI(B) of the Plan. 13 See Section I(D) of the Plan. 14 The primary listing market would declare a trading pause in an NMS Stock; upon notification by the primary listing market, the Processor would disseminate this information to the public. No trades in that NMS Stock could occur during the trading pause, but all bids and offers may be displayed. See Section VII(A) of the Plan. 15 As defined in Section I(X) of the Plan, a trading center shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Act. E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices maintain, and enforce written policies and procedures reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processors would disseminate an offer below the Lower Price Band or bid above the Upper Price Band that nevertheless inadvertently may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as nonexecutable; such bid or offer would not be included in National Best Bid or National Best Offer calculations. In addition, all trading centers would be required to develop, maintain, and enforce policies and procedures reasonably designed to prevent trades at prices outside the price bands, with the exception of single-priced opening, reopening, and closing transactions on the Primary Listing Exchange. As stated by the Participants in the Plan, the limit up-limit down mechanism is intended to reduce the negative impacts of sudden, unanticipated price movements in NMS Stocks,16 thereby protecting investors and promoting a fair and orderly market.17 In particular, the Plan is designed to address the type of sudden price movements that the market experienced on the afternoon of May 6, 2010.18 The following summarizes the Third Amendment to the Plan and the rationale behind those changes: • Amending Section VI.A.1 of the Plan to clarify that odd-lot sized transactions are not exempt from the Plan. The Participants believe that oddlot sized transactions should benefit from the protections of the Plan. • Amending Section VIII.A.3 of the Plan to clarify that no Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours. The proposed change is designed to reduce confusion by correcting language in the Plan. mstockstill on DSK4VPTVN1PROD with NOTICES B. Governing or Constituent Documents The governing documents of the Processor, as defined in Section I(P) of the Plan, will not be affected by the Plan, but once the Plan is implemented, the Processor’s obligations will change, 16 17 CFR 242.600(b)(47). Transmittal Letter, supra note 3. 18 The limit up-limit down mechanism set forth in the Plan would replace the existing single-stock circuit breaker pilot. See e.g., Securities Exchange Act Release Nos. 62251 (June 10, 2010), 75 FR 34183 (June 16, 2010) (SR–FINRA–2010–025); 62883 (September 10, 2010), 75 FR 56608 (September 16, 2010) (SR–FINRA–2010–033). 17 See VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 as set forth in detail in the Plan. In particular, as set forth in Section V of the Plan, the Processor will be responsible for calculating and disseminating Price Bands during Regular Trading Hours, as defined in Section I(R) of the 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 Plan, to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in the Plan. C. Implementation of Plan The initial date of the Plan operations will be April 8, 2013. D. Development and Implementation Phases The Plan will be implemented as a one-year pilot program in two Phases, consistent with Section VIII of the Plan: Phase I of Plan implementation will begin on the initial date of Plan operations, in select symbols, with full Phase I of the Plan implementation completed three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice; Phase II of Plan will commence six months after the initial date of the Plan or such earlier date as may be announced by the Processor with at least 30 days notice. The Participants proposed that Phase II of the Plan will begin on the first Monday after the six months after the initial date of the Plan, or if an earlier date is determined, Phase II will begin on a Monday. At the beginning of Phase I, the Plan shall apply to select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan. During full Phase I implementation, the Plan shall apply to all Tier 1 NMS Stocks, as defined in Appendix A of the Plan, and the first price bands shall be calculated and disseminated as specified in Section V(A) of the Plan. In Phase II, the Plan shall fully apply to all NMS Stocks. Phase I and Phase II of the Plan may each be rolled out to applicable NMS Stocks over a period not to exceed two weeks. Any such roll-out period will be made available in advance of the implementation dates for Phases I and II of the Plan via the Participants’ Web sites and trader updates, as applicable. E. Analysis of Impact on Competition The Participants do not believe that the 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 Plan PO 00000 Frm 00080 Fmt 4703 Sfmt 4703 15759 introduces terms that are unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of the Act.19 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 Plan. Section II(C) of the Plan sets forth how any entity registered as a national securities exchange or national securities association may become a Participant. G. Approval of Amendment of the Plan Each of the Plan’s Participants has executed a written amended Plan. H. Terms and Conditions of Access Section II(C) of the Plan provides that any entity registered as a national securities exchange or national securities association under the Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans, as defined in Section I(F) of the Plan; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan. I. Method of Determination and Imposition, and Amount of, Fees and Charges Not applicable. J. Method and Frequency of Processor Evaluation Not applicable. K. Dispute Resolution The Plan does not include specific provisions regarding resolution of disputes between or among Participants. Section III(C) of the Plan provides for each Participant to designate an individual to represent the Participant as a member of an Operating Committee.20 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 shall 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 19 15 U.S.C. 78k–1(c)(1)(D). Section I(J) of the Plan. 20 See E:\FR\FM\12MRN1.SGM 12MRN1 15760 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608 of Regulation NMS under the Act.21 II. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Third Amendment to the Plan is consistent with the Act. Comments may be submitted by any of the following methods: mstockstill on DSK4VPTVN1PROD with NOTICES VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 Exhibit A Proposed new language is italicized; proposed deletions are in [brackets]. Table of Contents Paper Comments • Send paper comments in triplicate to Elizabeth M. Murphy, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549–1090. All submissions should refer to File Number 4–631. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s Internet Web site (https://www.sec.gov/rules/ sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Third Amendment to the Plan that are filed with the Commission, and all written communications relating to the Third Amendment to the Plan between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for Web site viewing and printing in the Commission’s Public Reference Room, 100 F Street NE., Washington, DC 20549 on official business days between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be available for inspection and copying at the Participants’ principal offices. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File CFR 242.608. By the Commission. Kevin M. O’Neill, Deputy Secretary. 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 Electronic Comments • Use the Commission’s Internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rulecomments@sec.gov. Please include File Number 4–631 on the subject line. 21 17 Number 4–631 and should be submitted on or before April 2, 2013. Section Preamble .................................. I. Definitions ............................ II. Parties .................................. III. Amendments to Plan ......... IV. Trading Center Policies and Procedures ..................... V. Price Bands ......................... VI. Limit Up-Limit Down Requirements ............................ VII. Trading Pauses ................. VIII. Implementation ............... IX. Withdrawal from Plan ....... X. Counterparts and Signatures ...................................... Appendix A—Percentage Parameters ................................ Appendix A—Schedule 1 ....... Appendix B—Data ................... .................... .................... .................... .................... .................... .................... .................... .................... .................... .................... .................... .................... .................... .................... Preamble The Participants submit to the SEC this Plan establishing procedures to address extraordinary volatility in NMS Stocks. The procedures provide for market-wide limit up-limit down requirements that prevent trades in individual NMS Stocks from occurring outside of the specified Price Bands. These limit up-limit down requirements are coupled with Trading Pauses to accommodate more fundamental price moves. The Plan procedures are designed, among other things, to protect investors and promote fair and orderly markets. The Participants developed this Plan pursuant to Rule 608(a)(3) of Regulation NMS under the Exchange Act, which authorizes the Participants to act jointly in preparing, filing, and implementing national market system plans. I. Definitions (A) ‘‘Eligible Reported Transactions’’ shall have the meaning prescribed by the Operating Committee and shall generally mean transactions that are eligible to update the last sale price of an NMS Stock. (B) ‘‘Exchange Act’’ means the Securities Exchange Act of 1934, as amended. PO 00000 Frm 00081 Fmt 4703 Sfmt 4703 (C) ‘‘Limit State’’ shall have the meaning provided in Section VI of the Plan. (D) ‘‘Limit State Quotation’’ shall have the meaning provided in Section VI of the Plan. (E) ‘‘Lower Price Band’’ shall have the meaning provided in Section V of the Plan. (F) ‘‘Market Data Plans’’ shall mean the effective national market system plans through which the Participants act jointly to disseminate consolidated information in compliance with Rule 603(b) of Regulation NMS under the Exchange Act. (G) ‘‘National Best Bid’’ and ‘‘National Best Offer’’ shall have the meaning provided in Rule 600(b)(42) of Regulation NMS under the Exchange Act. (H) ‘‘NMS Stock’’ shall have the meaning provided in Rule 600(b)(47) of Regulation NMS under the Exchange Act. (I) ‘‘Opening Price’’ shall mean the price of a transaction that opens trading on the Primary Listing Exchange, or, if the Primary Listing Exchange opens with quotations, the midpoint of those quotations. (J) ‘‘Operating Committee’’ shall have the meaning provided in Section III(C) of the Plan. (K) ‘‘Participant’’ means a party to the Plan. (L) ‘‘Plan’’ means the plan set forth in this instrument, as amended from time to time in accordance with its provisions. (M) ‘‘Percentage Parameter’’ shall mean the percentages for each tier of NMS Stocks set forth in Appendix A of the Plan. (N) ‘‘Price Bands’’ shall have the meaning provided in Section V of the Plan. (O) ‘‘Primary Listing Exchange’’ shall mean the Participant on which an NMS Stock is listed. If an NMS Stock is listed on more than one Participant, the Participant on which the NMS Stock has been listed the longest shall be the Primary Listing Exchange. (P) ‘‘Processor’’ shall mean the single plan processor responsible for the consolidation of information for an NMS Stock pursuant to Rule 603(b) of Regulation NMS under the Exchange Act. (Q) ‘‘Pro-Forma Reference Price’’ shall have the meaning provided in Section V(A)(2) of the Plan. (R) ‘‘Regular Trading Hours’’ shall have the meaning provided in Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes of the Plan, Regular Trading Hours can end earlier E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices than 4:00 p.m. ET in the case of an early scheduled close. (S) ‘‘Regulatory Halt’’ shall have the meaning specified in the Market Data Plans. (T) ‘‘Reference Price’’ shall have the meaning provided in Section V of the Plan. (U) ‘‘Reopening Price’’ shall mean the price of a transaction that reopens trading on the Primary Listing Exchange following a Trading Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens with quotations, the midpoint of those quotations. (V) ‘‘SEC’’ shall mean the United States Securities and Exchange Commission. (W) ‘‘Straddle State’’ shall have the meaning provided in Section VII(A)(2) of the Plan. (X) ‘‘Trading center’’ shall have the meaning provided in Rule 600(b)(78) of Regulation NMS under the Exchange Act. (Y) ‘‘Trading Pause’’ shall have the meaning provided in Section VII of the Plan. (Z) ‘‘Upper Price Band’’ shall have the meaning provided in Section V of the Plan. II. Parties mstockstill on DSK4VPTVN1PROD with NOTICES (A) List of Parties The parties to the Plan are as follows: (1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214 (2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214 (3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle Street, Chicago, Illinois 60605 (4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605 (5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey City, NJ 07310 (6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey City, NJ 07310 (7) Financial Industry Regulatory Authority, Inc., 1735 K Street NW., Washington, DC 20006 (8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006 (9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103 (10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006 (11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey City, NJ 07302 VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 (12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005 (13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005 (14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 60606 (B) Compliance Undertaking By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan. (C) New Participants The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III(B) of the Plan. (D) Advisory Committee (1) Formation. Notwithstanding other provisions of this Plan, an Advisory Committee to the Plan shall be formed and shall function in accordance with the provisions set forth in this section. (2) Composition. Members of the Advisory Committee shall be selected for two-year terms as follows: (A) Advisory Committee Selections. By affirmative vote of a majority of the Participants, the Participants shall select at least one representatives from each of the following categories to be members of the Advisory Committee: (1) A broker-dealer with a substantial retail investor customer base; (2) a brokerdealer with a substantial institutional investor customer base; (3) an alternative trading system; (4) a brokerdealer that primarily engages in trading for its own account; and (5) an investor. (3) Function. Members of the Advisory Committee shall have the right to submit their views to the Operating Committee on Plan matters, prior to a decision by the Operating Committee on such matters. Such matters shall PO 00000 Frm 00082 Fmt 4703 Sfmt 4703 15761 include, but not be limited to, proposed material amendments to the Plan. (4) Meetings and Information. Members of the Advisory Committee shall have the right to attend meetings of the Operating Committee and to receive any information concerning Plan matters; provided, however, that the Operating Committee may meet in executive session if, by affirmative vote of a majority of the Participants, the Operating Committee determines that an item of Plan business requires confidential treatment. III. Amendments to Plan (A) General Amendments Except with respect to the addition of new Participants to the Plan, any proposed change in, addition to, or deletion from the Plan shall be effected by means of a written amendment to the Plan that: (1) Sets forth the change, addition, or deletion; (2) is executed on behalf of each Participant; and, (3) is approved by the SEC pursuant to Rule 608 of Regulation NMS under the Exchange Act, or otherwise becomes effective under Rule 608 of Regulation NMS under the Exchange Act. (B) New Participants With respect to new Participants, an amendment to the Plan may be effected by the new national securities exchange or national securities