Joint Industry Plan; Notice of Filing and Immediate Effectiveness of the Fourth 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., 54321-54336 [2013-21301]

Agencies

• SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 78, Number 170 (Tuesday, September 3, 2013)]
[Notices]
[Pages 54321-54336]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-21301]



[[Page 54321]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-70273; File No. 4-631]


Joint Industry Plan; Notice of Filing and Immediate Effectiveness 
of the Fourth 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.

August 27, 2013.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder,\2\ notice is hereby given that, 
on July 18, 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'') for a proposal 
to amend the Plan to Address Extraordinary Market Volatility 
(``Plan'').\3\ The proposal represents the fourth amendment to the Plan 
(``Fourth Amendment''), and reflects changes unanimously approved by 
the Participants. The Fourth Amendment to the Plan proposes to make 
technical changes to the implementation schedule of the Plan. A copy of 
the Plan, as proposed to be amended, is attached as Exhibit A hereto. 
Pursuant to Rule 608(b)(3)(iii) under Regulation NMS,\4\ the 
Participants designate the amendment as involving solely technical or 
ministerial matters. As a result, the amendment becomes effective upon 
filing with the Commission. The Commission is publishing this notice to 
solicit comments from interested persons on the Fourth Amendment to the 
Plan.
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    \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 July 17, 2013 (``Transmittal Letter'').
    \4\ 17 CFR 242.608(b)(3)(iii).
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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.\5\ 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.\6\ 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).
---------------------------------------------------------------------------

    \5\ 17 CFR 242.600(b)(47). See also Section I(H) of the Plan.
    \6\ See Section V of the Plan.
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    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.\7\ 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.\8\ Those price bands would be based on 
a Reference Price \9\ 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 \10\ 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.
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    \7\ Capitalized terms used herein but not otherwise defined 
shall have the meaning ascribed to such terms in the Plan. See 
Exhibit A, infra.
    \8\ 17 CFR 242.603(b). The Plan refers to this entity as the 
Processor.
    \9\ See Section I(T) of the Plan.
    \10\ 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'').
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    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 \11\ or National Best Offer \12\ 
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,\13\ 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.\14\ 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

[[Page 54322]]

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.
---------------------------------------------------------------------------

    \11\ 17 CFR 242.600(b)(42). See also Section I(G) of the Plan.
    \12\ Id.
    \13\ 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.
    \14\ See Section I(D) of the Plan.
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    These limit up-limit down requirements would be coupled with 
trading pauses \15\ 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 \16\ 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.
---------------------------------------------------------------------------

    \15\ 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.
    \16\ 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, 
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,\17\ thereby protecting 
investors and promoting a fair and orderly market.\18\ 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.\19\
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    \17\ 17 CFR 242.600(b)(47).
    \18\ See Transmittal Letter, supra note 3.
    \19\ 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).
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    The following summarizes the Fourth Amendment to the Plan and the 
rationale behind those changes:
    The Participants propose to amend Section VIII.B of the Plan to 
establish a new implementation schedule for Phase II of the Plan. The 
Plan currently provides that six months after the initial date of Plan 
operations, 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. Because the initial 
date of Plan operations was April 8, 2013, the Plan currently provides 
that it shall be fully implemented by October 8, 2013. The Participants 
propose to amend Section VIII.B to provide that 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, eight months after the initial date of Plan 
operations. This will extend the time to fully implement the Plan to 
December 8, 2013.
    The Participants propose to make this change to accommodate a 
longer implementation period for Phase II of the Plan, which is 
currently scheduled to begin on August 5, 2013, that will separate the 
implementation of Phase II into two stages. During the first stage of 
Phase II, the Plan will be rolled out to all NMS Stocks beginning at 
9:30 a.m. E.T. and ending at 3:45 p.m. ET each trading day, or fifteen 
minutes before the close in the case of an early scheduled close. Once 
this stage is complete, the Participants will extend the time of Plan 
operations to 4:00 p.m. ET each trading day, or earlier in the case of 
an early scheduled close.
    The Participants believe that this proposed amendment is technical 
and ministerial in nature because it simply extends the implementation 
period of the Plan and does not change any substantive elements of the 
Plan. The proposed modification to the implementation schedule is in 
response to requests by the securities industry for additional time for 
systems testing by Participants and the securities industry, 
particularly around the close.\20\ The Participants believe that 
providing additional time for the Participants and the securities 
industry to test the manner by which the Plan operates around the 
close, particularly when there is a trading pause less than five 
minutes before the scheduled close of trading, is necessary and 
appropriate in the public interest and for the protection of investors. 
In addition, the Participants note that they plan to file an additional 
amendment to the Plan \21\ to revise the manner by which the Plan would 
operate near the close. Specifically, the Participants will be 
proposing to provide that if a Trading Pause is declared for an NMS 
Stock within the last ten minutes of trading, the Primary Listing 
Exchange will not reopen the NMS Stock and will instead attempt to 
close the NMS Stock using established closing procedures. The 
Participants believe that the proposal to extend the implementation 
period is necessary to provide additional time for the amendment to the 
Plan to go through an appropriate notice and comment period and 
approval process.
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    \20\ See Letter from T.R. Lazo, Managing Director and Associate 
General Counsel, SIFMA to John Ramsey, Acting Director, Division of 
Trading and Markets, Commission, dated July 10, 2013. The 
Participants noted that SIFMA supports the proposed adjustment to 
the implementation schedule of Phase II of the Plan. See also Letter 
from Kimberly Unger, Chief Executive Office and Executive Director, 
STANY, to Elizabeth M. Murphy, Secretary, Commission, dated July 10, 
2013.
    \21\ See Letter from Janet M. McGinness, Executive Vice 
President & Corporate Secretary, NYSE Euronext, to Elizabeth M. 
Murphy, Secretary, Commission, dated July 17, 2013 (``Fifth 
Amendment''). See also Securities Exchange Act Release No. XXXX 
(July X, 2013).
---------------------------------------------------------------------------

    The Participants also propose a technical, non-substantive 
amendment to Section VIII(A)(3) to fix a typographical error. The 
amended version of the Plan also includes the revised Appendix A--
Schedule 1, which was updated for trading beginning on July 1, 2013. As 
set forth in Appendix A--Percentage Parameters, the Primary Listing 
Exchanges update Scheduled 1 to Appendix A semi-annually based on the 
fiscal year and such updates do not require a Plan amendment.

