SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

34%. These findings clearly indicate that short selling is both non-trivial and an integral part of the IPO price process on the first trading day. 17 Figure 2 shows the time distribution of short sales on the offer day by trading market. Thirty six percent of the IPOs in the sample trade on the NYSE or Amex while 64% trade on the Nasdaq. Because IPO trading does not always open at 9:30, as noted by Aggarwal and Conroy (2000), we measure the volume in fifteen minute increments from the time that trading actually opens and through the first four hours. In all markets, the largest amount of short selling occurs close to the open. On average, 42% of short sale volume in NYSE/Amex IPOs occurs in the first fifteen minutes of actual trading and this percentage is the maximum for the day. Likewise, almost 40% of Nasdaq short sale volume occurs in the first fifteen minutes. This pattern is similar to the intraday pattern for all trading volume, with the Nasdaq trading volume in the first fifteen minutes accounting for almost 50% of daily volume and NYSE/Amex volume accounting for 43%. Our findings on volume are consistent with Krigman, Shaw and Womack (1999) who document that over 50% of the first trading day volume in IPOs occurs in the first hour of trading. Overall, these results suggest that short selling is an integral part of the price formation process at the opening of trade despite the supposed impediments to short selling. Figure 3 presents short selling as a percent of shares offered, trading volume and daily returns over the first month of trading. As can be seen in the graph, the initial trading day has the highest proportion of return, volume, and short sales. Short selling occurs over the first month of 17 Note that some of this short selling may be investors who are allocated IPO shares that are “shorting against the box” to circumvent restrictions on flipping such as penalty bids. However, this strategy is indistinguishable from other short sales in its execution. Although the investor may be long the shares of the IPO because of their allocation, she must still borrow the shares for delivery and thus, faces the same constraint on availability and cost of borrowing shares as any other short seller. If the investor were to use allocated shares for delivery on T+3, this would constitute a long sale. 11 SEC_OEA_FCIC_002462
trading although the levels are quite small in relation to the first few trading days. The volume of trading and daily returns exhibit similar time-series properties with a rapid decline after the IPO and a leveling off for the remainder of the first trading month. Figure 4 presents the time-series pattern of short selling as a percent of volume over the first month of trading, by exchange. Recent studies that also use the Regulation SHO pilot data such as Diether, Lee, and Werner (2007a), find that short sales constitute approximately 24% of the daily trading volume in NYSE-listed stocks and 31% of volume in Nasdaq-listed stocks. As shown in Figure 4, the level of short selling quickly levels off by the fifth or sixth trading day. 18 Although the magnitude of short sales as a percent of volume remains lower for NYSE IPOs (15%) and Nasdaq IPOs (25%), than that documented by Diether, Lee and Werner (2007a), it appears from Figure 4 that short selling as a percent of volume begins to approach average levels very quickly. 4. Determinants of Short Selling The findings of the previous section indicate that short selling is prevalent early in the trading process. Thus, it appears as if perceived short sale constraints may not be as binding as previously thought. To better understand the implications of this for theories of IPO pricing, this section examines the types of IPOs that are likely to be attractive to short sellers. Miller (1977) argues that “the prices of new issues… are set not by the appraisal of the typical investor, but by the small minority who think highly enough of the investment merits of the new issue to include it in their portfolio. The divergence of opinion about a new issue [is] greatest when the stock is 18 While Diether, Lee and Werner (2007a) find a much higher level of short sales relative to volume than the average short sale on the first trading day reported in our study, the amount of trading volume on the offer day for IPOs is substantially larger than the average daily trading volume for an individual stock making an exact comparison difficult. 12 SEC_OEA_FCIC_002463
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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
Page 455 and 456:
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
Page 469 and 470:
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
Page 489 and 490:
42.14067 42.1 42.23 0.13 0 35200 41
Page 491 and 492:
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
Page 509 and 510:
angep_4 tradebig_4 tradesmall_spind
Page 511 and 512:
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
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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
Page 571 and 572:
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_
Page 589 and 590:
32.13448 31.78 31.78 0 0 200 32.134
Page 591 and 592:
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
Page 597 and 598:
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
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
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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
Page 675 and 676:
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
Page 711 and 712:
Merrill Lynch 21(a) Response - Exam
Page 713 and 714:
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
Page 767 and 768:
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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
Page 777 and 778:
Washington Mutual CDS Transactions
Page 779 and 780:
Washington Mutual 21(a) Response -
Page 781 and 782:
Page 783 and 784:
Page 785 and 786:
Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
Page 789 and 790:
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Form 424B2 NATIONAL CITY CORP - ncc
Page 793 and 794:
2013 at a redemption price per shar
Page 795 and 796:
Table of Contents ABOUT THIS PROSPE
