Joint Industry Plan; Notice of Filing of the Seventh 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., 13696-13711 [2014-05175]

Agencies

• SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 79, Number 47 (Tuesday, March 11, 2014)]
[Notices]
[Pages 13696-13711]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-05175]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-71649; File No. 4-631]


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

March 5, 2014.
    Pursuant to Section 11A of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 608 thereunder \2\, notice is hereby given that, 
on February 24, 2014, NYSE Euronext, on behalf of New York Stock 
Exchange LLC (``NYSE''), NYSE MKT LLC (``NYSE MKT''), and NYSE Arca, 
Inc. (``NYSE Arca''), and the following parties to the National Market 
System Plan: BATS Exchange, Inc., BATS Y-Exchange, Inc., Chicago Board 
Options Exchange, Incorporated, Chicago Stock Exchange, Inc., EDGA 
Exchange, Inc., EDGX Exchange, Inc., Financial Industry Regulatory 
Authority, Inc., NASDAQ OMX BX, Inc., NASDAQ OMX PHLX LLC, the Nasdaq 
Stock Market LLC, and National Stock Exchange, Inc. (collectively with 
NYSE, NYSE MKT, and NYSE Arca, the ``Participants''), filed with the 
Securities and Exchange Commission (the ``Commission'') a proposal to 
amend the Plan to Address Extraordinary Market Volatility 
(``Plan'').\3\ The proposal represents the seventh amendment to the 
Plan (``Seventh Amendment''), and reflects changes unanimously approved 
by the Participants. The Seventh Amendment to the Plan proposes to 
amend the Plan to extend the pilot period of the Plan to February 20, 
2015 and makes changes to Appendix B of the Plan regarding when the 
Participants are required to submit specified summary data to the 
Commission. A copy of the Plan, as proposed to be amended, is attached 
as Exhibit A hereto. The Commission is publishing this notice to 
solicit comments from interested persons on the Seventh Amendment to 
the Plan.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78k-1.
    \2\ 17 CFR 242.608.
    \3\ See Letter from Martha Redding, Chief Counsel, NYSE 
Euronext, to Elizabeth M. Murphy, Secretary, Commission, dated 
February 21, 2014 (``Transmittal Letter'').
---------------------------------------------------------------------------

I. Rule 608(a) of Regulation NMS

A. Purpose of the Plan

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

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

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

[[Page 13697]]

below the Reference Price, and the Upper Price Band being a Percentage 
Parameter above the Reference Price. Between 9:30 a.m. and 9:45 a.m. ET 
and 3:35 p.m. and 4:00 p.m. ET, the price bands would be calculated by 
applying double the Percentage Parameters.
---------------------------------------------------------------------------

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

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

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

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

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

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

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

    The following summarizes the Seventh Amendment to the Plan and the 
rationale behind those changes:
Proposed Amendment
    The Plan was initially approved for a one-year pilot, which began 
on April 8, 2013. Accordingly, the pilot period is currently scheduled 
to end on April 8, 2014. As initially contemplated, the Plan would have 
been fully implemented across all NMS Stocks within six months of 
initial Plan operations, which meant there would have been full 
implementation of the Plan for six months before the end of the pilot 
period. However, pursuant to the Fourth Amendment to the Plan, the 
Participants amended Section VIII.B of the Plan, which modified the 
implementation schedule of Phase II of the Plan to extend the time 
period when the Plan would fully apply to all NMS Stocks. Accordingly, 
the Plan was not implemented across all NMS Stocks until December 8, 
2013.
    In addition, pursuant to the Sixth Amendment to the Plan, which 
further modified the implementation schedule of Phase II of the Plan, 
the date for full implementation of the Plan was moved to February 24, 
2014. Prior to February 24, 2014, the Plan will have only been in 
effect from 9:30 a.m. Eastern to 3:45 p.m. Eastern, and will not 
include the fifteen minutes of trading preceding the close. 
Accordingly, there will be less than two months of full operation of 
the Plan before the end of the pilot period.
    The Participants do not believe that this short period of full 
implementation of the Plan will provide sufficient time for either the 
Participants or the Commission to assess the impact of the Plan and 
determine whether the Plan should be modified prior to approval on a 
permanent basis. Rather, the Participants believe that the pilot period 
should be extended to provide sufficient time to review data based on 
full implementation of the Plan and if necessary, propose modifications 
in connection with seeking to approve the Plan on a permanent basis.
    Accordingly, the Participants propose to amend Section VIII.C of 
the Plan to extend the current one-year pilot, which is scheduled to 
end on April 8, 2014, to have the pilot set to end on February 20, 
2015. The proposed new end date for the pilot would provide for a year 
of full implementation of the Plan before the pilot period ends. The 
Participants believe that this proposed pilot

[[Page 13698]]

extension is appropriate in the public interest, for the protection of 
investors and the maintenance of a fair and orderly market because it 
provides additional time to assess the operation of the Plan. The 
Participants further believe that the proposed amendment is consistent 
with the approval order for the Plan, in which the Commission stated 
that having a pilot period would allow ``the public, the Participants, 
and the Commission to assess the operation of the Plan and whether the 
Plan should be modified prior to approval on a permanent basis.'' \19\
---------------------------------------------------------------------------

    \19\ See Securities Exchange Act Release No. 67091 (May 31, 
2012), 77 FR 33498, 33508 (June 6, 2012).
---------------------------------------------------------------------------

    Because the goal of the pilot period is to provide an opportunity 
to assess whether the Plan should be modified prior to approval on a 
permanent basis, the Participants further propose to amend Section III 
to Appendix B of the Plan to move the time by which the Participants 
would be required to submit assessments of the Plan operations. Under 
the current Plan, the time to provide such assessments is scheduled for 
two months prior to the end of the pilot period. As originally 
contemplated, such reports would therefore have been based on 
approximately four months' worth of data from full implementation of 
the Plan.
    The Participants continue to believe that they would be able to 
assess the Plan based on a similar data set. The Participants further 
believe that providing the Commission with such assessments earlier 
than two months before the end of the pilot period would provide 
additional time for the Commission to review such assessments and 
better inform any determination of whether the Plan should be modified 
prior to approval on a permanent basis. The Participants further 
believe that revising the time when such assessments would be provided 
to the Commission would provide the Participants with sufficient time 
to conduct such assessments. Accordingly, the Participants propose to 
amend Section III of Appendix B of the Plan to delete the requirement 
that the assessments be provided at least two months prior to the end 
of the pilot period, and replace it with a specified date when such 
assessments shall be provided. The Participants propose that the 
assessments be provided by September 30, 2014. The Participants believe 
that this proposed new date for submission of assessments is 
appropriate in the public interest, for the protection of investors, 
and the maintenance of a fair and orderly market because it will serve 
the goals of having sufficient amount of data to review, consistent 
with the current Plan, providing time for the Participants to complete 
their assessments of the data, and providing time for the Commission to 
review such assessments with enough time remaining within the proposed 
new pilot period to determine whether to modify the Plan prior to 
approval on a permanent basis.
    The Participants note that the amended version of the Plan also 
includes the revised Appendix A--Schedule 1, which was updated for 
trading beginning January 3, 2014. As set forth in Appendix A--
Percentage Parameters, the Primary Listing Exchange update Schedule 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.