association executing a copy of the Plan, as then in effect (with the only changes being the addition of the new Participant’s name in Section II(A) of the Plan) and submitting such executed Plan to the SEC for approval. The amendment shall be effective when it is approved by the SEC in accordance with Rule 608 of Regulation NMS under the Exchange Act or otherwise becomes effective pursuant to Rule 608 of Regulation NMS under the Exchange Act. (C) Operating Committee (1) Each Participant shall select from its staff one individual to represent the Participant as a member of an Operating Committee, together with a substitute for such individual. The substitute may participate in deliberations of the Operating Committee and shall be considered a voting member thereof only in the absence of the primary representative. Each Participant shall have one vote on all matters considered by the Operating Committee. No later than the initial date of Plan operations, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee. (2) The Operating Committee shall monitor the procedures established E:\FR\FM\12MRN1.SGM 12MRN1 15762 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices 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 uplimit 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 mstockstill on DSK4VPTVN1PROD with NOTICES (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 VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 be calculated during Regular Trading Hours. Between 9:30 a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case of an early scheduled close, during the last 25 minutes of trading before the early scheduled close, the Price Bands shall be calculated by applying double the Percentage Parameters set forth in Appendix A. If a Reopening Price does not occur within ten minutes after the beginning of a Trading Pause, the Price Band, for the first 30 seconds following the reopening after that Trading Pause, shall be calculated by applying triple the Percentage Parameters set forth in Appendix A. (2) The Processor shall calculate a Pro-Forma Reference Price on a continuous basis during Regular Trading Hours, as specified in Section V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% or more from the Reference Price currently in effect, no new Price Bands shall be disseminated, and the current Reference Price shall remain the effective Reference Price. When the Pro-Forma Reference Price has moved by 1% or more from the Reference Price currently in effect, the Pro-Forma Reference Price shall become the Reference Price, and the Processor shall disseminate new Price Bands based on the new Reference Price; provided, however, that each new Reference Price shall remain in effect for at least 30 seconds. (B) Openings (1) Except when a Regulatory Halt is in effect at the start of Regular Trading Hours, the first Reference Price for a trading day shall be the Opening Price on the Primary Listing Exchange in an NMS Stock if such Opening Price occurs less than five minutes after the start of Regular Trading Hours. During the period less than five minutes after the Opening Price, a Pro-Forma Reference Price shall be updated on a continuous basis to be the arithmetic mean price of Eligible Reported Transactions for the NMS Stock during the period following the Opening Price (including the Opening Price), and if it differs from the current Reference Price by 1% or more shall become the new Reference Price, except that a new Reference Price shall remain in effect for at least 30 seconds. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan. (2) If the Opening Price on the Primary Listing Exchange in an NMS Stock does not occur within five minutes after the start of Regular Trading Hours, the first Reference Price for a trading day shall be the arithmetic mean price of Eligible Reported PO 00000 Frm 00083 Fmt 4703 Sfmt 4703 Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan. (C) Reopenings (1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange if such Reopening Price occurs within ten minutes after the beginning of the Trading Pause, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Reopening Price does not occur within ten minutes after the beginning of the Trading Pause, the first Reference Price following the Trading Pause shall be equal to the last effective Reference Price before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan. (2) Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the Primary Listing Exchange if such Opening or Reopening Price occurs within five minutes after the end of the Regulatory Halt, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Opening or Reopening Price has not occurred within five minutes after the end of the Regulatory Halt, the Reference Price shall be equal to the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan. VI. Limit Up-Limit Down Requirements (A) Limitations on Trades and Quotations Outside of Price Bands (1) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent trades at prices that are below the Lower Price Band or above the Upper Price Band for an NMS Stock. Single-priced opening, reopening, and closing transactions on the Primary Listing Exchange, however, shall be excluded from this limitation. In addition, any transaction that both (i) does not update the last sale price (except if solely because the transaction was reported late or because the E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices mstockstill on DSK4VPTVN1PROD with NOTICES transaction was an odd-lot sized transaction), and (ii) is excepted or exempt from Rule 611 under Regulation NMS shall be excluded from this limitation. (2) When a National Best Bid is below the Lower Price Band or a National Best Offer is above the Upper Price Band for an NMS Stock, the Processor shall disseminate such National Best Bid or National Best Offer with an appropriate flag identifying it as non-executable. When a National Best Offer is equal to the Lower Price Band or a National Best Bid is equal to the Upper Price Band for an NMS Stock, the Processor shall distribute such National Best Bid or National Best Offer with an appropriate flag identifying it as a ‘‘Limit State Quotation’’. (3) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processor shall disseminate an offer below the Lower Price Band or bid above the Upper Price Band that may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; provided, however, that any such bid or offer shall not be included in National Best Bid or National Best Offer calculations. (B) Entering and Exiting a Limit State (1) All trading for an NMS Stock shall immediately enter a Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer. (2) When trading for an NMS Stock enters a Limit State, the Processor shall disseminate this information by identifying the relevant quotation (i.e., a National Best Offer that equals the Lower Price Band or a National Best Bid that equals the Upper Price Band) as a Limit State Quotation. At this point, the Processor shall cease calculating and disseminating updated Reference Prices and Price Bands for the NMS Stock until either trading exits the Limit State or trading resumes with an opening or 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, VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 15763 the Processor shall immediately calculate and disseminate updated Price Bands based on a Reference Price that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period (including the period of the Limit State). (5) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry, the Limit State will terminate when the Primary Listing Exchange declares a Trading Pause pursuant to Section VII of the Plan or at the end of Regular Trading Hours. 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. VII. Trading Pauses (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. (A) Declaration of Trading Pauses (1) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry during Regular Trading Hours, then the Primary Listing Exchange shall declare a Trading Pause for such NMS Stock and shall notify the Processor. (2) The Primary Listing Exchange may also declare a Trading Pause for an NMS Stock when an NMS Stock is in a Straddle State, which is when National Best Bid (Offer) is below (above) the Lower (Upper) Price Band and the NMS Stock is not in a Limit State, and trading in that NMS Stock deviates from normal trading characteristics such that declaring a Trading Pause would support the Plan’s goal to address extraordinary market volatility. The Primary Listing Exchange shall develop policies and procedures for determining when it would declare a Trading Pause in such circumstances. If a Trading Pause is declared for an NMS Stock under this provision, the Primary Listing Exchange shall notify the Processor. (3) The Processor shall disseminate Trading Pause information to the public. No trades in an NMS Stock shall occur during a Trading Pause, but all bids and offers may be displayed. (B) Reopening of Trading During Regular Trading Hours (1) Five minutes after declaring a Trading Pause for an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, the Primary Listing Exchange shall attempt to reopen trading using its established reopening procedures. The Trading Pause shall end when the Primary Listing Exchange reports a Reopening Price. (2) The Primary Listing Exchange shall notify the Processor if it is unable to reopen trading in an NMS Stock for any reason other than a significant order imbalance and if it has not declared a Regulatory Halt. The Processor shall PO 00000 Frm 00084 Fmt 4703 Sfmt 4703 VIII. Implementation The initial date of Plan operations shall be April 8, 2013. (A) Phase I (1) On the initial date of Plan operations, Phase I of Plan implementation shall begin in select symbols from the Tier 1 NMS Stocks identified in Appendix A of the Plan. (2) Three months after the initial date of Plan operations, or such earlier date as may be announced by the Processor with at least 30 days notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified in Appendix A of the Plan. (3) During Phase I, the first Price Bands for a trading day shall be calculated and disseminated 15 minutes after the start of Regular Trading Hours as specified in Section (V)(A) of the Plan. No Price Bands shall be calculated and disseminated and therefore trading shall not enter a Limit State less than 30 minutes before the end of Regular Trading Hours[, and trading shall not enter a Limit State less than 25 minutes before the end of Regular Trading Hours]. (B) Phase II—Full Implementation Six months after the initial date of Plan operations, or such earlier date as E:\FR\FM\12MRN1.SGM 12MRN1 15764 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices may be announced by the Processor with at least 30 days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier in the case of an early scheduled close. (C) Pilot The Plan shall be implemented on a one-year pilot basis. IX. Withdrawal From Plan If a Participant obtains SEC approval to withdraw from the Plan, such Participant may withdraw from the Plan at any time on not less than 30 days’ prior written notice to each of the other Participants. At such time, the withdrawing Participant shall have no further rights or obligations under the Plan. X. Counterparts and Signatures The Plan may be executed in any number of counterparts, no one of which need contain all signatures of all Participants, and as many of such counterparts as shall together contain all such signatures shall constitute one and the same instrument. IN WITNESS THEREOF, this Plan has been executed as of the __ day of ____ 2013 by each of the parties hereto. BATS EXCHANGE, INC. BY: llllllllllllllll CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED BY: llllllllllllllll EDGA EXCHANGE, INC. BY: llllllllllllllll FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC. BY: llllllllllllllll NASDAQ OMX PHLX LLC BY: llllllllllllllll NATIONAL STOCK EXCHANGE, INC. BY: llllllllllllllll NYSE MKT LLC BY: llllllllllllllll BATS Y-EXCHANGE, INC. BY: llllllllllllllll CHICAGO STOCK EXCHANGE, INC. BY: llllllllllllllll EDGX EXCHANGE, INC. BY: llllllllllllllll NASDAQ OMX BX, INC. BY: llllllllllllllll THE NASDAQ STOCK MARKET LLC BY: llllllllllllllll NEW YORK STOCK EXCHANGE LLC BY: 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 (‘‘ETP’’) listed on Schedule 1 to this Appendix. Schedule 1 to the Appendix will be reviewed and updated semi-annually based on the fiscal year by the Primary Listing Exchange to add ETPs that meet the criteria, or delete ETPs that are no longer eligible. To determine eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs across multiple asset classes and issuers, including domestic equity, international equity, fixed income, currency, and commodities and futures will be identified. Leveraged ETPs will be excluded and the list will be sorted by notional consolidated average daily volume (‘‘CADV’’). The period used to measure CADV will be from the first day of the previous fiscal half year up until one week before the beginning of the next fiscal half year. Daily volumes will be multiplied by closing prices and then averaged over the period. ETPs, including inverse ETPs, that trade over $2,000,000 CADV will be eligible to be included as a Tier 1 NMS Stock. To ensure that ETPs that track similar benchmarks but that do not meet this volume criterion do not become subject to pricing volatility when a component security is the subject of a trading pause, non-leveraged ETPs that have traded below this volume criterion, but that track the same benchmark as an ETP that does meet the volume criterion, will be deemed eligible to be included as a Tier 1 NMS Stock. The semiannual updates to Schedule 1 do not require an amendment to the Plan. The Primary Listing Exchanges will maintain the updated Schedule 1 on their respective Web sites. (2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than $3.00 shall be 5%. (3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%. (4) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%. (5) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor. II. Tier 2 NMS Stocks (1) Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1, provided, however, that all rights and warrants are excluded from the Plan. (2) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price more than $3.00 shall be 10%. (3) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%. (4) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%. (5) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or (4) above, multiplied by the leverage ratio of such product. (6) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor. APPENDIX A—SCHEDULE 1 mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name AAVX ......................... AAXJ .......................... ACWI ......................... ACWX ........................ AGG ........................... AGZ ........................... ALD ............................ AMJ ........................... AMLP ......................... BAB ........................... BDG ........................... BIK ............................. BIL ............................. BIV ............................. BKF ............................ VerDate Mar<15>2010 ETRACS Daily Short 1-Month S&P 500 VIX Futures ETN. iShares MSCI All Country Asia ex Japan Index Fund. iShares MSCI ACWI Index Fund. iShares MSCI ACWI ex US Index Fund. iShares Barclays Aggregate Bond Fund. iShares Barclays Agency Bond Fund. WisdomTree Asia Local Debt Fund. JPMorgan Alerian MLP Index ETN. Alerian MLP ETF. PowerShares Build America Bond Portfolio. 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. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00085 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name BKLN ......................... BLV ............................ BND ........................... BNO ........................... BOND ........................ BOS ........................... BRF ........................... BSV ........................... BWX .......................... BXDB ......................... CEW .......................... CFT ............................ CIU ............................ CLY ............................ CORN ........................ CSJ ............................ CVY ........................... CWB .......................... CWI ............................ CYB ........................... DBA ........................... DBB ........................... DBC ........................... DBE ........................... DBO ........................... DBP ........................... DBV ........................... DEM ........................... DGL ........................... DGS ........................... DGZ ........................... DHS ........................... DIA ............................. DJCI ........................... DJP ............................ DLN ........................... DOG .......................... DON ........................... DOO .......................... DTN ........................... DVY ........................... DWM .......................... DWX .......................... DXJ ............................ ECH ........................... ECON ........................ EDIV .......................... EDV ........................... EEB ........................... EEM ........................... EFA ............................ EFG ........................... EFV ............................ EFZ ............................ EIDO .......................... ELD ............................ ELR ............................ EMB ........................... EMLC ......................... EMM .......................... EPHE ......................... EPI ............................. EPP ........................... EPU ........................... ERUS ......................... EUM ........................... EWA .......................... EWC .......................... EWD .......................... EWG .......................... EWH .......................... EWI ............................ VerDate Mar<15>2010 PowerShares Senior Loan Portfolio. Vanguard Long-Term Bond ETF. Vanguard Total Bond Market ETF. United States Brent Oil Fund LP. Pimco Total Return 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. Barclays ETN+short B Leveraged ETN Linked to S&P 500. WisdomTree Dreyfus Emerging Currency Fund. iShares Barclays Credit Bond Fund. iShares Barclays Intermediate Credit Bond Fund. iShares 10+ Year Credit Bond Fund. Teucrium Corn Fund. iShares Barclays 1–3 Year Credit Bond Fund. Guggenheim Multi-Asset Income ETF. SPDR Barclays Capital Convertible Securities ETF. SPDR MSCI ACWI ex-US ETF. WisdomTree Dreyfus Chinese Yuan Fund. PowerShares DB Agriculture Fund. PowerShares DB Base Metals Fund. PowerShares DB Commodity Index Tracking Fund. PowerShares DB Energy Fund. PowerShares DB Oil Fund. PowerShares DB Precious Metals Fund. PowerShares DB G10 Currency Harvest Fund. WisdomTree Emerging Markets Equity Income Fund. PowerShares DB Gold Fund. WisdomTree Emerging Markets SmallCap Dividend Fund. PowerShares DB Gold Short ETN. WisdomTree Equity Income Fund. SPDR Dow Jones Industrial Average ETF Trust. E–TRACS UBS AG Dow Jones-UBS Commodity Index Total Return ETN. iPath Dow Jones-UBS Commodity Index Total Return ETN. WisdomTree LargeCap Dividend Fund. ProShares Short Dow30. WisdomTree MidCap Dividend Fund. WisdomTree International Dividend Ex-Financials Fund. WisdomTree Dividend Ex-Financials Fund. iShares Dow Jones Select Dividend Index Fund. WisdomTree DEFA Fund. SPDR S&P International Dividend ETF. WisdomTree Japan Hedged Equity Fund. iShares MSCI Chile Investable Market Index Fund. EGShares Emerging Markets Consumer ETF. SPDR S&P Emerging Markets Dividend ETF. Vanguard Extended Duration Treasury ETF. Guggenheim BRIC ETF. iShares MSCI Emerging Markets Index Fund. iShares MSCI EAFE Index Fund. iShares MSCI EAFE Growth Index. iShares MSCI EAFE Value Index. ProShares Short MSCI EAFE. iSHARES MSCI Indonesia Investable Market Index Fund. WisdomTree Emerging Markets Local Debt Fund. SPDR Dow Jones Large Cap ETF. iShares JPMorgan USD Emerging Markets Bond Fund. Market Vectors Emerging Markets Local Currency Bond ETF. SPDR Dow Jones Mid Cap ETF. iShares MSCI Philippines Investable Market Index Fund. WisdomTree India Earnings Fund. iShares MSCI Pacific ex-Japan Index Fund. iShares MSCI All Peru Capped Index Fund. iShares MSCI Russia 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. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00086 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 15765 15766 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name EWJ ........................... EWL ........................... EWM .......................... EWP .......................... EWQ .......................... EWS .......................... EWT ........................... EWU .......................... EWW ......................... EWX .......................... EWY .......................... EWZ ........................... EZA ............................ EZU ........................... FBT ............................ FCG ........................... FDL ............................ FDN ........................... FEX ............................ FEZ ............................ FGD ........................... FLAT .......................... FNX ........................... FRI ............................. FVD ........................... FXA ............................ FXB ............................ FXC ........................... FXD ........................... FXE ............................ FXF ............................ FXG ........................... FXH ........................... FXI ............................. FXL ............................ FXU ........................... FXY ............................ FXZ ............................ GAZ ........................... GCC ........................... GDX ........................... GDXJ ......................... GIY ............................ GLD ........................... GMF ........................... GNR ........................... GOVT ........................ GSG ........................... GSP ........................... GSY ........................... GVI ............................ GWX .......................... GXC ........................... GXG ........................... HAO ........................... HDGE ........................ HDV ........................... HYD ........................... HYG ........................... HYS ........................... IAU ............................. IBB ............................. ICF ............................. ICI .............................. IDU ............................ IDV ............................. IDX ............................. IEF ............................. IEI .............................. IEO ............................ IEV ............................. IEZ ............................. VerDate Mar<15>2010 iShares MSCI Japan Index Fund. iShares MSCI Switzerland Index Fund. iShares MSCI Malaysia 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. SPDR S&P Emerging Markets SmallCap 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 Morningstar Dividend Leaders Index. First Trust Dow Jones Internet Index Fund. First Trust Large Cap Core AlphaDEX Fund. SPDR EURO STOXX 50 ETF. First Trust DJ Global Select Dividend Index Fund. iPath US Treasury Flattener ETN. First Trust Mid Cap Core AlphaDEX Fund. First Trust S&P REIT Index Fund. First Trust Value Line Dividend 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. First Trust Consumer Staples AlphaDEX Fund. First Trust Health Care AlphaDEX Fund. iShares FTSE China 25 Index Fund. First Trust Technology AlphaDEX Fund. First Trust Utilities AlphaDEX Fund. CurrencyShares Japanese Yen Trust. First Trust Materials AlphaDEX Fund. iPath Dow Jones-UBS Natural Gas Subindex Total Return ETN. GreenHaven Continuous Commodity Index Fund. Market Vectors Gold Miners ETF. Market Vectors Junior Gold Miners ETF. Guggenheim Enhanced Core Bond ETF. SPDR Gold Shares. SPDR S&P Emerging Asia Pacific ETF. SPDR S&P Global Natural Resources ETF. iShares Barclays U.S. Treasury Bond Fund. iShares S&P GSCI Commodity Indexed Trust. iPath GSCI Total Return Index ETN. Guggenheim Enhanced Short Duration Bond ETF. iShares Barclays Intermediate Government/Credit Bond Fund. SPDR S&P International Small Cap ETF. SPDR S&P China ETF. Global X FTSE Colombia 20 ETF. Guggenheim China Small Cap ETF. Active Bear ETF/The. iShares High Dividend Equity Fund. Market Vectors High Yield Municipal Index ETF. iShares iBoxx $ High Yield Corporate Bond Fund. PIMCO 0–5 Year High Yield Corporate Bond Index Fund. iShares Gold Trust. iShares Nasdaq Biotechnology Index Fund. iShares Cohen & Steers Realty Majors Index Fund. iPath Optimized Currency Carry ETN. iShares Dow Jones US Utilities Sector Index Fund. iShares Dow Jones International Select Dividend 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. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00087 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name IGE ............................ IGF ............................. IGOV .......................... IGS ............................ IGV ............................ IHE ............................. IHF ............................. IHI .............................. IJH ............................. IJJ .............................. IJK ............................. IJR ............................. IJS ............................. IJT .............................. ILF ............................. INDA .......................... INDY .......................... INP ............................. IOO ............................ IPE ............................. ITB ............................. ITM ............................ IVE ............................. IVOO .......................... IVOP .......................... IVV ............................. IVW ............................ IWB ............................ IWC ............................ IWD ............................ IWF ............................ IWM ........................... IWN ............................ IWO ........................... IWP ............................ IWR ............................ IWS ............................ IWV ............................ IWW ........................... IWY ............................ IWZ ............................ IXC ............................. IXG ............................ IXJ ............................. IXN ............................. IXP ............................. IYC ............................. IYE ............................. IYF ............................. IYG ............................ IYH ............................. IYJ ............................. IYK ............................. IYM ............................ IYR ............................. IYT ............................. IYW ............................ IYY ............................. IYZ ............................. JJC ............................ JJG ............................ JNK ............................ JXI ............................. JYN ............................ KBE ........................... KBWB ........................ KIE ............................. KOL ........................... KRE ........................... KXI ............................. LAG ........................... LQD ........................... VerDate Mar<15>2010 iShares S&P North American Natural Resources Sector Index Fund. iShares S&P Global Infrastructure Index Fund. iShares S&P/Citigroup International Treasury Bond Fund. ProShares Short Investment Grade Corporate. iShares S&P North American Technology-Software 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. iShares MSCI India Index Fund. iShares S&P India Nifty 50 Index Fund. iPath MSCI India Index ETN. iShares S&P Global 100 Index Fund. SPDR Barclays Capital TIPS ETF. iShares Dow Jones US Home Construction Index Fund. Market Vectors Intermediate Municipal ETF. iShares S&P 500 Value Index Fund. Vanguard S&P Mid-Cap 400 ETF. iPath Inverse S&P 500 VIX Short-Term FuturesTM ETN II. iShares S&P 500 Index Fund/US. iShares S&P 500 Growth Index Fund. iShares Russell 1000 Index Fund. iShares Russell Microcap Index Fund. iShares Russell 1000 Value Index Fund. iShares Russell 1000 Growth 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 Growth Index Fund. iShares Russell 3000 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. SPDR Barclays Capital High Yield Bond ETF. iShares S&P Global Utilities Sector Index Fund. iPath JPY/USD Exchange Rate ETN. SPDR S&P Bank ETF. PowerShares KBW Bank Portfolio. SPDR S&P Insurance ETF. Market Vectors Coal ETF. SPDR S&P Regional Banking ETF. iShares S&P Global Consumer Staples Sector Index Fund. SPDR Barclays Capital Aggregate Bond ETF. iShares iBoxx Investment Grade Corporate Bond Fund. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00088 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 15767 15768 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name LTPZ .......................... LWC ........................... MBB ........................... MBG .......................... MCHI ......................... MDY ........................... MGC .......................... MGK .......................... MINT .......................... MLPI .......................... MLPN ......................... MOO .......................... MUB ........................... MXI ............................ MYY ........................... NKY ........................... OEF ........................... OIH ............................ OIL ............................. PALL .......................... PBJ ............................ PCEF ......................... PCY ........................... PDP ........................... PEY ........................... PFF ............................ PFM ........................... PGF ........................... PGX ........................... PHB ........................... PHO ........................... PHYS ......................... PID ............................. PIE ............................. PIN ............................. PJP ............................ PLW ........................... PPH ........................... PPLT .......................... PRF ........................... PRFZ ......................... PSLV ......................... PSP ........................... PSQ ........................... PVI ............................. PXH ........................... PZA ............................ QQQ .......................... REM ........................... REMX ........................ REZ ........................... RFG ........................... RJA ............................ RJI ............................. RJN ............................ RJZ ............................ RPG ........................... RSP ........................... RSX ........................... RTH ........................... RWM .......................... RWO .......................... RWR .......................... RWX .......................... RYH ........................... SAGG ........................ SCHA ......................... SCHB ......................... SCHD ........................ SCHE ......................... SCHF ......................... SCHG ........................ VerDate Mar<15>2010 PIMCO 15+ Year US TIPS Index Fund. SPDR Barclays Capital Long Term Corporate BondETF. iShares Barclays MBS Bond Fund. SPDR Barclays Capital Mortgage Backed Bond ETF. iShares MSCI China Index Fund. SPDR S&P MidCap 400 ETF Trust. Vanguard Mega Cap 300 ETF. Vanguard Mega Cap 300 Growth ETF. 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 MidCap 400. MAXIS Nikkei 225 Index Fund ETF. iShares S&P 100 Index Fund. Market Vectors Oil Service ETF. iPath Goldman Sachs Crude Oil Total Return Index ETN. ETFS Physical Palladium Shares. Powershares Dynamic Food & Beverage Portfolio. PowerShares CEF Income Composite Portfolio. PowerShares Emerging Markets Sovereign Debt Portfolio. Powershares DWA Technical Leaders Portfolio. PowerShares High Yield Equity Dividend Achievers Portfolio. iShares S&P US Preferred Stock Index Fund. PowerShares Dividend Achievers Portfolio. PowerShares Financial Preferred Portfolio. PowerShares Preferred Portfolio. PowerShares Fundamental High Yield Corporate Bond Portfolio. PowerShares Water Resources Portfolio. Sprott Physical Gold Trust. PowerShares International Dividend Achievers Portfolio. PowerShares DWA Emerging Markets Technical Leaders Portfolio. PowerShares India Portfolio. Powershares Dynamic Pharmaceuticals Portfolio. PowerShares 1–30 Laddered Treasury Portfolio. Market Vectors Pharmaceutical ETF. ETFS Platinum Trust. Powershares FTSE RAFI US 1000 Portfolio. PowerShares FTSE RAFI US 1500 Small-Mid Portfolio. Sprott Physical Silver Trust. PowerShares Global Listed Private Equity Portfolio. ProShares Short QQQ. PowerShares VRDO Tax Free Weekly Portfolio. PowerShares FTSE RAFI Emerging Markets Portfolio. PowerShares Insured National Municipal Bond Portfolio. Powershares QQQ Trust Series 1. iShares FTSE NAREIT Mortgage Plus Capped Index Fund. Market Vectors Rare Earth/Strategic Metals ETF. iShares FTSE NAREIT Residential Plus Capped Index Fund. Guggenheim 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. ELEMENTS Linked to the Rogers International Commodity Index—Energy To Return. ELEMENTS Linked to the Rogers International Commodity Index—Metals Tot Return. Guggenheim S&P 500 Pure Growth ETF. Guggenheim S&P 500 Equal Weight ETF. Market Vectors Russia ETF. Market Vectors Retail ETF. ProShares Short Russell2000. SPDR Dow Jones Global Real Estate ETF. SPDR Dow Jones REIT ETF. SPDR Dow Jones International Real Estate ETF. Guggenheim S&P 500 Equal Weight Healthcare ETF. Direxion Daily Total Bond Market Bear 1x Shares. Schwab US Small-Cap ETF. Schwab US Broad Market ETF. Schwab US Dividend Equity ETF. Schwab Emerging Markets Equity ETF. Schwab International Equity ETF. Schwab U.S. Large-Cap Growth ETF. