85 FR 56 pgs. 16408-16428 - Joint Industry Plan; Notice of Filing of the Twentieth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange LLC, Long-Term Stock Exchange, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC,...
Type: NOTICEVolume: 85Number: 56Pages: 16408 - 16428
Pages: 16408, 16409, 16410, 16411, 16412, 16413, 16414, 16415, 16416, 16417, 16427, 16428Docket number: [Release No. 34-88406; File No. 4-631]
FR document: [FR Doc. 2020-06024 Filed 3-20-20; 8:45 am]
Agency: Securities and Exchange Commission
Official PDF Version: PDF Version
[top]
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-88406; File No. 4-631]
Joint Industry Plan; Notice of Filing of the Twentieth Amendment to the National Market System Plan To Address Extraordinary Market Volatility by Cboe BYX Exchange, Inc., Cboe BZX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., Financial Industry Regulatory Authority, Inc., Investors Exchange LLC, Long-Term Stock Exchange, NASDAQ BX, Inc., NASDAQ PHLX LLC, The Nasdaq Stock Market LLC, NYSE National, Inc., New York Stock Exchange LLC, NYSE American LLC, and NYSE Arca, Inc.
March 17, 2020.
I. Introduction
On February 13, 2020, NYSE Group, Inc., on behalf of the following parties to the National Market System Plan to Address Extraordinary Market Volatility ("the Plan"):?1 Cboe BZX Exchange, Inc., Cboe BYX Exchange, Inc., Cboe EDGA Exchange, Inc., Cboe EDGX Exchange, Inc., Chicago Stock Exchange, Inc., the Financial Industry Regulatory Authority, Inc. ("FINRA"), Investors Exchange LLC, Long-Term Stock Exchange ("LTSE"), NASDAQ BX, Inc., NASDAQ PHLX LLC, The NASDAQ Stock Market LLC ("Nasdaq"), New York Stock Exchange LLC ("NYSE"), NYSE Arca, Inc., NYSE National Inc., and NYSE American LLC (collectively, the "Participants") filed with the Securities and Exchange Commission ("Commission") pursuant to Section 11A(a)(3) of the Securities Exchange Act of 1934 ("Exchange Act")?2 and Rule 608 thereunder,3 a proposal to amend the Plan ("Twentieth Amendment").4 The proposal reflects changes unanimously approved by the Participants. The Twentieth Amendment proposes to: (i) Amend Section II.B of Appendix B, concerning the quarterly reports provided by the Operating Committee to the Commission; and amend the Plan to reflect the name change of the Chicago Stock Exchange, Inc. to NYSE Chicago, Inc. The Commission is publishing this notice to solicit comments from interested persons on the Twentieth Amendment.5
Footnotes:
1 ?On May 31, 2012, the Commission approved the Plan, as modified by Amendment No. 1. See Securities Exchange Act Release No. 67091, 77 FR 33498 (June 6, 2012) (File No. 4-631) ("Approval Order"). On February 20, 2013, the Commission noticed for immediate effectiveness the Second Amendment to the Plan. See Securities Exchange Act Release No. 68953, 78 FR 13113 (February 26, 2013). On April 3, 2013, the Commission approved the Third Amendment to the Plan. See Securities Exchange Act Release No. 69287, 78 FR 21483 (April 10, 2013). On August 27, 2013, the Commission noticed for immediate effectiveness the Fourth Amendment to the Plan. See Securities Exchange Act Release No. 70273, 78 FR 54321 (September 3, 2013). On September 26, 2013, the Commission approved the Fifth Amendment to the Plan. See Securities Exchange Act Release No. 70530, 78 FR 60937 (October 2, 2013). On January 7, 2014, the Commission noticed for immediate effectiveness the Sixth Amendment to the Plan. See Securities Exchange Act Release No. 71247, 79 FR 2204 (January 13, 2014). On April 3, 2014, the Commission approved the Seventh Amendment to the Plan. See Securities Exchange Act Release No. 71851, 79 FR 19687 (April 9, 2014). On February 19, 2015, the Commission approved the Eight Amendment to the Plan. See Securities Exchange Act Release No. 74323, 80 FR 10169 (February 25, 2015). On October 22, 2015, the Commission approved the Ninth Amendment to the Plan. See Securities Exchange Act Release No. 76244, 80 FR 66099 (October 28, 2015). On April 21, 2016, the Commission approved the Tenth Amendment to the Plan. See Securities Exchange Act Release No. 77679, 81 FR 24908 (April 27, 2016). On August 26, 2016, the Commission noticed for immediate effectiveness the Eleventh Amendment to the Plan. See Securities Exchange Act Release No. 78703, 81 FR 60397 (September 1, 2016). On January 19, 2017, the Commission approved the Twelfth Amendment to the Plan. See Securities Exchange Act Release No. 79845, 82 FR 8551 (January 26, 2017). On April 13, 2017, the Commission approved the Thirteenth Amendment to the Plan. See Securities Exchange Act Release No. 80455, 82 FR 18519 (April 19, 2017). On April 28, 2017, the Commission noticed for immediate effectiveness the Fourteenth Amendment to the Plan. See Securities Exchange Act Release No. 80549, 82 FR 20928 (May 4, 2017). On September 26, 2017, the Commission noticed for immediate effectiveness the Fifteenth Amendment to Plan. See Securities Exchange Act Release No. 81720, 82 FR 45922 (October 2, 2017). On March 15, 2018, the Commission noticed for immediate effectiveness the Sixteenth Amendment to the Plan. See Securities Exchange Act Release No. 82887, 83 FR 12414 (March 21, 2018). On April 12, 2018, the Commission approved the Seventeenth Amendment to the Plan. See Securities Exchange Act Release No. 83044, 83 FR 17205 (April 18, 2018). On April 11, 2019, the Commission approved the Eighteenth Amendment to the Plan. See Securities Exchange Act Release No. 85623 (April 11, 2019), 84 FR 16086 (April 17, 2019). On February 5, 2020, the Commission noticed for immediate effectiveness the Nineteenth Amendment to the Plan. See Securities Exchange Act Release No. 88122 (February 5, 2020), 85 FR 7805 (February 11, 2020).
2 ?15 U.S.C. 78k-1(a)(3).
3 ?17 CFR 242.608.
4 ? See Letter from Elizabeth King, General Counsel and Corporate Secretary, NYSE, to Vanessa Countryman, Secretary, Commission, dated February 13, 2020 ("Transmittal Letter").
5 ?17 CFR 242.608.
II. Description of the Plan
Set forth in this Section II is the statement of the purpose and summary of the Eighteenth Amendment, along with the information required by Rule 608(a)(4) and (5) under the Exchange Act,6 substantially prepared and submitted by the Participants to the Commission.7
Footnotes:
6 ? See 17 CFR 242.608(a)(4) and (a)(5).
7 ? See Transmittal Letter, supra note 4. The statement of the purpose and summary of the amendment and the information required by Rule 608(a)(4) and (5) is reproduced verbatim from the Transmittal Letter unless otherwise noted; cross-references have been revised to conform with the footnote sequencing of this notice.
A. Statement of Purpose and Summary of the Plan Amendment
The Participants filed the Plan with the Commission on April 5, 2011 to create a market-wide limit up-limit down mechanism intended to address extraordinary market volatility in NMS Stocks, as defined in Rule 600(b)(47) of Regulation NMS under the Exchange Act.8 The Plan sets forth procedures that provide for market-wide limit up-limit down requirements to 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, as defined in Section I(Y) of the Plan, to accommodate more fundamental price moves. In particular, the Participants adopted this Plan to address extraordinary volatility in the securities markets, i.e., significant fluctuations in individual securities' prices over a short period of time, such as those experienced during the "Flash Crash" on the afternoon of May 6, 2010.
Footnotes:
8 ?17 CFR 242.600(b)(47).
[top] As detailed above, the Plan was amended numerous times between 2011
Footnotes:
9 ? See Securities Exchange Act Release No. 85623 (April 11, 2019), 84 FR 16086 (April 17, 2019) (File No. 4-631).
Section II.B of Appendix B ("Appendix B.II.B") concerns the quarterly reports to be provided to the Commission. Appendix B.II.B currently provides that 30 days following the end of each calendar quarter, the Operating Committee shall provide the Commission and make publicly available a report including basic statistics regarding the Plan's operation ("Monitoring Report") during the preceding calendar quarter as well as aggregated data from the previous 12 quarters beginning with the calendar quarter covered by the first Monitoring Report. Appendix B.II.B requires the Monitoring Report to include data on the number and rate of recurrence of Limit States, Straddle States, and Trading Pauses for each month during the calendar quarter, as well as the performance of reopening procedures following a Trading Pause. Appendix B.II.B also currently provides that the Monitoring Report will include data on the number of Clearly Erroneous Executions that occur during the preceding calendar quarter. In addition, Appendix B.II.B currently states that the data in the Monitoring Report should be partitioned by "category" ( i.e., type of issue and price range), as well as by the "time of day" of the event. 10
Footnotes:
10 ?In several places in the Notice describing the Monitoring Report requirements, the Participants state that they "should" do certain things or provide certain data. The Commission notes that LULD Plan requires the Participants to meet such obligations and they are not voluntary on the part of the Participants. Therefore, in instances where the Notice states that the Participants "should" include something in the Monitoring Report, the Commission notes that the LULD Plan requires that the data be provided.
The Participants now propose to amend Appendix B.II.B in order to improve the clarity and transparency of the quarterly reporting requirements. The Participants also propose to make a non-substantive amendment to the Plan to reflect the name change of Chicago Stock Exchange, Inc., to NYSE Chicago, Inc.
1. Proposal To Improve Clarity and Transparency of Appendix B.II.B
The Participants propose to amend Appendix B.II.B to improve its clarity and transparency by revising and supplementing the current language. In preparing to compile and aggregate the data required for the first quarterly report, the Participants determined that the language of Appendix B.II.B could be improved by, among other things: (a) Emphasizing from the outset that the data should be aggregated across primary listing exchanges, (b) specifying the specific partitions that should be applied to each data point, (c) specifying the specific distribution statistics that should be applied to each data point, and (d) providing additional clarity as to what Reopening data should be included.
The Participants emphasize that the intention of this amendment is not to substantively change the requirements in Appendix B.II.B, but to amend the language of Appendix B.II.B to give more complete directions as to the information that should be included in the quarterly Monitoring Reports.
a. Data Aggregated Across Primary Listing Exchanges
The opening paragraph of Appendix B.II.B currently refers to "aggregate data," but is not clear that the data for the quarterly Monitoring Report should be aggregated across primary listing exchanges, as opposed to aggregated in some other fashion. The Participants propose to amend this paragraph to make clear that the quarterly Monitoring Report will include basic statistics aggregated across primary listing exchanges regarding the Plan's operation during the preceding calendar quarter, as well as data aggregated across exchanges from the previous 12 quarters beginning with the calendar covered by the first Monitoring Report.
b. Specific Partitions To Apply to Each Data Category
Appendix B.II.B currently contains provisions entitled "Partition stocks by category" and "Partition by time of day." The Participants propose to replace this text to specify more clearly (i) which partitions apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and which partitions apply to the data for Reopenings, which differ; (ii) the 18 different category partitions that apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events; (iii) the specific time-frames covered by each time-of-day partition; and (iv) that the data provided for Reopenings must take into account the differences between manual and automated reopenings.
First, in preparing to compile the data required for the first quarterly report, the Participants determined that the partitions listed in the current Appendix B.II.B reasonably apply to the data for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and that the Reopenings data requires different partitions. The Participants therefore propose to restructure Appendix B.II.B into two subsections, each with their own "Definitions" section that specifies the partitions that would be applicable to that subsection. Specifically, proposed Appendix B.II.B.1.a would define the partitions that would apply to data about Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events, and proposed Appendix B.II.B.2.a would define the partitions that would apply to data about Reopenings.
