SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

700 600 500 400 300 200 100 0 Figure 6 Number of Threshold Securities June 2, 2008 to September 30, 2009 T+3 Close-Out 20080602 20080616 20080630 20080715 20080729 20080812 20080826 20080910 20080924 20081008 20081023 20081106 20081121 20081208 20081222 20090107 20090122 20090205 20090220 20090306 20090320 20090403 20090420 20090504 20090518 20090602 20090616 20090630 15 Date Produced by <strong>OEA</strong> 20090715 20090729 20090812 20090826 20090910 20090924
2 1.5 1 0.5 0 Figure 7 Fails to Deliver (billions) Threshold Securities June 2, 2008 to September 30, 2009 T+3 Close-Out 20080602 20080616 20080630 20080715 20080729 20080812 20080826 20080910 20080924 20081008 20081023 20081106 20081121 20081208 20081222 20090107 20090122 20090205 20090220 20090306 20090320 20090403 20090420 20090504 20090518 16 Date Produced by <strong>OEA</strong> 20090602 20090616 20090630 20090715 20090729 20090812 20090826 20090910 20090924
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TO: Distribution List DRAFT MEMORAN
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DRAFT on short selling, particularl
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Price pressure DRAFT Several empiri
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DRAFT these measures are designed t
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DRAFT the highly automated markets
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submitted analyses that are not dir
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The CFA Institute Centre for Financ
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DRAFT National Association of Real
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To: Chairman Christopher Cox Throug
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In our analyses, (described in furt
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4. 0< ri 100 bp where bp is basis p
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We also found that changes in the p
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- If the order was submitted at the
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ates were 56%. This asymmetry holds
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Table 2 - Minimum Shortable Price(M
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Table 3 Minimum Shortable Price(MSP
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Table 4 - Minimum Shortable Price(M
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Table 5 Minimum Shortable Price(MSP
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Table 5 (cont’d) Minimum Shortabl
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Table 6 (Cont’d) Minimum Shortabl
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Table 7-A Stocks: Three sampled sto
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OFFICE OF ECONOMIC ANALYSIS DRAFT M
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Historical Context To aid in evalua
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Market Volatility Forecast The grap
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Root Mean Squared Return 0.006 0.00
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Abnormal End-of-Day Volatility In o
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To further investigate historical p
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1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0
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Appendix 2: Open-To-Close vs. Overn
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Appendix 3: Extreme Days The analys
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Index (15:20 = 1) 1.01 1 0.99 0.98
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810 800 790 780 770 760 750 740 Fig
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Have a great week end. Christophe 2
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001828
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SEC_OEA_FCIC_001830
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SEC_OEA_FCIC_001832
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001836
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SEC_OEA_FCIC_001838
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SEC_OEA_FCIC_001840
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SEC_OEA_FCIC_001842
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In-Threshold Run Length in Number o
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Beta Excess Return cond. on # of da
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Beta Excess Return cond. on in-thre
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Total Notional Amount (DTCC) Millio
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Summary of Citigroup Credit Default
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CEDAR HILL CAP 18 bullish bull_18 1
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GOLDMAN SACHS 35 ssell ssel_35 -10,
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MERRILL LYNCH 53 bullish bull_53 5,
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PIM2136 70 ssell ssel_70 PIM2224 71
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PIM3706 88 bullish bull_88 200,000
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ROYAL BANK OF 105 ssell ssel_105 -5