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00089 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued mstockstill on DSK4VPTVN1PROD with NOTICES Symbol Name SCHH ........................ SCHM ........................ SCHO ........................ SCHP ......................... SCHR ........................ SCHV ......................... SCHX ......................... SCHZ ......................... SCPB ......................... SCZ ........................... SDY ........................... SEF ............................ SGG ........................... SGOL ......................... SH .............................. SHM ........................... SHV ........................... SHY ........................... SIL ............................. SIVR .......................... SJB ............................ SJNK ......................... SLV ............................ SLX ............................ SMH ........................... SOXX ......................... SPLV ......................... SPY ........................... SPYG ......................... SPYV ......................... STIP ........................... STPP ......................... STPZ ......................... SUB ........................... SVXY ......................... TAN ........................... TBF ............................ TBX ............................ TFI ............................. THD ........................... TIP ............................. TLH ............................ TLT ............................ TUR ........................... UDN ........................... UGA ........................... UNG ........................... URA ........................... USCI .......................... USL ............................ USO ........................... UUP ........................... VAW .......................... VB .............................. VBK ........................... VBR ........................... VCIT .......................... VCLT ......................... VCR ........................... VCSH ......................... VDC ........................... VDE ........................... VEA ........................... VEU ........................... VFH ........................... VGK ........................... VGT ........................... VHT ........................... VIG ............................ VIIX ............................ VIOO .......................... VIS ............................. VerDate Mar<15>2010 Schwab U.S. REIT ETF. Schwab U.S. Mid-Cap ETF. Schwab Short-Term U.S. Treasury ETF. Schwab U.S. TIPs ETF. Schwab Intermediate-Term U.S. Treasury ETF. Schwab U.S. Large-Cap Value ETF. Schwab US Large-Cap ETF. Schwab U.S. Aggregate Bond ETF. SPDR Barclays Capital Short Term Corporate Bond 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 Physical Silver Shares. ProShares Short High Yield. SPDR Barclays Capital Short Term High Yield Bond ETF. iShares Silver Trust. Market Vectors Steel Index Fund. Market Vectors Semiconductor ETF. iShares PHLX SOX Semiconductor Sector Index Fund. PowerShares S&P 500 Low Volatility Portfolio. SPDR S&P 500 ETF Trust. SPDR S&P 500 Growth ETF. SPDR S&P 500 Value ETF. iShares Barclays 0–5 Year TIPS Bond Fund. iPath US Treasury Steepener ETN. PIMCO 1–5 Year US TIPS Index Fund. iShares S&P Short Term National AMT-Free Municipal Bond Fund. ProShares Short VIX Short-Term Futures ETF. Guggenheim Solar ETF. ProShares Short 20+ Year Treasury. ProShares Short 7–10 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. PowerShares DB US Dollar Index Bearish Fund. United States Gasoline Fund LP. United States Natural Gas Fund LP. Global X Uranium ETF. United States Commodity Index Fund. United States 12 Month Oil 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. Vanguard Small-Cap Value ETF. Vanguard Intermediate-Term Corporate Bond ETF. Vanguard Long-Term Corporate Bond ETF. Vanguard Consumer Discretionary ETF. Vanguard Short-Term Corporate Bond ETF. Vanguard Consumer Staples ETF. Vanguard Energy ETF. Vanguard MSCI EAFE ETF. Vanguard FTSE All-World ex-US ETF. Vanguard Financials ETF. Vanguard MSCI European ETF. Vanguard Information Technology ETF. Vanguard Health Care ETF. Vanguard Dividend Appreciation ETF. VelocityShares VIX Short Term ETN. Vanguard S&P Small-Cap 600 ETF. Vanguard Industrials ETF. 17:21 Mar 11, 2013 Jkt 229001 PO 00000 Frm 00090 Fmt 4703 Sfmt 4703 E:\FR\FM\12MRN1.SGM 12MRN1 15769 15770 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices APPENDIX A—SCHEDULE 1—Continued Symbol Name mstockstill on DSK4VPTVN1PROD with NOTICES VIXM .......................... VIXY .......................... VMBS ........................ VNM ........................... VNQ ........................... VO ............................. VOE ........................... VONE ........................ VONG ........................ VONV ........................ VOO ........................... VOOG ........................ VOOV ........................ VOT ........................... VOX ........................... VPL ............................ VPU ........................... VQT ........................... VSS ........................... VT .............................. VTHR ......................... VTI ............................. VTV ............................ VTWG ........................ VTWO ........................ VTWV ........................ VUG ........................... VV .............................. VWO .......................... VXAA ......................... VXEE ......................... VXF ............................ VXUS ......................... VXX ........................... VXZ ............................ VYM ........................... VZZB ......................... WDTI ......................... WIP ............................ XBI ............................. XES ........................... XHB ........................... XIV ............................. XLB ............................ XLE ............................ XLF ............................ XLG ........................... XLI ............................. XLK ............................ XLP ............................ XLU ............................ XLV ............................ XLY ............................ XME ........................... XOP ........................... XPH ........................... XRT ........................... XSD ........................... XXV ........................... ZROZ ......................... ProShares VIX Mid-Term Futures ETF. ProShares VIX Short-Term Futures ETF. Vanguard Mortgage-Backed Securities ETF. Market Vectors Vietnam ETF. Vanguard REIT ETF. Vanguard Mid-Cap ETF. Vanguard Mid-Cap Value Index Fund/Closed-end. Vanguard Russell 1000. Vanguard Russell 1000 Growth ETF. Vanguard Russell 1000 Value. Vanguard S&P 500 ETF. Vanguard S&P 500 Growth ETF. Vanguard S&P 500 Value ETF. Vanguard Mid-Cap Growth Index Fund/Closed-end. Vanguard Telecommunication Services ETF. Vanguard MSCI Pacific ETF. Vanguard Utilities ETF. Barclays ETN+ ETNs Linked to the S&P 500 Dynamic VEQTORTM TotaL Return Index. Vanguard FTSE All World ex-US Small-Cap ETF. Vanguard Total World Stock Index Fund ETF. Vanguard Russell 3000. Vanguard Total Stock Market ETF. Vanguard Value ETF. Vanguard Russell 2000 Growth. Vanguard Russell 2000. Vanguard Russell 2000 Value. Vanguard Growth ETF. Vanguard Large-Cap ETF. Vanguard MSCI Emerging Markets ETF. ETRACS 1-Month S&P 500 VIX Futures ETN. ETRACS 5-Month S&P 500 VIX Futures ETN. Vanguard Extended Market ETF. Vanguard Total International Stock ETF. iPATH S&P 500 VIX Short-Term Futures ETN. iPATH S&P 500 VIX Mid-Term Futures ETN. Vanguard High Dividend Yield ETF. iPath Long Enhanced S&P 500 VIX Mid-Term FuturesTM ETN II. WisdomTree Managed Futures Strategy Fund. 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. VelocityShares Daily Inverse VIX Short Term ETN. Materials Select Sector SPDR Fund. Energy Select Sector SPDR Fund. Financial Select Sector SPDR Fund. Guggenheim 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. iPath Inverse S&P 500 VIX Short-Term Futures ETN. PIMCO 25+ Year Zero Coupon US Treasury Index Fund. Appendix B—Data Unless otherwise specified, the following data shall be collected and transmitted to the SEC in an agreed-upon format on a monthly basis, to be provided 30 calendar days following month end. Unless otherwise specified, the Primary Listing Exchanges shall be responsible for collecting and VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 transmitting the data to the SEC. Data collected in connection with Sections II(E)— (G) below shall be transmitted to the SEC with a request for confidential treatment under the Freedom of Information Act. 5 U.S.C. 552, and the SEC’s rules and regulations thereunder. PO 00000 Frm 00091 Fmt 4703 Sfmt 4703 I. Summary Statistics A. Frequency with which NMS Stocks enter a Limit State. Such summary data shall be broken down as follows: 1. Partition stocks by category a. Tier 1 non-ETP issues > $3.00 b. Tier 1 non-ETP issues >= $0.75 and <= $3.00 E:\FR\FM\12MRN1.SGM 12MRN1 Federal Register / Vol. 78, No. 48 / Tuesday, March 12, 2013 / Notices 15771 mstockstill on DSK4VPTVN1PROD with NOTICES c. Tier 1 non-ETP issues < $0.75 d. Tier 1 non-leveraged ETPs in each of above categories e. Tier 1 leveraged ETPs in each of above categories f. Tier 2 non-ETPs in each of above categories g. Tier 2 non-leveraged ETPs in each of above categories h. Tier 2 leveraged ETPs in each of above categories 2. Partition by time of day a. Opening (prior to 9:45 a.m. ET) b. Regular (between 9:45 a.m. ET and 3:35 p.m. ET) c. Closing (after 3:35 p.m. ET) d. Within five minutes of a Trading Pause re-open or IPO open 3. Track reasons for entering a Limit State, such as: a. Liquidity gap—price reverts from a Limit State Quotation and returns to trading within the Price Bands b. Broken trades c. Primary Listing Exchange manually declares a Trading Pause pursuant to Section (VII)(2) of the Plan d. Other B. Determine (1), (2) and (3) for when a Trading Pause has been declared for an NMS Stock pursuant to the Plan. b. Shares c. Shares executed 2. Market/marketable buy orders arrivals and executions a. Count b. Shares c. Shares executed 3. Count arriving, volume arriving and shares executing in limit sell orders above NBBO mid-point 4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable) 5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable) 6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point 7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05 8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05 9. Count and volume of (3–8) for cancels 10. Include: Ticker, date, time at start, time of Limit State, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period II. Raw Data (All Participants, Except A–E, Which Are for the Primary Listing Exchanges Only) A. Record of every Straddle State 1. Ticker, date, time entered, time exited, flag for ending with Limit State, flag for ending with manual override. 2. Pipe delimited with field names as first record. B. Record of every Price Band 1. Ticker, date, time at beginning of Price Band, Upper Price Band, Lower Price Band 2. Pipe delimited with field names as first record C. Record of every Limit State 1. Ticker, date, time entered, time exited, flag for halt 2. Pipe delimited with field names as first record D. Record of every Trading Pause or halt 1. Ticker, date, time entered, time exited, type of halt (i.e., regulatory halt, nonregulatory halt, Trading Pause pursuant to the Plan, other) 2. Pipe delimited with field names as first record E. Data set or orders entered into reopening auctions during halts or Trading Pauses 1. Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side 2. Pipe delimited with field name as first record F. Data set of order events received during Limit States G. Summary data on order flow of arrivals and cancellations for each 15-second period for discrete time periods and sample stocks to be determined by the SEC in subsequent data requests. Must indicate side(s) of Limit State. 1. Market/marketable sell orders arrivals and executions a. Count III. At least two months prior to the end of the Pilot Period, all Participants shall provide to the SEC assessments relating to the impact of the Plan and calibration of the Percentage Parameters as follows: A. Assess the statistical and economic impact on liquidity of approaching Price Bands. B. Assess the statistical and economic impact of the Price Bands on erroneous trades. C. Assess the statistical and economic impact of the appropriateness of the Percentage Parameters used for the Price Bands. D. Assess whether the Limit State is the appropriate length to allow for liquidity replenishment when a Limit State is reached because of a temporary liquidity gap. E. Evaluate concerns from the options markets regarding the statistical and economic impact of Limit States on liquidity and market quality in the options markets. (Participants that operate options exchange should also prepare such assessment reports.) F. Assess whether the process for entering a Limit State should be adjusted and whether Straddle States are problematic. G. Assess whether the process for exiting a Limit State should be adjusted. H. Assess whether the Trading Pauses are too long or short and whether the reopening procedures should be adjusted. Dated: March 7, 2013. Elizabeth M. Murphy, Secretary. [FR Doc. 2013–05635 Filed 3–11–13; 8:45 am] March 7, 2013. BILLING CODE 8011–01–P Rule 613(a)(1) of the Securities Exchange Act of 1934 (‘‘Exchange Act’’) 1 requires the Financial Industry Regulatory Authority, Inc. (‘‘FINRA’’) and the seventeen registered national securities exchanges (collectively, the ‘‘SROs’’) to ‘‘jointly file on or before 270 VerDate Mar<15>2010 17:21 Mar 11, 2013 Jkt 229001 SECURITIES AND EXCHANGE COMMISSION Sunshine Act Meeting Notice is hereby given, pursuant to the provisions of the Government in the PO 00000 Frm 00092 Fmt 4703 Sfmt 4703 Sunshine Act, Public Law 94–409, that the Securities and Exchange Commission will hold a Closed Meeting on Thursday, March 14, 2013 at 2:00 p.m. Commissioners, Counsel to the Commissioners, the Secretary to the Commission, and recording secretaries will attend the Closed Meeting. Certain staff members who have an interest in the matters also may be present. The General Counsel of the Commission, or his designee, has certified that, in his opinion, one or more of the exemptions set forth in 5 U.S.C. 552b(c)(3), (5), (7), 9(B) and (10) and 17 CFR 200.402(a)(3), (5), (7), 9(ii) and (10), permit consideration of the scheduled matters at the Closed Meeting. Commissioner Paredes, as duty officer, voted to consider the items listed for the Closed Meeting in a closed session. The subject matter of the Closed Meeting will be: Institution and settlement of injunctive actions; Institution and settlement of administrative proceedings; An adjudicatory matter; and Other matters relating to enforcement proceedings. At times, changes in Commission priorities require alterations in the scheduling of meeting items. For further information and to ascertain what, if any, matters have been added, deleted or postponed, please contact the Office of the Secretary at (202) 551–5400. [FR Doc. 2013–05762 Filed 3–8–13; 4:15 pm] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–69060] Order Granting a Temporary Exemption Pursuant to Section 36(a)(1) of the Securities Exchange Act of 1934 From the Filing Deadline Specified in Rule 613(a)(1) of the Exchange Act 1 17 E:\FR\FM\12MRN1.SGM CFR 242.613(a)(1). 12MRN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 78, Number 48 (Tuesday, March 12, 2013)]
[Notices]
[Pages 15757-15771]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-05635]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-69062; File No. 4-631]


