SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

PIM6888 100 Citigroup Credit Default Swap Transactions PIM6888Bearish # - / Bullish # 91 / Net Bearish # 41 PROVINZIA 101 Citigroup Credit Default Swap Transactions PROVINZIAL RHEINLAND LEBENSICHNG AGBearish # - / Bullish # 79 / Net Bearish # 56 PURSUIT 102 Citigroup Credit Default Swap Transactions PURSUITBearish # - / Bullish # 16 / Net Bearish # 110 (Net Bullish # 7) QIC:QUEE 103 Citigroup Credit Default Swap Transactions QIC:QUEENSLD INVEST CORP ACT IN ITS CAPBearish # - / Bullish # 87 / Net Bearish # 44 RBS GMP 104 Citigroup Credit Default Swap Transactions RBS GMPBearish # 39 / Bullish # 30 / Net Bearish # 36 ROYAL BA 105 Citigroup Credit Default Swap Transactions ROYAL BANK OF CANADABearish # 7 / Bullish # 3 / Net Bearish # 113 (Net Bullish # 4) SATELLITE 106 Citigroup Credit Default Swap Transactions SATELLITE CREDIT OPPORTUNITIES FUND LTD.Bearish # - / Bullish # 38 / Net Bearish # 101 (Net Bullish # 16) SCHRODE 107 Citigroup Credit Default Swap Transactions SCHRODER STERLING BROAD MKTS BOND FUNDBearish # 40 / Bullish # - / Net Bearish # 26 SOCIETE G 108 Citigroup Credit Default Swap Transactions SOCIETE GENERALE, NEW YORK BRANCHBearish # 19 / Bullish # - / Net Bearish # 6 SSSF STE 109 Citigroup Credit Default Swap Transactions SSSF STERLING BROAD MARKET BOND LIBORBearish # 46 / Bullish # - / Net Bearish # 32 STICHTING 110 Citigroup Credit Default Swap Transactions STICHTING BEDRIJFSTAKPENS VOOR DE MEDIABearish # - / Bullish # 80 / Net Bearish # 57 THE CONU 111 Citigroup Credit Default Swap Transactions THE CONUS FUNDBearish # - / Bullish # 27 / Net Bearish # 106 (Net Bullish # 11) THE ROYA 112 Citigroup Credit Default Swap Transactions THE ROYAL BANK OF SCOTLAND PLCBearish # 3 / Bullish # 12 / Net Bearish # 1 TRAXIS FU 113 Citigroup Credit Default Swap Transactions TRAXIS FUND LPBearish # 43 / Bullish # - / Net Bearish # 28 TRG INFLA 114 Citigroup Credit Default Swap Transactions TRG INFLATIONBearish # 20 / Bullish # - / Net Bearish # 7 TRICADIA 115 Citigroup Credit Default Swap Transactions TRICADIA DISTRESSED AND SPCL MTR FD LTBearish # - / Bullish # 50 / Net Bearish # 79 UBS AG 116 Citigroup Credit Default Swap Transactions UBS AGBearish # 41 / Bullish # 29 / Net Bearish # 82
Citigroup Credit Default Swap Transactions 45 - 31 Bearish # 45 / Bullish # - / Net Bearish # 31 - 25 104 Bearish # - / Bullish # 25 / Net Bearish # 104 (Net Bullish (Net Bullish # 13) 28 - 16 Bearish # 28 / Bullish # - / Net Bearish # 16 - 31 94 Bearish # - / Bullish # 31 / Net Bearish # 94 13 - 4 Bearish # 13 / Bullish # - / Net Bearish # 4 14 9 111 Bearish # 14 / Bullish # 9 / Net Bearish # 111 (Net Bullish (Net Bullish # 6) - 32 95 Bearish # - / Bullish # 32 / Net Bearish # 95 - 71 58 Bearish # - / Bullish # 71 / Net Bearish # 58 5 5 37 Bearish # 5 / Bullish # 5 / Net Bearish # 37 44 - 30 Bearish # 44 / Bullish # - / Net Bearish # 30 47 - 33 Bearish # 47 / Bullish # - / Net Bearish # 33 22 20 34 Bearish # 22 / Bullish # 20 / Net Bearish # 34 - 85 42 Bearish # - / Bullish # 85 / Net Bearish # 42 - 28 102 Bearish # - / Bullish # 28 / Net Bearish # 102 (Net Bullish (Net Bullish # 15) - 33 96 Bearish # - / Bullish # 33 / Net Bearish # 96 2 2 18 Bearish # 2 / Bullish # 2 / Net Bearish # 18 29 - 17 Bearish # 29 / Bullish # - / Net Bearish # 17 30 24 35 Bearish # 30 / Bullish # 24 / Net Bearish # 35 # 14) 16 15 103 Bearish # 16 / Bullish # 15 / Net Bearish # 103 (Net Bullis (Net Bullish # 14) 35 - 23 Bearish # 35 / Bullish # - / Net Bearish # 23 9 8 115 Bearish # 9 / Bullish # 8 / Net Bearish # 115 (Net Bullish (Net Bullish # 2) 26 - 13 Bearish # 26 / Bullish # - / Net Bearish # 13 1 1 2 Bearish # 1 / Bullish # 1 / Net Bearish # 2 36 - 24 Bearish # 36 / Bullish # - / Net Bearish # 24 42 - 27 Bearish # 42 / Bullish # - / Net Bearish # 27 34 - 22 Bearish # 34 / Bullish # - / Net Bearish # 22 27 - 14 Bearish # 27 / Bullish # - / Net Bearish # 14 33 - 21 Bearish # 33 / Bullish # - / Net Bearish # 21 - 63 65 Bearish # - / Bullish # 63 / Net Bearish # 65 15 21 12 Bearish # 15 / Bullish # 21 / Net Bearish # 12 31 40 29 Bearish # 31 / Bullish # 40 / Net Bearish # 29 23 23 15 Bearish # 23 / Bullish # 23 / Net Bearish # 15 17 - 5 Bearish # 17 / Bullish # - / Net Bearish # 5 - 22 107 Bearish # - / Bullish # 22 / Net Bearish # 107 (Net Bullish (Net Bullish # 10) 4 7 11 Bearish # 4 / Bullish # 7 / Net Bearish # 11 - 34 97 Bearish # - / Bullish # 34 / Net Bearish # 97 - 72 49 Bearish # - / Bullish # 72 / Net Bearish # 49 10 11 91 Bearish # 10 / Bullish # 11 / Net Bearish # 91 - 44 85 Bearish # - / Bullish # 44 / Net Bearish # 85 - 26 105 Bearish # - / Bullish # 26 / Net Bearish # 105 (Net Bullish (Net Bullish # 12) - 86 43 Bearish # - / Bullish # 86 / Net Bearish # 43 - 18 108 Bearish # - / Bullish # 18 / Net Bearish # 108 (Net Bullish (Net Bullish # 9) - 35 98 Bearish # - / Bullish # 35 / Net Bearish # 98 24 - 9 Bearish # 24 / Bullish # - / Net Bearish # 9 6 6 81 Bearish # 6 / Bullish # 6 / Net Bearish # 81 - 36 99 Bearish # - / Bullish # 36 / Net Bearish # 99 37 - 25 Bearish # 37 / Bullish # - / Net Bearish # 25 25 - 10 Bearish # 25 / Bullish # - / Net Bearish # 10 - 37 100 Bearish # - / Bullish # 37 / Net Bearish # 100 11 - 3 Bearish # 11 / Bullish # - / Net Bearish # 3 12 13 93 Bearish # 12 / Bullish # 13 / Net Bearish # 93 - 41 90 Bearish # - / Bullish # 41 / Net Bearish # 90 18 19 19 Bearish # 18 / Bullish # 19 / Net Bearish # 19 21 - 8 Bearish # 21 / Bullish # - / Net Bearish # 8 8 4 116 Bearish # 8 / Bullish # 4 / Net Bearish # 116 (Net Bullish (Net Bullish # 1) 32 - 20 Bearish # 32 / Bullish # - / Net Bearish # 20 38 14 112 Bearish # 38 / Bullish # 14 / Net Bearish # 112 (Net Bullis (Net Bullish # 5) - 17 109 Bearish # - / Bullish # 17 / Net Bearish # 109 (Net Bullish (Net Bullish # 8) - 10 114 Bearish # - / Bullish # 10 / Net Bearish # 114 (Net Bullish (Net Bullish # 3) - 73 50 Bearish # - / Bullish # 73 / Net Bearish # 50 - 65 61 Bearish # - / Bullish # 65 / Net Bearish # 61 - 45 86 Bearish # - / Bullish # 45 / Net Bearish # 86 - 51 78 Bearish # - / Bullish # 51 / Net Bearish # 78 - 66 62 Bearish # - / Bullish # 66 / Net Bearish # 62 - 61 67 Bearish # - / Bullish # 61 / Net Bearish # 67 - 55 73 Bearish # - / Bullish # 55 / Net Bearish # 73 - 59 69 Bearish # - / Bullish # 59 / Net Bearish # 69 - 81 45 Bearish # - / Bullish # 81 / Net Bearish # 45 - 54 75 Bearish # - / Bullish # 54 / Net Bearish # 75 - 57 71 Bearish # - / Bullish # 57 / Net Bearish # 71 - 56 74 Bearish # - / Bullish # 56 / Net Bearish # 74 - 43 88 Bearish # - / Bullish # 43 / Net Bearish # 88 - 52 76 Bearish # - / Bullish # 52 / Net Bearish # 76 - 88 38 Bearish # - / Bullish # 88 / Net Bearish # 38 - 89 39 Bearish # - / Bullish # 89 / Net Bearish # 39 - 64 66 Bearish # - / Bullish # 64 / Net Bearish # 66 - 67 63 Bearish # - / Bullish # 67 / Net Bearish # 63 - 58 72 Bearish # - / Bullish # 58 / Net Bearish # 72 - 74 51 Bearish # - / Bullish # 74 / Net Bearish # 51 - 82 46 Bearish # - / Bullish # 82 / Net Bearish # 46 - 75 52 Bearish # - / Bullish # 75 / Net Bearish # 52 - 49 80 Bearish # - / Bullish # 49 / Net Bearish # 80 - 76 53 Bearish # - / Bullish # 76 / Net Bearish # 53 - 42 89 Bearish # - / Bullish # 42 / Net Bearish # 89 - 60 70 Bearish # - / Bullish # 60 / Net Bearish # 70 - 68 64 Bearish # - / Bullish # 68 / Net Bearish # 64 - 77 54 Bearish # - / Bullish # 77 / Net Bearish # 54 - 83 47 Bearish # - / Bullish # 83 / Net Bearish # 47 - 69 59 Bearish # - / Bullish # 69 / Net Bearish # 59 - 39 92 Bearish # - / Bullish # 39 / Net Bearish # 92 - 53 77 Bearish # - / Bullish # 53 / Net Bearish # 77 - 46 87 Bearish # - / Bullish # 46 / Net Bearish # 87 - 47 83 Bearish # - / Bullish # 47 / Net Bearish # 83 - 84 48 Bearish # - / Bullish # 84 / Net Bearish # 48 - 48 84 Bearish # - / Bullish # 48 / Net Bearish # 84 - 78 55 Bearish # - / Bullish # 78 / Net Bearish # 55 - 70 60 Bearish # - / Bullish # 70 / Net Bearish # 60 - 90 40 Bearish # - / Bullish # 90 / Net Bearish # 40 - 62 68 Bearish # - / Bullish # 62 / Net Bearish # 68
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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
Page 77 and 78: SEC_OEA_FCIC_001836
Page 85 and 86: In-Threshold Run Length in Number o
Page 87 and 88: Beta Excess Return cond. on # of da
Page 93 and 94: Beta Excess Return cond. on in-thre
Page 95 and 96: Total Notional Amount (DTCC) Millio
Page 97 and 98: Summary of Citigroup Credit Default
Page 125 and 126: date _NAME_ TD_C AB_C AS_C TM_C 11/
Page 127: ALADDIN R 1 Citigroup Credit Defaul
Page 131 and 132: namegroup idname _NAME_ rangen day_
Page 133 and 134: CEDAR HILL CAP 18 bullish bull_18 1
Page 135 and 136: GOLDMAN SACHS 35 ssell ssel_35 -10,
Page 137 and 138: MERRILL LYNCH 53 bullish bull_53 5,
Page 139 and 140: PIM2136 70 ssell ssel_70 PIM2224 71
Page 141 and 142: PIM3706 88 bullish bull_88 200,000
Page 143 and 144: ROYAL BANK OF 105 ssell ssel_105 -5
Page 163 and 164: PIM6888 100 Citigroup Credit Defaul
Page 165 and 166: - 91 41 Bearish # - / Bullish # 91