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLUE MTN CREDI 12 abuy abuy_12 -20,
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GENERAL ELECT 34 bearish bear_34 GE
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NATIONAL BANK O 56 cnet cnet_56 0 -
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PIM2679 78 sbuy sbuy_78 PIM2679 78
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PROVINZIAL RHE 101 abuy abuy_101 PR
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Price $15.00 $12.50 $10.00 $7.50 $5
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21 18 COL1 3.807082 3.54 4.04 0.5 3
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Date Open High Low Close Volume Adj
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date2 _NAME_2 no_NoPay_C fi_NoPay_C
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLACK DIAMOND OFFSHORE, LTD 11 abuy
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FORE ERISA FUND, LTD. 31 bearish be
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MARATHON 51 cnet cnet_51 0 0 -45,00
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PIM2224 71 sbuy sbuy_71 1,000,000 P
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PIM4807 92 abuy abuy_92 PIM4807 92
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THE ROYAL BANK OF SCOTLAND PLC 112
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11/18/08 -17000000 10000000 -7,000,
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Adjusted Close 25 20 15 10 5 0 10/1
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BBVA DerivServ SUBMITTING_PARTY SUB
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BUYER_NAME SELLER_ID SELLER_NAME TR
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SUBMIT_DATE SUBMIT_TIME TRANSACTION
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NOTIONAL_AMOUNT NOTIONAL_CURRENCY A
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POST_TRADE_PAYMENT_DATE POST_TRADE_
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PERIOD_MULTIPLIER PAYMENT_FREQUENCY
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INITIAL_CURRENCY RESTRUCTING_INDICA
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MATRIX_TYPE PUBLICATION_DATE 01/01/
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MATRIX_AGREEMENT_DATE ASSIGNMENT_RO
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CREDIT SUISSE INTERNATIONAL 21 abuy
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INTERN KAPIT MBH (PRV-C) 41 bearish
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PIM1356 61 cnet cnet_61 500,000 500
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PIM2755 81 sbuy sbuy_81 300,000 PIM
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PURSUIT 102 abuy abuy_102 PURSUIT 1
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BNP Paribas Securities Corp. Top No
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Volume (thousands) 1 , 1 0 0 1 , 0
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Volume (thousands) Price and Volume
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Volume (thousands) Price and Volume
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Volume (thousands) 3 0 2 0 1 0 0 Pr
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security on each calendar day of th
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10. Percentage of short positions c
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selling. The purple bar indicates t
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Chart 1 Form SH Daily Volume Compar
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Form SH Reported Short Volume for C
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Form SH Data Quality Check of Volum
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Form SH Summary of Securities by CR
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# of Securities (3,989 Total) 1,600
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# Security - Days (3,899 Total) 600
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Form SH Reported Data Compared to O
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# Daily Positions 300,000 250,000 2
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# Daily Volumes 45,000 40,000 35,00
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Securities Reported by Filers 30,00
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Dollar Value Sold Short ($ Millions
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# of Security Days with Some Report
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# of Security Days with Significant
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Price $0.20 $0.19 $0.18 $0.17 $0.16
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Price $3.00 $2.50 $2.00 $1.50 $1.00
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Price $17.50 $17.00 $16.50 $16.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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Price $2.40 $2.35 $2.30 $2.25 $2.20
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Price $16.00 $14.00 $12.00 $10.00 $
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dayn trade_date COMNAM PERMNO SHRCD
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14 14-Nov-08 HONEYWE 10145 11 20.16
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14 14-Nov-08 STURM RU 73219 11 0.00
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14 14-Nov-08 G A T X CO 12036 11 0.