B. Governing or Constituent Documents

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

C. Implementation of Plan

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

[[Page 54323]]

D. Development and Implementation Phases

    The Plan will be implemented as a one-year pilot program in two 
Phases, consistent with Section VIII of the Plan: Phase I of Plan 
implementation began on April 8, 2013 and was completed on May 3, 2013 
The Participants currently anticipate that Phase II of Plan 
implementation will begin on August 5, 2013. Phase II of the Plan may 
be rolled out to applicable NMS Stocks over a period not to exceed four 
months and will be in two stages: (1) Applying the Plan to all NMS 
Stocks beginning at 9:30 a.m. ET and ending at 3:45 p.m. ET, or fifteen 
minutes before the close in the case of an early scheduled close; and 
(2) extending Plan operations to 4:00 p.m. ET, or earlier in the case 
of an early scheduled close. Any such roll-out period will be made 
available in advance of the implementation dates for Phase 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.\22\
---------------------------------------------------------------------------

    \22\ 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.\23\ 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 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.\24\
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    \23\ See Section I(J) of the Plan.
    \24\ 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 Fourth 
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 Fourth Amendment to the Plan that are 
filed with the Commission, and all written communications relating to 
the Fourth 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 September 24, 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                                                             Page
Preamble.......................................................  .......
I. Definitions.................................................  .......
II. Parties....................................................  .......
III. Amendments to Plan........................................  .......
IV. Trading Center Policies and Procedures.....................  .......
V. Price Bands.................................................  .......
VI. Limit Up-Limit Down Requirements...........................  .......
VII. Trading Pauses............................................  .......
VIII. Implementation...........................................  .......
IX. Withdrawal from Plan.......................................  .......
X. Counterparts and Signatures.................................  .......

[[Page 54324]]

 
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 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

[[Page 54325]]

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 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

[[Page 54326]]

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 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

[[Page 54327]]

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 [disseminated] and therefore 
trading shall not enter a Limit State less than 30 minutes before the 
end of Regular Trading Hours.

(B) Phase II--Full Implementation

    [Six] Eight months after the initial date of Plan operations, or 
such earlier date as may be announced by the Processor with at least 30 
days notice, the Plan shall fully apply (i) to all NMS Stocks; and (ii) 
beginning at 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 July 2013 by each of the parties hereto.

BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------
BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------
CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------
THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------
NATIONAL STOCK EXCHANGE, INC.------------------------------------------
BY:--------------------------------------------------------------------
NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------
NYSE MKT 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,

[[Page 54328]]

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
------------------------------------------------------------------------
       Ticker                   Name                Primary exchange
------------------------------------------------------------------------
AAXJ................  iShares MSCI All Country  NASDAQ GM
                       Asia ex Japan Index
                       Fund.
ACWI................  iShares MSCI ACWI Index   NASDAQ GM
                       Fund.
ACWV................  iShares MSCI All Country  NYSE Arca
                       World Minimum
                       Volatility Index Fund.
ACWX................  iShares MSCI ACWI ex US   NASDAQ GM
                       Index Fund.
AGG.................  iShares Core Total US     NYSE Arca
                       Bond Market ETF.
AGOL................  ETFS Asian Gold Trust...  NYSE Arca
AGZ.................  iShares Barclays Agency   NYSE Arca
                       Bond Fund.
ALD.................  WisdomTree Asia Local     NYSE Arca
                       Debt Fund.
AMJ.................  JPMorgan Alerian MLP      NYSE Arca
                       Index ETN.
AMLP................  Alerian MLP ETF.........  NYSE Arca
AMU.................  ETRACS Alerian MLP Index  NYSE Arca
                       ETN.
BAB.................  PowerShares Build         NYSE Arca
                       America Bond Portfolio.
BAL.................  iPath Dow Jones-UBS       NYSE Arca
                       Cotton Subindex Total
                       Return Callable ETN.
BBH.................  Market Vectors Biotech    NYSE Arca
                       ETF.
BDG.................  PowerShares DB Base       NYSE Arca
                       Metals Long ETN.
BFOR................  Barron's 400 ETF........  NYSE Arca
BIK.................  SPDR S&P BRIC 40 ETF....  NYSE Arca
BIL.................  SPDR Barclays 1-3 Month   NYSE Arca
                       T-Bill.
BIV.................  Vanguard Intermediate-    NYSE Arca
                       Term Bond ETF.
BKF.................  iShares MSCI BRIC Index   NYSE Arca
                       Fund.
BKLN................  PowerShares Senior Loan   NYSE Arca
                       Portfolio.
BLV.................  Vanguard Long-Term Bond   NYSE Arca
                       ETF.
BND.................  Vanguard Total Bond       NYSE Arca
                       Market ETF.
BNDX................  Vanguard Total            NASDAQ GM
                       International Bond ETF.
BNO.................  United States Brent Oil   NYSE Arca
                       Fund LP.
BOND................  Pimco Total Return ETF..  NYSE Arca
BOS.................  PowerShares DB Base       NYSE Arca
                       Metals Short ETN.
BRF.................  Market Vectors Brazil     NYSE Arca
                       Small-Cap ETF.
BSJE................  Guggenheim BulletShares   NYSE Arca
                       2014 High Yield
                       Corporate Bond ETF.
BSJF................  Guggenheim BulletShares   NYSE Arca
                       2015 High Yield
                       Corporate Bond ETF.
BSV.................  Vanguard Short-Term Bond  NYSE Arca
                       ETF.
BWV.................  iPath CBOE S&P 500        NYSE Arca
                       BuyWrite Index ETN.
BWX.................  SPDR Barclays             NYSE Arca
                       International Treasury
                       Bond ETF.
CEW.................  WisdomTree Emerging       NYSE Arca
                       Currency Fund.
CFT.................  iShares Barclays Credit   NYSE Arca
                       Bond Fund.
CHIQ................  Global X China Consumer   NYSE Arca
                       ETF.
CIU.................  iShares Barclays          NYSE Arca
                       Intermediate Credit
                       Bond Fund.
CLY.................  iShares 10+ Year Credit   NYSE Arca
                       Bond Fund.
CMF.................  iShares S&P California    NYSE Arca
                       AMT-Free Municipal Bond
                       Fund.
CORN................  Teucrium Corn Fund......  NYSE Arca
CSD.................  Guggenheim Spin-Off ETF.  NYSE Arca
CSJ.................  iShares Barclays 1-3      NYSE Arca
                       Year Credit Bond Fund.
CUT.................  Guggenheim Timber ETF...  NYSE Arca
CVY.................  Guggenheim Multi-Asset    NYSE Arca
                       Income ETF.
CWB.................  SPDR Barclays             NYSE Arca
                       Convertible Securities
                       ETF.
CWI.................  SPDR MSCI ACWI ex-US ETF  NYSE Arca
DBA.................  PowerShares DB            NYSE Arca
                       Agriculture Fund.
DBB.................  PowerShares DB Base       NYSE Arca
                       Metals Fund.

