SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

Table 1 Summary Statistics on Fails to Deliver Threshold List Securities with Listed Options Pre- and Post-Rule Amendment 5 Measure Pre Post Change Percent Change Number of Days 131 76 Average Daily Dollar Value of Aggregate Fails ($millions) 2,853 3,360 +506 +17.7% Average Daily Aggregate Fails (millions) 109 133 +24 +22.0% Average Daily Number of Securities 152 190 +38 +25.0% Average Daily Number of Fail Positions 993 1,452 +460 +46.3% New Fails: Average Daily Dollar Value of New Fails ($millions) 853 862 +9 +1.1% Average Daily New Fail Shares (millions) 22 28 +6 +29.7% Average Daily New Fail Positions 571 830 +259 +45.3% Average Daily Traded Dollar Volume ($millions) 6 149,508 161,121 +11,613 +7.8% New Fails as a % of Traded Dollar Volume 0.57% 0.54% -0.03% -6.2% Fails Aged more than 17 Days: - Average Daily Dollar Value of Aggregate Fails ($millions) 671 1,164 +493 +73.4% - Average Daily Aggregate Fails (millions) 44 51 +7 +16.3% - Average Daily Number of Securities 63 89 +26 +40.9% - Average Daily Number of Fail Positions 121 158 +37 +30.7% Bolded changes are significant at the 5% level using the Wilcoxon-Mann-Whitney test (nonparametric). Sources: NSCC, NYSE, Nasdaq, OTCBB, and Amex web sites. 5 Includes securities with aggregate daily fails to deliver of 10,000 shares or more. 6 The average daily dollar volume is composed of NYSE Group volume in NYSE-listed securities, consolidated volume in Nasdaq-listed securities, OTCBB, and Amex volume in Amex-listed securities. 4 Produced by <strong>OEA</strong>
Table 2 Summary Statistics on Fails to Deliver Threshold List Securities without Listed Options Pre- and Post-Rule Amendment 7 Measure Pre Post Change Percent Change Number of Days 131 76 Average Daily Dollar Value of Aggregate Fails ($millions) 286 338 +53 +18.5% Average Daily Aggregate Fails (millions) 297 304 +7 +2.5% Average Daily Number of Securities 170 164 -6 -3.5% Average Daily Number of Fail Positions 729 714 -15 -2.0% New Fails: Average Daily Dollar Value of New Fails ($millions) 45 75 +30 +66.2% Average Daily New Fail Shares (millions) 38 43 +5 +12.0% Average Daily New Fail Positions 318 342 +23 +7.4% Average Daily Traded Dollar Volume ($millions) 8 149,508 161,121 +11,613 +7.8% New Fails as a % of Traded Dollar Volume 0.03% 0.05% +0.02% +54.7% Fails Aged more than 17 Days: - Average Daily Dollar Value of Aggregate Fails ($millions) 64 42 -22 -34.5% - Average Daily Aggregate Fails (millions) 83 89 +5 +6.2% - Average Daily Number of Securities 71 48 -23 -32.6% - Average Daily Number of Fail Positions 104 63 -40 -38.8% Bolded changes are significant at the 5% level using the Wilcoxon-Mann-Whitney test (nonparametric). Sources: NSCC, NYSE, Nasdaq, OTCBB, and Amex web sites. 7 Includes securities with aggregate daily fails to deliver of 10,000 shares or more. 8 The average daily dollar volume is composed of NYSE Group volume in NYSE-listed securities, consolidated volume in Nasdaq-listed securities, OTCBB, and Amex volume in Amex-listed securities. 5 Produced by <strong>OEA</strong>
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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
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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
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41.39925 41.39 41.42 0.03 0 24442 4
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40.86447 40.82 40.88 0.06 0 28120 4
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41.3 41.3 0 13055 0 41.2573 41.2701
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41.052 41.06055 41.04888 41.1732 41
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41.18338 41.19231 41.19168 41.19479
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41.73 41.82 0.09 0 22423 41.24243 4
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41.49 41.54 0.05 0 13778 40.99331 4
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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
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41.97166 41.96509 41.98361 41.98375
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0.1289 12200 82640 41.8887 40.12155
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0.09 0 21945 41.41648 40.53181 40.4
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0.08 0 51100 41.11773 41.09831 41.0
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0.1 0 43500 41.07753 40.66593 40.64
Page 523 and 524:
40.35161 41.72151 40.34821 41.72793
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100 40.23214 44.32539 44.3 44.51 0.
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40.04062 44.11875 44.1 44.15 0.05 0
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37530 39.78727 41.9703 41.88 42.08
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17590 40.17506 42.82236 42.77 42.86
Page 533 and 534:
23962 40.35303 42.48832 42.45 42.55
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meanp_9 minp_9 maxp_9 rangep_9 trad
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43.18457 43.18117 43.19477 43.18627
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43.36903 43.37727 39.7425 39.74 43.