Second, the current version of Appendix B.II.B. lists only eight separate "categories" into which securities should be partitioned, but the full language of that provision indicates that 18 categories are actually intended. Appendix B.II.B currently lists the first three categories as "Tier 1 non-ETP issues > $3.00," "Tier 1 non-ETP >= $0.75 and <= $3.00," and "Tier 1 non-ETP issues < $0.75," and then lists five other categories of securities that should also be divided "in each of the above categories." The Participants understand this language to mean that each of the six categories of securities listed-that is, Tier 1 non-ETPs, Tier 1 non-leveraged ETPs, Tier 1 leveraged ETPs, Tier 2 non-ETPs, Tier 2 non-leveraged ETPs, and Tier 2 leveraged ETPs-should each be further subdivided into three subcategories: Greater than $3.00, between $0.75 and $3.00, and less than $0.75. As such, the Participants propose to clearly list in the amended Appendix B.II.B.1.a.i all 18 of the categories of securities into which the Limit State, Trading Pause, Straddle State, and Clearly Erroneous Events data should be partitioned:
(1) Tier 1 non-ETP securities > $3.00
(2) Tier 1 non-ETP securities >= $0.75 and <= $3.00
(3) Tier 1 non-ETP securities < $0.75
(4) Tier 1 non-leveraged ETPs > $3.00
[top] (5) Tier 1 non-leveraged ETPs >= $0.75 and <= $3.00
(6) Tier 1 non-leveraged ETPs < $0.75
(7) Tier 1 leveraged ETPs > $3.00
(8) Tier 1 leveraged ETPs >= $0.75 and <= $3.00
(9) Tier 1 leveraged ETPs < $0.75
(10) Tier 2 non-ETPs > $3.00
(11) Tier 2 non-ETPs >= $0.75 and <= $3.00
(12) Tier 2 non-ETPs < $0.75
(13) Tier 2 non-leveraged ETPs > $3.00
(14) Tier 2 non-leveraged ETPs >= $0.75 and <= $3.00
(15) Tier 2 non-leveraged ETPs < $0.75
(16) Tier 2 leveraged ETPs > $3.00
(17) Tier 2 leveraged ETPs >= $0.75 and <= $3.00
(18) Tier 2 leveraged ETPs < $0.75
Third, the current Appendix B.II.B.3 states that the "time of day" partitions are "Opening (prior to 9:45 a.m. ET)," "Regular (between 9:45 a.m. ET and 3:35 p.m. ET)," "Closing (after 3:35 p.m. ET)," and "Within five minutes of a Trading Pause re-open or IPO open." These partitions, however, assume that all trading days are full trading days, and do not account for partial trading days where the markets are scheduled to close early, such as the day after Thanksgiving and December 24. The Participants accordingly propose to amend Appendix B.II.B to add new subsection 1.a.ii, to specify that "Time of Day" means the following time spans:
(1) Opening (prior to 9:45 a.m. ET)
(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of core trading hours)
(3) Closing (the last 25 minutes of core trading hours)
(4) Within five minutes of a Trading Pause reopen or IPO open
Fourth, the current Appendix B.II.B does not include any language partitioning Reopenings data between manual and automated reopenings.11 The Participants accordingly propose to amend Appendix B.II.B to add new subsection 2.a.i requiring that they partition Reopening data by whether the reopening is manual or automated. The Participants also propose to add new subsection 2.a.iii, to require that the data for Reopenings be partitioned by the "Length of the Trading Pause," which would be defined as:
Footnotes:
11 ?For purposes of Appendix B, a reopening is considered "manual" if it is facilitated by a member of an exchange (such as a Designated Market Maker on NYSE) that has obligations under that exchange's rules to facilitate the reopening process. (All reopenings on NYSE are manual.)
• Less than 6 minutes (for manual reopenings) or no extensions of the Trading Pause (for automated reopenings);
• 6 to 10 minutes (for manual reopenings) or one extension of the Trading Pause (for automated reopenings);
• more than 10 minutes (for manual reopenings) or more than one extension of the Trading Pause (for automated reopenings).
c. Specific Distribution Statistics To Apply to Each Data Category for Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events
The current Appendix II.B.II states in general terms that the Monitoring Report should include data on the "[n]umber of Limit States, Trading Pauses, and Straddle States per day, including distribution statistics such as the mean, median, minimum and maximum percentiles," and the "[n]umber of NMS Stocks that experience more than one Limit State, Trading Pause, or Straddle State in a single day including the length of each Limit State, Trading Pause, and Straddle State per day." The current version also states generally that Participants should "[P]artition stocks by category" and "[P]artition by time of day," even though such partitions do not reasonably apply to every data set required to be supplied in the Monitoring Report.
The Participants propose to add clarity to these reporting requirements by amending Appendix B.II.B to specify the precise distribution statistics and partitions to apply to each data request. Accordingly, the Participants propose to amend Appendix B.II.B.1.b clarify that the Monitoring Report would include:
For Limit States
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Limit States per day, broken out by Category and Time of Day.
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Limit State on a single day, broken out by Category.
• Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the number of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.
• Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the total length of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.
For Trading Pauses
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Trading Pauses per day, broken out by Category and Time of Day.
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Trading Pause on a single day, broken out by Category.
• Monthly distribution statistics (mean, median, 90th percentile, and maximum) on the number of Trading Pauses per day experienced by individual NMS Stocks having more than one Trading Pause on a single day, broken out by Category.
For Straddle States
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Straddle States per day, broken out by Category and Time of Day.
• Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Straddle State on a single day, broken out by Category.
• Monthly distribution statistics (mean, median, 90th percentile, and 99.9th percentile) on the total time spent in a Straddle State per day for individual NMS Stocks experiencing one or more Straddle States on a single day, broken out by Category
For Clearly Erroneous Events
• The number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands re disseminated by the Processor, broken out by Category and Time of Day.
d. Additional Clarity on Reopening Data
Finally, regarding Reopening data, Appendix B.II.B currently states that the Monitoring Report should include the "[n]umber of times an automated reopening process is extended for and the length of the Trading Pause," "[w]hether the reopening process ended in a trade," "[t]he price calculated by an automated reopening process for an NMS Stock existing a Trading Pause," and "[f]or the five minutes following the conclusion of a Trading Pause, the highest price of all last sale eligible trades, the lowest price of all last sale eligible trades, and the average price of all last sale eligible trades."
[top] These provisions, however, do not specify the specific distribution statistics or partitions that the Participants should apply to any of
Accordingly, the Participants propose to amend the provisions in Appendix B.II.B pertaining to Reopenings to specify that the Monitoring Report should include:
• The number of Trading Pauses per month, broken out by (a) Type of Reopening, (b) Category, and (c) Length of the Trading Pause.
• Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the duration of each Trading Pause, broken out by (a) Type of Reopening and (b) Category.
• The number of Trading Pauses ending in a (a) trade; (b) quote; and (c) potential closing auction, broken out by (i) Type of Reopening, (ii) Category, and (iii) Length of Trading Pause.
• For Trading Pauses in NMS Stocks preceded by a Limit Up state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Up pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause ( i.e., the reopening trade or midpoint price), broken out by (a) Category and (b) whether the Trading Pause ended in a trade or (c) in a quote ( i.e., the reopening price was a midpoint).
• For Trading Pauses in NMS Stocks preceded by a Limit Down state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Down pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause ( i.e., the reopening trade or midpoint price), broken out by (a) Category and (b) whether the Trading Pause ended in a trade or (c) in a quote ( i.e., the reopening price was a midpoint).
• For Trading Pauses in NMS Stocks where the reopening process ended in a trade or quote (with resulting reference price equal to the midpoint of that quote), monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the reopening price on exiting the Trading Pause ( i.e., the reopening trade or midpoint price) to (a) the highest price of all last sale eligible trades, (b) the lowest price of all last sale eligible trades; and (c) the trade-weighted average price of all last sale eligible trades for the five minutes following the conclusion of the Trading Pause, broken out by (i) Category, (ii) whether the Trading Pause was preceded by a Limit Up state or (iii) a Limit Down state, and (iv) whether the Trading Pause ended in a trade or (v) in a quote ( i.e., the reopening price was a midpoint).
The Participants believe that the proposed amendments described above will enhance clarity, improve transparency, and provide direction to the Participants in compiling and aggregating the data required in the quarterly Monitoring Reports.
2. Proposal To Change Name of Chicago Stock Exchange, Inc. to NYSE Chicago, Inc.
The Participants also propose to make a non-substantive amendment to the Plan to reflect the name change of Chicago Stock Exchange, Inc. to NYSE Chicago, Inc., and the change of its address from 440 South LaSalle Street, Chicago, Illinois 60605 to 11 Wall Street, New York, New York, 10005.
On October 18, 2018, the Chicago Stock Exchange, Inc. filed a proposed rule change for immediate effectiveness to amend, among other things, its rules to reflect the change of its name to NYSE Chicago, Inc.12
Footnotes:
12 ? See Securities Exchange Act Release No. 84494 (October 26, 2018), 83 FR 54953 (November 1, 2018) (SR-CHX-2018-05).
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 this proposed amendment to the Plan.
C. Implementation of Amendment
The Participants are filing this proposed amendment pursuant to Rule 608(b)(1) of Regulation NMS under the Exchange Act.13
Footnotes:
13 ?17 CFR 242.608.
D. Development and Implementation Phases
The Plan has been fully implemented, and the amendments proposed herein are immediately effective, as noted above.14
Footnotes:
14 ?The Commission notes that the Exchanges incorrectly stated in the Transmittal Letter, supra note 4, that the proposed amendments are effective upon filing. These amendments are being proposed pursuant to Rule 608(b)(1) of Regulation NMS under the Exchange Act, and the Commission is publishing the proposed amendments for public comment as required by Rule 608(b)(1). The Commission may approve these proposed amendments if it finds that they are consistent with the standards articulated in Rule 608(b)(2) of Regulation NMS.
E. Analysis of Impact on Competition
The Participants believe that the proposed amendment does not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Securities Exchange Act of 1934 ("Exchange Act"). The proposed amendments to Appendix B.II.B of the Plan pertain to the obligations of the Participants and the Operating Committee to provide periodic reports to the Commission about the Plan's ongoing operation. As such, they do not apply directly to any market participants and would not impose a competitive burden on one category of market participant in favor of another category of market participant. For the same reasons, 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 have no written understandings or agreements relating to interpretation of the Plan.
G. Approval of Amendment of the Plan
Each of the Participants has approved the amendment in accordance with Section III(C) of the Plan. Specifically, on February 12, 2020, the Operating Committee, duly constituted and chaired by Mr. Robert Books of Cboe Global Markets, Inc., voted unanimously to amend the Plan as set forth herein. The Participants also received and incorporated feedback from the Plan Advisory Committee in preparing this proposal.
H. Terms and Conditions of Access
[top] Section II(C) of the Plan provides 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, 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
This section is not applicable as the proposed amendment to the Plan does not involve fees or charges.
J. Method and Frequency of Processor Evaluation
This section is not applicable as the operation of the Plan is conducted by the Primary Listing Exchange.
K. Dispute Resolution
Section III(C) of the Plan provides that each Participant shall designate an individual to represent the Participant as a member of an Operating Committee. No later than the initial date of the Plan, the Operating Committee shall designate one member of the Operating Committee to act as the Chair of the Operating Committee. Any recommendation for an amendment to the Plan from the Operating Committee that receives an affirmative vote of at least two-thirds of the Participants, but is less than unanimous, shall be submitted to the Commission as a request for an amendment to the Plan initiated by the Commission under Rule 608.
III. Solicitation of Comments
Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the amendment is consistent with the Exchange Act and the rules thereunder. Comments may be submitted by any of the following methods:
Electronic Comments
• Use the Commission's internet comment form ( http://www.sec.gov/rules/sro.shtml ); or
• Send an email to rule-comments@sec.gov. Please include File Number 4-631 on the subject line.
Paper Comments
• Send paper comments in triplicate to 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 website ( http://www.sec.gov/rules/sro.shtml ). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed plan amendment that are filed with the Commission, and all written communications relating to the amendment 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 website viewing and printing in the Commission's Public Reference Room, 100 F Street NE, Washington, DC 20549, on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of such filing also will be available for inspection and copying at the Participants' offices. All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment 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 13, 2020.
By the Commission.
J. Matthew DeLesDernier,
Assistant 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 | 8 |
| VI. Limit Up-Limit Down Requirements | 11 |
| VII. Trading Pauses | 13 |
| VIII. Implementation | 15 |
| IX. Withdrawal from Plan | 15 |
| X. Counterparts and Signatures | 15 |
| Appendix A-Percentage Parameters | 17 |
| Appendix A-Schedule 1 | 19 |
| Appendix B-Data and Reporting | 37 |
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. If the Primary Listing Exchange opens with quotations, the "Opening Price" shall mean the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no such closing price exists, the last sale on the Primary Listing Exchange.
(J) "Operating Committee" shall have the meaning provided in Section III(C) of the Plan.
(K) "Participant" means a party to the Plan.
(L) "Plan" means the plan set forth in this instrument, as amended from time to time in accordance with its provisions.
[top] (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) "Reference Price" shall have the meaning provided in Section V of the Plan.
(S) "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.
(T) "Regulatory Halt" shall have the meaning specified in the Market Data Plans.
(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) Cboe BZX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605
(2) Cboe BYX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605
(3) Cboe EDGA Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605
(4) Cboe EDGX Exchange, Inc., 400 South LaSalle Street, Chicago, Illinois 60605
[(5) Chicago Stock Exchange, Inc., 440 South LaSalle Street, Chicago, Illinois 60605]
( 5 [6]) Financial Industry Regulatory Authority, Inc., 1735 K Street NW, Washington, DC 20006
( 6 [7]) Investors Exchange LLC, 4 World Trade Center, 44th Floor, New York, New York 10007
( 7 [8]) NASDAQ BX, Inc., One Liberty Plaza, New York, New York 10006
( 8 [9]) NASDAQ PHLX LLC, 1900 Market Street, Philadelphia, Pennsylvania 19103
( 9 [10]) The Nasdaq Stock Market LLC, 1 Liberty Plaza, 165 Broadway, New York, NY 10006
(1 0 [1]) NYSE National, Inc., 11 Wall Street, New York, NY 10005
(1 1 [2]) New York Stock Exchange LLC, 11 Wall Street, New York, New York 10005
(1 2 [3]) NYSE American LLC, 11 Wall Street, New York, New York 10005
(1 3 [4]) NYSE Arca, Inc., 11 Wall Street, New York, New York 10005
(14) NYSE Chicago, Inc., 11 Wall Street, New York, New York 10005
(B) Compliance Undertaking
By subscribing to and submitting the Plan for approval by the SEC, each Participant agrees to comply with and to enforce compliance, as required by Rule 608(c) of Regulation NMS under the Exchange Act, by its members with the provisions of the Plan. To this end, each Participant shall adopt a rule requiring compliance by its members with the provisions of the Plan, and each Participant shall take such actions as are necessary and appropriate as a participant of the Market Data Plans to cause and enable the Processor for each NMS Stock to fulfill the functions set forth in this Plan.