[[Page 54329]]

 
DBC.................  PowerShares DB Commodity  NYSE Arca
                       Index Tracking Fund.
DBE.................  PowerShares DB Energy     NYSE Arca
                       Fund.
DBJP................  db X-trackers MSCI Japan  NYSE Arca
                       Hedged Equity Fund.
DBO.................  PowerShares DB Oil Fund.  NYSE Arca
DBP.................  PowerShares DB Precious   NYSE Arca
                       Metals Fund.
DBV.................  PowerShares DB G10        NYSE Arca
                       Currency Harvest Fund.
DEM.................  WisdomTree Emerging       NYSE Arca
                       Markets Equity Income
                       Fund.
DES.................  WisdomTree SmallCap       NYSE Arca
                       Dividend Fund.
DFJ.................  WisdomTree Japan          NYSE Arca
                       SmallCap Dividend Fund.
DGL.................  PowerShares DB Gold Fund  NYSE Arca
DGS.................  WisdomTree Emerging       NYSE Arca
                       Markets SmallCap
                       Dividend Fund.
DGZ.................  PowerShares DB Gold       NYSE Arca
                       Short ETN.
DHS.................  WisdomTree Equity Income  NYSE Arca
                       Fund.
DIA.................  SPDR Dow Jones            NYSE Arca
                       Industrial Average ETF
                       Trust.
DJCI................  ETRACS DJ-UBS Commodity   NYSE Arca
                       Index Total Return ETN.
DJP.................  iPath Dow Jones-UBS       NYSE Arca
                       Commodity Index Total
                       Return ETN.
DLN.................  WisdomTree LargeCap       NYSE Arca
                       Dividend Fund.
DLS.................  WisdomTree International  NYSE Arca
                       SmallCap Dividend Fund.
DOG.................  ProShares Short Dow30...  NYSE Arca
DON.................  WisdomTree MidCap         NYSE Arca
                       Dividend Fund.
DTN.................  WisdomTree Dividend Ex-   NYSE Arca
                       Financials Fund.
DVY.................  iShares Dow Jones Select  NYSE Arca
                       Dividend Index Fund.
DWX.................  SPDR S&P International    NYSE Arca
                       Dividend ETF.
DXJ.................  WisdomTree Japan Hedged   NYSE Arca
                       Equity Fund.
EBND................  SPDR Barclays Emerging    NYSE Arca
                       Markets Local Bond ETF.
ECH.................  iShares MSCI Chile        NYSE Arca
                       Capped Investable
                       Market Index Fund.
ECON................  EGShares Emerging         NYSE Arca
                       Markets Consumer ETF.
EDIV................  SPDR S&P Emerging         NYSE Arca
                       Markets Dividend ETF.
EDV.................  Vanguard Extended         NYSE Arca
                       Duration Treasury ETF.
EEM.................  iShares MSCI Emerging     NYSE Arca
                       Markets Index Fund.
EEMA................  iShares MSCI Emerging     NASDAQ GM
                       Markets Asia Index.
EEMV................  iShares MSCI Emerging     NYSE Arca
                       Markets Minimum
                       Volatility Index Fund.
EFA.................  iShares MSCI EAFE Index   NYSE Arca
                       Fund.
EFAV................  iShares MSCI EAFE         NYSE Arca
                       Minimum Volatility
                       Index Fund.
EFG.................  iShares MSCI EAFE Growth  NYSE Arca
                       Index.
EFV.................  iShares MSCI EAFE Value   NYSE Arca
                       Index.
EFZ.................  ProShares Short MSCI      NYSE Arca
                       EAFE.
EIDO................  iSHARES MSCI Indonesia    NYSE Arca
                       Investable Market Index
                       Fund.
ELD.................  WisdomTree Emerging       NYSE Arca
                       Markets Local Debt Fund.
ELR.................  SPDR Dow Jones Large Cap  NYSE Arca
                       ETF.
EMB.................  iShares JPMorgan USD      NYSE Arca
                       Emerging Markets Bond
                       Fund.
EMLC................  Market Vectors Emerging   NYSE Arca
                       Markets Local Currency
                       Bond ETF.
EMM.................  SPDR Dow Jones Mid Cap    NYSE Arca
                       ETF.
ENZL................  iShares MSCI New Zealand  NYSE Arca
                       Capped Investable
                       Market Index Fund.
EPHE................  iShares MSCI Philippines  NYSE Arca
                       Investable Market Index
                       Fund.
EPI.................  WisdomTree India          NYSE Arca
                       Earnings Fund.
EPOL................  iShares MSCI Poland       NYSE Arca
                       Capped Investable
                       Market Index Fund.
EPP.................  iShares MSCI Pacific ex-  NYSE Arca
                       Japan Index Fund.
EPU.................  iShares MSCI All Peru     NYSE Arca
                       Capped Index Fund.
ERUS................  iShares MSCI Russia       NYSE Arca
                       Capped Index Fund.
EUM.................  ProShares Short MSCI      NYSE Arca
                       Emerging Markets.
EWA.................  iShares MSCI Australia    NYSE Arca
                       Index Fund.
EWC.................  iShares MSCI Canada       NYSE Arca
                       Index Fund.
EWD.................  iShares MSCI Sweden       NYSE Arca
                       Index Fund.
EWG.................  iShares MSCI Germany      NYSE Arca
                       Index Fund.
EWH.................  iShares MSCI Hong Kong    NYSE Arca
                       Index Fund.
EWI.................  iShares MSCI Italy        NYSE Arca
                       Capped Index Fund.
EWJ.................  iShares MSCI Japan Index  NYSE Arca
                       Fund.
EWL.................  iShares MSCI Switzerland  NYSE Arca
                       Capped Index Fund.
EWM.................  iShares MSCI Malaysia     NYSE Arca
                       Index Fund.
EWN.................  iShares MSCI Netherlands  NYSE Arca
                       Investable Market Index
                       Fund.
EWO.................  iShares MSCI Austria      NYSE Arca
                       Capped Investable
                       Market Index Fund.
EWP.................  iShares MSCI Spain        NYSE Arca
                       Capped Index Fund.
EWQ.................  iShares MSCI France       NYSE Arca
                       Index Fund.
EWS.................  iShares MSCI Singapore    NYSE Arca
                       Index Fund.
EWT.................  iShares MSCI Taiwan       NYSE Arca
                       Index Fund.
EWU.................  iShares MSCI United       NYSE Arca
                       Kingdom Index Fund.
EWW.................  iShares MSCI Mexico       NYSE Arca
                       Capped Investable
                       Market Index Fund.
EWX.................  SPDR S&P Emerging         NYSE Arca
                       Markets SmallCap ETF.
EWY.................  iShares MSCI South Korea  NYSE Arca
                       Capped Index Fund.
EWZ.................  iShares MSCI Brazil       NYSE Arca
                       Capped Index Fund.

[[Page 54330]]