Page 167 and 168: BLUE MTN CREDI 12 abuy abuy_12 -20,
Page 169 and 170: GENERAL ELECT 34 bearish bear_34 GE
Page 171 and 172: NATIONAL BANK O 56 cnet cnet_56 0 -
Page 173 and 174: PIM2679 78 sbuy sbuy_78 PIM2679 78
Page 175 and 176: 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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Total Notional Amount (DTCC) Millio
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Summary of Citigroup Credit Default
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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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Page 227 and 228:
Adjusted Close 25 20 15 10 5 0 10/1
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Page 231 and 232:
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Page 235 and 236:
Page 237 and 238:
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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Page 291 and 292:
Volume (thousands) 1 , 1 0 0 1 , 0
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Page 295 and 296:
Page 297 and 298:
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 $
Page 401 and 402:
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
Page 411 and 412:
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
Page 421 and 422:
HBB HBB HBB HBB HBB HBB HBB HBB HBB
Page 423 and 424:
HBB LBB HBB LBB HBB LBB HBB LBB HBB
Page 425 and 426:
LBB LBB LBB LBB LBB LBB
Page 427 and 428:
HBB HBB HBB HBB HBB HBB HBB HBB HBB
Page 429 and 430:
118679 140734 81539 98153 119580 10
Page 431 and 432:
549976 740793 730713 530553 633869
Page 433 and 434:
241120 221885 463089 242404 268242
Page 435 and 436:
1034773 507119 1929040 729702 21777
Page 437 and 438:
down5_8 down5_9 down5_10 down5_11 d
Page 439 and 440:
594851 477540 815219 558737 595063
Page 441 and 442:
533491 248814 375456 321906 302504
Page 443 and 444:
624651 1105941 805570 1053176 11970
Page 445 and 446:
4200 37163 300 200 7379 500 700 100
Page 447 and 448:
100 100 1501 600 621 330 4000 1200
Page 449 and 450:
100 600 500 5500 100 200 1200 3800
Page 451 and 452:
20910 36164 30643 155502 74702 1124
Page 453 and 454:
34196 19500 55548 30203 29025 49981
Page 455 and 456:
33038 9300 33512 28113 24513 31940
Page 457 and 458:
trade_12 trade_15 trade_16 trade_17
Page 459 and 460:
3259 4060 1301 3600 6100 410 3800 1
Page 461 and 462:
245 23292 29685 32235 131277 50646
Page 463 and 464:
94506 158205 426920 1103544 257455
Page 465 and 466:
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
Page 471 and 472:
MS 16 49 MS 16 50 MS 16 51 MS 16 52
Page 473 and 474:
MS 18 33 MS 18 34 MS 18 35 MS 18 36
Page 475 and 476:
MS 9 17 MS 9 18 MS 9 19 MS 9 20 MS
Page 477 and 478:
MS 11 1 MS 11 2 MS 11 3 MS 11 4 MS
Page 479 and 480:
MS 12 45 MS 12 46 MS 12 47 MS 12 48
Page 481 and 482:
MS 14 29 MS 14 30 MS 14 31 MS 14 32
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spindex__ meanp_2 minp_2 maxp_2 ran
Page 485 and 486:
41.16
Page 487 and 488:
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.