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

March 7, 2013.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder \2\,

[[Page 15758]]

notice is hereby given that, on February 21, 2013, NYSE Euronext, on 
behalf of New York Stock Exchange LLC (``NYSE''), NYSE MKT LLC (``NYSE 
MKT''), and NYSE Arca, Inc. (``NYSE Arca''), and the following parties 
to the National Market System Plan: BATS Exchange, Inc., BATS Y-
Exchange, Inc., Chicago Board Options Exchange, Incorporated, Chicago 
Stock Exchange, Inc., EDGA Exchange, Inc., EDGX Exchange, Inc., 
Financial Industry Regulatory Authority, Inc., NASDAQ OMX BX, Inc., 
NASDAQ OMX PHLX LLC, the Nasdaq Stock Market LLC, and National Stock 
Exchange, Inc. (collectively with NYSE, NYSE MKT, and NYSE Arca, the 
``Participants''), filed with the Securities and Exchange Commission 
(the ``Commission'') a proposal to amend the Plan to Address 
Extraordinary Market Volatility (``Plan'').\3\ The proposal represents 
the third amendment to the Plan (``Third Amendment''), and reflects 
changes unanimously approved by the Participants. The Third Amendment 
to the Plan proposes to amend the Plan to provide that odd-lot sized 
transactions will not be exempt from the Plan and proposes to make a 
clarifying technical change. A copy of the Plan, as proposed to be 
amended, is attached as Exhibit A hereto. The Commission is publishing 
this notice to solicit comments from interested persons on the Third 
Amendment to the Plan.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Janet M. McGinness, Executive Vice President 
& Corporate Secretary, NYSE Euronext, to Elizabeth M. Murphy, 
Secretary, Commission, dated February 19, 2013 (``Transmittal 
Letter'').
---------------------------------------------------------------------------

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

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

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

    As set forth in Section V of the Plan, the price bands would 
consist of a Lower Price Band and an Upper Price Band for each NMS 
Stock.\6\ The price bands would be calculated by the Securities 
Information Processors (``SIPs'' or ``Processors'') responsible for 
consolidation of information for an NMS Stock pursuant to Rule 603(b) 
of Regulation NMS under the Act.\7\ Those price bands would be based on 
a Reference Price \8\ for each NMS Stock that equals the arithmetic 
mean price of Eligible Reported Transactions for the NMS Stock over the 
immediately preceding five-minute period. The price bands for an NMS 
Stock would be calculated by applying the Percentage Parameter for such 
NMS Stock to the Reference Price, with the Lower Price Band being a 
Percentage Parameter \9\ below the Reference Price, and the Upper Price 
Band being a Percentage Parameter above the Reference Price. Between 
9:30 a.m. and 9:45 a.m. ET and 3:35 p.m. and 4:00 p.m. ET, the price 
bands would be calculated by applying double the Percentage Parameters.
---------------------------------------------------------------------------

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

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

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

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

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

    Under the Plan, all trading centers would be required to establish,

[[Page 15759]]

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

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

    The following summarizes the Third Amendment to the Plan and the 
rationale behind those changes:
     Amending Section VI.A.1 of the Plan to clarify that odd-
lot sized transactions are not exempt from the Plan. The Participants 
believe that odd-lot sized transactions should benefit from the 
protections of the Plan.
     Amending Section VIII.A.3 of the Plan to clarify that no 
Price Bands shall be calculated and disseminated and therefore trading 
shall not enter a Limit State less than 30 minutes before the end of 
Regular Trading Hours. The proposed change is designed to reduce 
confusion by correcting language in the Plan.

B. Governing or Constituent Documents

    The governing documents of the Processor, as defined in Section 
I(P) of the Plan, will not be affected by the Plan, but once the Plan 
is implemented, the Processor's obligations will change, as set forth 
in detail in the Plan. In particular, as set forth in Section V of the 
Plan, the Processor will be responsible for calculating and 
disseminating Price Bands during Regular Trading Hours, as defined in 
Section I(R) of the 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 Plan, to cause and enable the Processor 
for each NMS Stock to fulfill the functions set forth in the Plan.

C. Implementation of Plan

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

D. Development and Implementation Phases

    The Plan will be implemented as a one-year pilot program in two 
Phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation will begin on the initial date of Plan operations, in 
select symbols, with full Phase I of the Plan implementation completed 
three months after the initial date of Plan operations, or such earlier 
date as may be announced by the Processor with at least 30 days notice; 
Phase II of Plan will commence six months after the initial date of the 
Plan or such earlier date as may be announced by the Processor with at 
least 30 days notice. The Participants proposed that Phase II of the 
Plan will begin on the first Monday after the six months after the 
initial date of the Plan, or if an earlier date is determined, Phase II 
will begin on a Monday.
    At the beginning of Phase I, the Plan shall apply to select symbols 
from the Tier 1 NMS Stocks identified in Appendix A of the Plan. During 
full Phase I implementation, the Plan shall apply to all Tier 1 NMS 
Stocks, as defined in Appendix A of the Plan, and the first price bands 
shall be calculated and disseminated as specified in Section V(A) of 
the Plan. In Phase II, the Plan shall fully apply to all NMS Stocks.
    Phase I and Phase II of the Plan may each be rolled out to 
applicable NMS Stocks over a period not to exceed two weeks. Any such 
roll-out period will be made available in advance of the implementation 
dates for Phases I and II of the Plan via the Participants' Web sites 
and trader updates, as applicable.

E. Analysis of Impact on Competition

    The Participants do not believe that the 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 Plan 
introduces terms that are unreasonably discriminatory for the purposes 
of Section 11A(c)(1)(D) of the Act.\19\
---------------------------------------------------------------------------

    \19\ 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 Plan. Section II(C) of the 
Plan sets forth how any entity registered as a national securities 
exchange or national securities association may become a Participant.

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

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

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

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.

K. Dispute Resolution

    The Plan does not include specific provisions regarding resolution 
of disputes between or among Participants. Section III(C) of the Plan 
provides for each Participant to designate an individual to represent 
the Participant as a member of an Operating Committee.\20\ 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 shall 
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

[[Page 15760]]

that receives an affirmative vote of at least two-thirds of the 
Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608 of Regulation NMS under the Act.\21\
---------------------------------------------------------------------------

    \20\ See Section I(J) of the Plan.
    \21\ 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 Third 
Amendment to the Plan is consistent with the Act. Comments may be 
submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email 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 email is used. To help the 
Commission process and review your comments more efficiently, please 
use only one method. The Commission will post all comments on the 
Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the Third Amendment to the Plan that are 
filed with the Commission, and all written communications relating to 
the Third Amendment to the Plan between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for Web site 
viewing and printing in the Commission's Public Reference Room, 100 F 
Street NE., Washington, DC 20549 on official business days between 
10:00 a.m. and 3:00 p.m. Copies of the filing will also be available 
for inspection and copying at the Participants' principal offices. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number 4-631 and should be submitted 
on or before April 2, 2013.

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

Exhibit A

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

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

Table of Contents

Section

Preamble...................................................  ...........
I. Definitions.............................................  ...........
II. Parties................................................  ...........
III. Amendments to Plan....................................  ...........
IV. Trading Center Policies and Procedures.................  ...........
V. Price Bands.............................................  ...........
VI. Limit Up-Limit Down Requirements.......................  ...........
VII. Trading Pauses........................................  ...........
VIII. Implementation.......................................  ...........
IX. Withdrawal from Plan...................................  ...........
X. Counterparts and Signatures.............................  ...........
Appendix A--Percentage Parameters..........................  ...........
Appendix A--Schedule 1.....................................  ...........
Appendix B--Data...........................................  ...........
 


Preamble

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

I. Definitions

    (A) ``Eligible Reported Transactions'' shall have the meaning 
prescribed by the Operating Committee and shall generally mean 
transactions that are eligible to update the last sale price of an NMS 
Stock.
    (B) ``Exchange Act'' means the Securities Exchange Act of 1934, as 
amended.
    (C) ``Limit State'' shall have the meaning provided in Section VI 
of the Plan.
    (D) ``Limit State Quotation'' shall have the meaning provided in 
Section VI of the Plan.
    (E) ``Lower Price Band'' shall have the meaning provided in Section 
V of the Plan.
    (F) ``Market Data Plans'' shall mean the effective national market 
system plans through which the Participants act jointly to disseminate 
consolidated information in compliance with Rule 603(b) of Regulation 
NMS under the Exchange Act.
    (G) ``National Best Bid'' and ``National Best Offer'' shall have 
the meaning provided in Rule 600(b)(42) of Regulation NMS under the 
Exchange Act.
    (H) ``NMS Stock'' shall have the meaning provided in Rule 
600(b)(47) of Regulation NMS under the Exchange Act.
    (I) ``Opening Price'' shall mean the price of a transaction that 
opens trading on the Primary Listing Exchange, or, if the Primary 
Listing Exchange opens with quotations, the midpoint of those 
quotations.
    (J) ``Operating Committee'' shall have the meaning provided in 
Section III(C) of the Plan.
    (K) ``Participant'' means a party to the Plan.
    (L) ``Plan'' means the plan set forth in this instrument, as 
amended from time to time in accordance with its provisions.
    (M) ``Percentage Parameter'' shall mean the percentages for each 
tier of NMS Stocks set forth in Appendix A of the Plan.
    (N) ``Price Bands'' shall have the meaning provided in Section V of 
the Plan.
    (O) ``Primary Listing Exchange'' shall mean the Participant on 
which an NMS Stock is listed. If an NMS Stock is listed on more than 
one Participant, the Participant on which the NMS Stock has been listed 
the longest shall be the Primary Listing Exchange.
    (P) ``Processor'' shall mean the single plan processor responsible 
for the consolidation of information for an NMS Stock pursuant to Rule 
603(b) of Regulation NMS under the Exchange Act.
    (Q) ``Pro-Forma Reference Price'' shall have the meaning provided 
in Section V(A)(2) of the Plan.
    (R) ``Regular Trading Hours'' shall have the meaning provided in 
Rule 600(b)(64) of Regulation NMS under the Exchange Act. For purposes 
of the Plan, Regular Trading Hours can end earlier

[[Page 15761]]

than 4:00 p.m. ET in the case of an early scheduled close.
    (S) ``Regulatory Halt'' shall have the meaning specified in the 
Market Data Plans.
    (T) ``Reference Price'' shall have the meaning provided in Section 
V of the Plan.
    (U) ``Reopening Price'' shall mean the price of a transaction that 
reopens trading on the Primary Listing Exchange following a Trading 
Pause or a Regulatory Halt, or, if the Primary Listing Exchange reopens 
with quotations, the midpoint of those quotations.
    (V) ``SEC'' shall mean the United States Securities and Exchange 
Commission.
    (W) ``Straddle State'' shall have the meaning provided in Section 
VII(A)(2) of the Plan.
    (X) ``Trading center'' shall have the meaning provided in Rule 
600(b)(78) of Regulation NMS under the Exchange Act.
    (Y) ``Trading Pause'' shall have the meaning provided in Section 
VII of the Plan.
    (Z) ``Upper Price Band'' shall have the meaning provided in Section 
V of the Plan.