 
EXI.................  iShares S&P Global        NYSE Arca
                       Industrials Sector
                       Index Fund.
EZA.................  iShares MSCI South        NYSE Arca
                       Africa Index Fund.
EZU.................  iShares MSCI EMU Index    NYSE Arca
                       Fund.
FBT.................  First Trust NYSE Arca     NYSE Arca
                       Biotechnology Index
                       Fund.
FCG.................  First Trust ISE-Revere    NYSE Arca
                       Natural Gas Index Fund.
FDL.................  First Trust Morningstar   NYSE Arca
                       Dividend Leaders Index.
FDN.................  First Trust Dow Jones     NYSE Arca
                       Internet Index Fund.
FEM.................  First Trust Emerging      NYSE Arca
                       Markets AlphaDEX Fund.
FEX.................  First Trust Large Cap     NYSE Arca
                       Core AlphaDEX Fund.
FEZ.................  SPDR EURO STOXX 50 ETF..  NYSE Arca
FGD.................  First Trust DJ Global     NYSE Arca
                       Select Dividend Index
                       Fund.
FLOT................  iShares Floating Rate     NYSE Arca
                       Note Fund.
FLRN................  SPDR Barclays Investment  NYSE Arca
                       Grade Floating Rate ETF.
FM..................  iShares MSCI Frontier     NYSE Arca
                       100 ETF.
FNX.................  First Trust Mid Cap Core  NYSE Arca
                       AlphaDEX Fund.
FRI.................  First Trust S&P REIT      NYSE Arca
                       Index Fund.
FTA.................  First Trust Large Cap     NYSE Arca
                       Value AlphaDEX Fund.
FVD.................  First Trust Value Line    NYSE Arca
                       Dividend Index Fund.
FXA.................  CurrencyShares            NYSE Arca
                       Australian Dollar Trust.
FXB.................  CurrencyShares British    NYSE Arca
                       Pound Sterling Trust.
FXC.................  CurrencyShares Canadian   NYSE Arca
                       Dollar Trust.
FXD.................  First Trust Consumer      NYSE Arca
                       Discretionary AlphaDEX
                       Fund.
FXE.................  CurrencyShares Euro       NYSE Arca
                       Trust.
FXF.................  CurrencyShares Swiss      NYSE Arca
                       Franc Trust.
FXG.................  First Trust Consumer      NYSE Arca
                       Staples AlphaDEX Fund.
FXH.................  First Trust Health Care   NYSE Arca
                       AlphaDEX Fund.
FXI.................  iShares FTSE China 25     NYSE Arca
                       Index Fund.
FXL.................  First Trust Technology    NYSE Arca
                       AlphaDEX Fund.
FXO.................  First Trust Financial     NYSE Arca
                       AlphaDEX Fund.
FXY.................  CurrencyShares Japanese   NYSE Arca
                       Yen Trust.
FXZ.................  First Trust Materials     NYSE Arca
                       AlphaDEX Fund.
GCC.................  GreenHaven Continuous     NYSE Arca
                       Commodity Index Fund.
GDX.................  Market Vectors Gold       NYSE Arca
                       Miners ETF.
GDXJ................  Market Vectors Junior     NYSE Arca
                       Gold Miners ETF.
GII.................  SPDR S&P Global           NYSE Arca
                       Infrastructure ETF.
GIY.................  Guggenheim Enhanced Core  NYSE Arca
                       Bond ETF.
GLD.................  SPDR Gold Shares........  NYSE Arca
GMF.................  SPDR S&P Emerging Asia    NYSE Arca
                       Pacific ETF.
GMM.................  SPDR S&P Emerging         NYSE Arca
                       Markets ETF.
GMTB................  Columbia Core Bond ETF..  NYSE Arca
GNR.................  SPDR S&P Global Natural   NYSE Arca
                       Resources ETF.
GOVT................  iShares Barclays U.S.     NYSE Arca
                       Treasury Bond Fund.
GSG.................  iShares S&P GSCI          NYSE Arca
                       Commodity Indexed Trust.
GSP.................  iPath GSCI Total Return   NYSE Arca
                       Index ETN.
GSY.................  Guggenheim Enhanced       NYSE Arca
                       Short Duration Bond ETF.
GUNR................  FlexShares Global         NYSE Arca
                       Upstream Natural
                       Resources Index Fund.
GVI.................  iShares Barclays          NYSE Arca
                       Intermediate Government/
                       Credit Bond Fund.
GWL.................  SPDR S&P World ex-US ETF  NYSE Arca
GWX.................  SPDR S&P International    NYSE Arca
                       Small Cap ETF.
GXC.................  SPDR S&P China ETF......  NYSE Arca
GXG.................  Global X FTSE Colombia    NYSE Arca
                       20 ETF.
HAO.................  Guggenheim China Small    NYSE Arca
                       Cap ETF.
HDGE................  Ranger Equity Bear ETF..  NYSE Arca
HDV.................  iShares High Dividend     NYSE Arca
                       Equity Fund.
HEDJ................  WisdomTree Europe Hedged  NYSE Arca
                       Equity Fund.
HUSE................  Huntington US Equity      NYSE Arca
                       Rotation Strategy ETF.
HYD.................  Market Vectors High       NYSE Arca
                       Yield Municipal Index
                       ETF.
HYG.................  iShares iBoxx $ High      NYSE Arca
                       Yield Corporate Bond
                       Fund.
HYLD................  Peritus High Yield ETF..  NYSE Arca
HYMB................  SPDR Nuveen S&P High      NYSE Arca
                       Yield Municipal Bond
                       ETF.
HYS.................  PIMCO 0-5 Year High       NYSE Arca
                       Yield Corporate Bond
                       Index Exchange-Traded
                       Fund.
IAI.................  iShares Dow Jones US      NYSE Arca
                       Broker Dealers Index
                       Fund.
IAT.................  iShares Dow Jones US      NYSE Arca
                       Regional Banks Index
                       Fund.
IAU.................  iShares Gold Trust......  NYSE Arca
IBB.................  iShares Nasdaq            NASDAQ GM
                       Biotechnology Index
                       Fund.
IBND................  SPDR Barclays             NYSE Arca
                       International Corporate
                       Bond ETF.
ICF.................  iShares Cohen & Steers    NYSE Arca
                       Realty Majors Index
                       Fund.
IDU.................  iShares Dow Jones US      NYSE Arca
                       Utilities Sector Index
                       Fund.
IDV.................  iShares Dow Jones         NYSE Arca
                       International Select
                       Dividend Index Fund.
IDX.................  Market Vectors Indonesia  NYSE Arca
                       Index ETF.
IEF.................  iShares Barclays 7-10     NYSE Arca
                       Year Treasury Bond Fund.

[[Page 54331]]