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. 
Implementation of Phase II of the Plan began on August 5, 2013 and is 
scheduled to be completed on February 24, 2014. Pursuant to this 
proposed amendment, the Participants propose to extend the pilot period 
so that it is set to end February 20, 2015.

E. Analysis of Impact on Competition

    The Participants state that the proposed Plan does not impose any 
burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Exchange Act. The Participants do 
not believe that the proposed Plan introduces terms that are 
unreasonably discriminatory for the purposes of Section 11A(c)(1)(D) of 
the Exchange Act.

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

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

G. Approval of Amendment of the Plan

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

H. Terms and Conditions of Access

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

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

    Not applicable.

J. Method and Frequency of Processor Evaluation

    Not applicable.
K. Dispute Resolution
    The Plan does not include specific provisions regarding resolution 
of disputes between or among Participants. Section III(C) of the Plan 
provides for each Participant to designate an individual to represent 
the Participant as a member of an Operating Committee.\20\ No later 
than the initial date of the Plan, the Operating Committee would be 
required to designate one member of the Operating Committee to act as 
the Chair of the Operating Committee. The Operating Committee shall 
monitor the procedures established pursuant to the Plan and advise the 
Participants with respect to any deficiencies, problems, or 
recommendations as the Operating Committee may deem appropriate. Any 
recommendation for an amendment to the Plan from the Operating 
Committee that receives an affirmative vote of at least two-thirds of 
the Participants, but is less than unanimous, shall be submitted to the 
Commission as a request for an amendment to the Plan initiated by the 
Commission under Rule 608 of Regulation NMS under the Act.\21\
---------------------------------------------------------------------------

    \20\ See Section I(J) of the Plan.
    \21\ 17 CFR 242.608.
---------------------------------------------------------------------------

II. Solicitation of Comments

    Interested persons are invited to submit written data, views, and

[[Page 13699]]

arguments concerning the foregoing, including whether the Seventh 
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 Seventh Amendment to the Plan that are 
filed with the Commission, and all written communications relating to 
the Seventh Amendment to the Plan between the Commission and any 
person, other than those that may be withheld from the public in 
accordance with the provisions of 5 U.S.C. 552, will be available for 
Web site viewing and printing in the Commission's Public Reference 
Room, 100 F Street NE., Washington, DC 20549 on official business days 
between 10:00 a.m. and 3:00 p.m. Copies of the filing will also be 
available for inspection and copying at the Participants' principal 
offices. All comments received will be posted without change; the 
Commission does not edit personal identifying information from 
submissions. You should submit only information that you wish to make 
available publicly. All submissions should refer to File Number 4-631 
and should be submitted on or before April 1, 2014.

    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................................................               1
I. Definitions..........................................               2
II. Parties.............................................               4
III. Amendments to Plan.................................               7
IV. Trading Center Policies and Procedures..............               8
V. Price Bands..........................................               9
VI. Limit Up-Limit Down Requirements....................              11
VII. Trading Pauses.....................................              13
VIII. Implementation....................................              15
IX. Withdrawal from Plan................................              16
X. Counterparts and Signatures..........................              16
Appendix A--Percentage Parameters.......................           1[8]9
Appendix A--Schedule 1..................................              21
Appendix B--Data........................................              34
------------------------------------------------------------------------

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

[[Page 13700]]

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 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.

[[Page 13701]]

(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 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

[[Page 13702]]