Page 797 and 798:
Table of Contents SUMMARY This summ
Page 799:
Table of Contents Dividend Stopper
Page 802 and 803:
S-4
Page 804 and 805:
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
Page 810 and 811:
Table of Contents upon the conversi
Page 812 and 813:
Table of Contents number of shares
Page 814 and 815:
Table of Contents not to issue such
Page 816 and 817:
Table of Contents adjustments to th
Page 818 and 819:
Table of Contents to authorize, or
Page 820 and 821:
Table of Contents exercised by the
Page 822 and 823:
Table of Contents DIRECT REGISTRATI
Page 824 and 825:
Table of Contents of a partnership
Page 826 and 827:
Table of Contents in an amount equa
Page 828 and 829:
Table of Contents Information Repor
Page 830 and 831:
Table of Contents Plan, or any pers
Page 832 and 833:
Table of Contents Shares of Series
Page 834 and 835:
Table of Contents Maximum Number of
Page 837 and 838:
Page 839 and 840:
Page 841 and 842:
Table of Contents (1) The “Maximu
Page 843 and 844:
Table of Contents natural persons t
Page 845:
Table of Contents Because the selli
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Table of Contents PLAN OF DISTRIBUT
Page 850 and 851:
Table of Contents PROSPECTUS Senior
Page 852 and 853:
Table of Contents ABOUT THIS PROSPE
Page 854 and 855:
Table of Contents No dealer, salesp
Page 856 and 857:
Washington, DC 20549-9040 (202) 551
Page 858 and 859:
Table of Contents CALCULATION OF RE
Page 860 and 861:
TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
Page 864 and 865:
Table of Contents Stock will automa
Page 867 and 868:
Table of Contents Anti-Dilution Adj
Page 869 and 870:
Table of Contents Voting Rights Ran
Page 871 and 872:
Table of Contents The market price
Page 873 and 874:
Table of Contents The Series G Pref
Page 875 and 876:
Table of Contents DESCRIPTION OF NA
Page 877 and 878:
Table of Contents Certificate of De
Page 879 and 880:
Table of Contents Where, OS 0 = the
Page 881 and 882:
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
Page 887 and 888:
Table of Contents based on the high
Page 889 and 890:
Table of Contents CERTAIN U.S. FEDE
Page 891 and 892:
Table of Contents Stock or our comm
Page 893 and 894:
Table of Contents other requirement
Page 895 and 896:
Table of Contents CERTAIN ERISA CON
Page 897 and 898:
Table of Contents SELLING STOCKHOLD
Page 899 and 900:
Page 901:
Page 904 and 905:
Page 906 and 907:
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
Page 921 and 922:
Fallon, Zachary From: Krawitz, Jaco
Page 923 and 924:
Confidential # Producer How To Use
Page 925 and 926:
Price $30.00 $25.00 $20.00 $15.00 $
Page 927 and 928:
Price $20.00 $18.00 $16.00 $14.00 $
Page 929 and 930:
Price $50.00 $45.00 $40.00 $35.00 $
Page 931 and 932:
dayn hour _NAME_ AIG_mean AIG_minp
Page 933 and 934:
10 11 COL1 18.24242 17.62 18.9 1.28
Page 935 and 936:
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.
Page 941 and 942:
GS_close LEH_meanLEH_minp LEH_maxpL
Page 943 and 944:
7.766267 7.44 8.2 0.76 1864755 2700
Page 945 and 946:
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
Page 953 and 954:
38.08 39.04 0.96 342900 3791667 39.
Page 955 and 956:
22.81 25.07 2.26 0 176151 39.31129
Page 957 and 958:
4.0454 26650 4.02 0.12 5/18/1927 16
Page 959 and 960:
2.17 0.18 15724864 47826532 3.96374
Page 961 and 962:
MER_shortGS_shorta GS_shortp AIG_sh
Page 963 and 964:
23.01972 855059 156.7115 5143237 18
Page 965 and 966:
22.71091 19061 114.533 600 2.75 127
Page 967 and 968:
2200 6000 100 7200 26800 3.919888 3
Page 969 and 970:
23916408 2.052039 81053295 38584977
Page 971 and 972:
Fallon, Zachary From: Edwards, Amy
Page 973 and 974:
2118 Wilshire Boulevard, #596 Santa
Page 975 and 976:
SAS Output 20080925 60505724BANK OF
Page 977 and 978:
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
Page 993 and 994:
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
Page 1105 and 1106:
Table 1 Summary Statistics on Fails
Page 1107 and 1108:
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 and 1114:
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
Page 1117 and 1118:
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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Reg SHO Pilot Report 2/12/2007 toge
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Reg SHO Pilot Report 2/12/2007 incr
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Reg SHO Pilot Report 2/12/2007 day
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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 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:
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:
Page 1219 and 1220:
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 1229 and 1230: TO: File FROM: Office of Economic A
Page 1231 and 1232: All Securities (Table 1): Table 1 s
Page 1233 and 1234: Daily Fails to Deliver in All Secur
Page 1235 and 1236: Table 2 Summary Statistics on Fails
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 1247 and 1248: TO: File FROM: Office of Economic A
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
Page 1261 and 1262: 700 600 500 400 300 200 100 0 20080
Page 1263 and 1264: Fail Category Settlement Days to Cl
Page 1265 and 1266: Short Selling in Initial Public Off
Page 1267 and 1268: delay, as previously thought. Short
Page 1269 and 1270: threshold list on the first possibl
Page 1271 and 1272: Both Geczy, Musto and Reed (2002) a
Page 1273 and 1274: esponsible for the Internet bubble.
Page 1275: on periods during the tech bubble.
Page 1279 and 1280: in offer price as measured as the p
Page 1281 and 1282: ule allows short sales to execute a
Page 1283 and 1284: negative and occasionally significa
Page 1285 and 1286: SROs daily for stocks that have agg
Page 1287 and 1288: 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
Page 1293 and 1294: In focusing on the potential short
Page 1295 and 1296: During our sample period, Regulatio
Page 1297 and 1298: The perceived inability of short se
Page 1299 and 1300: References Aggarwal, Reena and Pat
Page 1301 and 1302: Houge, Todd, Tim Loughran, Gerry Su
Page 1303 and 1304: Table 2 Comparison of First Day Tra
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
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SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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