(C) New Participants
The Participants agree that any entity registered as a national securities exchange or national securities association under the Exchange Act may become a Participant by: (1) Becoming a participant in the applicable Market Data Plans; (2) executing a copy of the Plan, as then in effect; (3) providing each then-current Participant with a copy of such executed Plan; and (4) effecting an amendment to the Plan as specified in Section III (B) of the Plan.
(D) Advisory Committee
(1) Formation. Notwithstanding other provisions of this Plan, an Advisory Committee to the Plan shall be formed and shall function in accordance with the provisions set forth in this section.
(2) Composition. Members of the Advisory Committee shall be selected for two-year terms as follows:
(A) Advisory Committee Selections. By affirmative vote of a majority of the Participants, the Participants shall select at least one representatives from each of the following categories to be members of the Advisory Committee: (1) A broker-dealer with a substantial retail investor customer base; (2) a broker-dealer with a substantial institutional investor customer base; (3) an alternative trading system; (4) a broker-dealer that primarily engages in trading for its own account; and (5) an investor.
(3) Function. Members of the Advisory Committee shall have the right to submit their views to the Operating Committee on Plan matters, prior to a decision by the Operating Committee on such matters. Such matters shall include, but not be limited to, proposed material amendments to the Plan.
(4) Meetings and Information. Members of the Advisory Committee shall have the right to attend meetings of the Operating Committee and to receive any information concerning Plan matters; provided, however, that the Operating Committee may meet in executive session if, by affirmative vote of a majority of the Participants, the Operating Committee determines that an item of Plan business requires confidential treatment.
III. Amendments to Plan
(A) General Amendments
Except with respect to the addition of new Participants to the Plan, any proposed change in, addition to, or deletion from the Plan shall be effected by means of a written amendment to the Plan that: (1) Sets forth the change, addition, or deletion; (2) is executed on behalf of each Participant; and, (3) is approved by the SEC pursuant to Rule 608 of Regulation NMS under the Exchange Act, or otherwise becomes effective under Rule 608 of Regulation NMS under the Exchange Act.
(B) New Participants
[top] 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
(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 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 for (i) all Tier 1 NMS Stocks and (ii) Tier 2 NMS Stocks priced equal to or below $3.00. If the Processor has not yet disseminated Price Bands, but a Reference Price is available, a trading center may calculate and apply Price Bands based on the same Reference Price that the Processor would use for calculating such Price Bands until such trading center receives Price Bands from the Processor. If, under Section VII(B)(2), the Primary Listing Exchange notifies the Processor that it is unable to reopen an NMS Stock due to a systems or technology issue and it has not declared a Regulatory Halt, the Processor will calculate and disseminate Price Bands by applying triple the Percentage Parameters set forth in Appendix A for the first 30 seconds such Price Bands are disseminated.
(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
[top] (1) Following a Trading Pause in an NMS Stock, and if the Primary Listing Exchange has not declared a Regulatory Halt, if the Primary Listing Exchange reopens trading with a transaction or quotation that does not include a zero bid or zero offer, the next Reference Price shall be the Reopening Price on the Primary Listing Exchange. Subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If the Primary Listing Exchange notifies the Processor that it is unable to reopen an NMS Stock due to a systems or technology issue, or if the Primary Listing Exchange reopens trading with a quotation that has a zero bid or zero offer, or both, the next Reference Price shall be the last effective Price Band that was in a Limit State before the Trading Pause. Subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
(2) Following a Regulatory Halt, the next Reference Price shall be the Opening or Reopening Price on the Primary Listing Exchange if such Opening or Reopening Price occurs within five minutes after the end of the Regulatory Halt, and subsequent Reference Prices shall be determined in the manner prescribed for normal openings, as specified in Section V(B)(1) of the Plan. If such Opening or Reopening Price has not occurred within five minutes after the end of the Regulatory Halt, the Reference Price shall be equal to the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the preceding five minute time period, and subsequent Reference Prices shall be calculated as specified in Section V(A) of the Plan.
VI. Limit Up-Limit Down Requirements
(A) Limitations on Trades and Quotations Outside of Price Bands
(1) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent trades at prices that are below the Lower Price Band or above the Upper Price Band for an NMS Stock. Single-priced opening, reopening, and closing transactions on the Primary Listing Exchange, however, shall be excluded from this limitation. In addition, any transaction that both (i) does not update the last sale price (except if solely because the transaction was reported late or because the transaction was an odd-lot sized transaction), and (ii) is excepted or exempt from Rule 611 under Regulation NMS shall be excluded from this limitation.
(2) When a National Best Bid is below the Lower Price Band or a National Best Offer is above the Upper Price Band for an NMS Stock, the Processor shall disseminate such National Best Bid or National Best Offer with an appropriate flag identifying it as non-executable. When a National Best Offer is equal to the Lower Price Band or a National Best Bid is equal to the Upper Price Band for an NMS Stock, the Processor shall distribute such National Best Bid or National Best Offer with an appropriate flag identifying it as a "Limit State Quotation".
(3) All trading centers in NMS Stocks, including both those operated by Participants and those operated by members of Participants, shall establish, maintain, and enforce written policies and procedures that are reasonably designed to prevent the display of offers below the Lower Price Band and bids above the Upper Price Band for an NMS Stock. The Processor shall disseminate an offer below the Lower Price Band or bid above the Upper Price Band that may be submitted despite such reasonable policies and procedures, but with an appropriate flag identifying it as non-executable; provided, however, that any such bid or offer shall not be included in National Best Bid or National Best Offer calculations.
(B) Entering and Exiting a Limit State
(1) All trading for an NMS Stock shall immediately enter a Limit State if the National Best Offer equals the Lower Price Band and does not cross the National Best Bid, or the National Best Bid equals the Upper Price Band and does not cross the National Best Offer.
(2) When trading for an NMS Stock enters a Limit State, the Processor shall disseminate this information by identifying the relevant quotation ( i.e., a National Best Offer that equals the Lower Price Band or a National Best Bid that equals the Upper Price Band) as a Limit State Quotation. At this point, the Processor shall cease calculating and disseminating updated Reference Prices and Price Bands for the NMS Stock until either trading exits the Limit State or trading resumes with an opening or re-opening as provided in Section V.
(3) Trading for an NMS Stock shall exit a Limit State if, within 15 seconds of entering the Limit State, the entire size of all Limit State Quotations are executed or cancelled.
(4) If trading for an NMS Stock exits a Limit State within 15 seconds of entry, the Processor shall immediately calculate and disseminate updated Price Bands based on a Reference Price that equals the arithmetic mean price of Eligible Reported Transactions for the NMS Stock over the immediately preceding five-minute period (including the period of the Limit State).
(5) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry, the Limit State will terminate when the Primary Listing Exchange declares a Trading Pause pursuant to Section VII of the Plan or at the end of Regular Trading Hours.
VII. Trading Pauses
(A) Declaration of Trading Pauses
(1) If trading for an NMS Stock does not exit a Limit State within 15 seconds of entry during Regular Trading Hours, then the Primary Listing Exchange shall declare a Trading Pause for such NMS Stock and shall notify the Processor.
(2) The Primary Listing Exchange may also declare a Trading Pause for an NMS Stock when an NMS Stock is in a Straddle State, which is when National Best Bid (Offer) is below (above) the Lower (Upper) Price Band and the NMS Stock is not in a Limit State, and trading in that NMS Stock deviates from normal trading characteristics such that 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 Processor will publish the following information that the Primary Listing Exchange provides to the Processor in connection with such reopening: Auction reference price; auction collars; and number of extensions to the reopening auction. 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 due to a systems or technology issue and if it has not declared a Regulatory Halt. The Processor shall disseminate this information to the public.
(3) Trading centers may not resume trading in an NMS Stock following a Trading Pause without Price Bands in such NMS Stock.
[top] (4) The Processor shall update the Price Bands as set forth in Section V(C)(1)-(2) of the Plan after receiving notification from the Primary Listing Exchange of a Reopening Price following a Trading Pause (or a resume message in the case of a reopening quote that has a zero bid or zero offer, or both) or that it is unable to reopen trading following a Trading Pause due to a systems or technology issue, provided that if the Primary Listing Exchange is unable to reopen due to a systems or technology issue, the update to the Price Bands will be no earlier than ten
(C) Trading Pauses Within Ten Minutes of the End of Regular Trading Hours
(1) If an NMS Stock is in a Trading Pause during the last ten minutes of trading before the end of Regular Trading Hours, the Primary Listing Exchange shall not reopen trading and shall attempt to execute a closing transaction using its established closing procedures. All trading centers may begin trading the NMS Stock when the Primary Listing Exchange executes a closing transaction.
(2) If the Primary Listing Exchange does not execute a closing transaction within five minutes after the end of Regular Trading Hours, all trading centers may begin trading the NMS Stock.
VIII. Implementation
The initial date of Plan operations shall be April 8, 2013.
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 November 2019 [2018] by each of the parties hereto.
Cboe BZX EXCHANGE, INC.
BY:
Cboe EDGA EXCHANGE, INC.
BY:
[CHICAGO STOCK EXCHANGE, INC.
BY:
INVESTORS EXCHANGE LLC
BY:
NASDAQ PHLX LLC
BY:
NYSE NATIONAL, INC.
BY:
NYSE American LLC
BY:
NYSE CHICAGO, INC.
BY:
Cboe BYX EXCHANGE, INC.
BY:
Cboe EDGX EXCHANGE, INC.
BY:
FINANCIAL INDUSTRY REGULATORY AUTHORITY, INC.
BY:
NASDAQ 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[,] and the Russell 1000 Index, and the exchange-traded products ("ETP") identified as 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 websites.
(2) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price more than $3.00 shall be 5%.
(3) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4) The Percentage Parameters for Tier 1 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.
(5) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.
II. Tier 2 NMS Stocks
(1) Tier 2 NMS Stocks shall include all NMS Stocks other than those in Tier 1, provided, however, that all rights and warrants are excluded from the Plan.
(2) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price more than $3.00 shall be 10%.
(3) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price equal to $0.75 and up to and including $3.00 shall be 20%.
(4) The Percentage Parameters for Tier 2 NMS Stocks with a Reference Price less than $0.75 shall be the lesser of (a) $0.15 or (b) 75%.
(5) Notwithstanding the foregoing, the Percentage Parameters for a Tier 2 NMS Stock that is a leveraged ETP shall be the applicable Percentage Parameter set forth in clauses (2), (3), or (4) above, multiplied by the leverage ratio of such product.
(6) The Reference Price used for determining which Percentage Parameter shall be applicable during a trading day shall be based on the closing price of the NMS Stock on the Primary Listing Exchange on the previous trading day, or if no closing price exists, the last sale on the Primary Listing Exchange reported by the Processor.