Primary Listing Exchange if such Opening or Reopening Price occurs 
within five minutes after the end of the Regulatory Halt, and 
subsequent Reference Prices shall be determined in the manner 
prescribed for normal openings, as specified in Section V(B)(1) of the 
Plan. If such Opening or Reopening Price has not occurred within five 
minutes after the end of the Regulatory Halt, the Reference Price shall 
be equal to the arithmetic mean price of Eligible Reported Transactions 
for the NMS Stock over the preceding five minute time period, and 
subsequent Reference Prices shall be calculated as specified in Section 
V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
    (1) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent trades at prices that are below 
the Lower Price Band or above the Upper Price Band for an NMS Stock. 
Single-priced opening, reopening, and closing transactions on the 
Primary Listing Exchange, however, shall be excluded from this 
limitation. In addition, any transaction that both (i) does not update 
the last sale price (except if solely because the transaction was 
reported late or because the transaction was an odd-lot sized 
transaction), and (ii) is excepted or exempt from Rule 611 under 
Regulation NMS shall be excluded from this limitation.
    (2) When a National Best Bid is below the Lower Price Band or a 
National Best Offer is above the Upper Price Band for an NMS Stock, the 
Processor shall disseminate such National Best Bid or National Best 
Offer with an appropriate flag identifying it as non-executable. When a 
National Best Offer is equal to the Lower Price Band or a National Best 
Bid is equal to the Upper Price Band for an NMS Stock, the Processor 
shall distribute such National Best Bid or National Best Offer with an 
appropriate flag identifying it as a ``Limit State Quotation''.
    (3) All trading centers in NMS Stocks, including both those 
operated by Participants and those operated by members of Participants, 
shall establish, maintain, and enforce written policies and procedures 
that are reasonably designed to prevent the display of offers below the 
Lower Price Band and bids above the Upper Price Band for an NMS Stock. 
The Processor shall disseminate an offer below the Lower Price Band or 
bid above the Upper Price Band that may be submitted despite such 
reasonable policies and procedures, but with an appropriate flag 
identifying it as non-executable; provided, however, that any such bid 
or offer shall not be included in National Best Bid or National Best 
Offer calculations.
(B) Entering and Exiting a Limit State
    (1) All trading for an NMS Stock shall immediately enter a Limit 
State if the National Best Offer equals the Lower Price Band and does 
not cross the National Best Bid, or the National Best Bid equals the 
Upper Price Band and does not cross the National Best Offer.
    (2) When trading for an NMS Stock enters a Limit State, the 
Processor shall disseminate this information by identifying the 
relevant quotation (i.e., a National Best Offer that equals the Lower 
Price Band or a National Best Bid that equals the Upper Price Band) as 
a Limit State Quotation. At this point, the Processor shall cease 
calculating and disseminating updated Reference Prices and Price Bands 
for the NMS Stock until either trading exits the Limit State or trading 
resumes with an opening or re-opening as provided in Section V.
    (3) Trading for an NMS Stock shall exit a Limit State if, within 15 
seconds of entering the Limit State, the entire size of all Limit State 
Quotations are executed or cancelled.
    (4) If trading for an NMS Stock exits a Limit State within 15 
seconds of entry, the Processor shall immediately calculate and 
disseminate updated Price Bands based on a Reference Price that equals 
the arithmetic mean price of Eligible Reported Transactions for the NMS 
Stock over the immediately preceding five-minute period (including the 
period of the Limit State).
    (5) If trading for an NMS Stock does not exit a Limit State within 
15 seconds of entry, the Limit State will terminate when the Primary 
Listing Exchange declares a Trading Pause pursuant to Section VII of 
the Plan or at the end of Regular Trading Hours.
VII. Trading Pauses
(A) Declaration of Trading Pauses
    (1) If trading for an NMS Stock does not exit a Limit State within 
15 seconds of entry during Regular Trading Hours, then the Primary 
Listing Exchange shall declare a Trading Pause for such NMS Stock and 
shall notify the Processor.
    (2) The Primary Listing Exchange may also declare a Trading Pause 
for an NMS Stock when an NMS Stock is in a Straddle State, which is 
when National Best Bid (Offer) is below (above) the Lower (Upper) Price 
Band and the NMS Stock is not in a Limit State, and trading in that NMS 
Stock deviates from normal trading characteristics such that declaring 
a Trading Pause would support the Plan's goal to address extraordinary 
market volatility. The Primary Listing Exchange shall develop policies 
and procedures for determining when it would declare a Trading Pause in 
such circumstances. If a Trading Pause is declared for an NMS Stock 
under this provision, the Primary Listing Exchange shall notify the 
Processor.
    (3) The Processor shall disseminate Trading Pause information to 
the public. No trades in an NMS Stock shall occur during a Trading 
Pause, but all bids and offers may be displayed.
(B) Reopening of Trading During Regular Trading Hours
    (1) Five minutes after declaring a Trading Pause for an NMS Stock, 
and if the Primary Listing Exchange has not declared a Regulatory Halt, 
the Primary Listing Exchange shall attempt to reopen trading using its 
established reopening procedures. The Trading Pause shall end when the 
Primary Listing Exchange reports a Reopening Price.
    (2) The Primary Listing Exchange shall notify the Processor if it 
is unable to reopen trading in an NMS Stock for any reason other than a 
significant order imbalance and if it has not declared a Regulatory 
Halt. The Processor shall disseminate this information to the public, 
and all trading centers may begin trading the NMS Stock at this time.
    (3) If the Primary Listing Exchange does not report a Reopening 
Price within ten minutes after the declaration of a Trading Pause in an 
NMS Stock, and has not declared a Regulatory Halt, all trading centers 
may begin trading the NMS Stock.
    (4) When trading begins after a Trading Pause, the Processor shall 
update the Price Bands as set forth in Section V(C)(1) of the Plan.
(C) Trading Pauses Within Ten Minutes of the End of Regular Trading 
Hours
    (1) If a Trading Pause for an NMS Stock is declared in the last ten 
minutes of trading before the end of Regular Trading Hours, the Primary 
Listing Exchange shall not reopen trading and shall attempt to execute 
a closing transaction using its established closing procedures. All 
trading centers may begin trading the NMS Stock when the Primary 
Listing Exchange executes a closing transaction.

[[Page 13703]]

    (2) If the Primary Listing Exchange does not execute a closing 
transaction within five minutes after the end of Regular Trading Hours, 
all trading centers may begin trading the NMS Stock.
VIII. Implementation
    The initial date of Plan operations shall be April 8, 2013.
(A) Phase I
    (1) On the initial date of Plan operations, Phase I of Plan 
implementation shall begin in select symbols from the Tier 1 NMS Stocks 
identified in Appendix A of the Plan.
    (2) Three months after the initial date of Plan operations, or such 
earlier date as may be announced by the Processor with at least 30 days 
notice, the Plan shall fully apply to all Tier 1 NMS Stocks identified 
in Appendix A of the Plan.
    (3) During Phase I, the first Price Bands for a trading day shall 
be calculated and disseminated 15 minutes after the start of Regular 
Trading Hours as specified in Section (V)(A) of the Plan. No Price 
Bands shall be calculated and disseminated and therefore trading shall 
not enter a Limit State less than 30 minutes before the end of Regular 
Trading Hours.
(B) Phase II--Full Implementation
    Phase II.A.: Eight months after the initial date of Plan 
operations, or such earlier date as may be announced by the Processor 
with at least 30 days notice, the Plan shall fully apply (i) to all NMS 
Stocks; and (ii) beginning at 9:30 a.m. ET, and ending at 3:45 p.m. ET 
each trading day, or earlier in the case of an early scheduled close.
    Phase II.B.: By February 24, 2014, 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 set to 
end on February 20, 2015.
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 February 2014 by each of the parties hereto.
BATS EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO BOARD OPTIONS EXCHANGE, INCORPORATED
BY:--------------------------------------------------------------------
EDGA EXCHANGE, INC.
BY:--------------------------------------------------------------------
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX PHLX LLC
BY:--------------------------------------------------------------------
NATIONAL STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
NYSE MKT LLC
BY:--------------------------------------------------------------------
BATS Y-EXCHANGE, INC.
BY:--------------------------------------------------------------------
CHICAGO STOCK EXCHANGE, INC.
BY:--------------------------------------------------------------------
EDGX EXCHANGE, INC.
BY:--------------------------------------------------------------------
NASDAQ OMX BX, INC.
BY:--------------------------------------------------------------------
THE NASDAQ STOCK MARKET LLC
BY:--------------------------------------------------------------------
NEW YORK STOCK EXCHANGE LLC
BY:--------------------------------------------------------------------
NYSE ARCA, INC.
BY:--------------------------------------------------------------------

Appendix A--Percentage Parameters

I. Tier 1 NMS Stocks
    (1) Tier 1 NMS Stocks shall include all NMS Stocks included in the 
S&P 500 Index, the Russell 1000 Index, and the exchange-traded products 
(``ETP'') listed on Schedule 1 to this Appendix. Schedule 1 to the 
Appendix will be reviewed and updated semi-annually based on the fiscal 
year by the Primary Listing Exchange to add ETPs that meet the 
criteria, or delete ETPs that are no longer eligible. To determine 
eligibility for an ETP to be included as a Tier 1 NMS Stock, all ETPs 
across multiple asset classes and issuers, including domestic equity, 
international equity, fixed income, currency, and commodities and 
futures will be identified. Leveraged ETPs will be excluded and the 
list will be sorted by notional consolidated average daily volume 
(``CADV''). The period used to measure CADV will be from the first day 
of the previous fiscal half year up until one week before the beginning 
of the next fiscal half year. Daily volumes will be multiplied by 
closing prices and then averaged over the period. ETPs, including 
inverse ETPs, that trade over $2,000,000 CADV will be eligible to be 
included as a Tier 1 NMS Stock. 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.