Page 551 and 552:
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
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
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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
Page 665 and 666:
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
Page 671 and 672:
Goldman Sachs 21(a) Response - Exam
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Morgan Stanley CDS Summary (Goldman
Page 675 and 676:
Morgan Stanley CDS Transactions (Go
Page 677 and 678:
Example 6: CDS (Using Morgan Stanle
Page 679 and 680:
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
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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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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
Page 793 and 794:
2013 at a redemption price per shar
Page 795 and 796:
Table of Contents ABOUT THIS PROSPE
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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
Page 806 and 807:
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
Page 848 and 849:
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
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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
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
Page 883 and 884:
Table of Contents Right to Elect Tw
Page 885 and 886:
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
Page 910 and 911:
Table of Contents (22) All of the e
Page 913 and 914:
Table of Contents Each of SAC Capit
Page 915 and 916:
Table of Contents EXPERTS The conso
Page 917 and 918:
TABLE OF CONTENTS Prospectus About
Page 919 and 920:
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
Page 979 and 980:
SAS Output 2008091734958B106 FORTRE
Page 981 and 982:
SAS Output 20080922 493267405KEYCOR
Page 983 and 984:
SAS Output 20080918 902973882US Ban
Page 985 and 986:
SAS Output 20080918 929251106W HOLD
Page 987 and 988:
SAS Output 20080925 939322103WASHIN
Page 989 and 990:
Fallon, Zachary From: McCormick, Ti
Page 991 and 992:
arrived, they might borrow real sha
Page 993 and 994:
friendly relations with its short-s
Page 995 and 996:
To: Jim Overdahl From: Tim McCormic
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Page 999 and 1000:
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Page 1003 and 1004:
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• For exchange-listed issues, the
Page 1009 and 1010:
Table 2 Average Daily Number of Sec
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Table 4 Summary Statistics for Secu
Page 1013 and 1014:
Reg SHO Pilot Report DRAFT 9/14/200
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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:
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
Page 1115 and 1116:
2 1.5 1 0.5 0 Figure 7 Fails to Del
Page 1117 and 1118:
Fail Category Settlement Days to Cl
Page 1119 and 1120:
Reg SHO Pilot Report 2/12/2007 Tabl
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Reg SHO Pilot Report 2/12/2007 In J
Page 1123 and 1124:
Reg SHO Pilot Report 2/12/2007 grou
Page 1125 and 1126:
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
Page 1135 and 1136:
Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
Page 1139 and 1140:
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
Page 1147 and 1148:
Reg SHO Pilot Report 2/12/2007 R =
Page 1149 and 1150:
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
Page 1163 and 1164:
Reg SHO Pilot Report 2/12/2007 day
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Reg SHO Pilot Report 2/12/2007 mani
Page 1167 and 1168:
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
Page 1207 and 1208:
TO: File FROM: Office of Economic A
Page 1209 and 1210:
• 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:
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:
Page 1237 and 1238:
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:
Page 1249 and 1250:
• The average daily number of fai
Page 1251 and 1252:
Daily Number of Threshold List Secu
Page 1253 and 1254:
Page 1255 and 1256:
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 and 1276:
on periods during the tech bubble.
Page 1277 and 1278:
trading although the levels are qui
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 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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