SIAC CONSOLIDATED QUOTATION SYSTEM OUTPUT MULTICAST LINE (ML) INTERFACE SPECIFICATION September 20, 2006 APPENDIX: H-1 APPENDIX H: QUOTE CONDITIONS Each quote message may contain a quote condition, which describes the nature of the quote (e.g., depth on bid, depth on offer, etc.) as well as the market conditions surrounding the quote. Quote conditions apply only to the quote so marked. If a situation indicated by the quote persists, each succeeding quote will contain the prevailing quote condition. The quote conditions may be viewed as belonging to two classes: 1. Those that qualify for inclusion in the National and NASD Best Bid & Offer (BBO) calculations. 2. Those that do not qualify for inclusion in the National and NASD Best Bid & Offer (BBO) calculations. Most quote conditions that do not qualify for inclusion in the National and NASD BBO calculations indicate trading suspensions in a security. BBO Eligible Quotes The quote conditions in this section indicate active trading sessions in which quotes qualify for inclusion in the National and NASD BBO calculation. Quote Condition A - Slow Quote on the Offer Side This condition indicates that the current offer is in "Slow" quote mode. While in this mode, auto- execution is not eligible on the Offer side, and can be traded through pursuant to anticipated Regulation NMS requirements. Quote Condition B - Slow Quote on the Bid Side This condition indicates that the current bid is in "Slow" quote mode. While in this mode, auto- execution is not eligible on the Bid side, and can be traded through pursuant to anticipated Regulation NMS requirements. Quote Condition H - Slow Quote on the Bid and Offer Sides This condition indicates that the quote is a "Slow" quote on both the Bid and Offer sides. While in this mode, auto-execution is not eligible on the Bid and Offer side, and either or both sides can be traded through pursuant to anticipated Regulation NMS requirements. Quote Condition O - Opening Quote This condition can be disseminated to indicate that this quote was the opening quote for a security for that Participant. Quote Condition R - Regular (for NASD - Market Maker Open) This condition is used for the majority of quotes to indicate a normal trading environment. It is also used by the NASD Market Makers in place of Quote Condition "O" to indicate the first quote of the day for a particular security. The condition may also be used when a Market Maker re-opens a security during the day. Quote Condition W - Slow Quote Due to Set Slow List on Both the Bid and Offer Sides This condition is used to indicate that the quote is a Slow Quote on both the Bid and Offer sides due to a Set Slow List that includes High Price securities. While in this mode, auto-execution is not eligible, the quote is then considered Slow on the Bid and Offer sides, and either or both sides can be traded through as per Regulation NMS. BBO-Ineligible Quotes The quote conditions which result in quotes not qualifying for inclusion in the National and NASD BBO calculations fall into distinct categories: closing quotes, opening delays/trading halts, price indications/trading range indications and non-firm quotes. To indicate an opening delay or a trading halt, a quote with the condition: Code Value D News Dissemination E Slow Quote Due to an LRP or Gap Quote on the Bid Side (Redefined) F Slow Quote Due to an LRP or Gap Quote on the Offer Side (Redefined) I Order Imbalance J Due To Related Security-News Dissemination K Due To Related Security-News Pending M Additional Information P News Pending Q Additional Information-Due To Related Security S Due To Related Security T Resume U Slow Quote Due to a NYSE Liquidity Replenishment Point (LRP), Amex Tolerance Breach (Spread, Momentum or Gap Trade Tolerance), or Gap Quote on Both the Bid and Offer Sides (New) V In View of Common X Equipment Changeover Z No Open/No Resume along with zero-filled bid/offer price and size fields are disseminated over CQS. Prior to recommencing activity in a security (during an opening delay or trading halt), some of these conditions are used to indicate a probable trading price range (price indication) for a security. A bid and/or an offer will be disseminated without its corresponding size(s), along with the appropriate condition. A quote with the condition: T -Resume along with zero-filled bid/ offer price and size fields is used to indicate that quoting is no longer suspended for a security which had been halted or had its opening delayed. Quote Condition C - Closing Quote This condition can be disseminated to indicate that this quote was the last quote for a security for that Participant. Quote Condition D - News Dissemination This regulatory Opening Delay or Trading Halt is used when relevant news influencing the security is being disseminated. Trading is suspended until the primary market determines that an adequate publication or disclosure of information has occurred. Quote Condition E - Slow Quote Due to a Liquidity Replenishment Point (LRP) or Gap Quote on the Bid Side (Redefined) This condition is used to indicate that the current Bid is in Slow quote mode due to a Liquidity Replenishment Point (LRP) or Gap Quote. While in this mode, auto-execution is not eligible the quote