[top]
| Ticker | ETP name | Exchange |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | NYSE Arca. |
| QQQ | Invesco QQQ Trust | NASDAQ. |
| IWM | iShares Russell 2000 ETF | NYSE Arca. |
| EEM | iShares MSCI Emerging Markets ETF | NYSE Arca. |
| GDX | VanEck Vectors Gold Miners ETF | NYSE Arca. |
| HYG | iShares iBoxx $ High Yield Corporate Bond ETF | NYSE Arca. |
| EFA | iShares MSCI EAFE ETF | NYSE Arca. |
| TLT | iShares 20+ Year Treasury Bond ETF | NASDAQ. |
| GLD | SPDR Gold Trust | NYSE Arca. |
| XLF | Financial Select Sector SPDR Fund | NYSE Arca. |
| LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | NYSE Arca. |
| IVV | iShares Core S&P 500 ETF | NYSE Arca. |
| XLU | Utilities Select Sector SPDR Fund | NYSE Arca. |
| EWZ | iShares MSCI Brazil ETF | NYSE Arca. |
| FXI | iShares China Large-Cap ETF | NYSE Arca. |
| XLE | Energy Select Sector SPDR Fund | NYSE Arca. |
| XLK | Technology Select Sector SPDR Fund | NYSE Arca. |
| XLV | Health Care Select Sector SPDR Fund | NYSE Arca. |
| VXX | iPath Series B S&P 500 VIX Short-Term Futures ETN | Cboe BZX. |
| XLI | Industrial Select Sector SPDR Fund | NYSE Arca. |
| XLP | Consumer Staples Select Sector SPDR Fund | NYSE Arca. |
| DIA | SPDR Dow Jones Industrial Average ETF Trust | NYSE Arca. |
| VOO | Vanguard S&P 500 ETF | NYSE Arca. |
| IEMG | iShares Core MSCI Emerging Markets ETF | NYSE Arca. |
| IYR | iShares U.S. Real Estate ETF | NYSE Arca. |
| GDXJ | VanEck Vectors Junior Gold Miners ETF | NYSE Arca. |
| JNK | SPDR Bloomberg Barclays High Yield Bond ETF | NYSE Arca. |
| XOP | SPDR S&P Oil & Gas Exploration & Production ETF | NYSE Arca. |
| SMH | VanEck Vectors Semiconductor ETF | NASDAQ. |
| IEF | iShares 7-10 Year Treasury Bond ETF | NASDAQ. |
| VWO | Vanguard FTSE Emerging Markets ETF | NYSE Arca. |
| IEFA | iShares Core MSCI EAFE ETF | Cboe BZX. |
| AGG | iShares Core U.S. Aggregate Bond ETF | NYSE Arca. |
| VNQ | Vanguard Real Estate ETF | NYSE Arca. |
| EMB | iShares JP Morgan USD Emerging Markets Bond ETF | NASDAQ. |
| XLY | Consumer Discretionary Select Sector SPDR Fund | NYSE Arca. |
| VTI | Vanguard Total Stock Market ETF | NYSE Arca. |
| XBI | SPDR S&P BIOTECH ETF | NYSE Arca. |
| EWJ | iShares MSCI Japan ETF | NYSE Arca. |
| MDY | SPDR S&P Midcap 400 ETF Trust | NYSE Arca. |
| VEA | Vanguard FTSE Developed Markets ETF | NYSE Arca. |
| XLB | Materials Select Sector SPDR Fund | NYSE Arca. |
| KRE | SPDR S&P Regional Banking ETF | NYSE Arca. |
| SLV | iShares Silver Trust | NYSE Arca. |
| USO | United States Oil Fund LP | NYSE Arca. |
| IAU | iShares Gold Trust | NYSE Arca. |
| USMV | iShares Edge MSCI Min Vol USA ETF | Cboe BZX. |
| IBB | iShares NASDAQ Biotechnology ETF | NASDAQ. |
| BND | Vanguard Total Bond Market ETF | NASDAQ. |
| IJR | iShares Core S&P Small Cap ETF | NYSE Arca. |
| SHV | iShares Short Treasury Bond ETF | NASDAQ. |
| IWD | iShares Russell 1000 Value ETF | NYSE Arca. |
| SPLV | Invesco S&P 500 Low Volatility ETF | NYSE Arca. |
| IWF | iShares Russell 1000 Growth ETF | NYSE Arca. |
| XRT | SPDR S&P Retail ETF | NYSE Arca. |
| EWY | iShares MSCI South Korea ETF | NYSE Arca. |
| MCHI | iShares MSCI China ETF | NASDAQ. |
| ACWI | iShares MSCI ACWI ETF | NASDAQ. |
| VCIT | Vanguard Intermediate-Term Corporate Bond ETF | NASDAQ. |
| AMLP | Alerian MLP ETF | NYSE Arca. |
| SHY | iShares 1-3 Year Treasury Bond ETF | NASDAQ. |
| VGK | Vanguard FTSE Europe ETF | NYSE Arca. |
| BIL | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | NYSE Arca. |
| EZU | iShares MSCI Eurozone ETF | Cboe BZX. |
| IJH | iShares Core S&P Mid-Cap ETF | NYSE Arca. |
| XLRE | Real Estate Select Sector SPDR Fund | NYSE Arca. |
| XLC | Communication Services Select Sector SPDR Fund | NYSE Arca. |
| IWB | iShares Russell 1000 ETF | NYSE Arca. |
| EWT | iShares MSCI Taiwan ETF | NYSE Arca. |
| TIP | iShares TIPS Bond ETF | NYSE Arca. |
| MTUM | iShares Edge MSCI USA Momentum Factor ETF | Cboe BZX. |
| RSX | VanEck Vectors Russia ETF | Cboe BZX. |
| VTV | Vanguard Value ETF | NYSE Arca. |
| INDA | iShares MSCI India ETF | Cboe BZX. |
| PFF | iShares Preferred & Income Securities ETF | NASDAQ. |
| EWH | iShares MSCI Hong Kong ETF | NYSE Arca. |
| VT | Vanguard Total World Stock ETF | NYSE Arca. |
| MBB | iShares MBS ETF | NASDAQ. |
| IGV | iShares Expanded Tech-Software Sector ETF | Cboe BZX. |
| BSV | Vanguard Short-Term Bond ETF | NYSE Arca. |
| SVXY | ProShares Short VIX Short-Term Futures ETF | NYSE Arca. |
| BKLN | Invesco Senior Loan ETF | NYSE Arca. |
| VIG | Vanguard Dividend Appreciation ETF | NYSE Arca. |
| OIH | VanEck Vectors Oil Services ETF | NYSE Arca. |
| EWW | iShares MSCI Mexico ETF | NYSE Arca. |
| VEU | Vanguard FTSE All-World ex-US Index Fund | NYSE Arca. |
| VCSH | Vanguard Short-Term Corporate Bond ETF | NASDAQ. |
| SH | ProShares Short S&P500 | NYSE Arca. |
| IEI | iShares 3-7 Year Treasury Bond ETF | NASDAQ. |
| GOVT | iShares U.S. Treasury Bond ETF | Cboe BZX. |
| SOXX | iShares PHLX Semiconductor ETF | NASDAQ. |
| VGT | Vanguard Information Technology ETF | NYSE Arca. |
| BNDX | Vanguard Total International Bond ETF | NASDAQ. |
| ASHR | Xtrackers Harvest CSI 300 China A-Shares ETF | NYSE Arca. |
| ITOT | iShares Core S&P Total U.S. Stock Market ETF | NYSE Arca. |
| IWO | iShares Russell 2000 Growth ETF | NYSE Arca. |
| VUG | Vanguard Growth ETF | NYSE Arca. |
| JPST | JPMorgan Ultra-Short Income ETF | Cboe BZX. |
| IWN | iShares Russell 2000 Value ETF | NYSE Arca. |
| MINT | PIMCO Enhanced Short Maturity Active ETF | NYSE Arca. |
| VYM | Vanguard High Dividend Yield Index ETF | NYSE Arca. |
| ITB | iShares U.S. Home Construction ETF | Cboe BZX. |
| FEZ | SPDR EURO STOXX 50 ETF | NYSE Arca. |
| QUAL | iShares Edge MSCI USA Quality Factor ETF | Cboe BZX. |
| EWG | iShares MSCI Germany ETF | NYSE Arca. |
| MUB | iShares National Muni Bond ETF | NYSE Arca. |
| IVE | iShares S&P 500 Value ETF | NYSE Arca. |
| SCHF | Schwab International Equity ETF | NYSE Arca. |
| VXUS | Vanguard Total International Stock ETF | NASDAQ. |
| XHB | SPDR S&P Homebuilders ETF | NYSE Arca. |
| AAXJ | iShares MSCI All Country Asia ex Japan ETF | NASDAQ. |
| EWU | iShares MSCI United Kingdom ETF | NYSE Arca. |
| IVW | iShares S&P 500 Growth ETF | NYSE Arca. |
| KBE | SPDR S&P Bank ETF | NYSE Arca. |
| VO | Vanguard Mid-Cap ETF | NYSE Arca. |
| VB | Vanguard Small-Cap ETF | NYSE Arca. |
| EMLC | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | NYSE Arca. |
| SCHX | Schwab U.S. Large-Cap ETF | NYSE Arca. |
| IGSB | iShares Short-Term Corporate Bond ETF | NASDAQ. |
| ACWX | iShares MSCI ACWI ex U.S. ETF | NASDAQ. |
| PSQ | ProShares Short QQQ | NYSE Arca. |
| FLOT | iShares Floating Rate Bond ETF | Cboe BZX. |
| IGIB | iShares Intermediate-Term Corporate Bond ETF | NASDAQ. |
| SJNK | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | NYSE Arca. |
| UNG | United States Natural Gas Fund LP | NYSE Arca. |
| XME | SPDR S&P Metals & Mining ETF | NYSE Arca. |
| BIV | Vanguard Intermediate-Term Bond ETF | NYSE Arca. |
| NEAR | iShares Short Maturity Bond ETF | Cboe BZX. |
| DXJ | WisdomTree Japan Hedged Equity Fund | NYSE Arca. |
| VIXY | ProShares VIX Short-Term Futures ETF | NYSE Arca. |
| KWEB | KraneShares CSI China Internet ETF | NYSE Arca. |
| IWR | iShares Russell Midcap ETF | NYSE Arca. |
| EFAV | iShares Edge MSCI Min Vol EAFE ETF | Cboe BZX. |
| EWC | iShares MSCI Canada ETF | NYSE Arca. |
| IXUS | iShares Core MSCI Total International Stock ETF | NASDAQ. |
| EWA | iShares MSCI Australia ETF | NYSE Arca. |
| RSP | Invesco S&P 500 Equal Weight ETF | NYSE Arca. |
| DGRO | iShares Core Dividend Growth ETF | NYSE Arca. |
| FDN | First Trust Dow Jones Internet Index Fund | NYSE Arca. |
| SCZ | iShares MSCI EAFE Small-Cap ETF | NASDAQ. |
| SCHB | Schwab U.S. Broad Market ETF | NYSE Arca. |
| DVY | iShares Select Dividend ETF | NASDAQ. |
| SDY | SPDR S&P Dividend ETF | NYSE Arca. |
| IHI | iShares U.S. Medical Devices ETF | NYSE Arca. |
| OEF | iShares S&P 100 ETF | NYSE Arca. |
| SPIB | SPDR Portfolio Intermediate Term Corporate Bond ETF | NYSE Arca. |
| IWS | iShares Russell Mid-Cap Value ETF | NYSE Arca. |
| AMJ | J.P. Morgan Alerian MLP Index ETN | NYSE Arca. |
| SCHO | Schwab Short-Term US Treasury ETF | NYSE Arca. |
| FTSM | First Trust Enhanced Short Maturity ETF | NASDAQ. |
| SPYG | SPDR Portfolio S&P 500 Growth ETF | NYSE Arca. |
| SPAB | SPDR Portfolio Aggregate Bond ETF | NYSE Arca. |
| VCLT | Vanguard Long-Term Corporate Bond ETF | NASDAQ. |
| SCHD | Schwab US Dividend Equity ETF | NYSE Arca. |
| EWL | iShares MSCI Switzerland ETF | NYSE Arca. |
| IWV | iShares Russell 3000 ETF | NYSE Arca. |
| VXF | Vanguard Extended Market ETF | NYSE Arca. |
| FVD | First Trust Value Line Dividend Index Fund | NYSE Arca. |
| IYT | iShares Transportation Average ETF | Cboe BZX. |
| EWQ | iShares MSCI France ETF | NYSE Arca |
| VMBS | Vanguard Mortgage-Backed Securities ETF | NASDAQ. |
| ILF | iShares Latin America 40 ETF | NYSE Arca. |
| SPTL | SPDR Portfolio Long Term Treasury ETF | NYSE Arca. |
| BLV | Vanguard Long-Term Bond ETF | NYSE Arca. |
| VBR | Vanguard Small Cap Value ETF | NYSE Arca. |
| VLUE | iShares Edge MSCI USA Value Factor ETF | Cboe BZX. |
| EPI | WisdomTree India Earnings Fund | NYSE Arca. |
| VFH | Vanguard Financials ETF | NYSE Arca. |
| VGSH | Vanguard Short-Term Treasury ETF | NASDAQ. |
| SCHP | Schwab US TIPS ETF | NYSE Arca. |
| USIG | iShares Broad USD Investment Grade Corporate Bond ETF | NASDAQ. |
| IWP | iShares Russell Mid-Cap Growth ETF | NYSE Arca. |
| ITA | iShares U.S. Aerospace & Defense ETF | Cboe BZX. |
| SCHG | Schwab U.S. Large-Cap Growth ETF | NYSE Arca. |
| PCY | Invesco Emerging Markets Sovereign Debt ETF | NYSE Arca. |
| IUSG | iShares Core S&P U.S. Growth ETF | NASDAQ. |
| SPSB | SPDR Portfolio Short Term Corporate Bond ETF | NYSE Arca. |
| VTEB | Vanguard Tax-Exempt Bond ETF | NYSE Arca. |
| SPYV | SPDR Portfolio S&P 500 Value ETF | NYSE Arca. |
| GSLC | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | NYSE Arca. |
| CWB | SPDR Bloomberg Barclays Convertible Securities ETF | NYSE Arca. |