 
IEFA................  iShares Core MSCI EAFE    NYSE Arca
                       ETF.
IEI.................  iShares Barclays 3-7      NYSE Arca
                       Year Treasury Bond Fund.
IELG................  iShares Enhanced U.S.     NYSE Arca
                       Large-Cap ETF.
IEMG................  iShares Core MSCI         NYSE Arca
                       Emerging Markets ETF.
IEO.................  iShares Dow Jones US Oil  NYSE Arca
                       & Gas Exploration &
                       Production Index Fund.
IESM................  iShares Enhanced U.S.     NYSE Arca
                       Small-Cap ETF.
IEV.................  iShares S&P Europe 350    NYSE Arca
                       Index Fund.
IEZ.................  iShares Dow Jones US Oil  NYSE Arca
                       Equipment & Services
                       Index Fund.
IFGL................  iShares FTSE EPRA/NAREIT  NASDAQ GM
                       Developed Real Estate
                       ex-US Index Fund.
IGE.................  iShares S&P North         NYSE Arca
                       American Natural
                       Resources Sector Index
                       Fund.
IGF.................  iShares S&P Global        NYSE Arca
                       Infrastructure Index
                       Fund.
IGM.................  iShares S&P North         NYSE Arca
                       American Technology
                       Sector Index Fund.
IGN.................  iShares S&P North         NYSE Arca
                       American Technology-
                       Multimedia Networking
                       Index Fund.
IGOV................  iShares S&P/Citigroup     NASDAQ GM
                       International Treasury
                       Bond Fund.
IGS.................  ProShares Short           NYSE Arca
                       Investment Grade
                       Corporate.
IGV.................  iShares S&P North         NYSE Arca
                       American Technology-
                       Software Index Fund.
IHE.................  iShares Dow Jones US      NYSE Arca
                       Pharmaceuticals Index
                       Fund.
IHF.................  iShares Dow Jones US      NYSE Arca
                       Healthcare Providers
                       Index Fund.
IHI.................  iShares Dow Jones US      NYSE Arca
                       Medical Devices Index
                       Fund.
IHY.................  Market Vectors            NYSE Arca
                       International High
                       Yield Bond ETF.
IJH.................  iShares Core S&P Mid-Cap  NYSE Arca
                       ETF.
IJJ.................  iShares S&P MidCap 400/   NYSE Arca
                       BARRA Value Index Fund.
IJK.................  iShares S&P MidCap 400    NYSE Arca
                       Growth Index Fund.
IJR.................  iShares Core S&P Small-   NYSE Arca
                       Cap ETF.
IJS.................  iShares S&P SmallCap 600  NYSE Arca
                       Value Index Fund.
IJT.................  iShares S&P SmallCap 600/ NYSE Arca
                       BARRA Growth Index Fund.
ILF.................  iShares S&P Latin         NYSE Arca
                       America 40 Index Fund.
ILTB................  iShares Core Long-Term    NYSE Arca
                       US Bond ETF.
INDA................  iShares MSCI India Index  BATS
                       Fund.
INDY................  iShares India 50 ETF....  NASDAQ GM
INP.................  iPath MSCI India Index    NYSE Arca
                       ETN.
IOO.................  iShares S&P Global 100    NYSE Arca
                       Index Fund.
IPE.................  SPDR Barclays TIPS ETF..  NYSE Arca
ISHG................  iShares S&P/Citigroup 1-  NASDAQ GM
                       3 Year International
                       Treasury Bond Fund.
ITB.................  iShares Dow Jones US      NYSE Arca
                       Home Construction Index
                       Fund.
ITM.................  Market Vectors            NYSE Arca
                       Intermediate Municipal
                       ETF.
ITOT................  iShares Core S&P Total    NYSE Arca
                       US Stock Market ETF.
ITR.................  SPDR Barclays             NYSE Arca
                       Intermediate Term
                       Corporate Bond ETF.
IVE.................  iShares S&P 500 Value     NYSE Arca
                       Index Fund.
IVOO................  Vanguard S&P Mid-Cap 400  NYSE Arca
                       ETF.
IVV.................  iShares Core S&P 500 ETF  NYSE Arca
IVW.................  iShares S&P 500 Growth    NYSE Arca
                       Index Fund.
IWB.................  iShares Russell 1000      NYSE Arca
                       Index Fund.
IWC.................  iShares Russell Microcap  NYSE Arca
                       Index Fund.
IWD.................  iShares Russell 1000      NYSE Arca
                       Value Index Fund.
IWF.................  iShares Russell 1000      NYSE Arca
                       Growth Index Fund.
IWM.................  iShares Russell 2000      NYSE Arca
                       Index Fund.
IWN.................  iShares Russell 2000      NYSE Arca
                       Value Index Fund.
IWO.................  iShares Russell 2000      NYSE Arca
                       Growth Index Fund.
IWP.................  iShares Russell Midcap    NYSE Arca
                       Growth Index Fund.
IWR.................  iShares Russell Midcap    NYSE Arca
                       Index Fund.
IWS.................  iShares Russell Midcap    NYSE Arca
                       Value Index Fund.
IWV.................  iShares Russell 3000      NYSE Arca
                       Index Fund.
IXC.................  iShares S&P Global        NYSE Arca
                       Energy Sector Index
                       Fund.
IXG.................  iShares S&P Global        NYSE Arca
                       Financials Sector Index
                       Fund.
IXJ.................  iShares S&P Global        NYSE Arca
                       Healthcare Sector Index
                       Fund.
IXN.................  iShares S&P Global        NYSE Arca
                       Technology Sector Index
                       Fund.
IXP.................  iShares S&P Global        NYSE Arca
                       Telecommunications
                       Sector Index Fund.
IYC.................  iShares Dow Jones US      NYSE Arca
                       Consumer Services
                       Sector Index Fund.
IYE.................  iShares Dow Jones US      NYSE Arca
                       Energy Sector Index
                       Fund.
IYF.................  iShares Dow Jones US      NYSE Arca
                       Financial Sector Index
                       Fund.
IYG.................  iShares Dow Jones US      NYSE Arca
                       Financial Services
                       Index Fund.
IYH.................  iShares Dow Jones US      NYSE Arca
                       Healthcare Sector Index
                       Fund.
IYJ.................  iShares Dow Jones US      NYSE Arca
                       Industrial Sector Index
                       Fund.
IYK.................  iShares Dow Jones US      NYSE Arca
                       Consumer Goods Sector
                       Index Fund.
IYM.................  iShares Dow Jones US      NYSE Arca
                       Basic Materials Sector
                       Index Fund.
IYR.................  iShares Dow Jones US      NYSE Arca
                       Real Estate Index Fund.
IYT.................  iShares Dow Jones         NYSE Arca
                       Transportation Average
                       Index Fund.
IYW.................  iShares Dow Jones US      NYSE Arca
                       Technology Sector Index
                       Fund.
IYY.................  iShares Dow Jones US      NYSE Arca
                       Index Fund.
IYZ.................  iShares Dow Jones US      NYSE Arca
                       Telecommunications
                       Sector Index Fund.

[[Page 54332]]