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42.95786 42.87 43 0.13 0 70242 43.1
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42.17411 42.14 42.24 0.1 0 90289 42
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41.78421 41.74 41.84 0.1 0 26343 42
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40.50608 40.45 40.55 0.1 0 34709 42
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40.4893 40.45867 40.4 0 41937 0 40.
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40 0.05 0 600 40.50209 37.71002 37.
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39.94 0.13 0 2192 40.67039 35.91425
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38.32 0.14 0 111093 40.37693 37.312
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39.02 0.08 0 34460 40.69035 37.5625
Page 559 and 560:
40.07 0.05 0 21911 40.88056 38.7236
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tradebig_11tradesmall_spindex_11mea
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39.07 39.07 39.07 0 0 100 39.05293
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0 1500 38.43361 0 500 38.39862 38.2
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0 208240 38.53788 37.8859 37.84 37.
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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
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38.55764 34.03986 33.9 34.5 0.6 0 8
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38.32867 32.99608 32.99 33.01 0.02
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38.63587 34.58665 34.56 34.66 0.1 4
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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
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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
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28.025 28.75 0.725 59400 618974 31.
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26.42 26.78 0.36 0 182872 31.98663
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27.83 27.995 0.165 0 85468 32.13794
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28.42 28.8 0.38 40100 308589 32.558
Page 601 and 602:
0.38 0 7875 28.54326 22.66857 22.58
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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
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0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
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1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
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1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
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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
Page 653 and 654:
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
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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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Page 715 and 716:
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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
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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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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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Washington Mutual Stock Price Summa
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Washington Mutual Intra-Day Stock P
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Washington Mutual Intra-Day Stock P
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Washington Mutual CDS Prices of New
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Washington Mutual CDS Transactions
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Washington Mutual 21(a) Response -
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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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(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
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24.59935 24.21 24.9 0.69 0 33850 27
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18.62415 17.26 19.45 2.19 1793447 3
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MS_minp MS_maxp MS_rangepMS_tradeb
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38.08 39.04 0.96 342900 3791667 39.
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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
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22.71091 19061 114.533 600 2.75 127
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2200 6000 100 7200 26800 3.919888 3
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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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permanent the relevant provisions o
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• The average daily dollar value
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Table 1 Summary Statistics on Fails
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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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3 2.5 2 1.5 1 0.5 0 Figure 5 Fails
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2 1.5 1 0.5 0 Figure 7 Fails to Del
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Fail Category Settlement Days to Cl
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Reg SHO Pilot Report 2/12/2007 Tabl
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Reg SHO Pilot Report 2/12/2007 In J
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Reg SHO Pilot Report 2/12/2007 grou
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Reg SHO Pilot Report 2/12/2007 pilo
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Reg SHO Pilot Report 2/12/2007 Thir
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Reg SHO Pilot Report 2/12/2007 II H
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Reg SHO Pilot Report 2/12/2007 In 1
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Reg SHO Pilot Report 2/12/2007 With
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Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
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Reg SHO Pilot Report 2/12/2007 rule
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Reg SHO Pilot Report 2/12/2007 Simi
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Reg SHO Pilot Report 2/12/2007 The
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Reg SHO Pilot Report 2/12/2007 V Me
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Reg SHO Pilot Report 2/12/2007 R =
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Reg SHO Pilot Report 2/12/2007 dist
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Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 Stoc
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Reg SHO Pilot Report 2/12/2007 side
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Reg SHO Pilot Report 2/12/2007 Stoc
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Page 1163 and 1164: Reg SHO Pilot Report 2/12/2007 day
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Page 1173 and 1174: Reg SHO Pilot Report 2/12/2007 lowe
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Page 1207 and 1208: TO: File FROM: Office of Economic A
Page 1209: • The average daily number of opt
Page 1213 and 1214: provides for a 35-settlement day ph
Page 1215 and 1216: • The average daily number of fai
Page 1217 and 1218: Table 1 Summary Statistics on Fails
Page 1221 and 1222: 2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1223 and 1224: 700 600 500 400 300 200 100 0 20050
Page 1225 and 1226: 2.5 2 1.5 1 0.5 0 20080602 20080616
Page 1227 and 1228: 1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
Page 1231 and 1232: All Securities (Table 1): Table 1 s
Page 1233 and 1234: Daily Fails to Deliver in All Secur
Page 1239 and 1240: 700 600 500 400 300 200 100 0 0501
Page 1241 and 1242: 1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
Page 1243 and 1244: 700 600 500 400 300 200 100 0 20080
Page 1245 and 1246: Number of Threshold Securities 700
Page 1249 and 1250: • The average daily number of fai
Page 1251 and 1252: Daily Number of Threshold List Secu
Page 1257 and 1258: 700 600 500 400 300 200 100 0 0501
Page 1259 and 1260: 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
Page 1283 and 1284:
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
Page 1295 and 1296:
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
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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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