| VTIP | Vanguard Short-Term Inflation-Protected Securities ETF | NASDAQ. |
| HYLB | Xtrackers USD High Yield Corporate Bond ETF | NYSE Arca. |
| FLRN | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | NYSE Arca. |
| SPEM | SPDR Portfolio Emerging Markets ETF | NYSE Arca. |
| VHT | Vanguard Health Care ETF | NYSE Arca. |
| PGX | Invesco Preferred ETF | NYSE Arca. |
| EEMV | iShares Edge MSCI Min Vol Emerging Markets ETF | Cboe BZX. |
| SPDW | SPDR Portfolio Developed World ex-US ETF | NYSE Arca. |
| NOBL | ProShares S&P 500 Dividend Aristocrats ETF | Cboe BZX. |
| HDV | iShares Core High Dividend ETF | NYSE Arca. |
| EWP | iShares MSCI Spain ETF | NYSE Arca. |
| SHYG | iShares 0-5 Year High Yield Corporate Bond ETF | NYSE Arca. |
| VBK | Vanguard Small-Cap Growth ETF | NYSE Arca. |
| IUSV | iShares Core S&P US Value ETF | NASDAQ. |
| SCHE | Schwab Emerging Markets Equity ETF | NYSE Arca. |
| VGLT | Vanguard Long-Term Treasury ETF | NASDAQ. |
| SCHH | Schwab U.S. REIT ETF | NYSE Arca. |
| SPLG | SPDR Portfolio Large Cap ETF | NYSE Arca. |
| IEUR | iShares Core MSCI Europe ETF | NYSE Arca. |
| VV | Vanguard Large-Cap ETF | NYSE Arca. |
| ACWV | iShares Edge MSCI Min Vol Global ETF | Cboe BZX. |
| SCHV | Schwab U.S. Large-Cap Value ETF | NYSE Arca. |
| EFV | iShares MSCI EAFE Value ETF | Cboe BZX. |
| VPL | Vanguard FTSE Pacific ETF | NYSE Arca. |
| IJS | iShares S&P Small-Cap 600 Value ETF | NYSE Arca. |
| VOE | Vanguard Mid-Cap Value ETF | NYSE Arca. |
| SCHZ | Schwab US Aggregate Bond ETF | NYSE Arca. |
| VDE | Vanguard Energy ETF | NYSE Arca. |
| DBEF | Xtrackers MSCI EAFE Hedged Equity ETF | NYSE Arca. |
| EWI | iShares MSCI Italy ETF | NYSE Arca. |
| GBIL | Goldman Sachs Access Treasury 0-1 Year ETF | NYSE Arca. |
| ICSH | iShares Ultra Short-Term Bond ETF | Cboe BZX. |
| FPE | First Trust Preferred Securities & Income ETF | NYSE Arca. |
| SCHA | Schwab U.S. Small-Cap ETF | NYSE Arca. |
| HYD | VanEck Vectors High-Yield Municipal Index ETF | Cboe BZX. |
| EDV | Vanguard Extended Duration Treasury ETF | NYSE Arca. |
| HEDJ | WisdomTree Europe Hedged Equity Fund | NYSE Arca. |
| VPU | Vanguard Utilities ETF | NYSE Arca. |
| EZA | iShares MSCI South Africa ETF | NYSE Arca. |
| HYS | PIMCO 0-5 Year High Yield Corporate Bond Index ETF | NYSE Arca. |
| VGIT | Vanguard Intermediate-Term Treasury ETF | NASDAQ. |
| LMBS | First Trust Low Duration Opportunities ETF | NASDAQ. |
| SCHR | Schwab Intermediate-Term US Treasury ETF | NYSE Arca. |
| GSY | Invesco Ultra Short Duration ETF | NYSE Arca. |
| EPP | iShares MSCI Pacific ex-Japan ETF | NYSE Arca. |
| FBT | First Trust NYSE Arca Biotechnology Index Fund | NYSE Arca. |
| IYF | iShares U.S. Financials ETF | NYSE Arca. |
| IYW | iShares U.S. Technology ETF | NYSE Arca. |
| SRLN | SPDR Blackstone/GSO Senior Loan ETF | NYSE Arca. |
| VNQI | Vanguard Global ex-U.S. Real Estate ETF | NASDAQ. |
| USHY | iShares Broad USD High Yield Corporate Bond ETF | Cboe BZX. |
| IDV | iShares International Select Dividend ETF | Cboe BZX. |
| MGK | Vanguard Mega Cap Growth ETF | NYSE Arca. |
| TLH | iShares 10-20 Year Treasury Bond ETF | NYSE Arca. |
| SPHD | Invesco S&P 500 High Dividend Low Volatility ETF | NYSE Arca. |
| VTWO | Vanguard Russell 2000 ETF | NASDAQ. |
| USFR | WisdomTree Floating Rate Treasury Fund | NYSE Arca. |
| VOT | Vanguard Mid-Cap Growth ETF | NYSE Arca. |
| KSA | iShares MSCI Saudi Arabia ETF | NYSE Arca. |
| PDBC | Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | NASDAQ. |
| IGLB | iShares Long-Term Corporate Bond ETF | NYSE Arca. |
| SCHM | Schwab U.S. Mid-Cap ETF | NYSE Arca. |
| ISTB | iShares Core 1-5 Year USD Bond ETF | NASDAQ. |
| IJK | iShares S&P Mid-Cap 400 Growth ETF | NYSE Arca. |
| GLDM | SPDR Gold MiniShares Trust | NYSE Arca. |
| DOG | ProShares Short Dow30 | NYSE Arca. |
| KBWB | Invesco KBW Bank ETF | NASDAQ. |
| EUFN | iShares MSCI Europe Financials ETF | NASDAQ. |
| EIDO | iShares MSCI Indonesia ETF | NYSE Arca. |
| XAR | SPDR S&P Aerospace & Defense ETF | NYSE Arca. |
| RWM | ProShares Short Russell2000 | NYSE Arca. |
| BOND | PIMCO Active Bond ETF | NYSE Arca. |
| VDC | Vanguard Consumer Staples ETF | NYSE Arca. |
| UUP | Invesco DB US Dollar Index Bullish Fund | NYSE Arca. |
| SPTI | SPDR Portfolio Intermediate Term Treasury ETF | NYSE Arca. |
| FXE | Invesco CurrencyShares Euro Trust | NYSE Arca. |
| VSS | Vanguard FTSE All-World ex-US Small-Cap ETF | NYSE Arca. |
| EFG | iShares MSCI EAFE Growth ETF | Cboe BZX. |
| FXO | First Trust Financials AlphaDEX Fund | NYSE Arca. |
| XMLV | Invesco S&P MidCap Low Volatility ETF | NYSE Arca. |
| FTEC | Fidelity MSCI Information Technology Index ETF | NYSE Arca. |
| SPYD | SPDR Portfolio S&P 500 High Dividend ETF | NYSE Arca. |
| QTEC | First Trust NASDAQ-100 Technology Sector Index Fund | NASDAQ. |
| THD | iShares MSCI Thailand ETF | NYSE Arca. |
| MOAT | VanEck Vectors Morningstar Wide Moat ETF | Cboe BZX. |
| EWM | iShares MSCI Malaysia ETF | NYSE Arca. |
| RWR | SPDR Dow Jones REIT ETF | NYSE Arca. |
| BNO | United States Brent Oil Fund LP | NYSE Arca. |
| FTCS | First Trust Capital Strength ETF | NASDAQ. |
| DBC | Invesco DB Commodity Index Tracking Fund | NYSE Arca. |
| TOTL | SPDR DoubleLine Total Return Tactical ETF | NYSE Arca. |
| EWS | iShares MSCI Singapore ETF | NYSE Arca. |
| PTLC | Pacer Trendpilot US Large Cap ETF | Cboe BZX. |
| SPTS | SPDR Portfolio Short Term Treasury ETF | NYSE Arca. |
| GUNR | FlexShares Morningstar Global Upstream Natural Resources Index Fund | NYSE Arca. |
| PRF | Invesco FTSE RAFI US 1000 ETF | NYSE Arca. |
| ECH | iShares MSCI Chile ETF | Cboe BZX. |
| SPTM | SPDR Portfolio Total Stock Market ETF | NYSE Arca. |
| MJ | ETFMG Alternative Harvest ETF | NYSE Arca. |
| IYE | iShares U.S. Energy ETF | NYSE Arca. |
| VOX | Vanguard Communication Services ETF | NYSE Arca |
| IJT | iShares S&P Small-Cap 600 Growth ETF | NASDAQ. |
| IPAY | ETFMG Prime Mobile Payments ETF | NYSE Arca. |
| RWX | SPDR Dow Jones International Real Estate ETF | NYSE Arca. |
| FNDX | Schwab Fundamental US Large Co. Index ETF | NYSE Arca. |
| IAGG | iShares Core International Aggregate Bond ETF | Cboe BZX. |
| ANGL | VanEck Vectors Fallen Angel High Yield Bond ETF | NASDAQ. |
| IEV | iShares Europe ETF | NYSE Arca. |
| VOOG | Vanguard S&P 500 Growth ETF | NYSE Arca. |
| FLCB | Franklin Liberty U.S. Core Bond ETF | NYSE Arca. |
| IJJ | iShares S&P Mid-Cap 400 Value ETF | NYSE Arca |
| IUSB | iShares Core Total USD Bond Market ETF | NASDAQ. |
| TBF | Proshares Short 20+ Year Treasury | NYSE Arca. |
| BBEU | JPMorgan BetaBuilders Europe ETF | Cboe BZX. |
| SPSM | SPDR Portfolio Small Cap ETF | NYSE Arca |
| SIZE | iShares Edge MSCI USA Size Factor ETF | NYSE Arca. |
| SHM | SPDR Nuveen Bloomberg Barclays Short Term Municipal Bond ETF | NYSE Arca. |
| TUR | iShares MSCI Turkey ETF | NASDAQ. |
| RODM | Hartford Multifactor Developed Markets (ex-US) ETF | NYSE Arca. |
| BBJP | JPMorgan BetaBuilders Japan ETF | Cboe BZX. |
| MLPI | ETRACS Alerian MLP Infrastructure Index ETN | NYSE Arca. |
| IXN | iShares Global Tech ETF | NYSE Arca. |
| LGLV | SPDR SSGA US Large Cap Low Volatility Index ETF | NYSE Arca. |
| FNDF | Schwab Fundamental International Large Co. Index ETF | NYSE Arca. |
| SGOL | Aberdeen Standard Physical Gold Shares ETF | NYSE Arca. |
| IGOV | iShares International Treasury Bond ETF | NASDAQ. |
| FIXD | First Trust TCW Opportunistic Fixed Income ETF | NASDAQ. |
| EWD | iShares MSCI Sweden ETF | NYSE Arca. |
| ICF | iShares Cohen & Steers REIT ETF | Cboe BZX. |
| VIS | Vanguard Industrials ETF | NYSE Arca. |
| MDYV | SPDR S&P 400 Mid Cap Value ETF | NYSE Arca. |
| SPHQ | Invesco S&P 500 Quality ETF | NYSE Arca. |
| SKYY | First Trust Cloud Computing ETF | NASDAQ. |
| IGF | iShares Global Infrastructure ETF | NASDAQ. |
| REM | iShares Mortgage Real Estate ETF | Cboe BZX. |
| BOTZ | Global X Robotics & Artificial Intelligence ETF | NASDAQ. |
| FXL | First Trust Technology AlphaDEX Fund | NYSE Arca. |
| EMLP | First Trust North American Energy Infrastructure Fund | NYSE Arca. |
| SUB | iShares Short-Term National Muni Bond ETF | NYSE Arca. |
| SPLB | SPDR Portfolio Long Term Corporate Bond ETF | NYSE Arca. |
| HEWJ | iShares Currency Hedged MSCI Japan ETF | NYSE Arca. |
| VONG | Vanguard Russell 1000 Growth ETF | NASDAQ. |
| IYG | iShares US Financial Services ETF | NYSE Arca. |
| IYZ | iShares U.S. Telecommunications ETF | Cboe BZX. |
| VCR | Vanguard Consumer Discretionary ETF | NYSE Arca. |
| DGS | WisdomTree Emerging Markets SmallCap Dividend Fund | NYSE Arca. |
| XES | SPDR S&P Oil & Gas Equipment & Services ETF | NYSE Arca. |
| IHF | iShares U.S. Healthcare Providers ETF | NYSE Arca. |
| VWOB | Vanguard Emerging Markets Government Bond ETF | NASDAQ. |
| XSLV | Invesco S&P SmallCap Low Volatility ETF | NYSE Arca. |
| HEZU | iShares Currency Hedged MSCI Eurozone ETF | NYSE Arca. |
| ONEQ | Fidelity Nasdaq Composite Index Tracking Stock | NASDAQ. |
| PULS | PGIM Ultra Short Bond ETF | NYSE Arca. |
| ARKK | ARK Innovation ETF | NYSE Arca. |
| SLYV | SPDR S&P 600 Small Cap Value ETF | NYSE Arca. |
| DGRW | WisdomTree US Quality Dividend Growth Fund | NASDAQ. |
| FNDE | Schwab Fundamental Emerging Markets Large Co. Index ETF | NYSE Arca. |
| KIE | SPDR S&P Insurance ETF | NYSE Arca. |
| USRT | iShares Core U.S. REIT ETF | NYSE Arca. |
| IYH | iShares U.S. Healthcare ETF | NYSE Arca. |
| RPV | Invesco S&P 500 Pure Value ETF | NYSE Arca. |
| DEM | WisdomTree Emerging Markets High Dividend Fund | NYSE Arca. |
| HEFA | iShares Currency Hedged MSCI EAFE ETF | Cboe BZX. |
| XSD | SPDR S&P Semiconductor ETF | NYSE Arca. |
| IXC | iShares Global Energy ETF | NYSE Arca. |
| MLPA | Global X MLP ETF | NYSE Arca. |
| ERUS | iShares MSCI Russia ETF | NYSE Arca. |
| SIL | Global X Silver Miners ETF | NYSE Arca. |
| DON | WisdomTree U.S. MidCap Dividend Fund | NYSE Arca. |
| VNLA | Janus Henderson Short Duration Income ETF | NYSE Arca. |
| AGGY | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | NYSE Arca. |
| SPMD | SPDR Portfolio Mid Cap ETF | NYSE Arca. |
| RPG | Invesco S&P 500 Pure Growth ETF | NYSE Arca. |