[[Page 13704]]

    (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         NASDAQ GM
                          Country Asia ex Japan
                          ETF.
ACWI...................  iShares MSCI ACWI ETF..  NASDAQ GM
ACWV...................  iShares MSCI All         NYSE Arca
                          Country World Minimum
                          Volatility ETF.
ACWX...................  iShares MSCI ACWI ex US  NASDAQ GM
                          ETF.
AGG....................  iShares Core Total US    NYSE Arca
                          Bond Market ETF.
AGZ....................  iShares Agency Bond ETF  NYSE Arca
ALD....................  WisdomTree Asia Local    NYSE Arca
                          Debt Fund.
AMJ....................  JPMorgan Alerian MLP     NYSE Arca
                          Index ETN.
AMLP...................  Alerian MLP ETF........  NYSE Arca
ASHR...................  db X-trackers Harvest    NYSE Arca
                          CSI 300 China A-Shares
                          Fund.
BAB....................  PowerShares Build        NYSE Arca
                          America Bond Portfolio.
BBH....................  Market Vectors Biotech   NYSE Arca
                          ETF.
BIL....................  SPDR Barclays 1-3 Month  NYSE Arca
                          T-Bill.
BIV....................  Vanguard Intermediate-   NYSE Arca
                          Term Bond ETF.
BKF....................  iShares MSCI BRIC ETF..  NYSE Arca
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
BRF....................  Market Vectors Brazil    NYSE Arca
                          Small-Cap ETF.
BSCE...................  Guggenheim BulletShares  NYSE Arca
                          2014 Corporate Bond
                          ETF.
BSCF...................  Guggenheim BulletShares  NYSE Arca
                          2015 Corporate Bond
                          ETF.
BSCG...................  Guggenheim BulletShares  NYSE Arca
                          2016 Corporate Bond
                          ETF.
BSCH...................  Guggenheim BulletShares  NYSE Arca
                          2017 Corporate Bond
                          ETF.
BSJE...................  Guggenheim BulletShares  NYSE Arca
                          2014 High Yield
                          Corporate Bond ETF.
BSJF...................  Guggenheim BulletShares  NYSE Arca
                          2015 High Yield
                          Corporate Bond ETF.
BSJG...................  Guggenheim BulletShares  NYSE Arca
                          2016 High Yield
                          Corporate Bond ETF.
BSV....................  Vanguard Short-Term      NYSE Arca
                          Bond ETF.
BWX....................  SPDR Barclays            NYSE Arca
                          International Treasury
                          Bond ETF.
BZF....................  WisdomTree Brazilian     NYSE Arca
                          Real Fund.
CFT....................  iShares Credit Bond ETF  NYSE Arca
CIU....................  iShares Intermediate     NYSE Arca
                          Credit Bond ETF.
CLY....................  iShares 10+ Year Credit  NYSE Arca
                          Bond ETF.
CORN...................  Teucrium Corn Fund.....  NYSE Arca
CSD....................  Guggenheim Spin-Off ETF  NYSE Arca
CSJ....................  iShares 1-3 Year Credit  NYSE Arca
                          Bond ETF.
CVY....................  Guggenheim Multi-Asset   NYSE Arca
                          Income ETF.
CWB....................  SPDR Barclays            NYSE Arca
                          Convertible Securities
                          ETF.
DBA....................  PowerShares DB           NYSE Arca
                          Agriculture Fund.
DBB....................  PowerShares DB Base      NYSE Arca
                          Metals Fund.
DBC....................  PowerShares DB           NYSE Arca
                          Commodity Index
                          Tracking Fund.
DBJP...................  db X-trackers MSCI       NYSE Arca
                          Japan 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.
DFE....................  WisdomTree Europe        NYSE Arca
                          SmallCap Dividend Fund.
DGS....................  WisdomTree Emerging      NYSE Arca
                          Markets SmallCap
                          Dividend Fund.
DGZ....................  PowerShares DB Gold      NYSE Arca
                          Short ETN.
DHS....................  WisdomTree Equity        NYSE Arca
                          Income Fund.
DIA....................  SPDR Dow Jones           NYSE Arca
                          Industrial Average ETF
                          Trust.
DJP....................  iPath Dow Jones--UBS     NYSE Arca
                          Commodity Index Total
                          Return ETN.
DLN....................  WisdomTree LargeCap      NYSE Arca
                          Dividend Fund.
DLS....................  WisdomTree               NYSE Arca
                          International SmallCap
                          Dividend Fund.
DOG....................  ProShares Short Dow30..  NYSE Arca
DON....................  WisdomTree MidCap        NYSE Arca
                          Dividend Fund.
DTN....................  WisdomTree Dividend Ex-  NYSE Arca
                          Financials Fund.
DTYS...................  iPath US Treasury 10-    NYSE Arca
                          year Bear ETN.
DVY....................  iShares Select Dividend  NYSE Arca
                          ETF.
DWAS...................  PowerShares DWA          NYSE Arca
                          SmallCap Momentum
                          Portfolio.
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 ETF.
ECON...................  EGShares Emerging        NYSE Arca
                          Markets Consumer ETF.

[[Page 13705]]