II. Parties

(A) List of Parties

    The parties to the Plan are as follows:

(1) BATS Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(2) BATS Y-Exchange, Inc., 8050 Marshall Drive, Lenexa, Kansas 66214
(3) Chicago Board Options Exchange, Incorporated, 400 South LaSalle 
Street, Chicago, Illinois 60605
(4) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, 
Illinois 60605
(5) EDGA Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey 
City, NJ 07310
(6) EDGX Exchange, Inc., 545 Washington Boulevard, Sixth Floor Jersey 
City, NJ 07310
(7) Financial Industry Regulatory Authority, Inc., 1735 K Street NW., 
Washington, DC 20006
(8) NASDAQ OMX BX, Inc., One Liberty Plaza, New York, New York 10006
(9) NASDAQ OMX PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 
19103
(10) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New 
York, NY 10006
(11) National Stock Exchange, Inc., 101 Hudson, Suite 1200, Jersey 
City, NJ 07302
(12) New York Stock Exchange LLC, 11 Wall Street, New York, New York 
10005
(13) NYSE MKT LLC, 20 Broad Street, New York, New York 10005
(14) NYSE Arca, Inc., 100 South Wacker Drive, Suite 1800, Chicago, IL 
60606

(B) Compliance Undertaking

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

(C) New Participants

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

(D) Advisory Committee

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

III. Amendments to Plan

(A) General Amendments

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

(B) New Participants

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

(C) Operating Committee

    (1) Each Participant shall select from its staff one individual to 
represent the Participant as a member of an Operating Committee, 
together with a substitute for such individual. The substitute may 
participate in deliberations of the Operating Committee and shall be 
considered a voting member thereof only in the absence of the primary 
representative. Each Participant shall have one vote on all matters 
considered by the Operating Committee. No later than the initial date 
of Plan operations, the Operating Committee shall designate one member 
of the Operating Committee to act as the Chair of the Operating 
Committee.
    (2) The Operating Committee shall monitor the procedures 
established

[[Page 15762]]

pursuant to this Plan and advise the Participants with respect to any 
deficiencies, problems, or recommendations as the Operating Committee 
may deem appropriate. The Operating Committee shall establish 
specifications and procedures for the implementation and operation of 
the Plan that are consistent with the provisions of this Plan and the 
Appendixes thereto. With respect to matters in this paragraph, 
Operating Committee decisions shall be approved by a simple majority 
vote.
    (3) Any recommendation for an amendment to the Plan from the 
Operating Committee that receives an affirmative vote of at least two-
thirds of the Participants, but is less than unanimous, shall be 
submitted to the SEC as a request for an amendment to the Plan 
initiated by the Commission under Rule 608 of Regulation NMS.

IV. Trading Center Policies and Procedures

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

V. Price Bands

(A) Calculation and Dissemination of Price Bands

    (1) The Processor for each NMS stock shall calculate and 
disseminate to the public a Lower Price Band and an Upper Price Band 
during Regular Trading Hours for such NMS Stock. The Price Bands shall 
be based on a Reference Price for each NMS Stock that equals the 
arithmetic mean price of Eligible Reported Transactions for the NMS 
stock over the immediately preceding five-minute period (except for 
periods following openings and reopenings, which are addressed below). 
If no Eligible Reported Transactions for the NMS Stock have occurred 
over the immediately preceding five-minute period, the previous 
Reference Price shall remain in effect. The Price Bands for an NMS 
Stock shall be calculated by applying the Percentage Parameter for such 
NMS Stock to the Reference Price, with the Lower Price Band being a 
Percentage Parameter below the Reference Price, and the Upper Price 
Band being a Percentage Parameter above the Reference Price. The Price 
Bands shall be calculated during Regular Trading Hours. Between 9:30 
a.m. and 9:45 a.m. ET, and 3:35 p.m. and 4:00 p.m. ET, or in the case 
of an early scheduled close, during the last 25 minutes of trading 
before the early scheduled close, the Price Bands shall be calculated 
by applying double the Percentage Parameters set forth in Appendix A. 
If a Reopening Price does not occur within ten minutes after the 
beginning of a Trading Pause, the Price Band, for the first 30 seconds 
following the reopening after that Trading Pause, shall be calculated 
by applying triple the Percentage Parameters set forth in Appendix A.
    (2) The Processor shall calculate a Pro-Forma Reference Price on a 
continuous basis during Regular Trading Hours, as specified in Section 
V(A)(1) of the Plan. If a Pro-Forma Reference Price has not moved by 1% 
or more from the Reference Price currently in effect, no new Price 
Bands shall be disseminated, and the current Reference Price shall 
remain the effective Reference Price. When the Pro-Forma Reference 
Price has moved by 1% or more from the Reference Price currently in 
effect, the Pro-Forma Reference Price shall become the Reference Price, 
and the Processor shall disseminate new Price Bands based on the new 
Reference Price; provided, however, that each new Reference Price shall 
remain in effect for at least 30 seconds.

(B) Openings

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

(C) Reopenings

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

VI. Limit Up-Limit Down Requirements

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

    (1) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent trades at prices that are below 
the Lower Price Band or above the Upper Price Band for an NMS Stock. 
Single-priced opening, reopening, and closing transactions on the 
Primary Listing Exchange, however, shall be excluded from this 
limitation. In addition, any transaction that both (i) does not update 
the last sale price (except if solely because the transaction was 
reported late or because the

[[Page 15763]]

transaction was an odd-lot sized transaction), and (ii) is excepted or 
exempt from Rule 611 under Regulation NMS shall be excluded from this 
limitation.
    (2) When a National Best Bid is below the Lower Price Band or a 
National Best Offer is above the Upper Price Band for an NMS Stock, the 
Processor shall disseminate such National Best Bid or National Best 
Offer with an appropriate flag identifying it as non-executable. When a 
National Best Offer is equal to the Lower Price Band or a National Best 
Bid is equal to the Upper Price Band for an NMS Stock, the Processor 
shall distribute such National Best Bid or National Best Offer with an 
appropriate flag identifying it as a ``Limit State Quotation''.
    (3) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent the display of offers below the 
Lower Price Band and bids above the Upper Price Band for an NMS Stock. 
The Processor shall disseminate an offer below the Lower Price Band or 
bid above the Upper Price Band that may be submitted despite such 
reasonable policies and procedures, but with an appropriate flag 
identifying it as non-executable; provided, however, that any such bid 
or offer shall not be included in National Best Bid or National Best 
Offer calculations.

(B) Entering and Exiting a Limit State

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

VII. Trading Pauses

(A) Declaration of Trading Pauses

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

(B) Reopening of Trading During Regular Trading Hours

    (1) Five minutes after declaring a Trading Pause for an NMS Stock, 
and if the Primary Listing Exchange has not declared a Regulatory Halt, 
the Primary Listing Exchange shall attempt to reopen trading using its 
established reopening procedures. The 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

    The initial date of Plan operations shall be April 8, 2013.

(A) Phase I

    (1) On the initial date of Plan operations, Phase I of Plan 
implementation shall begin in select symbols from the Tier 1 NMS Stocks 
identified in Appendix A of the Plan.
    (2) Three months after the initial date of Plan operations, or such 
earlier date as may be announced by the Processor with at least 30 days 
notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified 
in Appendix A of the Plan.
    (3) During Phase I, the first Price Bands for a trading day shall 
be calculated and disseminated 15 minutes after the start of Regular 
Trading Hours as specified in Section (V)(A) of the Plan. No Price 
Bands shall be calculated and disseminated and therefore trading shall 
not enter a Limit State less than 30 minutes before the end of Regular 
Trading Hours[, and trading shall not enter a Limit State less than 25 
minutes before the end of Regular Trading Hours].

(B) Phase II--Full Implementation

    Six months after the initial date of Plan operations, or such 
earlier date as

[[Page 15764]]

may be announced by the Processor with at least 30 days notice, the 
Plan shall fully apply (i) to all NMS Stocks; and (ii) beginning at 
9:30 a.m. ET, and ending at 4:00 p.m. ET each trading day, or earlier 
in the case of an early scheduled close.

(C) Pilot

    The Plan shall be implemented on a one-year pilot basis.

IX. Withdrawal From Plan

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

X. Counterparts and Signatures

    The Plan may be executed in any number of counterparts, no one of 
which need contain all signatures of all Participants, and as many of 
such counterparts as shall together contain all such signatures shall 
constitute one and the same instrument.
    IN WITNESS THEREOF, this Plan has been executed as of the ---- day 
of -------- 2013 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 MKT 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 (``ETP'') listed on Schedule 1 to this Appendix. Schedule 1 
to the Appendix will be reviewed and updated semi-annually based on 
the fiscal year by the Primary Listing Exchange to add ETPs that 
meet the criteria, or delete ETPs that are no longer eligible. To 
determine eligibility for an ETP to be included as a Tier 1 NMS 
Stock, all ETPs across multiple asset classes and issuers, including 
domestic equity, international equity, fixed income, currency, and 
commodities and futures will be identified. Leveraged ETPs will be 
excluded and the list will be sorted by notional consolidated 
average daily volume (``CADV''). The period used to measure CADV 
will be from the first day of the previous fiscal half year up until 
one week before the beginning of the next fiscal half year. Daily 
volumes will be multiplied by closing prices and then averaged over 
the period. ETPs, including inverse ETPs, that trade over $2,000,000 
CADV will be eligible to be included as a Tier 1 NMS Stock. To 
ensure that ETPs that track similar benchmarks but that do not meet 
this volume criterion do not become subject to pricing volatility 
when a component security is the subject of a trading pause, non-
leveraged ETPs that have traded below this volume criterion, but 
that track the same benchmark as an ETP that does meet the volume 
criterion, will be deemed eligible to be included as a Tier 1 NMS 
Stock. The semi-annual updates to Schedule 1 do not require an 
amendment to the Plan. The Primary Listing Exchanges will maintain 
the updated Schedule 1 on their respective Web sites.
    (2) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price more than $3.00 shall be 5%.
    (3) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price equal to $0.75 and up to and including $3.00 shall 
be 20%.
    (4) The Percentage Parameters for Tier 1 NMS Stocks with a 
Reference Price less than $0.75 shall be the lesser of (a) $0.15 or 
(b) 75%.
    (5) The Reference Price used for determining which Percentage 
Parameter shall be applicable during a trading day shall be based on 
the closing price of the NMS Stock on the Primary Listing Exchange 
on the previous trading day, or if no closing price exists, the last 
sale on the Primary Listing Exchange reported by the Processor.

II. Tier 2 NMS Stocks

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

                         Appendix A--Schedule 1
------------------------------------------------------------------------
           Symbol                                Name
------------------------------------------------------------------------
AAVX........................  ETRACS Daily Short 1-Month S&P 500 VIX
                               Futures ETN.
AAXJ........................  iShares MSCI All Country Asia ex Japan
                               Index Fund.
ACWI........................  iShares MSCI ACWI Index Fund.
ACWX........................  iShares MSCI ACWI ex US Index Fund.
AGG.........................  iShares Barclays Aggregate Bond Fund.
AGZ.........................  iShares Barclays Agency Bond Fund.
ALD.........................  WisdomTree Asia Local Debt Fund.
AMJ.........................  JPMorgan Alerian MLP Index ETN.
AMLP........................  Alerian MLP ETF.
BAB.........................  PowerShares Build America Bond Portfolio.
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.