is then considered Slow on the Bid side and can be traded through, as per Regulation NMS. Quote Condition F - Slow Quote Due to a Liquidity Replenishment Point (LRP) or Gap Quote on the Offer Side (Redefined) This condition is used to indicate that the current Offer is in Slow quote mode due to a Liquidity Replenishment Point (LRP) or Gap Quote. While in this mode, auto-execution is not eligible the quote is then considered Slow on the Offer side and can be traded through, as per Regulation NMS. Quote Condition G - Trading Range Indication The condition is used to denote the probable trading range (bid and offer prices, no sizes) of a security that is not Opening Delayed or Trading Halted. The Trading Range Indication is used prior to or after the opening of a security. Quote Condition I - Order Imbalance This non-regulatory Opening Delay or Trading Halt is used when there is a significant imbalance of buy or sell orders. Quote Condition J - Due to Related Security-News Dissemination This regulatory Opening Delay or Trading Halt is used when news, which may influence the price of the stock, has been disseminated for a related security. Trading is suspended until the resultant impact is assessed. Quote Condition K - Due to Related Security-News Pending This quote condition indicates a regulatory Opening Delay or Trading Halt due to an expected news announcement in a related security. An Opening Delay or Trading Halt may be continued once the news has been disseminated. Quote Condition L - Market Maker Quotes Closed This condition is disseminated by each individual NASD Market Maker to signify either the last quote of the day or the premature close of an individual Market Maker for the day. In the latter case, the Market Maker can re-open by transmitting a quote accompanied by the Quote Condition R. Quote Condition M - Additional Information This regulatory Opening Delay or Trading Halt is used if the Exchange requests more disclosure of information for the security. If inadequate information is disclosed during a "news dissemination or news pending" Opening Delay or Trading Halt, the Opening Delay or Trading Halt reason could be subsequently reported as "Additional Information". Quote Condition N - Non-Firm Quote This quote condition suspends a Participant's firm quote obligation for a quote for a security. Quote Condition P - News Pending This condition is used to indicate a regulatory Opening Delay or Trading Halt due to an expected news announcement, which may influence the security. An Opening Delay or Trading Halt may be continued once the news has been disseminated. Quote Condition Q - Additional Information-Due to Related Security This regulatory Opening Delay or Trading Halt quote condition is used if more disclosure of information is requested by the exchange for a related security. Quote Condition S - Due to Related Security This non-regulatory Opening Delay or Trading Halt is used when events relating to one security will affect the price and performance of another related security (e.g., a call for redemption of a convertible preferred security or convertible debt security which could affect the related common security). This non-regulatory Opening Delay or Trading Halt is also used when non-regulatory halt reasons such as Order Imbalance, Order Influx and Equipment Changeover are combined with Due to Related Security on CTS. Quote Condition T - Resume This quote condition along with zero-filled bid, offer and size fields is used to indicate that trading for a Participant is no longer suspended in a security which had been Opening Delayed or Trading Halted. Quote Condition U -Slow Quote Due to a NYSE Liquidity Replenishment Point (LRP), Amex Tolerance Breach (Spread, Momentum or Gap Trade Tolerance), or Gap Quote on Both the Bid and Offer Sides (New) This condition indicates that the quote is a "Manual" quote on both the Bid and Offer sides due to an LRP, Tolerance or Gap Quote. While in this mode, auto-execution is not eligible, the quote is then considered Manual and Non-Firm in the Bid and Offer and either or both sides can be traded through as per Regulation NMS. Quote Condition V - In View of Common This quote condition is used when matters affecting the common stock of a company affect the performance of the non-common associated securities, e.g., warrants, rights, preferred, classes, etc. Those securities, which must be of the same company, are globally Opening Delayed, Trading Halted, or No Open/No Resume for a Participant in view of the common stock. Quote Condition X - Equipment Changeover This non-regulatory Opening Delay or Trading Halt is used when the ability to trade a security by a Participant is temporarily inhibited due to a systems, equipment or communications facility problem or for other technical reasons. Quote Condition Y - Sub-Penny Trading This non-regulatory Opening Delay or Trading Halt is used to indicate an Opening Delay or Trading Halt for an NYSE security whose price may fall below $1.05, possibly leading to a sub-penny execution. Quote Condition Z - No Open/No Resume This quote condition is used to indicate that an Opening Delay or a Trading Halt is to be in effect for the rest of the trading day in a security for a Participant.