 
EDIV...................  SPDR S&P Emerging        NYSE Arca
                          Markets Dividend ETF.
EDV....................  Vanguard Extended        NYSE Arca
                          Duration Treasury ETF.
EEB....................  Guggenheim BRIC ETF....  NYSE Arca
EEM....................  iShares MSCI Emerging    NYSE Arca
                          Markets ETF.
EEMV...................  iShares MSCI Emerging    NYSE Arca
                          Markets Minimum
                          Volatility ETF.
EES....................  WisdomTree SmallCap      NYSE Arca
                          Earnings Fund.
EFA....................  iShares MSCI EAFE ETF..  NYSE Arca
EFAV...................  iShares MSCI EAFE        NYSE Arca
                          Minimum Volatility ETF.
EFG....................  iShares MSCI EAFE        NYSE Arca
                          Growth ETF.
EFV....................  iShares MSCI EAFE Value  NYSE Arca
                          ETF.
EFZ....................  ProShares Short MSCI     NYSE Arca
                          EAFE.
EIDO...................  iShares MSCI Indonesia   NYSE Arca
                          ETF.
ELD....................  WisdomTree Emerging      NYSE Arca
                          Markets Local Debt
                          Fund.
EMB....................  iShares JP Morgan USD    NYSE Arca
                          Emerging Markets Bond
                          ETF.
EMLC...................  Market Vectors Emerging  NYSE Arca
                          Markets Local Currency
                          Bond ETF.
EMLP...................  First Trust North        NYSE Arca
                          American Energy
                          Infrastructure Fund.
EPHE...................  iShares MSCI             NYSE Arca
                          Philippines ETF.
EPI....................  WisdomTree India         NYSE Arca
                          Earnings Fund.
EPOL...................  iShares MSCI Poland      NYSE Arca
                          Capped ETF.
EPP....................  iShares MSCI Pacific ex  NYSE Arca
                          Japan ETF.
EPU....................  iShares MSCI All Peru    NYSE Arca
                          Capped ETF.
ERUS...................  iShares MSCI Russia      NYSE Arca
                          Capped ETF.
EUFN...................  iShares MSCI Europe      NASDAQ GM
                          Financials ETF.
EUM....................  ProShares Short MSCI     NYSE Arca
                          Emerging Markets.
EWA....................  iShares MSCI Australia   NYSE Arca
                          ETF.
EWC....................  iShares MSCI Canada ETF  NYSE Arca
EWD....................  iShares MSCI Sweden ETF  NYSE Arca
EWG....................  iShares MSCI Germany     NYSE Arca
                          ETF.
EWH....................  iShares MSCI Hong Kong   NYSE Arca
                          ETF.
EWI....................  iShares MSCI Italy       NYSE Arca
                          Capped ETF.
EWJ....................  iShares MSCI Japan ETF.  NYSE Arca
EWL....................  iShares MSCI             NYSE Arca
                          Switzerland Capped ETF.
EWM....................  iShares MSCI Malaysia    NYSE Arca
                          ETF.
EWN....................  iShares MSCI             NYSE Arca
                          Netherlands ETF.
EWP....................  iShares MSCI Spain       NYSE Arca
                          Capped ETF.
EWQ....................  iShares MSCI France ETF  NYSE Arca
EWS....................  iShares MSCI Singapore   NYSE Arca
                          ETF.
EWT....................  iShares MSCI Taiwan ETF  NYSE Arca
EWU....................  iShares MSCI United      NYSE Arca
                          Kingdom ETF.
EWW....................  iShares MSCI Mexico      NYSE Arca
                          Capped ETF.
EWX....................  SPDR S&P Emerging        NYSE Arca
                          Markets SmallCap ETF.
EWY....................  iShares MSCI South       NYSE Arca
                          Korea Capped ETF.
EWZ....................  iShares MSCI Brazil      NYSE Arca
                          Capped ETF.
EXI....................  iShares Global           NYSE Arca
                          Industrials ETF.
EZA....................  iShares MSCI South       NYSE Arca
                          Africa ETF.
EZM....................  WisdomTree MidCap        NYSE Arca
                          Earnings Fund.
EZU....................  iShares MSCI EMU ETF...  NYSE Arca
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.
FEP....................  First Trust Europe       NYSE Arca
                          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
                          Bond ETF.
FLRN...................  SPDR Barclays            NYSE Arca
                          Investment Grade
                          Floating Rate ETF.
FM.....................  iShares MSCI Frontier    NYSE Arca
                          100 ETF.
FNX....................  First Trust Mid Cap      NYSE Arca
                          Core AlphaDEX Fund.
FPX....................  First Trust US IPO       NYSE Arca
                          Index 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 China Large-Cap  NYSE Arca
                          ETF.

[[Page 13706]]

 
FXL....................  First Trust Technology   NYSE Arca
                          AlphaDEX Fund.
FXN....................  First Trust Energy       NYSE Arca
                          AlphaDEX Fund.
FXO....................  First Trust Financial    NYSE Arca
                          AlphaDEX Fund.
FXR....................  First Trust Industrials/ NYSE Arca
                          Producer Durables
                          AlphaDEX Fund.
FXU....................  First Trust Utilities    NYSE Arca
                          AlphaDEX Fund.
FXY....................  CurrencyShares Japanese  NYSE Arca
                          Yen Trust.
FXZ....................  First Trust Materials    NYSE Arca
                          AlphaDEX Fund.
FYX....................  First Trust Small Cap    NYSE Arca
                          Core 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.
GLD....................  SPDR Gold Shares.......  NYSE Arca
GLTR...................  ETFS Physical Precious   NYSE Arca
                          Metal Basket Shares.
GMF....................  SPDR S&P Emerging Asia   NYSE Arca
                          Pacific ETF.
GMM....................  SPDR S&P Emerging        NYSE Arca
                          Markets ETF.
GNR....................  SPDR S&P Global Natural  NYSE Arca
                          Resources ETF.
GSG....................  iShares S&P GSCI         NYSE Arca
                          Commodity Indexed
                          Trust.
GSY....................  Guggenheim Enhanced      NYSE Arca
                          Short Duration ETF.
GUNR...................  FlexShares Global        NYSE Arca
                          Upstream Natural
                          Resources Index Fund.
GURU...................  Global X Guru Index ETF  NYSE Arca
GVI....................  iShares Intermediate     NYSE Arca
                          Government/Credit Bond
                          ETF.
GWL....................  SPDR S&P World ex-US     NYSE Arca
                          ETF.
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
                          ETF.
HEDJ...................  WisdomTree Europe        NYSE Arca
                          Hedged Equity Fund.
HYD....................  Market Vectors High      NYSE Arca
                          Yield Municipal Index
                          ETF.
HYEM...................  Market Vectors Emerging  NYSE Arca
                          High Yield Bond ETF.
HYG....................  iShares iBoxx $ High     NYSE Arca
                          Yield Corporate Bond
                          ETF.
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 U.S. Broker-     NYSE Arca
                          Dealers ETF.
IAT....................  iShares US Regional      NYSE Arca
                          Banks ETF.
IAU....................  iShares Gold Trust.....  NYSE Arca
IBB....................  iShares Nasdaq           NASDAQ GM
                          Biotechnology ETF.
IBND...................  SPDR Barclays            NYSE Arca
                          International
                          Corporate Bond ETF.
ICF....................  iShares Cohen & Steers   NYSE Arca
                          REIT ETF.
IDU....................  iShares US Utilities     NYSE Arca
                          ETF.
IDV....................  iShares International    NYSE Arca
                          Select Dividend ETF.
IDX....................  Market Vectors           NYSE Arca
                          Indonesia Index ETF.
IEF....................  iShares 7-10 Year        NYSE Arca
                          Treasury Bond ETF.
IEFA...................  iShares Core MSCI EAFE   NYSE Arca
                          ETF.
IEI....................  iShares 3-7 Year         NYSE Arca
                          Treasury Bond ETF.
IEMG...................  iShares Core MSCI        NYSE Arca
                          Emerging Markets ETF.
IEO....................  iShares U.S. Oil & Gas   NYSE Arca
                          Exploration &
                          Production ETF.
IEV....................  iShares Europe ETF.....  NYSE Arca
IEZ....................  iShares U.S. Oil         NYSE Arca
                          Equipment & Services
                          ETF.
IFGL...................  iShares International    NASDAQ GM
                          Developed Real Estate
                          ETF.
IGE....................  iShares North American   NYSE Arca
                          Natural Resources ETF.
IGF....................  iShares Global           NYSE Arca
                          Infrastructure ETF.
IGM....................  iShares North American   NYSE Arca
                          Tech ETF.
IGOV...................  iShares International    NASDAQ GM
                          Treasury Bond ETF.
IGV....................  iShares North American   NYSE Arca
                          Tech-Software ETF.
IHE....................  iShares US               NYSE Arca
                          Pharmaceuticals ETF.
IHF....................  iShares U.S. Healthcare  NYSE Arca
                          Providers ETF.
IHI....................  iShares U.S. Medical     NYSE Arca
                          Devices ETF.
IHY....................  Market Vectors           NYSE Arca
                          International High
                          Yield Bond ETF.
IJH....................  iShares Core S&P Mid-    NYSE Arca
                          Cap ETF.
IJJ....................  iShares S&P Mid-Cap 400  NYSE Arca
                          Value ETF.
IJK....................  iShares S&P Mid-Cap 400  NYSE Arca
                          Growth ETF.
IJR....................  iShares Core S&P Small-  NYSE Arca
                          Cap ETF.
IJS....................  iShares S&P Small-Cap    NYSE Arca
                          600 Value ETF.
IJT....................  iShares S&P Small-Cap    NYSE Arca
                          600 Growth ETF.
ILF....................  iShares Latin America    NYSE Arca
                          40 ETF.
INDA...................  iShares MSCI India ETF.  BATS
INDY...................  iShares India 50 ETF...  NASDAQ GM
INP....................  iPath MSCI India Index   NYSE Arca
                          ETN.
IOO....................  iShares Global 100 ETF.  NYSE Arca
IPE....................  SPDR Barclays TIPS ETF.  NYSE Arca