[[Page 15765]]

 
BKLN........................  PowerShares Senior Loan Portfolio.
BLV.........................  Vanguard Long-Term Bond ETF.
BND.........................  Vanguard Total Bond Market ETF.
BNO.........................  United States Brent Oil Fund LP.
BOND........................  Pimco Total Return 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.
BXDB........................  Barclays ETN+short B Leveraged ETN Linked
                               to S&P 500.
CEW.........................  WisdomTree Dreyfus Emerging Currency Fund.
CFT.........................  iShares Barclays Credit Bond Fund.
CIU.........................  iShares Barclays Intermediate Credit Bond
                               Fund.
CLY.........................  iShares 10+ Year Credit Bond Fund.
CORN........................  Teucrium Corn Fund.
CSJ.........................  iShares Barclays 1-3 Year Credit Bond
                               Fund.
CVY.........................  Guggenheim Multi-Asset Income ETF.
CWB.........................  SPDR Barclays Capital Convertible
                               Securities ETF.
CWI.........................  SPDR MSCI ACWI ex-US 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.
DBE.........................  PowerShares DB Energy Fund.
DBO.........................  PowerShares DB Oil Fund.
DBP.........................  PowerShares DB Precious Metals Fund.
DBV.........................  PowerShares DB G10 Currency Harvest Fund.
DEM.........................  WisdomTree Emerging Markets Equity Income
                               Fund.
DGL.........................  PowerShares DB Gold Fund.
DGS.........................  WisdomTree Emerging Markets SmallCap
                               Dividend Fund.
DGZ.........................  PowerShares DB Gold Short ETN.
DHS.........................  WisdomTree Equity Income Fund.
DIA.........................  SPDR Dow Jones Industrial Average ETF
                               Trust.
DJCI........................  E-TRACS UBS AG Dow Jones-UBS Commodity
                               Index Total Return ETN.
DJP.........................  iPath Dow Jones-UBS Commodity Index Total
                               Return ETN.
DLN.........................  WisdomTree LargeCap Dividend Fund.
DOG.........................  ProShares Short Dow30.
DON.........................  WisdomTree MidCap Dividend Fund.
DOO.........................  WisdomTree International Dividend Ex-
                               Financials Fund.
DTN.........................  WisdomTree Dividend Ex-Financials Fund.
DVY.........................  iShares Dow Jones Select Dividend Index
                               Fund.
DWM.........................  WisdomTree DEFA Fund.
DWX.........................  SPDR S&P International Dividend ETF.
DXJ.........................  WisdomTree Japan Hedged Equity Fund.
ECH.........................  iShares MSCI Chile Investable Market Index
                               Fund.
ECON........................  EGShares Emerging Markets Consumer ETF.
EDIV........................  SPDR S&P Emerging Markets Dividend ETF.
EDV.........................  Vanguard Extended Duration Treasury ETF.
EEB.........................  Guggenheim BRIC ETF.
EEM.........................  iShares MSCI Emerging Markets Index Fund.
EFA.........................  iShares MSCI EAFE Index Fund.
EFG.........................  iShares MSCI EAFE Growth Index.
EFV.........................  iShares MSCI EAFE Value Index.
EFZ.........................  ProShares Short MSCI EAFE.
EIDO........................  iSHARES MSCI Indonesia Investable Market
                               Index Fund.
ELD.........................  WisdomTree Emerging Markets Local Debt
                               Fund.
ELR.........................  SPDR Dow Jones Large Cap ETF.
EMB.........................  iShares JPMorgan USD Emerging Markets Bond
                               Fund.
EMLC........................  Market Vectors Emerging Markets Local
                               Currency Bond ETF.
EMM.........................  SPDR Dow Jones Mid Cap ETF.
EPHE........................  iShares MSCI Philippines Investable Market
                               Index Fund.
EPI.........................  WisdomTree India Earnings Fund.
EPP.........................  iShares MSCI Pacific ex-Japan Index Fund.
EPU.........................  iShares MSCI All Peru Capped Index Fund.
ERUS........................  iShares MSCI Russia 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.

[[Page 15766]]

 
EWJ.........................  iShares MSCI Japan Index Fund.
EWL.........................  iShares MSCI Switzerland Index Fund.
EWM.........................  iShares MSCI Malaysia 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.
EWX.........................  SPDR S&P Emerging Markets SmallCap 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.
FDL.........................  First Trust Morningstar Dividend Leaders
                               Index.
FDN.........................  First Trust Dow Jones Internet Index Fund.
FEX.........................  First Trust Large Cap Core AlphaDEX Fund.
FEZ.........................  SPDR EURO STOXX 50 ETF.
FGD.........................  First Trust DJ Global Select Dividend
                               Index Fund.
FLAT........................  iPath US Treasury Flattener ETN.
FNX.........................  First Trust Mid Cap Core AlphaDEX Fund.
FRI.........................  First Trust S&P REIT Index Fund.
FVD.........................  First Trust Value Line Dividend 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.
FXG.........................  First Trust Consumer Staples AlphaDEX
                               Fund.
FXH.........................  First Trust Health Care AlphaDEX Fund.
FXI.........................  iShares FTSE China 25 Index Fund.
FXL.........................  First Trust Technology AlphaDEX Fund.
FXU.........................  First Trust Utilities AlphaDEX 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 Continuous Commodity Index
                               Fund.
GDX.........................  Market Vectors Gold Miners ETF.
GDXJ........................  Market Vectors Junior Gold Miners ETF.
GIY.........................  Guggenheim Enhanced Core Bond ETF.
GLD.........................  SPDR Gold Shares.
GMF.........................  SPDR S&P Emerging Asia Pacific ETF.
GNR.........................  SPDR S&P Global Natural Resources ETF.
GOVT........................  iShares Barclays U.S. Treasury Bond Fund.
GSG.........................  iShares S&P GSCI Commodity Indexed Trust.
GSP.........................  iPath GSCI Total Return Index ETN.
GSY.........................  Guggenheim Enhanced Short Duration Bond
                               ETF.
GVI.........................  iShares Barclays Intermediate Government/
                               Credit Bond Fund.
GWX.........................  SPDR S&P International Small Cap ETF.
GXC.........................  SPDR S&P China ETF.
GXG.........................  Global X FTSE Colombia 20 ETF.
HAO.........................  Guggenheim China Small Cap ETF.
HDGE........................  Active Bear ETF/The.
HDV.........................  iShares High Dividend Equity Fund.
HYD.........................  Market Vectors High Yield Municipal Index
                               ETF.
HYG.........................  iShares iBoxx $ High Yield Corporate Bond
                               Fund.
HYS.........................  PIMCO 0-5 Year High Yield Corporate Bond
                               Index Fund.
IAU.........................  iShares Gold Trust.
IBB.........................  iShares Nasdaq Biotechnology Index Fund.
ICF.........................  iShares Cohen & Steers Realty Majors Index
                               Fund.
ICI.........................  iPath Optimized Currency Carry ETN.
IDU.........................  iShares Dow Jones US Utilities Sector
                               Index Fund.
IDV.........................  iShares Dow Jones International Select
                               Dividend 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.

[[Page 15767]]

 
IGE.........................  iShares S&P North American Natural
                               Resources Sector Index Fund.
IGF.........................  iShares S&P Global Infrastructure Index
                               Fund.
IGOV........................  iShares S&P/Citigroup International
                               Treasury Bond Fund.
IGS.........................  ProShares Short Investment Grade
                               Corporate.
IGV.........................  iShares S&P North American Technology-
                               Software 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.
INDA........................  iShares MSCI India Index Fund.
INDY........................  iShares S&P India Nifty 50 Index Fund.
INP.........................  iPath MSCI India Index ETN.
IOO.........................  iShares S&P Global 100 Index Fund.
IPE.........................  SPDR Barclays Capital TIPS ETF.
ITB.........................  iShares Dow Jones US Home Construction
                               Index Fund.
ITM.........................  Market Vectors Intermediate Municipal ETF.
IVE.........................  iShares S&P 500 Value Index Fund.
IVOO........................  Vanguard S&P Mid-Cap 400 ETF.
IVOP........................  iPath Inverse S&P 500 VIX Short-Term
                               FuturesTM ETN II.
IVV.........................  iShares S&P 500 Index Fund/US.
IVW.........................  iShares S&P 500 Growth Index Fund.
IWB.........................  iShares Russell 1000 Index Fund.
IWC.........................  iShares Russell Microcap Index Fund.
IWD.........................  iShares Russell 1000 Value Index Fund.
IWF.........................  iShares Russell 1000 Growth 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.
IWY.........................  iShares Russell Top 200 Growth Index Fund.
IWZ.........................  iShares Russell 3000 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 Materials
                               Sector Index Fund.
IYR.........................  iShares Dow Jones US Real Estate Index
                               Fund.
IYT.........................  iShares Dow Jones Transportation Average
                               Index Fund.
IYW.........................  iShares Dow Jones US Technology Sector
                               Index Fund.
IYY.........................  iShares Dow Jones US Index Fund.
IYZ.........................  iShares Dow Jones US Telecommunications
                               Sector Index Fund.
JJC.........................  iPath Dow Jones-UBS Copper Subindex Total
                               Return ETN.
JJG.........................  iPath Dow Jones-UBS Grains Subindex Total
                               Return ETN.
JNK.........................  SPDR Barclays Capital High Yield Bond ETF.
JXI.........................  iShares S&P Global Utilities Sector Index
                               Fund.
JYN.........................  iPath JPY/USD Exchange Rate ETN.
KBE.........................  SPDR S&P Bank ETF.
KBWB........................  PowerShares KBW Bank Portfolio.
KIE.........................  SPDR S&P Insurance ETF.
KOL.........................  Market Vectors Coal ETF.
KRE.........................  SPDR S&P Regional Banking ETF.
KXI.........................  iShares S&P Global Consumer Staples Sector
                               Index Fund.
LAG.........................  SPDR Barclays Capital Aggregate Bond ETF.
LQD.........................  iShares iBoxx Investment Grade Corporate
                               Bond Fund.

[[Page 15768]]

 
LTPZ........................  PIMCO 15+ Year US TIPS Index Fund.
LWC.........................  SPDR Barclays Capital Long Term Corporate
                               BondETF.
MBB.........................  iShares Barclays MBS Bond Fund.
MBG.........................  SPDR Barclays Capital Mortgage Backed Bond
                               ETF.
MCHI........................  iShares MSCI China Index Fund.
MDY.........................  SPDR S&P MidCap 400 ETF Trust.
MGC.........................  Vanguard Mega Cap 300 ETF.
MGK.........................  Vanguard Mega Cap 300 Growth ETF.
MINT........................  PIMCO Enhanced Short Maturity Strategy
                               Fund.
MLPI........................  UBS E-TRACS Alerian MLP Infrastructure
                               ETN.
MLPN........................  Credit Suisse Cushing 30 MLP Index ETN.
MOO.........................  Market Vectors Agribusiness ETF.
MUB.........................  iShares S&P National Municipal Bond Fund.
MXI.........................  iShares S&P Global Materials Sector Index
                               Fund.
MYY.........................  ProShares Short MidCap 400.
NKY.........................  MAXIS Nikkei 225 Index Fund ETF.
OEF.........................  iShares S&P 100 Index Fund.
OIH.........................  Market Vectors Oil Service ETF.
OIL.........................  iPath Goldman Sachs Crude Oil Total Return
                               Index ETN.
PALL........................  ETFS Physical Palladium Shares.
PBJ.........................  Powershares Dynamic Food & Beverage
                               Portfolio.
PCEF........................  PowerShares CEF Income Composite
                               Portfolio.
PCY.........................  PowerShares Emerging Markets Sovereign
                               Debt Portfolio.
PDP.........................  Powershares DWA Technical Leaders
                               Portfolio.
PEY.........................  PowerShares High Yield Equity Dividend
                               Achievers Portfolio.
PFF.........................  iShares S&P US Preferred Stock Index Fund.
PFM.........................  PowerShares Dividend Achievers Portfolio.
PGF.........................  PowerShares Financial Preferred Portfolio.
PGX.........................  PowerShares Preferred Portfolio.
PHB.........................  PowerShares Fundamental High Yield
                               Corporate Bond Portfolio.
PHO.........................  PowerShares Water Resources Portfolio.
PHYS........................  Sprott Physical Gold Trust.
PID.........................  PowerShares International Dividend
                               Achievers Portfolio.
PIE.........................  PowerShares DWA Emerging Markets Technical
                               Leaders Portfolio.
PIN.........................  PowerShares India Portfolio.
PJP.........................  Powershares Dynamic Pharmaceuticals
                               Portfolio.
PLW.........................  PowerShares 1-30 Laddered Treasury
                               Portfolio.
PPH.........................  Market Vectors Pharmaceutical ETF.
PPLT........................  ETFS Platinum Trust.
PRF.........................  Powershares FTSE RAFI US 1000 Portfolio.
PRFZ........................  PowerShares FTSE RAFI US 1500 Small-Mid
                               Portfolio.
PSLV........................  Sprott Physical Silver Trust.
PSP.........................  PowerShares Global Listed Private Equity
                               Portfolio.
PSQ.........................  ProShares Short QQQ.
PVI.........................  PowerShares VRDO Tax Free Weekly
                               Portfolio.
PXH.........................  PowerShares FTSE RAFI Emerging Markets
                               Portfolio.
PZA.........................  PowerShares Insured National Municipal
                               Bond Portfolio.
QQQ.........................  Powershares QQQ Trust Series 1.
REM.........................  iShares FTSE NAREIT Mortgage Plus Capped
                               Index Fund.
REMX........................  Market Vectors Rare Earth/Strategic Metals
                               ETF.
REZ.........................  iShares FTSE NAREIT Residential Plus
                               Capped Index Fund.
RFG.........................  Guggenheim S&P Midcap 400 Pure Growth ETF.
RJA.........................  ELEMENTS Linked to the Rogers
                               International Commodity Index--Agri Tot
                               Return.
RJI.........................  ELEMENTS Linked to the Rogers
                               International Commodity Index--Total
                               Return.
RJN.........................  ELEMENTS Linked to the Rogers
                               International Commodity Index--Energy To
                               Return.
RJZ.........................  ELEMENTS Linked to the Rogers
                               International Commodity Index--Metals Tot
                               Return.
RPG.........................  Guggenheim S&P 500 Pure Growth ETF.
RSP.........................  Guggenheim S&P 500 Equal Weight ETF.
RSX.........................  Market Vectors Russia ETF.
RTH.........................  Market Vectors Retail ETF.
RWM.........................  ProShares Short Russell2000.
RWO.........................  SPDR Dow Jones Global Real Estate ETF.
RWR.........................  SPDR Dow Jones REIT ETF.
RWX.........................  SPDR Dow Jones International Real Estate
                               ETF.
RYH.........................  Guggenheim S&P 500 Equal Weight Healthcare
                               ETF.
SAGG........................  Direxion Daily Total Bond Market Bear 1x
                               Shares.
SCHA........................  Schwab US Small-Cap ETF.
SCHB........................  Schwab US Broad Market ETF.
SCHD........................  Schwab US Dividend Equity ETF.
SCHE........................  Schwab Emerging Markets Equity ETF.
SCHF........................  Schwab International Equity ETF.
SCHG........................  Schwab U.S. Large-Cap Growth ETF.