| BBRE | JPMorgan BetaBuilders MSCI U.S. REIT ETF | Cboe BZX. |
| STIP | iShares 0-5 Year TIPS Bond ETF | NYSE Arca. |
| FTSL | First Trust Senior Loan Fund | NASDAQ. |
| PHYS | Sprott Physical Gold Trust | NYSE Arca. |
| GXC | SPDR S&P China ETF | NYSE Arca. |
| PPLT | Aberdeen Standard Physical Platinum Shares ETF | NYSE Arca. |
| FXB | Invesco CurrencyShares British Pound Sterling Trust | NYSE Arca. |
| TFI | SPDR Nuveen Bloomberg Barclays Municipal Bond ETF | NYSE Arca. |
| GVI | iShares Intermediate Government/Credit Bond ETF | Cboe BZX. |
| MLPX | Global X MLP & Energy Infrastructure ETF | NYSE Arca. |
| IXJ | iShares Global Healthcare ETF | NYSE Arca. |
| ESGD | iShares ESG MSCI EAFE ETF | NASDAQ. |
| FNDA | Schwab Fundamental US Small Co. Index ETF | NYSE Arca. |
| CEF | Sprott Physical Gold and Silver Trust | NYSE Arca. |
| SLQD | iShares 0-5 Year Investment Grade Corporate Bond ETF | NASDAQ. |
| LEMB | iShares J.P. Morgan EM Local Currency Bond ETF | NYSE Arca. |
| IYC | iShares U.S. Consumer Services ETF | NYSE Arca. |
| FMB | First Trust Managed Municipal ETF | NASDAQ. |
| PDP | Invesco DWA Momentum ETF | NASDAQ. |
| HYLS | First Trust Tactical High Yield ETF | NASDAQ. |
| DBEU | Xtrackers MSCI Europe Hedged Equity ETF | NYSE Arca. |
| IDEV | iShares Core MSCI International Developed Markets ETF | NYSE Arca. |
| REET | iShares Global REIT ETF | NYSE Arca. |
| RYT | Invesco S&P 500 Equal Weight Technology ETF | NYSE Arca. |
| HYMB | SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF | NYSE Arca. |
| MGC | Vanguard Mega Cap ETF | NYSE Arca. |
| IDU | iShares U.S. Utilities ETF | NYSE Arca. |
| JPIN | J.P. Morgan Diversified Return International Equity ETF | NYSE Arca. |
| XLG | Invesco S&P 500 Top 50 ETF | NYSE Arca. |
| SLYG | SPDR S&P 600 Small Cap Growth ETF | NYSE Arca. |
| SCHC | Schwab International Small-Cap Equity ETF | NYSE Arca. |
| RWO | SPDR Dow Jones Global Real Estate ETF | NYSE Arca |
| VIOO | Vanguard S&P Small-Cap 600 ETF | NYSE Arca. |
| VRP | Invesco Variable Rate Preferred ETF | NYSE Arca. |
| FXY | Invesco Currencyshares Japanese Yen Trust | NYSE Arca. |
| RDIV | Invesco S&P Ultra Dividend Revenue ETF | NYSE Arca. |
| PXH | Invesco FTSE RAFI Emerging Markets ETF | NYSE Arca. |
| MGV | Vanguard Mega Cap Value ETF | NYSE Arca. |
| CORP | PIMCO Investment Grade Corporate Bond Index ETF | NYSE Arca. |
| VAW | Vanguard Materials ETF | NYSE Arca. |
| EWN | iShares MSCI Netherlands ETF | NYSE Arca. |
| BWX | SPDR Bloomberg Barclays International Treasury Bond ETF | NYSE Arca. |
| EUM | ProShares Short MSCI Emerging Markets | NYSE Arca. |
| QYLD | Global X NASDAQ 100 Covered Call ETF | NASDAQ. |
| PGF | Invesco Financial Preferred ETF | NYSE Arca. |
| FREL | Fidelity MSCI Real Estate Index ETF | NYSE Arca. |
| IGM | iShares Expanded Tech Sector ETF | NYSE Arca. |
| IAT | iShares U.S. Regional Banks ETF | NYSE Arca. |
| TAN | Invesco Solar ETF | NYSE Arca. |
| VONV | Vanguard Russell 1000 Value ETF | NASDAQ. |
| FUTY | Fidelity MSCI Utilities Index ETF | NYSE Arca. |
| KBA | KraneShares Bosera MSCI China A Share ETF | NYSE Arca. |
| PRFZ | Invesco FTSE RAFI US 1500 Small-Mid ETF | NASDAQ. |
| FBND | Fidelity Total Bond ETF | NYSE Arca. |
| FXH | First Trust Health Care AlphaDEX Fund | NYSE Arca. |
| PSK | SPDR Wells Fargo Preferred Stock ETF | NYSE Arca. |
| IQLT | iShares Edge MSCI Intl Quality Factor ETF | NYSE Arca. |
| EPHE | iShares MSCI Philippines ETF | NYSE Arca. |
| ITM | VanEck Vectors AMT-Free Intermediate Municipal Index ETF | Cboe BZX. |
| GSIE | Goldman Sachs ActiveBeta International Equity ETF | NYSE Arca. |
| DLN | WisdomTree U.S. LargeCap Dividend Fund | NYSE Arca. |
| HACK | ETFMG Prime Cyber Security ETF | NYSE Arca. |
| DJP | iPath Bloomberg Commodity Index Total Return ETN | NYSE Arca. |
| FHLC | Fidelity MSCI Health Care Index ETF | NYSE Arca. |
| DBJP | Xtrackers MSCI Japan Hedged Equity ETF | NYSE Arca. |
| URTH | iShares MSCI World ETF | NYSE Arca. |
| VYMI | Vanguard International High Dividend Yield ETF | NASDAQ. |
| FDT | First Trust Developed Markets ex-US AlphaDEX Fund | NASDAQ. |
| BSCL | Invesco BulletShares 2021 Corporate Bond ETF | NASDAQ. |
| FXU | First Trust Utilities AlphaDEX Fund | NYSE Arca. |
| BSCK | Invesco BulletShares 2020 Corporate Bond ETF | NASDAQ. |
| IYJ | iShares U.S. Industrials ETF | Cboe BZX. |
| AGZ | iShares Agency Bond ETF | NYSE Arca. |
| INTF | iShares Edge MSCI Multifactor Intl ETF | NYSE Arca. |
| SPMB | SPDR Portfolio Mortgage Backed Bond ETF | NYSE Arca. |
| GSG | iShares S&P GSCI Commodity Indexed Trust | NYSE Arca. |
| PSJ | Invesco Dynamic Software ETF | NYSE Arca. |
| SDIV | Global X Superdividend ETF | NYSE Arca. |
| VIGI | Vanguard International Dividend Appreciation ETF | NASDAQ |
| RING | iShares MSCI Global Gold Miners ETF | NASDAQ. |
| CWI | SPDR MSCI ACWI ex-US ETF | NYSE Arca. |
| IWY | iShares Russell Top 200 Growth ETF | NYSE Arca. |
| ESGU | iShares ESG MSCI USA ETF | NASDAQ. |
| ZROZ | PIMCO 25+ Year Zero Coupon US Treasury Index ETF | NYSE Arca. |
| SPIP | SPDR Portfolio TIPS ETF | NYSE Arca. |
| FNCL | Fidelity MSCI Financials Index ETF | NYSE Arca. |
| ESGE | iShares ESG MSCI EM ETF | NASDAQ. |
| BAB | Invesco Taxable Municipal Bond ETF | NYSE Arca. |
| PZA | Invesco National AMT-Free Municipal Bond ETF | NYSE Arca. |
| MDYG | SPDR S&P 400 Mid Cap Growth ETF | NYSE Arca. |
| RDVY | First Trust Rising Dividend Achievers ETF | NASDAQ. |
| DSI | iShares MSCI KLD 400 Social ETF | NYSE Arca. |
| BSCM | Invesco BulletShares 2022 Corporate Bond ETF | NASDAQ. |
| IXG | iShares Global Financials ETF | NYSE Arca. |
| CIBR | First Trust NASDAQ Cybersecurity ETF | NASDAQ. |
| JHMM | John Hancock Multifactor Mid Cap ETF | NYSE Arca. |
| FCG | First Trust Natural Gas ETF | NYSE Arca. |
| PHB | Invesco Fundamental High Yield Corporate Bond ETF | NYSE Arca. |
| FV | First Trust Dorsey Wright Focus 5 ETF | NASDAQ. |
| BSJL | Invesco Bulletshares 2021 High Yield Corporate Bond ETF | NASDAQ. |
| FNDC | Schwab Fundamental International Small Co. Index ETF | NYSE Arca. |
| DVYE | iShares Emerging Markets Dividend ETF | NYSE Arca. |
| DES | WisdomTree U.S. SmallCap Dividend Fund | NYSE Arca. |
| VONE | Vanguard Russell 1000 ETF | NASDAQ. |
| GNR | SPDR S&P Global Natural Resources ETF | NYSE Arca. |
| FPX | First Trust US Equity Opportunities ETF | NYSE Arca. |
| BSJK | Invesco BulletShares 2020 High Yield Corporate Bond ETF | NASDAQ. |
| PSLV | Sprott Physical Silver Trust | NYSE Arca. |
| SUSA | iShares MSCI USA ESG Select ETF | NYSE Arca. |
| AOM | iShares Core Moderate Allocation ETF | NYSE Arca. |
| IEO | iShares U.S. Oil & Gas Exploration & Production ETF | Cboe BZX. |
| XMMO | Invesco S&P MidCap Momentum ETF | NYSE Arca. |
| PPA | Invesco Aerospace & Defense ETF | NYSE Arca. |
| NUSI | Nationwide Risk-Managed Income ETF | NYSE Arca. |
| COMT | iShares Commodities Select Strategy ETF | NASDAQ. |
| PDEC | Innovator S&P 500 Power Buffer ETF-December | Cboe BZX. |
| EBND | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | NYSE Arca. |
| CMF | iShares California Muni Bond ETF | NYSE Arca. |
| VOOV | Vanguard S&P 500 Value ETF | NYSE Arca. |
| IGE | iShares North American Natural Resources ETF | Cboe BZX. |
| FDL | First Trust Morningstar Dividend Leaders Index Fund | NYSE Arca. |
| PXF | Invesco FTSE RAFI Developed Markets ex-U.S. ETF | NYSE Arca. |
| PFFD | Global X U.S. Preferred ETF | Cboe BZX. |
| ROBO | ROBO Global Robotics & Automation Index ETF | NYSE Arca. |
| IBDL | iShares iBonds Dec 2020 Term Corporate ETF | NYSE Arca. |
| IDLV | Invesco S&P International Developed Low Volatility ETF | NYSE Arca. |
| FFTY | Innovator IBD 50 ETF | NYSE Arca. |
| SPHB | Invesco S&P 500 High Beta ETF | NYSE Arca. |
| DLS | WisdomTree International SmallCap Dividend Fund | NYSE Arca. |
| LRGF | iShares Edge MSCI Multifactor USA ETF | NYSE Arca. |
| SDOG | ALPS Sector Dividend Dogs ETF | NYSE Arca. |
| QQEW | First Trust Nasdaq-100 Equal Weighted Index Fund | NASDAQ. |
| CQQQ | Invesco China Technology ETF | NYSE Arca. |
| EPOL | iShares MSCI Poland ETF | NYSE Arca. |
| REZ | iShares Residential Real Estate ETF | NYSE Arca |
| DBA | Invesco DB Agriculture Fund | NYSE Arca. |
| ARKW | ARK Next Generation Internet ETF | NYSE Arca. |
| FSTA | Fidelity MSCI Consumer Staples Index ETF | NYSE Arca. |
| JXI | iShares Global Utilities ETF | NYSE Arca. |
| AOR | iShares Core Growth Allocation ETF | NYSE Arca. |
| MOO | VanEck Vectors Agribusiness ETF | NYSE Arca. |
| IBDM | iShares iBonds Dec 2021 Term Corporate ETF | NYSE Arca. |
| GREK | Global X MSCI Greece ETF | NYSE Arca. |
| PKW | Invesco Buyback Achievers ETF | NASDAQ. |
| QUS | SPDR MSCI USA StrategicFactors ETF | NYSE Arca. |
| XT | iShares Exponential Technologies ETF | NASDAQ. |
| PALL | Aberdeen Standard Physical Palladium Shares ETF | NYSE Arca. |
| GEM | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | NYSE Arca. |
| BBCA | JPMorgan BetaBuilders Canada ETF | Cboe BZX. |
| ESGV | Vanguard ESG U.S. Stock ETF | Cboe BZX. |
| INDY | iShares India 50 ETF | NASDAQ. |
| FEX | First Trust Large Cap Core AlphaDEX Fund | NASDAQ. |
| MNA | IQ Merger Arbitrage ETF | NYSE Arca. |
| NFRA | FlexShares STOXX Global Broad Infrastructure Index Fund | NYSE Arca. |
| RPAR | RPAR Risk Parity ETF | NYSE Arca. |
| EWX | SPDR S&P Emerging Markets Small Cap ETF | NYSE Arca. |
| BSJM | Invesco BulletShares 2022 High Yield Corporate Bond ETF | NASDAQ. |
| FEM | First Trust Emerging Markets AlphaDEX Fund | NASDAQ. |
| PTF | Invesco DWA Technology Momentum ETF | NASDAQ. |
| ARKG | ARK Genomic Revolution ETF | Cboe BZX. |
| JKH | iShares Morningstar Mid-Cap Growth ETF | NYSE Arca. |
| GBF | iShares Government/Credit Bond ETF | NYSE Arca. |
| SILJ | ETFMG Prime Junior Silver Miners ETF | NYSE Arca. |
| SLY | SPDR S&P 600 Small Cap ETF | NYSE Arca. |
| FTC | First Trust Large Cap Growth AlphaDEX Fund | NASDAQ. |
| FTA | First Trust Large Cap Value AlphaDEX Fund | NASDAQ. |
| QDF | FlexShares Quality Dividend Index Fund | NYSE Arca. |
| IBDN | iShares iBonds Dec 2022 Term Corporate ETF | NYSE Arca. |
| JPUS | JPMorgan Diversified Return U.S. Equity ETF | NYSE Arca. |