[[Page 13707]]

 
ITA....................  iShares U.S. Aerospace   NYSE Arca
                          & Defense ETF.
ITB....................  iShares U.S. Home        NYSE Arca
                          Construction ETF.
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
                          ETF.
IVV....................  iShares Core S&P 500     NYSE Arca
                          ETF.
IVW....................  iShares S&P 500 Growth   NYSE Arca
                          ETF.
IWB....................  iShares Russell 1000     NYSE Arca
                          ETF.
IWC....................  iShares Micro-Cap ETF..  NYSE Arca
IWD....................  iShares Russell 1000     NYSE Arca
                          Value ETF.
IWF....................  iShares Russell 1000     NYSE Arca
                          Growth ETF.
IWM....................  iShares Russell 2000     NYSE Arca
                          ETF.
IWN....................  iShares Russell 2000     NYSE Arca
                          Value ETF.
IWO....................  iShares Russell 2000     NYSE Arca
                          Growth ETF.
IWP....................  iShares Russell Mid-Cap  NYSE Arca
                          Growth ETF.
IWR....................  iShares Russell Mid-Cap  NYSE Arca
                          ETF.
IWS....................  iShares Russell Mid-Cap  NYSE Arca
                          Value ETF.
IWV....................  iShares Russell 3000     NYSE Arca
                          ETF.
IWW....................  iShares Russell 3000     NYSE Arca
                          Value ETF.
IXC....................  iShares Global Energy    NYSE Arca
                          ETF.
IXG....................  iShares Global           NYSE Arca
                          Financials ETF.
IXJ....................  iShares Global           NYSE Arca
                          Healthcare ETF.
IXN....................  iShares Global Tech ETF  NYSE Arca
IXP....................  iShares Global Telecom   NYSE Arca
                          ETF.
IXUS...................  iShares Core MSCI Total  NYSE Arca
                          International Stock
                          ETF.
IYC....................  iShares U.S. Consumer    NYSE Arca
                          Services ETF.
IYE....................  iShares U.S. Energy ETF  NYSE Arca
IYF....................  iShares US Financials    NYSE Arca
                          ETF.
IYG....................  iShares U.S. Financial   NYSE Arca
                          Services ETF.
IYH....................  iShares U.S. Healthcare  NYSE Arca
                          ETF.
IYJ....................  iShares U.S.             NYSE Arca
                          Industrials ETF.
IYM....................  iShares U.S. Basic       NYSE Arca
                          Materials ETF.
IYR....................  iShares US Real Estate   NYSE Arca
                          ETF.
IYT....................  iShares Transportation   NYSE Arca
                          Average ETF.
IYW....................  iShares US Technology    NYSE Arca
                          ETF.
IYY....................  iShares Dow Jones U.S.   NYSE Arca
                          ETF.
IYZ....................  iShares US               NYSE Arca
                          Telecommunications ETF.
JKE....................  iShares Morningstar      NYSE Arca
                          Large-Cap Growth ETF.
JKF....................  iShares Morningstar      NYSE Arca
                          Large-Cap Value ETF.
JNK....................  SPDR Barclays High       NYSE Arca
                          Yield Bond ETF.
JO.....................  iPath Dow Jones-UBS      NYSE Arca
                          Coffee Subindex Total
                          Return ETN.
KBE....................  SPDR S&P Bank ETF......  NYSE Arca
KBWB...................  PowerShares KBW Bank     NYSE Arca
                          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 Global Consumer  NYSE Arca
                          Staples ETF.
LAG....................  SPDR Barclays Aggregate  NYSE Arca
                          Bond ETF.
LEMB...................  iShares Emerging         NYSE Arca
                          Markets Local Currency
                          Bond ETF.
LQD....................  iShares iBoxx $          NYSE Arca
                          Investment Grade
                          Corporate Bond ETF.
MBB....................  iShares MBS ETF........  NYSE Arca
MCHI...................  iShares MSCI China ETF.  NYSE Arca
MDIV...................  First Trust NASDAQ US    NASDAQ GM
                          Multi-Asset
                          Diversified Income
                          Index Fun.
MDY....................  SPDR S&P MidCap 400 ETF  NYSE Arca
                          Trust.
MGC....................  Vanguard Mega Cap ETF..  NYSE Arca
MGK....................  Vanguard Mega Cap        NYSE Arca
                          Growth 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 MLP Equal  NYSE Arca
                          Weight Index ETN.
MOAT...................  Market Vectors Wide      NYSE Arca
                          Moat ETF.
MOO....................  Market Vectors           NYSE Arca
                          Agribusiness ETF.
MUB....................  iShares National AMT-    NYSE Arca
                          Free Muni Bond ETF.
MUNI...................  PIMCO Intermediate       NYSE Arca
                          Municipal Bond
                          Exchange-Traded Fund.
MXI....................  iShares Global           NYSE Arca
                          Materials ETF.
NEAR...................  iShares Short Maturity   BATS
                          Bond ETF.
NKY....................  MAXIS Nikkei 225 Index   NYSE Arca
                          Fund ETF.
NOBL...................  ProShares S&P 500        NYSE Arca
                          Aristocrats ETF.
OEF....................  iShares S&P 100 ETF....  NYSE Arca
OIH....................  Market Vectors Oil       NYSE Arca
                          Service ETF.
OIL....................  iPath Goldman Sachs      NYSE Arca
                          Crude Oil Total Return
                          Index ETN.
ONEQ...................  Fidelity NASDAQ          NASDAQ GM
                          Composite Index
                          Tracking Stock ETF.