[[Page 15769]]

 
SCHH........................  Schwab U.S. REIT ETF.
SCHM........................  Schwab U.S. Mid-Cap ETF.
SCHO........................  Schwab Short-Term U.S. Treasury ETF.
SCHP........................  Schwab U.S. TIPs ETF.
SCHR........................  Schwab Intermediate-Term U.S. Treasury
                               ETF.
SCHV........................  Schwab U.S. Large-Cap Value ETF.
SCHX........................  Schwab US Large-Cap ETF.
SCHZ........................  Schwab U.S. Aggregate Bond ETF.
SCPB........................  SPDR Barclays Capital Short Term Corporate
                               Bond ETF.
SCZ.........................  iShares MSCI EAFE Small Cap Index Fund.
SDY.........................  SPDR S&P Dividend ETF.
SEF.........................  ProShares Short Financials.
SGG.........................  iPath Dow Jones-UBS Sugar Subindex Total
                               Return ETN.
SGOL........................  ETFS Gold Trust.
SH..........................  ProShares Short S&P500.
SHM.........................  SPDR Nuveen Barclays Capital Short Term
                               Municipal Bond ETF.
SHV.........................  iShares Barclays Short Treasury Bond Fund.
SHY.........................  iShares Barclays 1-3 Year Treasury Bond
                               Fund.
SIL.........................  Global X Silver Miners ETF.
SIVR........................  ETFS Physical Silver Shares.
SJB.........................  ProShares Short High Yield.
SJNK........................  SPDR Barclays Capital Short Term High
                               Yield Bond ETF.
SLV.........................  iShares Silver Trust.
SLX.........................  Market Vectors Steel Index Fund.
SMH.........................  Market Vectors Semiconductor ETF.
SOXX........................  iShares PHLX SOX Semiconductor Sector
                               Index Fund.
SPLV........................  PowerShares S&P 500 Low Volatility
                               Portfolio.
SPY.........................  SPDR S&P 500 ETF Trust.
SPYG........................  SPDR S&P 500 Growth ETF.
SPYV........................  SPDR S&P 500 Value ETF.
STIP........................  iShares Barclays 0-5 Year TIPS Bond Fund.
STPP........................  iPath US Treasury Steepener ETN.
STPZ........................  PIMCO 1-5 Year US TIPS Index Fund.
SUB.........................  iShares S&P Short Term National AMT-Free
                               Municipal Bond Fund.
SVXY........................  ProShares Short VIX Short-Term Futures
                               ETF.
TAN.........................  Guggenheim Solar ETF.
TBF.........................  ProShares Short 20+ Year Treasury.
TBX.........................  ProShares Short 7-10 Treasury.
TFI.........................  SPDR Nuveen Barclays Capital Municipal
                               Bond ETF.
THD.........................  iShares MSCI Thailand Index Fund.
TIP.........................  iShares Barclays TIPS Bond Fund.
TLH.........................  iShares Barclays 10-20 Year Treasury Bond
                               Fund.
TLT.........................  iShares Barclays 20+ Year Treasury Bond
                               Fund.
TUR.........................  iShares MSCI Turkey Index Fund.
UDN.........................  PowerShares DB US Dollar Index Bearish
                               Fund.
UGA.........................  United States Gasoline Fund LP.
UNG.........................  United States Natural Gas Fund LP.
URA.........................  Global X Uranium ETF.
USCI........................  United States Commodity Index Fund.
USL.........................  United States 12 Month Oil Fund LP.
USO.........................  United States Oil Fund LP.
UUP.........................  PowerShares DB US Dollar Index Bullish
                               Fund.
VAW.........................  Vanguard Materials ETF.
VB..........................  Vanguard Small-Cap ETF.
VBK.........................  Vanguard Small-Cap Growth ETF.
VBR.........................  Vanguard Small-Cap Value ETF.
VCIT........................  Vanguard Intermediate-Term Corporate Bond
                               ETF.
VCLT........................  Vanguard Long-Term Corporate Bond ETF.
VCR.........................  Vanguard Consumer Discretionary ETF.
VCSH........................  Vanguard Short-Term Corporate Bond ETF.
VDC.........................  Vanguard Consumer Staples ETF.
VDE.........................  Vanguard Energy ETF.
VEA.........................  Vanguard MSCI EAFE ETF.
VEU.........................  Vanguard FTSE All-World ex-US ETF.
VFH.........................  Vanguard Financials ETF.
VGK.........................  Vanguard MSCI European ETF.
VGT.........................  Vanguard Information Technology ETF.
VHT.........................  Vanguard Health Care ETF.
VIG.........................  Vanguard Dividend Appreciation ETF.
VIIX........................  VelocityShares VIX Short Term ETN.
VIOO........................  Vanguard S&P Small-Cap 600 ETF.
VIS.........................  Vanguard Industrials ETF.

[[Page 15770]]

 
VIXM........................  ProShares VIX Mid-Term Futures ETF.
VIXY........................  ProShares VIX Short-Term Futures ETF.
VMBS........................  Vanguard Mortgage-Backed Securities ETF.
VNM.........................  Market Vectors Vietnam ETF.
VNQ.........................  Vanguard REIT ETF.
VO..........................  Vanguard Mid-Cap ETF.
VOE.........................  Vanguard Mid-Cap Value Index Fund/Closed-
                               end.
VONE........................  Vanguard Russell 1000.
VONG........................  Vanguard Russell 1000 Growth ETF.
VONV........................  Vanguard Russell 1000 Value.
VOO.........................  Vanguard S&P 500 ETF.
VOOG........................  Vanguard S&P 500 Growth ETF.
VOOV........................  Vanguard S&P 500 Value ETF.
VOT.........................  Vanguard Mid-Cap Growth Index Fund/Closed-
                               end.
VOX.........................  Vanguard Telecommunication Services ETF.
VPL.........................  Vanguard MSCI Pacific ETF.
VPU.........................  Vanguard Utilities ETF.
VQT.........................  Barclays ETN+ ETNs Linked to the S&P 500
                               Dynamic VEQTORTM TotaL Return Index.
VSS.........................  Vanguard FTSE All World ex-US Small-Cap
                               ETF.
VT..........................  Vanguard Total World Stock Index Fund ETF.
VTHR........................  Vanguard Russell 3000.
VTI.........................  Vanguard Total Stock Market ETF.
VTV.........................  Vanguard Value ETF.
VTWG........................  Vanguard Russell 2000 Growth.
VTWO........................  Vanguard Russell 2000.
VTWV........................  Vanguard Russell 2000 Value.
VUG.........................  Vanguard Growth ETF.
VV..........................  Vanguard Large-Cap ETF.
VWO.........................  Vanguard MSCI Emerging Markets ETF.
VXAA........................  ETRACS 1-Month S&P 500 VIX Futures ETN.
VXEE........................  ETRACS 5-Month S&P 500 VIX Futures ETN.
VXF.........................  Vanguard Extended Market ETF.
VXUS........................  Vanguard Total International Stock ETF.
VXX.........................  iPATH S&P 500 VIX Short-Term Futures ETN.
VXZ.........................  iPATH S&P 500 VIX Mid-Term Futures ETN.
VYM.........................  Vanguard High Dividend Yield ETF.
VZZB........................  iPath Long Enhanced S&P 500 VIX Mid-Term
                               FuturesTM ETN II.
WDTI........................  WisdomTree Managed Futures Strategy Fund.
WIP.........................  SPDR DB International Government Inflation-
                               Protected Bond ETF.
XBI.........................  SPDR S&P Biotech ETF.
XES.........................  SPDR S&P Oil & Gas Equipment & Services
                               ETF.
XHB.........................  SPDR S&P Homebuilders ETF.
XIV.........................  VelocityShares Daily Inverse VIX Short
                               Term ETN.
XLB.........................  Materials Select Sector SPDR Fund.
XLE.........................  Energy Select Sector SPDR Fund.
XLF.........................  Financial Select Sector SPDR Fund.
XLG.........................  Guggenheim Russell Top 50 ETF.
XLI.........................  Industrial Select Sector SPDR Fund.
XLK.........................  Technology Select Sector SPDR Fund.
XLP.........................  Consumer Staples Select Sector SPDR Fund.
XLU.........................  Utilities Select Sector SPDR Fund.
XLV.........................  Health Care Select Sector SPDR Fund.
XLY.........................  Consumer Discretionary Select Sector SPDR
                               Fund.
XME.........................  SPDR S&P Metals & Mining ETF.
XOP.........................  SPDR S&P Oil & Gas Exploration &
                               Production ETF.
XPH.........................  SPDR S&P Pharmaceuticals ETF.
XRT.........................  SPDR S&P Retail ETF.
XSD.........................  SPDR S&P Semiconductor ETF.
XXV.........................  iPath Inverse S&P 500 VIX Short-Term
                               Futures ETN.
ZROZ........................  PIMCO 25+ Year Zero Coupon US Treasury
                               Index Fund.
------------------------------------------------------------------------

Appendix B--Data

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

I. Summary Statistics

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

1. Partition stocks by category

    a. Tier 1 non-ETP issues > $3.00
    b. Tier 1 non-ETP issues >= $0.75 and <= $3.00

[[Page 15771]]

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

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

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

A. Record of every Straddle State
    1. Ticker, date, time entered, time exited, flag for ending with 
Limit State, flag for ending with manual override.
    2. Pipe delimited with field names as first record.
B. Record of every Price Band
    1. Ticker, date, time at beginning of Price Band, Upper Price 
Band, Lower Price Band
    2. Pipe delimited with field names as first record
C. Record of every Limit State
    1. Ticker, date, time entered, time exited, flag for halt
    2. Pipe delimited with field names as first record
D. Record of every Trading Pause or halt
    1. Ticker, date, time entered, time exited, type of halt (i.e., 
regulatory halt, non-regulatory halt, Trading Pause pursuant to the 
Plan, other)
    2. Pipe delimited with field names as first record
E. Data set or orders entered into reopening auctions during halts 
or Trading Pauses
    1. Arrivals, Changes, Cancels,  shares, limit/market, 
side, Limit State side
    2. Pipe delimited with field name as first record
F. Data set of order events received during Limit States
G. Summary data on order flow of arrivals and cancellations for each 
15-second period for discrete time periods and sample stocks to be 
determined by the SEC in subsequent data requests. Must indicate 
side(s) of Limit State.
1. Market/marketable sell orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
2. Market/marketable buy orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
3. Count arriving, volume arriving and shares executing in limit 
sell orders above NBBO mid-point
4. Count arriving, volume arriving and shares executing in limit 
sell orders at or below NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy 
orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy 
orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above 
NBBO mid-point plus $0.05
8. Count and volume arriving of limit buy orders priced at or below 
NBBO mid-point minus $0.05
9. Count and volume of (3-8) for cancels
10. Include: Ticker, date, time at start, time of Limit State, all 
data item fields in 1, last sale prior to 15-second period (null if 
no trades today), range during 15-second period, last trade during 
15-second period

III. At least two months prior to the end of the Pilot Period, all 
Participants shall provide to the SEC assessments relating to the 
impact of the Plan and calibration of the Percentage Parameters as 
follows:

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

[FR Doc. 2013-05635 Filed 3-11-13; 8:45 am]
BILLING CODE 8011-01-P

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