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14 14-Nov-08 MAGUIRE 89768 18 35.07
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14 14-Nov-08 EMERITUS 82638 11 0.32
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14 14-Nov-08 GRAY TEL 83989 11 76.5
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14 14-Nov-08 CYTEC IND 80079 11 1.5
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14 14-Nov-08 TEXTAINE 92379 12 1.02
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14 14-Nov-08 CONSOL E 86799 11 3.04
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28 ######## DORAL FIN 12169 11 0.00
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volp_b _TYPE_ _FREQ_ countvolp volp
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shortpct ndays ndays_downdays_flat
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ndays_nex ndays_nex COMNAM 1 1 RITC
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PERMNO trade_date sdevv vol_crsp vo
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trade_date _NAME_ PRC_1 prc_down_ p
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vol_rest_7 PRC_10 prc_down_ prc_up_
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TY ENTERPRISES INC Y CO E BRANDS IN
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17 0 191 191 17 18 0 154 154 18 19
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nfilers_hist count low high lab1 _T
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date day_week count count_vol count
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Symbol hour minute sort trend5_2 tr
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MS 17 43 0 MS 17 44 0 MS 17 45 0 MS
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MS 8 27 1 MS 8 28 1 MS 8 29 1 MS 8
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MS 10 11 1 MS 10 12 1 MS 10 13 1 MS
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MS 11 55 1 MS 11 56 1 MS 11 57 1 MS
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MS 13 39 1 MS 13 40 1 MS 13 41 1 MS
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MS 15 23 1 MS 15 24 1 MS 15 25 1 MS
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
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HBB LBB HBB LBB HBB LBB HBB LBB HBB
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LBB LBB LBB LBB LBB LBB
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
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118679 140734 81539 98153 119580 10
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549976 740793 730713 530553 633869
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241120 221885 463089 242404 268242
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1034773 507119 1929040 729702 21777
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down5_8 down5_9 down5_10 down5_11 d
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594851 477540 815219 558737 595063
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533491 248814 375456 321906 302504
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624651 1105941 805570 1053176 11970
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4200 37163 300 200 7379 500 700 100
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100 100 1501 600 621 330 4000 1200
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100 600 500 5500 100 200 1200 3800
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20910 36164 30643 155502 74702 1124
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34196 19500 55548 30203 29025 49981
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33038 9300 33512 28113 24513 31940
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trade_12 trade_15 trade_16 trade_17
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3259 4060 1301 3600 6100 410 3800 1
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245 23292 29685 32235 131277 50646
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94506 158205 426920 1103544 257455
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16200 110995 231657 425131 597896 4
Page 467 and 468:
37430 109134 110898 474335 769341 7
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53417 181823 546172 342284 49297 19
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MS 16 49 MS 16 50 MS 16 51 MS 16 52
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MS 18 33 MS 18 34 MS 18 35 MS 18 36
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MS 9 17 MS 9 18 MS 9 19 MS 9 20 MS
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MS 11 1 MS 11 2 MS 11 3 MS 11 4 MS
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MS 12 45 MS 12 46 MS 12 47 MS 12 48
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MS 14 29 MS 14 30 MS 14 31 MS 14 32
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spindex__ meanp_2 minp_2 maxp_2 ran
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41.16
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41.46327 41.45829 41.46125 41.46493
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42.14067 42.1 42.23 0.13 0 35200 41
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42.04836 42 42.1 0.1 0 24500 41.392
Page 493 and 494:
41.39925 41.39 41.42 0.03 0 24442 4
Page 495 and 496:
40.86447 40.82 40.88 0.06 0 28120 4
Page 497 and 498:
41.3 41.3 0 13055 0 41.2573 41.2701
Page 499 and 500:
41.052 41.06055 41.04888 41.1732 41
Page 501 and 502:
41.18338 41.19231 41.19168 41.19479
Page 503 and 504:
41.73 41.82 0.09 0 22423 41.24243 4
Page 505 and 506:
41.49 41.54 0.05 0 13778 40.99331 4
Page 507 and 508:
41.45 41.48 0.03 0 15300 41.02212 4
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angep_4 tradebig_4 tradesmall_spind
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42.18422 42.18422 42.18272 0 0 100
Page 513 and 514:
41.97166 41.96509 41.98361 41.98375
Page 515 and 516:
0.1289 12200 82640 41.8887 40.12155
Page 517 and 518:
0.09 0 21945 41.41648 40.53181 40.4
Page 519 and 520:
0.08 0 51100 41.11773 41.09831 41.0
Page 521 and 522:
0.1 0 43500 41.07753 40.66593 40.64
Page 523 and 524:
40.35161 41.72151 40.34821 41.72793
Page 525 and 526:
100 40.23214 44.32539 44.3 44.51 0.
