SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

TO: File
FROM: Office of Economic Analysis
DATE: August 21, 2006
M E M O R A N D U M
SUBJECT: Fails to Deliver Pre- and Post-Regulation SHO
This memorandum provides summary data on fails to deliver through May 2006. It
examines fails to deliver before and after the implementation of the Rule 203 of
Regulation SHO. The data, as reported by NSCC, cover all stocks with aggregate fails to
deliver of 10,000 shares or more.
Table 1 shows the average daily fails to deliver statistics pre- and post-Rule for all stocks
with aggregate fails to deliver of 10,000 shares or more. All six measures show declines
after Rule 203 was implemented. The period from April 1, 2004 to December 31, 2004 is
defined as the pre-rule period. 1 The period from January 1, 2005 to May 31, 2006 is
defined as the post-rule period.
• The average daily aggregate fails to deliver declined by 34.0% after the effective
date of Regulation SHO.
• The average daily number of securities with aggregate fails of at least 10,000
shares declined by 6.5% after the effective date of Regulation SHO.
• The average daily number of fails to deliver positions declined by 15.3%.
• The average age of a fail position declined by 13.4% after the effective date of
Regulation SHO.
• The average daily number of threshold securities declined by 38.2% from the pre-
to post-rule periods.
• The average daily fails of threshold securities declined by 52.4 %.
Table 2 shows the summary statistics for the securities that were on the published
threshold lists from January 10, 2005 to May 31, 2006. On an average day, there were
about 312 securities on the threshold list. These threshold lists securities had an average
of 1,346 fails positions representing 189 million shares.
• The average daily number of threshold securities declined by 29.8% from January
2005 to May 2006.
Table 3 displays average daily threshold securities by market.
1 August 9, November 3 and November 4, 2004 were missing from the dataset. The previous day’s fails
data was used to fill-in the missing data for these dates.
1
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