 
JJC.................  iPath Dow Jones-UBS       NYSE Arca
                       Copper Subindex Total
                       Return ETN.
JJG.................  iPath Dow Jones-UBS       NYSE Arca
                       Grains Subindex Total
                       Return ETN.
JKF.................  iShares Morningstar       NYSE Arca
                       Large Value Index Fund.
JKL.................  iShares Morningstar       NYSE Arca
                       Small Value Index Fund.
JNK.................  SPDR Barclays High Yield  NYSE Arca
                       Bond ETF.
JO..................  iPath Dow Jones-UBS       NYSE Arca
                       Coffee Subindex Total
                       Return ETN.
JXI.................  iShares S&P Global        NYSE Arca
                       Utilities Sector Index
                       Fund.
KBE.................  SPDR S&P Bank ETF.......  NYSE Arca
KBWB................  PowerShares KBW Bank      NYSE Arca
                       Portfolio.
KBWD................  PowerShares KBW High      NYSE Arca
                       Dividend Yield
                       Financial Portfolio.
KIE.................  SPDR S&P Insurance ETF..  NYSE Arca
KOL.................  Market Vectors Coal ETF.  NYSE Arca
KRE.................  SPDR S&P Regional         NYSE Arca
                       Banking ETF.
KXI.................  iShares S&P Global        NYSE Arca
                       Consumer Staples Sector
                       Index Fund.
LAG.................  SPDR Barclays Aggregate   NYSE Arca
                       Bond ETF.
LEMB................  iShares Emerging Markets  NYSE Arca
                       Local Currency Bond
                       Fund.
LQD.................  iShares iBoxx Investment  NYSE Arca
                       Grade Corporate Bond
                       Fund.
LTPZ................  PIMCO 15+ Year U.S. TIPS  NYSE Arca
                       Index Exchange-Traded
                       Fund.
LWC.................  SPDR Barclays Long Term   NYSE Arca
                       Corporate Bond ETF.
MBB.................  iShares Barclays MBS      NYSE Arca
                       Bond Fund.
MBG.................  SPDR Barclays Mortgage    NYSE Arca
                       Backed Bond ETF.
MCHI................  iShares MSCI China Index  NYSE Arca
                       Fund.
MDIV................  First Trust NASDAQ US     NASDAQ GM
                       Multi-Asset Diversified
                       Income Index Fund.
MDY.................  SPDR S&P MidCap 400 ETF   NYSE Arca
                       Trust.
MGC.................  Vanguard Mega Cap ETF...  NYSE Arca
MGK.................  Vanguard Mega Cap Growth  NYSE Arca
                       ETF.
MGV.................  Vanguard Mega Cap Value   NYSE Arca
                       ETF.
MINT................  PIMCO Enhanced Short      NYSE Arca
                       Maturity Exchange-
                       Traded Fund.
MLPI................  ETRACS Alerian MLP        NYSE Arca
                       Infrastructure Index
                       ETN.
MLPN................  Credit Suisse Cushing 30  NYSE Arca
                       MLP Index ETN.
MOO.................  Market Vectors            NYSE Arca
                       Agribusiness ETF.
MUB.................  iShares S&P National      NYSE Arca
                       Municipal Bond Fund.
MXI.................  iShares S&P Global        NYSE Arca
                       Materials Sector Index
                       Fund.
MYY.................  ProShares Short MidCap    NYSE Arca
                       400.
NKY.................  MAXIS Nikkei 225 Index    NYSE Arca
                       Fund ETF.
OEF.................  iShares S&P 100 Index     NYSE Arca
                       Fund.
OIH.................  Market Vectors Oil        NYSE Arca
                       Service ETF.
OIL.................  iPath Goldman Sachs       NYSE Arca
                       Crude Oil Total Return
                       Index ETN.
PALL................  ETFS Physical Palladium   NYSE Arca
                       Shares.
PBJ.................  Powershares Dynamic Food  NYSE Arca
                       & Beverage Portfolio.
PBP.................  PowerShares S&P 500       NYSE Arca
                       BuyWrite Portfolio.
PBS.................  Powershares Dynamic       NYSE Arca
                       Media Portfolio.
PCEF................  PowerShares CEF Income    NYSE Arca
                       Composite Portfolio.
PCY.................  PowerShares Emerging      NYSE Arca
                       Markets Sovereign Debt
                       Portfolio.
PDP.................  Powershares DWA           NYSE Arca
                       Technical Leaders
                       Portfolio.
PFF.................  iShares S&P US Preferred  NYSE Arca
                       Stock Index Fund.
PGF.................  PowerShares Financial     NYSE Arca
                       Preferred Portfolio.
PGX.................  PowerShares Preferred     NYSE Arca
                       Portfolio.
PHB.................  PowerShares Fundamental   NYSE Arca
                       High Yield Corporate
                       Bond Portfolio.
PHDG................  PS S&P Downside Hdgd....  NYSE Arca
PHO.................  PowerShares Water         NYSE Arca
                       Resources Portfolio.
PHYS................  Sprott Physical Gold      NYSE Arca
                       Trust.
PID.................  PowerShares               NYSE Arca
                       International Dividend
                       Achievers Portfolio.
PIE.................  PowerShares DWA Emerging  NYSE Arca
                       Markets Technical
                       Leaders Portfolio.
PIN.................  PowerShares India         NYSE Arca
                       Portfolio.
PIZ.................  PowerShares DWA           NYSE Arca
                       Developed Markets
                       Technical Leaders
                       Portfolio.
PJP.................  Powershares Dynamic       NYSE Arca
                       Pharmaceuticals
                       Portfolio.
PKW.................  PowerShares Buyback       NYSE Arca
                       Achievers Portfolio.
PPH.................  Market Vectors            NYSE Arca
                       Pharmaceutical ETF.
PPLT................  ETFS Platinum Trust.....  NYSE Arca
PRF.................  Powershares FTSE RAFI US  NYSE Arca
                       1000 Portfolio.
PRFZ................  PowerShares FTSE RAFI US  NASDAQ GM
                       1500 Small-Mid
                       Portfolio.
PSK.................  SPDR Wells Fargo          NYSE Arca
                       Preferred Stock ETF.
PSLV................  Sprott Physical Silver    NYSE Arca
                       Trust.
PSP.................  PowerShares Global        NYSE Arca
                       Listed Private Equity
                       Portfolio.
PSQ.................  ProShares Short QQQ.....  NYSE Arca
PWV.................  PowerShares Dynamic       NYSE Arca
                       Large Cap Value
                       Portfolio.
PXF.................  PowerShares FTSE RAFI     NYSE Arca
                       Developed Markets ex-
                       U.S. Portfolio.
PXH.................  PowerShares FTSE RAFI     NYSE Arca
                       Emerging Markets
                       Portfolio.
PZA.................  PowerShares Insured       NYSE Arca
                       National Municipal Bond
                       Portfolio.
QAI.................  IndexIQ ETF Trust--IQ     NYSE Arca
                       Hedge Multi-Strategy
                       Tracker ETF.

[[Page 54333]]