Page 527 and 528:
40.04062 44.11875 44.1 44.15 0.05 0
Page 529 and 530:
37530 39.78727 41.9703 41.88 42.08
Page 531 and 532:
17590 40.17506 42.82236 42.77 42.86
Page 533 and 534:
23962 40.35303 42.48832 42.45 42.55
Page 535 and 536:
meanp_9 minp_9 maxp_9 rangep_9 trad
Page 537 and 538:
43.18457 43.18117 43.19477 43.18627
Page 539 and 540:
43.36903 43.37727 39.7425 39.74 43.
Page 541 and 542:
42.95786 42.87 43 0.13 0 70242 43.1
Page 543 and 544:
42.17411 42.14 42.24 0.1 0 90289 42
Page 545 and 546:
41.78421 41.74 41.84 0.1 0 26343 42
Page 547 and 548:
40.50608 40.45 40.55 0.1 0 34709 42
Page 549 and 550:
40.4893 40.45867 40.4 0 41937 0 40.
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40 0.05 0 600 40.50209 37.71002 37.
Page 553 and 554:
39.94 0.13 0 2192 40.67039 35.91425
Page 555 and 556:
38.32 0.14 0 111093 40.37693 37.312
Page 557 and 558:
39.02 0.08 0 34460 40.69035 37.5625
Page 559 and 560:
40.07 0.05 0 21911 40.88056 38.7236
Page 561 and 562:
tradebig_11tradesmall_spindex_11mea
Page 563 and 564:
39.07 39.07 39.07 0 0 100 39.05293
Page 565 and 566:
0 1500 38.43361 0 500 38.39862 38.2
Page 567 and 568:
0 208240 38.53788 37.8859 37.84 37.
Page 569 and 570:
0 119996 38.95339 39.13122 39.06 39
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0 44256 38.79547 37.98676 37.94 38.
Page 573 and 574:
0 110077 39.01476 38.22831 38.21 38
Page 575 and 576:
38.70023 37.3634 38.72405 37.23349
Page 577 and 578:
38.55764 34.03986 33.9 34.5 0.6 0 8
Page 579 and 580:
38.32867 32.99608 32.99 33.01 0.02
Page 581 and 582:
38.63587 34.58665 34.56 34.66 0.1 4
Page 583 and 584:
38.56625 33.82328 33.76 33.88 0.12
Page 585 and 586:
38.54373 32.38956 32.27 32.5 0.23 0
Page 587 and 588:
minp_16 maxp_16 rangep_16 tradebig_
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32.13448 31.78 31.78 0 0 200 32.134
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27.86 28.24 0.38 0 60290 31.67596 2
Page 593 and 594:
28.025 28.75 0.725 59400 618974 31.
Page 595 and 596:
26.42 26.78 0.36 0 182872 31.98663
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27.83 27.995 0.165 0 85468 32.13794
Page 599 and 600:
28.42 28.8 0.38 40100 308589 32.558
Page 601 and 602:
0.38 0 7875 28.54326 22.66857 22.58
Page 603 and 604:
0.4 0 37836 28.72396 22.84878 22.55
Page 605 and 606:
0.46 23416 91786 28.11341 20.14171
Page 607 and 608:
0.29 0 408554 27.96835 19.59765 19.
Page 609 and 610:
0.225 0 494911 27.84082 15.32434 14
Page 611 and 612:
0.56 145997 1370219 27.91591 17.442
Page 613 and 614:
tradesmall_spindex_18meanp_19 minp_
Page 615 and 616:
2900 21.79807 22.57521 7500 22.7348
Page 617 and 618:
59616 21.91836 32.85777 32.69 33 0.