[[Page 13708]]

 
PALL...................  ETFS Physical Palladium  NYSE Arca
                          Shares.
PBE....................  Powershares Dynamic      NYSE Arca
                          Biotechnology & Genome
                          Portfolio.
PBS....................  Powershares Dynamic      NYSE Arca
                          Media Portfolio.
PBW....................  Powershares WilderHill   NYSE Arca
                          Clean Energy Portfolio.
PCEF...................  PowerShares CEF Income   NYSE Arca
                          Composite Portfolio.
PCY....................  PowerShares Emerging     NYSE Arca
                          Markets Sovereign Debt
                          Portfolio.
PDP....................  PowerShares DWA          NYSE Arca
                          Momentum Portfolio.
PFF....................  iShares US Preferred     NYSE Arca
                          Stock ETF.
PGF....................  PowerShares Financial    NYSE Arca
                          Preferred Portfolio.
PGJ....................  Powershares Golden       NYSE Arca
                          Dragon China Portfolio.
PGX....................  PowerShares Preferred    NYSE Arca
                          Portfolio.
PHB....................  PowerShares Fundamental  NYSE Arca
                          High Yield Corporate
                          Bond Portfolio.
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          NYSE Arca
                          Emerging Markets
                          Momentum Portfolio.
PIN....................  PowerShares India        NYSE Arca
                          Portfolio.
PIZ....................  PowerShares DWA          NYSE Arca
                          Developed Markets
                          Momentum Portfolio.
PJP....................  Powershares Dynamic      NYSE Arca
                          Pharmaceuticals
                          Portfolio.
PKW....................  PowerShares Buyback      NYSE Arca
                          Achievers Portfolio.
PNQI...................  PowerShares NASDAQ       NASDAQ GM
                          Internet Portfolio.
PPH....................  Market Vectors           NYSE Arca
                          Pharmaceutical ETF.
PPLT...................  ETFS Platinum Trust....  NYSE Arca
PRF....................  Powershares FTSE RAFI    NYSE Arca
                          US 1000 Portfolio.
PRFZ...................  PowerShares FTSE RAFI    NASDAQ GM
                          US 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.
PZA....................  PowerShares Insured      NYSE Arca
                          National Municipal
                          Bond Portfolio.
QAI....................  IndexIQ ETF Trust--IQ    NYSE Arca
                          Hedge Multi-Strategy
                          Tracker ETF.
QQEW...................  First Trust NASDAQ-100   NASDAQ GM
                          Equal Weighted Index
                          Fund.
QQQ....................  Powershares QQQ Trust    NASDAQ GM
                          Series 1.
REM....................  iShares Mortgage Real    NYSE Arca
                          Estate Capped ETF.
REZ....................  iShares Residential      NYSE Arca
                          Real Estate Capped ETF.
RFG....................  Guggenheim S&P Midcap    NYSE Arca
                          400 Pure Growth ETF.
RIGS...................  Riverfront Strategic     NYSE Arca
                          Income Fund.
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       NYSE Arca
                          Equal 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 Global Consumer  NYSE Arca
                          Discretionary ETF.
RYH....................  Guggenheim S&P 500       NYSE Arca
                          Equal Weight
                          Healthcare ETF.
RYT....................  Guggenheim S&P 500       NYSE Arca
                          Equal Weight
                          Technology ETF.
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-     NYSE Arca
                          Term 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      NYSE Arca
                          Term Corporate Bond
                          ETF.
SCZ....................  iShares MSCI EAFE Small- NYSE Arca
                          Cap ETF.
SDIV...................  Global X SuperDividend   NYSE Arca
                          ETF.
SDOG...................  ALPS Sector Dividend     NYSE Arca
                          Dogs ETF.
SDY....................  SPDR S&P Dividend ETF..  NYSE Arca
SGOL...................  ETFS Gold Trust........  NYSE Arca

[[Page 13709]]