 
QQQ.................  Powershares QQQ Trust     NASDAQ GM
                       Series 1.
REM.................  iShares FTSE NAREIT       NYSE Arca
                       Mortgage Plus Capped
                       Index Fund.
REZ.................  iShares FTSE NAREIT       NYSE Arca
                       Residential Plus Capped
                       Index Fund.
RFG.................  Guggenheim S&P Midcap     NYSE Arca
                       400 Pure Growth ETF.
RJA.................  ELEMENTS Linked to the    NYSE Arca
                       Rogers International
                       Commodity Index--Agri
                       Tot Return.
RJI.................  ELEMENTS Linked to the    NYSE Arca
                       Rogers International
                       Commodity Index--Total
                       Return.
RPG.................  Guggenheim S&P 500 Pure   NYSE Arca
                       Growth ETF.
RPV.................  Guggenheim S&P 500 Pure   NYSE Arca
                       Value ETF.
RSP.................  Guggenheim S&P 500 Equal  NYSE Arca
                       Weight ETF.
RSX.................  Market Vectors Russia     NYSE Arca
                       ETF.
RTH.................  Market Vectors Retail     NYSE Arca
                       ETF.
RWM.................  ProShares Short           NYSE Arca
                       Russell2000.
RWO.................  SPDR Dow Jones Global     NYSE Arca
                       Real Estate ETF.
RWR.................  SPDR Dow Jones REIT ETF.  NYSE Arca
RWX.................  SPDR Dow Jones            NYSE Arca
                       International Real
                       Estate ETF.
RXI.................  iShares S&P Global        NYSE Arca
                       Consumer Discretionary
                       Sector Index Fund.
SAGG................  Direxion Daily Total      NYSE Arca
                       Bond Market Bear 1x
                       Shares.
SBB.................  ProShares Short           NYSE Arca
                       SmallCap600.
SCHA................  Schwab US Small-Cap ETF.  NYSE Arca
SCHB................  Schwab US Broad Market    NYSE Arca
                       ETF.
SCHD................  Schwab US Dividend        NYSE Arca
                       Equity ETF.
SCHE................  Schwab Emerging Markets   NYSE Arca
                       Equity ETF.
SCHF................  Schwab International      NYSE Arca
                       Equity ETF.
SCHG................  Schwab U.S. Large-Cap     NYSE Arca
                       Growth ETF.
SCHH................  Schwab U.S. REIT ETF....  NYSE Arca
SCHM................  Schwab U.S. Mid-Cap ETF.  NYSE Arca
SCHO................  Schwab Short-Term U.S.    NYSE Arca
                       Treasury ETF.
SCHP................  Schwab U.S. TIPs ETF....  NYSE Arca
SCHR................  Schwab Intermediate-Term  NYSE Arca
                       U.S. Treasury ETF.
SCHV................  Schwab U.S. Large-Cap     NYSE Arca
                       Value ETF.
SCHX................  Schwab US Large-Cap ETF.  NYSE Arca
SCHZ................  Schwab U.S. Aggregate     NYSE Arca
                       Bond ETF.
SCIF................  Market Vectors India      NYSE Arca
                       Small-Cap Index ETF.
SCPB................  SPDR Barclays Short Term  NYSE Arca
                       Corporate Bond ETF.
SCZ.................  iShares MSCI EAFE Small   NYSE Arca
                       Cap Index Fund.
SDIV................  Global X SuperDividend    NYSE Arca
                       ETF.
SDY.................  SPDR S&P Dividend ETF...  NYSE Arca
SGOL................  ETFS Gold Trust.........  NYSE Arca
SH..................  ProShares Short S&P500..  NYSE Arca
SHM.................  SPDR Nuveen Barclays      NYSE Arca
                       Short Term Municipal
                       Bond ETF.
SHV.................  iShares Barclays Short    NYSE Arca
                       Treasury Bond Fund.
SHY.................  iShares Barclays 1-3      NYSE Arca
                       Year Treasury Bond Fund.
SIL.................  Global X Silver Miners    NYSE Arca
                       ETF.
SIVR................  ETFS Physical Silver      NYSE Arca
                       Shares.
SJB.................  ProShares Short High      NYSE Arca
                       Yield.
SJNK................  SPDR Barclays Short Term  NYSE Arca
                       High Yield Bond ETF.
SLV.................  iShares Silver Trust....  NYSE Arca
SLX.................  Market Vectors Steel      NYSE Arca
                       Index Fund.
SLY.................  SPDR S&P 600 Small        NYSE Arca
                       CapETF.
SMH.................  Market Vectors            NYSE Arca
                       Semiconductor ETF.
SNLN................  Highland/iBoxx Senior     NYSE Arca
                       Loan ETF.
SOXX................  iShares PHLX SOX          NASDAQ GM
                       Semiconductor Sector
                       Index Fund.
SPHB................  PowerShares S&P 500 High  NYSE Arca
                       Beta Port ETF.
SPHD................  PowerShares S&P 500 High  NYSE Arca
                       Dividend Portfolio.
SPLV................  PowerShares S&P 500 Low   NYSE Arca
                       Volatility Portfolio.
SPPP................  Sprott Physical Platinum  NYSE Arca
                       & Palladium Trust.
SPY.................  SPDR S&P 500 ETF Trust..  NYSE Arca
SPYG................  SPDR S&P 500 Growth ETF.  NYSE Arca
SPYV................  SPDR S&P 500 Value ETF..  NYSE Arca
SRLN................  SPDR Blackstone/GSO       NYSE Arca
                       Senior Loan ETF.
STIP................  iShares Barclays 0-5      NYSE Arca
                       Year TIPS Bond Fund.
STPZ................  PIMCO 1-5 Year U.S. TIPS  NYSE Arca
                       Index Exchange-Traded
                       Fund.
SUB.................  iShares S&P Short Term    NYSE Arca
                       National AMT-Free
                       Municipal Bond Fund.
SVXY................  ProShares Short VIX       NYSE Arca
                       Short-Term Futures ETF.
SYLD................  Cambria Shareholder       NYSE Arca
                       Yield ETF.
TAN.................  Guggenheim Solar ETF....  NYSE Arca
TAO.................  Guggenheim China Real     NYSE Arca
                       Estate ETF.
TBF.................  ProShares Short 20+ Year  NYSE Arca
                       Treasury.
TBX.................  ProShares Short 7-10      NYSE Arca
                       Treasury.
TDTT................  FlexShares iBoxx 3-Year   NYSE Arca
                       Target Duration TIPS
                       Index Fund.
TFI.................  SPDR Nuveen Barclays      NYSE Arca
                       Municipal Bond ETF.

[[Page 54334]]