Page 619 and 620:
813439 22.14338 25.76577 24.85 26.7
Page 621 and 622:
463989 21.6108 28.04861 27.99 28.12
Page 623 and 624:
439396 21.88219 28.96691 28.85 29.0
Page 625 and 626:
1307381 22.45974 25.50933 25.1388 2
Page 627 and 628:
27.09373 0 26.89034 26.75 26.9 0.15
Page 629 and 630:
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Page 631 and 632:
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 633 and 634:
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 635 and 636:
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1:0
Page 637 and 638:
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 639:
verticle close_1 close_2 close_3 cl
Page 643 and 644:
40.83 41.3 42.17 40.34 41.36 43.27
Page 645 and 646:
50 51 52 53 54 55 56 57 58 59 60 61
Page 647 and 648:
154 155 156 157 158 159 160 161 162
Page 649 and 650:
258 259 260 261 262 263 264 265 266
Page 651 and 652:
362 363 364 365 366 367 368 369 370
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466 467 468 469 470 471 472 473 474
Page 655 and 656:
570 571 572 573 574 575 576 577 578
Page 657 and 658:
Morgan Stanley Intraday Trading by
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Goldman Sachs September Activity Ja
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Trading Patterns of Interest • Tr
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Goldman Sachs Stock Price Summary P
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Goldman Sachs Intra-Day Stock Price
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Goldman Sachs Intra-Day Stock Price
Page 669 and 670:
Goldman Sachs 21(a) Response - Exam
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Goldman Sachs 21(a) Response - Exam
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Morgan Stanley CDS Summary (Goldman
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Morgan Stanley CDS Transactions (Go
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Example 6: CDS (Using Morgan Stanle
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Goldman Sachs Example 8a: Assent St
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Goldman Sachs Example 8c: Assent St
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Summary File Common Stock Transacti
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Confidential 45 Wellington Capital
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OEA DRAFT - INTERNAL Therefore, exa
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Figure 2 Percent of Shares Outstand
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Merrill Lynch September Activity Ja
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Merrill Lynch Stock Price Summary P
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch CDS Prices of New Tra
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Merrill Lynch CDS Transactions Top
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Merrill Lynch 21(a) Response - Exam
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Merrill Lynch Example 7a: Assent St
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Merrill Lynch Example 7c: Assent St
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Morgan Stanley Stock Price Summary
Page 725 and 726:
Morgan Stanley Intra-Day Stock Pric
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Morgan Stanley CDS Summary SEC_OEA_
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Morgan Stanley 21(a) Response - Exa
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Morgan Stanley September Activity J
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Morgan Stanley Stock Price Summary
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Page 749 and 750:
Morgan Stanley CDS Prices of New Tr
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Morgan Stanley CDS Transactions Top
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Morgan Stanley Example 1b: CDS Cita
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Morgan Stanley Example 2b: CDS Paul
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Morgan Stanley Example 3b: CDS Deut
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Morgan Stanley Example 4b: CDS Merr
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Morgan Stanley Example 5b: Assent S
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Washington Mutual September Activit
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Page 769 and 770:
Washington Mutual Stock Price Summa
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Washington Mutual Intra-Day Stock P
Page 773 and 774:
Washington Mutual Intra-Day Stock P
Page 775 and 776:
Washington Mutual CDS Prices of New
Page 777 and 778:
Washington Mutual CDS Transactions
Page 779 and 780:
Washington Mutual 21(a) Response -
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Page 783 and 784:
Page 785 and 786:
Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
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Form 424B2 NATIONAL CITY CORP - ncc
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2013 at a redemption price per shar
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Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
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Table of Contents Dividend Stopper
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S-4
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Table of Contents RISK FACTORS An i
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Table of Contents decline as a resu
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Table of Contents USE OF PROCEEDS W
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Table of Contents upon the conversi
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Table of Contents number of shares
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Table of Contents not to issue such
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Table of Contents adjustments to th
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Table of Contents to authorize, or
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Table of Contents exercised by the
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Table of Contents DIRECT REGISTRATI
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Table of Contents of a partnership