| AMZA | InfraCap MLP ETF | NYSE Arca. |
| IBDO | iShares iBonds Dec 2023 Term Corporate ETF | NYSE Arca. |
| SRET | Global X SuperDividend REIT ETF | NASDAQ. |
| VNM | VanEck Vectors Vietnam ETF | Cboe BZX. |
| BSCN | Invesco Bulletshares 2023 Corporate Bond ETF | NASDAQ. |
| USSG | Xtrackers MSCI USA ESG Leaders Equity ETF | NYSE Arca. |
| EMHY | iShares Emerging Markets High Yield Bond ETF | Cboe BZX. |
| IPAC | iShares Core MSCI Pacific ETF | NYSE Arca. |
| RYU | Invesco S&P 500 Equal Weight Utilities ETF | NYSE Arca. |
| BSCO | Invesco BulletShares 2024 Corporate Bond ETF | NASDAQ. |
| PWV | Invesco Dynamic Large Cap Value ETF | NYSE Arca. |
| ICLN | iShares Global Clean Energy ETF | NASDAQ. |
| SMMV | iShares Edge MSCI Min Vol USA Small-Cap ETF | Cboe BZX. |
| FLCO | Franklin Liberty Investment Grade Corporate ETF | NYSE Arca. |
| CLOU | Global X Cloud Computing ETF | NASDAQ. |
| PLW | Invesco 1-30 Laddered Treasury ETF | NASDAQ. |
| IOO | iShares Global 100 ETF | NYSE Arca. |
| PPH | VanEck Vectors Pharmaceutical ETF | NASDAQ. |
| SPGP | Invesco S&P 500 GARP ETF | NYSE Arca. |
| FINX | Global X FinTech ETF | NASDAQ. |
| KXI | iShares Global Consumer Staples ETF | NYSE Arca. |
| RHS | Invesco S&P 500 Equal Weight Consumer Staples ETF | NYSE Arca. |
| DIV | Global X SuperDividend US ETF | NYSE Arca. |
| FDIS | Fidelity MSCI Consumer Discretionary Index ETF | NYSE Arca. |
| PFXF | VanEck Vectors Preferred Securities ex Financials ETF | NYSE Arca. |
| IYM | iShares U.S. Basic Materials ETF | NYSE Arca. |
| SIVR | Aberdeen Standard Physical Silver Shares ETF | NYSE Arca. |
| FXG | First Trust Consumer Staples AlphaDEX Fund | NYSE Arca. |
| PICK | iShares MSCI Global Metals & Mining Producers ETF | Cboe BZX. |
| TFLO | iShares Treasury Floating Rate Bond ETF | NYSE Arca. |
| IWC | iShares Micro-Cap ETF | NYSE Arca. |
| FENY | Fidelity MSCI Energy Index ETF | NYSE Arca. |
| NUAG | Nuveen Enhanced Yield U.S. Aggregate Bond ETF | NYSE Arca. |
| JKE | iShares Morningstar Large-Cap Growth ETF | NYSE Arca. |
| MXI | iShares Global Materials ETF | NYSE Arca. |
| IBDP | iShares iBonds Dec 2024 Term Corporate ETF | NYSE Arca. |
| LVHD | Legg Mason Low Volatility High Dividend ETF | NASDAQ. |
| DBEH | iM DBi Hedge Strategy ETF | NYSE Arca. |
| FXR | First Trust Industrials/Producer Durables AlphaDEX Fund | NYSE Arca. |
| IYY | iShares Dow Jones U.S. ETF | NYSE Arca. |
| EZM | WisdomTree U.S. MidCap Fund | NYSE Arca. |
| XPH | SPDR S&P Pharmaceuticals ETF | NYSE Arca. |
| DFJ | WisdomTree Japan SmallCap Dividend Fund | NYSE Arca. |
| PCEF | Invesco CEF Income Composite ETF | NYSE Arca. |
| LIT | Global X Lithium & Battery Tech ETF | NYSE Arca. |
| AOK | iShares Core Conservative Allocation ETF | NYSE Arca. |
| ILTB | iShares Core 10+ Year USD Bond ETF | NYSE Arca. |
| IQDF | FlexShares International Quality Dividend Index Fund | NYSE Arca. |
| USMC | Principal U.S. Mega-Cap Multi-Factor Index ETF | NASDAQ. |
| IHE | iShares U.S. Pharmaceuticals ETF | NYSE Arca. |
| FDVV | Fidelity High Dividend ETF | NYSE Arca. |
| FXD | First Trust Consumer Discretionary AlphaDEX Fund | NYSE Arca. |
| FM | iShares MSCI Frontier 100 ETF | NYSE Arca. |
| PTMC | Pacer Trendpilot US Mid Cap ETF | Cboe BZX. |
| TDIV | First Trust NASDAQ Technology Dividend Index Fund | NASDAQ. |
| QLTA | iShares Aaa-A Rated Corporate Bond ETF | NYSE Arca. |
| ICVT | iShares Convertible Bond ETF | Cboe BZX. |
| SCHK | Schwab 1000 Index ETF | NYSE Arca. |
| SMDV | ProShares Russell 2000 Dividend Growers ETF | Cboe BZX. |
| AVUS | Avantis U.S. Equity ETF | NYSE Arca. |
| REGL | ProShares S&P MidCap 400 Dividend Aristocrats ETF | Cboe BZX. |
| FLQL | Franklin LibertyQ U.S. Equity ETF | Cboe BZX. |
| IXP | iShares Global Comm Services ETF | NYSE Arca. |
| BBAX | JPMorgan BetaBuilders Developed Asia ex-Japan ETF | Cboe BZX. |
| PUI | Invesco DWA Utilities Momentum ETF | NASDAQ. |
| XHE | SPDR S&P Health Care Equipment ETF | NYSE Arca. |
| XSOE | WisdomTree Emerging Markets ex-State-Owned Enterprises Fund | NYSE Arca. |
| HYEM | VanEck Vectors Emerging Markets High Yield Bond ETF | NYSE Arca. |
| FCOM | Fidelity MSCI Communication Services Index ETF | NYSE Arca. |
| CFA | VictoryShares US 500 Volatility Wtd ETF | NASDAQ. |
| RYH | Invesco S&P 500 Equal Weight Health Care ETF | NYSE Arca. |
| DBO | Invesco DB Oil Fund | NYSE Arca. |
| CGW | Invesco S&P Global Water Index ETF | NYSE Arca. |
| BAR | GraniteShares Gold Shares | NYSE Arca. |
| PEY | Invesco High Yield Equity Dividend Achievers ETF | NASDAQ. |
| IBDQ | iShares iBonds Dec 2025 Term Corporate ETF | NYSE Arca. |
| AOA | iShares Core Aggressive Allocation ETF | NYSE Arca. |
| EES | WisdomTree U.S. SmallCap Fund | NYSE Arca. |
| PTNQ | Pacer Trendpilot 100 ETF | Cboe BZX. |
| CMBS | iShares CMBS ETF | NYSE Arca. |
| ATMP | Barclays ETN+ Select MLP ETN | Cboe BZX. |
| PHO | Invesco Water Resources ETF | NASDAQ. |
| LDUR | PIMCO Enhanced Low Duration Active ETF | NYSE Arca. |
| CFO | VictoryShares US 500 Enhanced Volatility Wtd ETF | NASDAQ. |
| GIGB | Goldman Sachs Access Investment Grade Corporate Bond ETF | NYSE Arca. |
| DTD | WisdomTree U.S. Total Dividend Fund | NYSE Arca. |
| FDLO | Fidelity Low Volatility Factor ETF | NYSE Arca. |
| JO | iPath Series B Bloomberg Coffee Subindex Total Return ETN | NYSE Arca. |
| HDGE | AdvisorShares Ranger Equity Bear ETF | NYSE Arca. |
| JAGG | J.P. Morgan Exchange-Traded Fund Trust | NYSE Arca. |
| LTPZ | PIMCO 15+ Year US TIPS Index ETF | NYSE Arca. |
| SNLN | Highland iBoxx Senior Loan ETF | NASDAQ. |
| SMIN | iShares MSCI India Small Cap ETF | Cboe BZX. |
| SHE | SPDR SSGA Gender Diversity Index ETF | NYSE Arca. |
| DWX | SPDR S&P International Dividend ETF | NYSE Arca. |
| FLTR | VanEck Vectors Investment Grade Floating Rate ETF | NYSE Arca. |
| FEP | First Trust Europe AlphaDEX Fund | NASDAQ. |
| GWX | SPDR S&P International Small Cap ETF | NYSE Arca. |
| VSGX | Vanguard ESG International Stock ETF | Cboe BZX. |
| ARGT | Global X MSCI Argentina ETF | NYSE Arca. |
| AMU | ETRACS Alerian MLP Index ETN | NYSE Arca. |
| ENZL | iShares MSCI New Zealand ETF | NASDAQ. |
| IVOO | Vanguard S&P Mid-Cap 400 ETF | NYSE Arca. |
| POCT | Innovator S&P 500 Power Buffer ETF-October | Cboe BZX. |
| PSCH | Invesco S&P SmallCap Health Care ETF | NASDAQ. |
| TPYP | Tortoise North American Pipeline Fund | NYSE Arca. |
| AWTM | Aware Ultra-Short Duration Enhanced Income ETF | NYSE Arca. |
| XSW | SPDR S&P Software & Services ETF | NYSE Arca. |
| IVLU | iShares Edge MSCI Intl Value Factor ETF | NYSE Arca. |
| VRIG | Invesco Variable Rate Investment Grade ETF | NASDAQ. |
| ZIV | VelocityShares Daily Inverse VIX Medium-Term ETN | NASDAQ. |
| QAI | IQ Hedge Multi-Strategy Tracker ETF | NYSE Arca. |
| FGD | First Trust Dow Jones Global Select Dividend Index Fund | NYSE Arca. |
| XNTK | SPDR NYSE Technology ETF | NYSE Arca. |
| PNQI | Invesco NASDAQ Internet ETF | NASDAQ. |
| VTC | Vanguard Total Corporate Bond ETF | NASDAQ. |
| EXI | iShares Global Industrials ETF | NYSE Arca. |
| FLTB | Fidelity Limited Term Bond ETF | NYSE Arca. |
| SRVR | Pacer Benchmark Data & Infrastructure Real Estate SCTR ETF | NYSE Arca. |
| EPS | WisdomTree U.S. LargeCap Fund | NYSE Arca. |
| FXC | Invesco CurrencyShares Canadian Dollar Trust | NYSE Arca. |
| REMX | VanEck Vectors Rare Earth/Strategic Metals ETF | NYSE Arca. |
| ULST | SPDR SSgA Ultra Short Term Bond ETF | NYSE Arca. |
| BOCT | Innovator S&P 500 Buffer ETF-October | Cboe BZX. |
| SUSL | iShares ESG MSCI USA Leaders ETF | NASDAQ. |
| TILT | FlexShares Morningstar US Market Factor Tilt Index Fund | Cboe BZX. |
| EPU | iShares MSCI Peru ETF | NYSE Arca. |
| PWB | Invesco Dynamic Large Cap Growth ETF | NYSE Arca. |
| BSCP | Invesco Bulletshares 2025 Corporate Bond ETF | NASDAQ. |
| PNOV | Innovator S&P 500 Power Buffer ETF-November | Cboe BZX. |
| WIP | SPDR FTSE International Government Inflation-Protected Bond ETF | NYSE Arca. |
| BDEC | Innovator S&P 500 Buffer ETF-December | Cboe BZX. |
| SCHI | Schwab 5-10 Year Corporate Bond ETF | NYSE Arca. |
| PJP | Invesco Dynamic Pharmaceuticals ETF | NYSE Arca. |
| HDEF | Xtrackers MSCI EAFE High Dividend Yield Equity ETF | NYSE Arca. |
| IHDG | WisdomTree International Hedged Quality Dividend Growth Fund | NYSE Arca. |
| HEWG | iShares Currency Hedged MSCI Germany ETF | NASDAQ. |
| FIDU | Fidelity MSCI Industrials Index ETF | NYSE Arca |
| IBDR | iShares iBonds Dec 2026 Term Corporate ETF | NYSE Arca |
| OUSA | O'Shares FTSE US Quality Dividend ETF | NYSE Arca. |
| FXF | Invesco CurrencyShares Swiss Franc Trust | NYSE Arca. |
| HFXI | IQ 50 Percent Hedged FTSE International ETF | NYSE Arca. |
| FNY | First Trust Mid Cap Growth AlphaDEX Fund | NASDAQ. |
| AVDE | Avantis International Equity ETF | NYSE Arca. |
| FIW | First Trust Water ETF | NYSE Arca. |
| FNX | First Trust Mid Cap Core AlphaDEX Fund | NASDAQ. |
| CLTL | Invesco Treasury Collateral ETf | NYSE Arca. |
| AIA | iShares Asia 50 ETF | NASDAQ. |
| DVOL | First Trust Dorsey Wright Momentum & Low Volatility ETF | NASDAQ. |
| PAUG | Innovator S&P 500 Power Buffer ETF-August | Cboe BZX. |
| DIAL | Columbia Diversified Fixed Income Allocation ETF | NYSE Arca. |
| FXZ | First Trust Materials AlphaDEX Fund | NYSE Arca. |
Appendix B-Data and Reporting
I. Data Provision. The Commission may request from the Primary Listing Exchanges the below data that is not otherwise publicly available. The requested data shall be collected and transmitted to the Commission in an agreed-upon format, to be provided 30 calendar days following the date of the request, or such other date as agreed upon by the Commission and Primary Listing Exchange. Data collected in connection with a Commission request shall be transmitted to the Commission with a request for confidential treatment under the Freedom of Information Act, 5 U.S.C. 552, and the Commission's rules and regulations thereunder. This section shall expire at the time the below data becomes available via the National Market System Plan Governing the Consolidated Audit Trail or becomes publicly available.