 
SH.....................  ProShares Short S&P500.  NYSE Arca
SHM....................  SPDR Nuveen Barclays     NYSE Arca
                          Short Term Municipal
                          Bond ETF.
SHV....................  iShares Short Treasury   NYSE Arca
                          Bond ETF.
SHY....................  iShares 1-3 Year         NYSE Arca
                          Treasury Bond ETF.
SIL....................  Global X Silver Miners   NYSE Arca
                          ETF.
SIVR...................  ETFS Physical Silver     NYSE Arca
                          Shares.
SJNK...................  SPDR Barclays Short      NYSE Arca
                          Term 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.
SOCL...................  Global X Social Media    NASDAQ GM
                          Index ETF.
SOXX...................  iShares PHLX             NASDAQ GM
                          Semiconductor ETF.
SPHB...................  PowerShares S&P 500      NYSE Arca
                          High Beta Port ETF.
SPLV...................  PowerShares S&P 500 Low  NYSE Arca
                          Volatility Portfolio.
SPY....................  SPDR S&P 500 ETF Trust.  NYSE Arca
SRLN...................  SPDR Blackstone/GSO      NYSE Arca
                          Senior Loan ETF.
STIP...................  iShares 0-5 Year TIPS    NYSE Arca
                          Bond ETF.
STPZ...................  PIMCO 1-5 Year U.S.      NYSE Arca
                          TIPS Index Exchange-
                          Traded Fund.
SUB....................  iShares Short-Term       NYSE Arca
                          National AMT-Free Muni
                          Bond ETF.
SVXY...................  ProShares Short VIX      NYSE Arca
                          Short-Term Futures ETF.
TAN....................  Guggenheim Solar ETF...  NYSE Arca
TBF....................  ProShares Short 20+      NYSE Arca
                          Year Treasury.
TDTF...................  FlexShares iBoxx 5-Year  NYSE Arca
                          Target Duration TIPS
                          Index Fund.
TDTT...................  FlexShares iBoxx 3-Year  NYSE Arca
                          Target Duration TIPS
                          Index Fund.
TFI....................  SPDR Nuveen Barclays     NYSE Arca
                          Municipal Bond ETF.
THD....................  iShares MSCI Thailand    NYSE Arca
                          Capped ETF.
TIP....................  iShares TIPS Bond ETF..  NYSE Arca
TLH....................  iShares 10-20 Year       NYSE Arca
                          Treasury Bond ETF.
TLT....................  iShares 20+ Year         NYSE Arca
                          Treasury Bond ETF.
TLTD...................  FlexShares Morningstar   NYSE Arca
                          Developed Markets ex-
                          US Factor Tilt Index
                          Fund.
TOK....................  iShares MSCI Kokusai     NYSE Arca
                          ETF.
TUR....................  iShares MSCI Turkey ETF  NYSE Arca
UNG....................  United States Natural    NYSE Arca
                          Gas Fund LP.
USCI...................  United States Commodity  NYSE Arca
                          Index Fund.
USDU...................  WisdomTree Bloomberg     NYSE Arca
                          U.S. Dollar Bullish
                          Fund.
USMV...................  iShares MSCI USA         NYSE Arca
                          Minimum Volatility ETF.
USO....................  United States Oil Fund   NYSE Arca
                          LP.
UUP....................  PowerShares DB US        NYSE Arca
                          Dollar 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       NYSE Arca
                          Value 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
VGK....................  Vanguard FTSE Europe     NYSE Arca
                          ETF.
VGSH...................  Vanguard Short-Term      NASDAQ GM
                          Government Bond ETF.
VGT....................  Vanguard Information     NYSE Arca
                          Technology ETF.
VHT....................  Vanguard Health Care     NYSE Arca
                          ETF.
VIDI...................  Vident International     NASDAQ GM
                          Equity Fund.
VIG....................  Vanguard Dividend        NYSE Arca
                          Appreciation ETF.
VIIX...................  VelocityShares VIX       NASDAQ GM
                          Short Term ETN.
VIS....................  Vanguard Industrials     NYSE Arca
                          ETF.
VIXM...................  ProShares VIX Mid-Term   NYSE Arca
                          Futures ETF.
VIXY...................  ProShares VIX Short-     NYSE Arca
                          Term Futures ETF.
VMBS...................  Vanguard Mortgage-       NASDAQ GM
                          Backed 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.
VOO....................  Vanguard S&P 500 ETF...  NYSE Arca
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

[[Page 13710]]

 
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.
VTI....................  Vanguard Total Stock     NYSE Arca
                          Market ETF.
VTIP...................  Vanguard Short-Term      NASDAQ GM
                          Inflation-Protected
                          Securities ETF.
VTV....................  Vanguard Value ETF.....  NYSE Arca
VTWO...................  Vanguard Russell 2000..  NASDAQ GM
VUG....................  Vanguard Growth ETF....  NYSE Arca
VV.....................  Vanguard Large-Cap ETF.  NYSE Arca
VWO....................  Vanguard FTSE Emerging   NYSE Arca
                          Markets ETF.
VXF....................  Vanguard Extended        NYSE Arca
                          Market 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.
WIP....................  SPDR DB International    NYSE Arca
                          Government Inflation-
                          Protected Bond ETF.
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     NASDAQ GM
                          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        NYSE Arca
                          Sector SPDR Fund.
XLK....................  Technology Select        NYSE Arca
                          Sector 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 &        NYSE Arca
                          Mining ETF.
XOP....................  SPDR S&P Oil & Gas       NYSE Arca
                          Exploration &
                          Production ETF.
XPH....................  SPDR S&P                 NYSE Arca
                          Pharmaceuticals ETF.
XRT....................  SPDR S&P Retail ETF....  NYSE Arca
XSD....................  SPDR S&P Semiconductor   NYSE Arca
                          ETF.
ZIV....................  VelocityShares Daily     NASDAQ GM
                          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

[[Page 13711]]

    2. Pipe delimited with field name as first record
F. Data set of order events received during Limit States
G. Summary data on order flow of arrivals and cancellations for each 
15-second period for discrete time periods and sample stocks to be 
determined by the SEC in subsequent data requests. Must indicate 
side(s) of Limit State.
    1. Market/marketable sell orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
    2. Market/marketable buy orders arrivals and executions
    a. Count
    b. Shares
    c. Shares executed
    3. Count arriving, volume arriving and shares executing in limit 
sell orders above NBBO mid-point
    4. Count arriving, volume arriving and shares executing in limit 
sell orders at or below NBBO mid-point (non-marketable)
    5. Count arriving, volume arriving and shares executing in limit 
buy orders at or above NBBO mid-point (non-marketable)
    6. Count arriving, volume arriving and shares executing in limit 
buy orders below NBBO mid-point
    7. Count and volume arriving of limit sell orders priced at or 
above NBBO mid-point plus $0.05
    8. Count and volume arriving of limit buy orders priced at or below 
NBBO mid-point minus $0.05
    9. Count and volume of (3-8) for cancels
    10. Include: ticker, date, time at start, time of Limit State, all 
data item fields in 1, last sale prior to 15-second period (null if no 
trades today), range during 15-second period, last trade during 15-
second period
III. [At least two months prior to the end of the Pilot Period,] By 
September 30, 2014, all Participants shall provide to the SEC 
assessments relating to the impact of the Plan and calibration of the 
Percentage Parameters as follows:
    A. Assess the statistical and economic impact on liquidity of 
approaching Price Bands.
    B. Assess the statistical and economic impact of the Price Bands on 
erroneous trades.
    C. Assess the statistical and economic impact of the 
appropriateness of the Percentage Parameters used for the Price Bands.
    D. Assess whether the Limit State is the appropriate length to 
allow for liquidity replenishment when a Limit State is reached because 
of a temporary liquidity gap.
    E. Evaluate concerns from the options markets regarding the 
statistical and economic impact of Limit States on liquidity and market 
quality in the options markets. (Participants that operate options 
exchange should also prepare such assessment reports.)
    F. Assess whether the process for entering a Limit State should be 
adjusted and whether Straddle States are problematic.
    G. Assess whether the process for exiting a Limit State should be 
adjusted.
    H. Assess whether the Trading Pauses are too long or short and 
whether the reopening procedures should be adjusted.

[FR Doc. 2014-05175 Filed 3-10-14; 8:45 am]
BILLING CODE 8011-01-P