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Table of Contents in an amount equa
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Table of Contents Information Repor
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Table of Contents Plan, or any pers
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Table of Contents Shares of Series
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Table of Contents Maximum Number of
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Table of Contents (1) The “Maximu
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Table of Contents natural persons t
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Table of Contents Because the selli
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Table of Contents PLAN OF DISTRIBUT
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Table of Contents PROSPECTUS Senior
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Table of Contents ABOUT THIS PROSPE
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Table of Contents No dealer, salesp
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Washington, DC 20549-9040 (202) 551
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Table of Contents CALCULATION OF RE
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TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
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Table of Contents Stock will automa
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Table of Contents Anti-Dilution Adj
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Table of Contents Voting Rights Ran
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Table of Contents The market price
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Table of Contents The Series G Pref
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Table of Contents DESCRIPTION OF NA
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Table of Contents Certificate of De
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Table of Contents Where, OS 0 = the
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Table of Contents with a tender or
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Table of Contents Right to Elect Tw
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Table of Contents participating, op
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Table of Contents based on the high
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Table of Contents CERTAIN U.S. FEDE
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Table of Contents Stock or our comm
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Table of Contents other requirement
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Table of Contents CERTAIN ERISA CON
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Table of Contents SELLING STOCKHOLD
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Page 901:
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Page 908 and 909:
(12) Aristeia Capital LLC is the in
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Table of Contents (22) All of the e
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Table of Contents Each of SAC Capit
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Table of Contents EXPERTS The conso
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TABLE OF CONTENTS Prospectus About
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Table of Contents You may request a
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Fallon, Zachary From: Krawitz, Jaco
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Confidential # Producer How To Use
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Price $30.00 $25.00 $20.00 $15.00 $
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Price $20.00 $18.00 $16.00 $14.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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dayn hour _NAME_ AIG_mean AIG_minp
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10 11 COL1 18.24242 17.62 18.9 1.28
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18 19 COL1 2.697085 2.58 2.8 0.22 1
Page 937 and 938:
21.08166 159.9686 159.95 160.03 0.0
Page 939 and 940:
20.65615 134.4959 130.43 145.89 15.
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GS_close LEH_meanLEH_minp LEH_maxpL
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7.766267 7.44 8.2 0.76 1864755 2700
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142.51 129.8
Page 947 and 948:
24.59935 24.21 24.9 0.69 0 33850 27
Page 949 and 950:
18.62415 17.26 19.45 2.19 1793447 3
Page 951 and 952:
MS_minp MS_maxp MS_rangepMS_tradeb
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38.08 39.04 0.96 342900 3791667 39.
Page 955 and 956:
22.81 25.07 2.26 0 176151 39.31129
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4.0454 26650 4.02 0.12 5/18/1927 16
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2.17 0.18 15724864 47826532 3.96374
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MER_shortGS_shorta GS_shortp AIG_sh
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23.01972 855059 156.7115 5143237 18
Page 965 and 966:
22.71091 19061 114.533 600 2.75 127
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2200 6000 100 7200 26800 3.919888 3
Page 969 and 970:
23916408 2.052039 81053295 38584977
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Fallon, Zachary From: Edwards, Amy
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2118 Wilshire Boulevard, #596 Santa
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SAS Output 20080925 60505724BANK OF
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SAS Output 20080916 261018105DOWNEY
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SAS Output 2008091734958B106 FORTRE
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SAS Output 20080922 493267405KEYCOR
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SAS Output 20080918 902973882US Ban
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SAS Output 20080918 929251106W HOLD
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SAS Output 20080925 939322103WASHIN
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Fallon, Zachary From: McCormick, Ti
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arrived, they might borrow real sha