 
THD.................  iShares MSCI Thailand     NYSE Arca
                       Capped Investable
                       Market Index Fund.
TIP.................  iShares Barclays TIPS     NYSE Arca
                       Bond Fund.
TLH.................  iShares Barclays 10-20    NYSE Arca
                       Year Treasury Bond Fund.
TLT.................  iShares Barclays 20+      NYSE Arca
                       Year Treasury Bond Fund.
TUR.................  iShares MSCI Turkey       NYSE Arca
                       Index Fund.
UNG.................  United States Natural     NYSE Arca
                       Gas Fund LP.
USCI................  United States Commodity   NYSE Arca
                       Index Fund.
USMV................  iShares MSCI USA Minimum  NYSE Arca
                       Volatility Index Fund.
USO.................  United States Oil Fund    NYSE Arca
                       LP.
UUP.................  PowerShares DB US Dollar  NYSE Arca
                       Index Bullish Fund.
VAW.................  Vanguard Materials ETF..  NYSE Arca
VB..................  Vanguard Small-Cap ETF..  NYSE Arca
VBK.................  Vanguard Small-Cap        NYSE Arca
                       Growth ETF.
VBR.................  Vanguard Small-Cap Value  NYSE Arca
                       ETF.
VCIT................  Vanguard Intermediate-    NASDAQ GM
                       Term Corporate Bond ETF.
VCLT................  Vanguard Long-Term        NASDAQ GM
                       Corporate Bond ETF.
VCR.................  Vanguard Consumer         NYSE Arca
                       Discretionary ETF.
VCSH................  Vanguard Short-Term       NASDAQ GM
                       Corporate Bond ETF.
VDC.................  Vanguard Consumer         NYSE Arca
                       Staples ETF.
VDE.................  Vanguard Energy ETF.....  NYSE Arca
VEA.................  Vanguard FTSE Developed   NYSE Arca
                       Markets ETF.
VEU.................  Vanguard FTSE All-World   NYSE Arca
                       ex-US ETF.
VFH.................  Vanguard Financials ETF.  NYSE Arca
VGIT................  Vanguard Intermediate-    NASDAQ GM
                       Term Government Bond
                       ETF.
VGK.................  Vanguard FTSE Europe ETF  NYSE Arca
VGLT................  Vanguard Long-Term        NASDAQ GM
                       Government Bond ETF.
VGSH................  Vanguard Short-Term       NASDAQ GM
                       Government Bond ETF.
VGT.................  Vanguard Information      NYSE Arca
                       Technology ETF.
VHT.................  Vanguard Health Care ETF  NYSE Arca
VIG.................  Vanguard Dividend         NYSE Arca
                       Appreciation ETF.
VIIX................  VelocityShares VIX Short  NYSE Arca
                       Term ETN.
VIIZ................  VelocityShares VIX        NYSE Arca
                       Medium Term ETN.
VIOO................  Vanguard S&P Small-Cap    NYSE Arca
                       600 ETF.
VIS.................  Vanguard Industrials ETF  NYSE Arca
VIXM................  ProShares VIX Mid-Term    NYSE Arca
                       Futures ETF.
VIXY................  ProShares VIX Short-Term  NYSE Arca
                       Futures ETF.
VMBS................  Vanguard Mortgage-Backed  NASDAQ GM
                       Securities ETF.
VNM.................  Market Vectors Vietnam    NYSE Arca
                       ETF.
VNQ.................  Vanguard REIT ETF.......  NYSE Arca
VNQI................  Vanguard Global ex-U.S.   NASDAQ GM
                       Real Estate ETF.
VO..................  Vanguard Mid-Cap ETF....  NYSE Arca
VOE.................  Vanguard Mid-Cap Value    NYSE Arca
                       ETF.
VONE................  Vanguard Russell 1000...  NASDAQ GM
VONG................  Vanguard Russell 1000     NASDAQ GM
                       Growth ETF.
VONV................  Vanguard Russell 1000     NASDAQ GM
                       Value.
VOO.................  Vanguard S&P 500 ETF....  NYSE Arca
VOOG................  Vanguard S&P 500 Growth   NYSE Arca
                       ETF.
VOOV................  Vanguard S&P 500 Value    NYSE Arca
                       ETF.
VOT.................  Vanguard Mid-Cap Growth   NYSE Arca
                       ETF.
VOX.................  Vanguard                  NYSE Arca
                       Telecommunication
                       Services ETF.
VPL.................  Vanguard FTSE Pacific     NYSE Arca
                       ETF.
VPU.................  Vanguard Utilities ETF..  NYSE Arca
VQT.................  Barclays ETN+ ETNs        NYSE Arca
                       Linked to the S&P 500
                       Dynamic VEQTORTM TotaL
                       Return Index.
VSS.................  Vanguard FTSE All World   NYSE Arca
                       ex-US Small-Cap ETF.
VT..................  Vanguard Total World      NYSE Arca
                       Stock ETF.
VTHR................  Vanguard Russell 3000...  NASDAQ GM
VTI.................  Vanguard Total Stock      NYSE Arca
                       Market ETF.
VTIP................  Vanguard Short-Term       NASDAQ GM
                       Inflation-Protected
                       Securities ETF.
VTV.................  Vanguard Value ETF......  NYSE Arca
VTWG................  Vanguard Russell 2000     NASDAQ GM
                       Growth.
VTWO................  Vanguard Russell 2000...  NASDAQ GM
VTWV................  Vanguard Russell 2000     NASDAQ GM
                       Value.
VUG.................  Vanguard Growth ETF.....  NYSE Arca
VV..................  Vanguard Large-Cap ETF..  NYSE Arca
VWO.................  Vanguard FTSE Emerging    NYSE Arca
                       Markets ETF.
VWOB................  Vanguard Emerging         NASDAQ GM
                       Markets Government Bond
                       ETF.
VXF.................  Vanguard Extended Market  NYSE Arca
                       ETF.
VXUS................  Vanguard Total            NASDAQ GM
                       International Stock ETF.
VXX.................  iPATH S&P 500 VIX Short-  NYSE Arca
                       Term Futures ETN.
VXZ.................  iPATH S&P 500 VIX Mid-    NYSE Arca
                       Term Futures ETN.
VYM.................  Vanguard High Dividend    NYSE Arca
                       Yield ETF.

[[Page 54335]]

 
WIP.................  SPDR DB International     NYSE Arca
                       Government Inflation-
                       Protected Bond ETF.
WOOD................  iShares S&P Global        NASDAQ GM
                       Timber & Forestry Index
                       Fund.
XBI.................  SPDR S&P Biotech ETF....  NYSE Arca
XES.................  SPDR S&P Oil & Gas        NYSE Arca
                       Equipment & Services
                       ETF.
XHB.................  SPDR S&P Homebuilders     NYSE Arca
                       ETF.
XIV.................  VelocityShares Daily      NYSE Arca
                       Inverse VIX Short Term
                       ETN.
XLB.................  Materials Select Sector   NYSE Arca
                       SPDR Fund.
XLE.................  Energy Select Sector      NYSE Arca
                       SPDR Fund.
XLF.................  Financial Select Sector   NYSE Arca
                       SPDR Fund.
XLG.................  Guggenheim Russell Top    NYSE Arca
                       50 Mega Cap ETF.
XLI.................  Industrial Select Sector  NYSE Arca
                       SPDR Fund.
XLK.................  Technology Select Sector  NYSE Arca
                       SPDR Fund.
XLP.................  Consumer Staples Select   NYSE Arca
                       Sector SPDR Fund.
XLU.................  Utilities Select Sector   NYSE Arca
                       SPDR Fund.
XLV.................  Health Care Select        NYSE Arca
                       Sector SPDR Fund.
XLY.................  Consumer Discretionary    NYSE Arca
                       Select Sector SPDR Fund.
XME.................  SPDR S&P Metals & Mining  NYSE Arca
                       ETF.
XOP.................  SPDR S&P Oil & Gas        NYSE Arca
                       Exploration &
                       Production ETF.
XPH.................  SPDR S&P Pharmaceuticals  NYSE Arca
                       ETF.
XRT.................  SPDR S&P Retail ETF.....  NYSE Arca
XSD.................  SPDR S&P Semiconductor    NYSE Arca
                       ETF.
XVZ.................  iPath S&P 500 Dynamic     NYSE Arca
                       VIX ETN.
YMLP................  Yorkville High Income     NYSE Arca
                       MLP.
ZIV.................  VelocityShares Daily      NYSE Arca
                       Inverse VIX Medium Term
                       ETN.
ZROZ................  PIMCO 25+ Year Zero       NYSE Arca
                       Coupon U.S. Treasury
                       Index Exchange-Traded
                       Fund.
------------------------------------------------------------------------

Appendix B--Data

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

I. Summary Statistics

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

1. Partition stocks by category
    a. Tier 1 non-ETP issues > $3.00
    b. Tier 1 non-ETP issues >= $0.75 and <= $3.00
    c. Tier 1 non-ETP issues < $0.75
    d. Tier 1 non-leveraged ETPs in each of above categories
    e. Tier 1 leveraged ETPs in each of above categories
    f. Tier 2 non-ETPs in each of above categories
    g. Tier 2 non-leveraged ETPs in each of above categories
    h. Tier 2 leveraged ETPs in each of above categories
2. Partition by time of day
    a. Opening (prior to 9:45 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

[[Page 54336]]

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. 2013-21301 Filed 8-30-13; 8:45 am]
BILLING CODE 8011-01-P