A. Data set of all orders entered during halts or Trading Pauses.
1. Normal or Auction Only orders, Arrivals, Changes, Cancels, # shares, limit/market, side, Limit State side
2. Pipe delimited with field name as first record
B. Data set of order events received during Limit States.
C. 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 NBO mid-point
4. Count arriving, volume arriving and shares executing in limit sell orders at or below NBBO mid-point (non-marketable)
5. Count arriving, volume arriving and shares executing in limit buy orders at or above NBBO mid-point (non-marketable)
6. Count arriving, volume arriving and shares executing in limit buy orders below NBBO mid-point
7. Count and volume arriving of limit sell orders priced at or above NBBO mid-point plus $0.05
8. Count and volume arriving of limit buy orders priced at or below NBBO mid-point minus $0.05
9. Count and volume of (3-8) for cancels
10. Include: Ticker, date, time at start, time of Limit State, all data item fields in 1, last sale prior to 15-second period (null if no trades today), range during 15-second period, last trade during 15-second period
II. Reporting.
A. Annual Report. No later than March 31, 2020 and annually thereafter, the Operating Committee, in consultation with the Advisory committee, will provide the Commission and make publicly available a report containing key information concerning the Plan's performance during the preceding calendar year which shall include the following items: (1) An update on the Plan's operations; (2) an analysis of any amendments to the Plan implemented during the period covered by the report; and (3) an analysis of potential material emerging issues that may directly impact the operation of the Plan.
1. Update on the Plan's Operations. This section of the Annual Report shall analyze the Plan's operations during the covered period, including a discussion of any areas of the Plan's operation that require additional analysis. In particular, this section of the Annual Report shall examine the calibration of the parameters set forth in the Plan ( e.g., Price Bands, duration of Limit States, impact of Straddle States, duration of Trading Pauses, and the performance of reopening procedures following a Trading Pause). This section of the Annual Report also shall consider stock characteristics and variations in market conditions over time, and may include tests that differentiate results for different characteristics, both in isolation and in combination.
2. Analysis of Amendments Implemented. This section of the Annual Report shall provide an analysis of any amendments implemented during the covered period. The analysis shall include a discussion of any such amendment's operation and its impact on the overall operation of the Plan.
3. Analysis of Emerging Issues. This section of the Annual Report should vary from year-to-year and will include a discussion and analysis of the Plan's operation during a significant market event that may have occurred during the covered period. This section shall also include any additional analyses performed during the covered period on issues that were raised in previous Annual Reports.
[top] B. Quarterly Data. Thirty [30] days following the end of each calendar quarter, the Operating Committee shall provide the
[1.] The Monitoring Report [quarterly production] shall include data on the following events [data] for each month during the preceding calendar quarter:
a. Event Data.
i. Number of Limit States, Trading Pauses, and Straddle States per day, including distribution statistics such as the mean, median, minimum and maximum percentiles
ii. Number of NMS Stocks that experience more than one Limit State Trading Pause, or Straddle State in a single day including the length of each Limit State, Trading Pause, and Straddle State per day
b. The number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands are disseminated by the Processor
c. Reopening Data
i. Number of times an automated reopening process is extended for and the length of the Trading Pause
ii. Whether the reopening process ended in a trade
iii. The price calculated by an automated reopening process for an NMS Stock exiting a Trading Pause
iv. For the five minutes following the conclusion of a Trading Pause, the highest price of all last sale eligible trades, the lowest price of all last sale eligible trades, and the average price of all last sale eligible trades
2. 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 the above categories
e. Tier 1 leveraged ETPs in each of the above categories
f. Tier 2 non-ETPs in each of the above categories
g. Tier 2 non-leveraged ETPs in each of the above categories
h. Tier 2 leveraged ETPs in each of the above categories
3. 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]
1. Limit States, Trading Pauses, Straddle States, and Clearly Erroneous Events
a. Definitions. For the purpose of this Section B.1, the following definitions apply:
i. "Category" means the following categories of securities:
(1) Tier 1 non-ETP securities > $3.00
(2) Tier 1 non-ETP securities >= $0.75 and <= $3.00
(3) Tier 1 non-ETP securities < $0.75
(4) Tier 1 non-leveraged ETPs > $3.00
(5) Tier 1 non-leveraged ETPs >= $0.75 and <= $3.00
(6) Tier 1 non-leveraged ETPs < $0.75
(7) Tier 1 leveraged ETPs > $3.00
(8) Tier 1 leveraged ETPs >= $0.75 and <= $3.00
(9) Tier 1 leveraged ETPs < $0.75
(10) Tier 2 non-ETPs > $3.00
(11) Tier 2 non-ETPs >= $0.75 and <= $3.00
(12) Tier 2 non-ETPs < $0.75
(13) Tier 2 non-leveraged ETPs > $3.00
(14) Tier 2 non-leveraged ETPs >= $0.75 and <= $3.00
(15) Tier 2 non-leveraged ETPs < $0.75
(16) Tier 2 leveraged ETPs > $3.00
(17) Tier 2 leveraged ETPs >= $0.75 and <= $3.00
(18) Tier 2 leveraged ETPs < $0.75
ii. "Time of Day" means the following time spans:
(1) Opening (prior to 9:45 a.m. ET)
(2) Regular (between 9:45 a.m. ET and 25 minutes prior to the end of core trading hours)
(3) Closing (the last 25 minutes of core trading hours)
(4) Within five minutes of a Trading Pause reopen or IPO open
b. Limit States. The Monitoring Report will include:
i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Limit States per day, broken out by Category and Time of Day.
ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Limit State on a single day, broken out by Category.
iii. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the number of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.
iv. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the total length of Limit States experienced per day by individual NMS Stocks that had more than one Limit State on a single day, broken out by Category.
c. Trading Pauses. The Monitoring Report will include:
i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Trading Pauses per day, broken out by Category and Time of Day.
ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Trading Pause on a single day, broken out by Category.
iii. Monthly distribution statistics (mean, median, 90th percentile, and maximum) on the number of Trading Pauses per day experienced by individual NMS Stocks having more than one Trading Pause on a single day, broken out by Category.
d. Straddle States. The Monitoring Report will include:
i. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of Straddle States per day, broken out by Category and Time of Day.
ii. Monthly distribution statistics (mean, median, 25th percentile, and maximum) on the number of NMS Stocks that experienced more than one Straddle State on a single day, broken out by Category.
iii. Monthly distribution statistics (mean, median, 90th percentile, and 99.9th percentile) on the total time spent in a Straddle State per day for individual NMS Stocks experiencing one or more Straddle States on a single day, broken out by Category.
e. The Monitoring Report will include the number of Clearly Erroneous Events per day for all NMS Stocks that occurred during the time when Price Bands are disseminated by the Processor, broken out by Category and Time of Day.
2. Reopening Data
a. Definitions. For the purpose of this Section B.2, the following definitions apply:
i. "Type of Reopening" means either (1) manual or (2) automated.
ii. "Category" means the following categories of securities:
(1) Tier 1 non-ETP securities
(2) Tier 1 non-leveraged ETPs
(3) Tier 1 leveraged ETPs
(4) Tier 2 non-ETP securities
(5) Tier 2 non-leveraged ETPs
(6) Tier 2 leveraged ETPs
ii. "Length of the Trading Pause" means the following durations:
(1) less than 6 minutes (for manual reopenings) or no extensions of the Trading Pause (for automated reopenings);
(2) 6 to 10 minutes (for manual reopenings) or one extension of the Trading Pause (for automated reopenings);
(3) more than 10 minutes (for manual reopenings) or more than one extension of the Trading Pause (for automated reopenings)
b. The Monitoring Report will include the following monthly data on reopenings:
i. The number of Trading Pauses per month, broken out by (1) Type of Reopening, (2) Category, and (3) Length of the Trading Pause.
ii. Monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the duration of each Trading Pause, broken out by (1) Type of Reopening and (2) Category.
iii. The number of Trading Pauses ending in a:
(1) trade;
(2) quote; and
(3) potential closing auction, broken out by (a) Type of Reopening, (b) Category, and (c) Length of Trading Pause.
[top] iv. For Trading Pauses in NMS Stocks preceded by a Limit Up state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Up pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (1) Category and (2) whether the Trading Pause ended in a trade or (3) in a quote (i.e., the reopening price was a midpoint).
v. For Trading Pauses in NMS Stocks preceded by a Limit Down state, monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the Limit Down pricing that triggered the Trading Pause to the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price), broken out by (1) Category and (2) whether the Trading Pause ended in a trade or (3) in a quote (i.e., the reopening price was a midpoint).
vi. For Trading Pauses in NMS Stocks where the reopening process ended in a trade or quote (with resulting reference price equal to the midpoint of that quote), monthly distribution statistics (mean, median, 90th percentile, and 99th percentile) on the percentage price change from the reopening price on exiting the Trading Pause (i.e., the reopening trade or midpoint price) to
(1) the highest price of all last sale eligible trades;
(2) the lowest price of all last sale eligible trades; and
(3) the trade-weighted average price of all last sale eligible trades for the five minutes following the conclusion of the Trading Pause, broken out by (a) Category, (b) whether the Trading Pause was preceded by a Limit Up state or (c) a Limit Down state, and (d) whether the Trading Pause ended in a trade or (e) in a quote (i.e., the reopening price was a midpoint).
C. Reports on Market Events. At the Commission's request, the Operating Committee shall provide the Commission and make publicly available a report analyzing the Plan's operation during a significant market event that (1) materially impacted the trading of more than one security across multiple Trading Centers; and (2) is directly related to or implicating the performance of the Plan. Such report shall be provided to the Commission no later than 30 days following the Commission's request, or at a later date as agreed upon between the Commission and the Operation Committee. The requirement to submit a report under this section may be satisfied by including the required analysis within an Annual Report.
[FR Doc. 2020-06024 Filed 3-20-20; 8:45 am]
BILLING CODE 8011-01-P