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friendly relations with its short-s
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To: Jim Overdahl From: Tim McCormic
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• For exchange-listed issues, the
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Table 2 Average Daily Number of Sec
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Table 4 Summary Statistics for Secu
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Reg SHO Pilot Report DRAFT 9/14/200
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Page 1063 and 1064: Reg SHO Pilot Report DRAFT 9/14/200
Page 1101 and 1102: permanent the relevant provisions o
Page 1103 and 1104: • The average daily dollar value
Page 1105 and 1106: Table 1 Summary Statistics on Fails
Page 1107 and 1108: Table 3 Summary Statistics on Fails
Page 1109 and 1110: 2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1111 and 1112: 700 600 500 400 300 200 100 0 20050
Page 1113: 3 2.5 2 1.5 1 0.5 0 Figure 5 Fails
Page 1117 and 1118: Fail Category Settlement Days to Cl
Page 1119 and 1120: Reg SHO Pilot Report 2/12/2007 Tabl
Page 1121 and 1122: Reg SHO Pilot Report 2/12/2007 In J
Page 1123 and 1124: Reg SHO Pilot Report 2/12/2007 grou
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Page 1129 and 1130: Reg SHO Pilot Report 2/12/2007 II H
Page 1131 and 1132: Reg SHO Pilot Report 2/12/2007 In 1
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Page 1135 and 1136: Reg SHO Pilot Report 2/12/2007 stoc
Page 1137 and 1138: Reg SHO Pilot Report 2/12/2007 This
Page 1139 and 1140: Reg SHO Pilot Report 2/12/2007 rule
Page 1141 and 1142: Reg SHO Pilot Report 2/12/2007 Simi
Page 1143 and 1144: Reg SHO Pilot Report 2/12/2007 The
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Page 1147 and 1148: Reg SHO Pilot Report 2/12/2007 R =
Page 1149 and 1150: Reg SHO Pilot Report 2/12/2007 dist
Page 1151 and 1152: Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 mani
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Reg SHO Pilot Report 2/12/2007 pilo
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Reg SHO Pilot Report 2/12/2007 marg
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Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 lowe
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Reg SHO Pilot Report 2/12/2007 Refe
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Reg SHO Pilot Report 2/12/2007 Tabl
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Reg SHO Pilot Report 2/12/2007 Figu
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Reg SHO Pilot Report 2/12/2007 Stud
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TO: File FROM: Office of Economic A
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• The average daily number of opt
Page 1211 and 1212:
Table 2 Summary Statistics on Fails
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provides for a 35-settlement day ph
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• The average daily number of fai
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Page 1219 and 1220:
Page 1221 and 1222:
2.5 2 1.5 1 0.5 0 20040401 20040825
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700 600 500 400 300 200 100 0 20050
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2.5 2 1.5 1 0.5 0 20080602 20080616
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1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
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All Securities (Table 1): Table 1 s
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Daily Fails to Deliver in All Secur
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700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
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Number of Threshold Securities 700
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• The average daily number of fai
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Daily Number of Threshold List Secu
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700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
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Fail Category Settlement Days to Cl
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Short Selling in Initial Public Off
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delay, as previously thought. Short
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threshold list on the first possibl
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Both Geczy, Musto and Reed (2002) a
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esponsible for the Internet bubble.
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on periods during the tech bubble.
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trading although the levels are qui
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in offer price as measured as the p
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ule allows short sales to execute a
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negative and occasionally significa
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SROs daily for stocks that have agg
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place it on a list known as the Reg
Page 1289 and 1290:
order to provide price support. Agg
Page 1291 and 1292:
Panel B of Table 6 presents the det
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In focusing on the potential short
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During our sample period, Regulatio
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The perceived inability of short se
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References Aggarwal, Reena and Pat
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Houge, Todd, Tim Loughran, Gerry Su
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Table 2 Comparison of First Day Tra
Page 1305 and 1306:
Page 1307 and 1308:
Variable Table 6 Determinants of Lo
Page 1309 and 1310:
Table 8 Short Term Price Effects Th
Page 1311 and 1312:
Figure 1 Distribution of Short Sell
Page 1313 and 1314:
Figure 3 Short Selling, Returns and
Page 1315:
Figure 5 Short Selling and Failures
show all

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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