SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

- 91 41 Bearish # - / Bullish # 91 / Net Bearish # 41 - 79 56 Bearish # - / Bullish # 79 / Net Bearish # 56 - 16 110 Bearish # - / Bullish # 16 / Net Bearish # 110 (Net Bullish - 87 44 Bearish # - / Bullish # 87 / Net Bearish # 44 39 30 36 Bearish # 39 / Bullish # 30 / Net Bearish # 36 7 3 113 Bearish # 7 / Bullish # 3 / Net Bearish # 113 (Net Bullish - 38 101 Bearish # - / Bullish # 38 / Net Bearish # 101 (Net Bullish 40 - 26 Bearish # 40 / Bullish # - / Net Bearish # 26 19 - 6 Bearish # 19 / Bullish # - / Net Bearish # 6 46 - 32 Bearish # 46 / Bullish # - / Net Bearish # 32 - 80 57 Bearish # - / Bullish # 80 / Net Bearish # 57 - 27 106 Bearish # - / Bullish # 27 / Net Bearish # 106 (Net Bullish 3 12 1 Bearish # 3 / Bullish # 12 / Net Bearish # 1 43 - 28 Bearish # 43 / Bullish # - / Net Bearish # 28 20 - 7 Bearish # 20 / Bullish # - / Net Bearish # 7 - 50 79 Bearish # - / Bullish # 50 / Net Bearish # 79 41 29 82 Bearish # 41 / Bullish # 29 / Net Bearish # 82 (Net Bullish # 7) (Net Bullish # 4) (Net Bullish # 16) (Net Bullish # 11)
namegroup idname _NAME_ rangen day_17 day_18 day_19 day_20 day_21 ALADDIN RELATIV 1 abuy abuy_1 -3,000,000 ALADDIN RELATIV 1 asell asel_1 ALADDIN RELATIV 1 bearish bear_1 -3,000,000 ALADDIN RELATIV 1 bullish bull_1 ALADDIN RELATIV 1 cnet cnet_1 0 0 0 0 -3,000,000 ALADDIN RELATIV 1 netbearish netb_1 -3,000,000 ALADDIN RELATIV 1 sbuy sbuy_1 ALADDIN RELATIV 1 ssell ssel_1 AURELIUS CAPITA 2 abuy abuy_2 AURELIUS CAPITA 2 asell asel_2 AURELIUS CAPITA 2 bearish bear_2 AURELIUS CAPITA 2 bullish bull_2 10,000,000 AURELIUS CAPITA 2 cnet cnet_2 0 0 10,000,000 10,000,000 10,000,000 AURELIUS CAPITA 2 netbearish netb_2 10,000,000 AURELIUS CAPITA 2 sbuy sbuy_2 10,000,000 AURELIUS CAPITA 2 ssell ssel_2 AUTONOMY MAST 3 abuy abuy_3 -10,000,000 AUTONOMY MAST 3 asell asel_3 AUTONOMY MAST 3 bearish bear_3 -10,000,000 AUTONOMY MAST 3 bullish bull_3 AUTONOMY MAST 3 cnet cnet_3 0 0 0 0 -10,000,000 AUTONOMY MAST 3 netbearish netb_3 -10,000,000 AUTONOMY MAST 3 sbuy sbuy_3 AUTONOMY MAST 3 ssell ssel_3 BANCA IMI S.P.A 4 abuy abuy_4 BANCA IMI S.P.A 4 asell asel_4 BANCA IMI S.P.A 4 bearish bear_4 BANCA IMI S.P.A 4 bullish bull_4 5,000,000 BANCA IMI S.P.A 4 cnet cnet_4 0 0 0 5,000,000 5,000,000 BANCA IMI S.P.A 4 netbearish netb_4 5,000,000 BANCA IMI S.P.A 4 sbuy sbuy_4 5,000,000 BANCA IMI S.P.A 4 ssell ssel_4 BANCO BILBAO V 5 abuy abuy_5 -30,000,000 -10,000,000 BANCO BILBAO V 5 asell asel_5 BANCO BILBAO V 5 bearish bear_5 -30,000,000 -10,000,000 BANCO BILBAO V 5 bullish bull_5 BANCO BILBAO V 5 cnet cnet_5 0 0 -30,000,000 -40,000,000 -40,000,000 BANCO BILBAO V 5 netbearish netb_5 -30,000,000 -10,000,000 BANCO BILBAO V 5 sbuy sbuy_5 BANCO BILBAO V 5 ssell ssel_5 BANK OF AMERIC 6 abuy abuy_6 -7,600,000 -20,700,000 BANK OF AMERIC 6 asell asel_6 5,000,000 15,000,000 6,000,000 45,000,000 BANK OF AMERIC 6 bearish bear_6 -500,000 -12,600,000 -20,700,000 BANK OF AMERIC 6 bullish bull_6 5,000,000 15,000,000 6,000,000 45,000,000 BANK OF AMERIC 6 cnet cnet_6 0 4,500,000 6,900,000 12,900,000 37,200,000 BANK OF AMERIC 6 netbearish netb_6 4,500,000 2,400,000 6,000,000 24,300,000 BANK OF AMERIC 6 sbuy sbuy_6 BANK OF AMERIC 6 ssell ssel_6 -500,000 -5,000,000 BANK OF NOVA S 7 abuy abuy_7 BANK OF NOVA S 7 asell asel_7 5,000,000 BANK OF NOVA S 7 bearish bear_7 BANK OF NOVA S 7 bullish bull_7 5,000,000 BANK OF NOVA S 7 cnet cnet_7 0 0 0 0 5,000,000 BANK OF NOVA S 7 netbearish netb_7 5,000,000 BANK OF NOVA S 7 sbuy sbuy_7 BANK OF NOVA S 7 ssell ssel_7 BARCELONA INKA 8 abuy abuy_8 BARCELONA INKA 8 asell asel_8 350,000 BARCELONA INKA 8 bearish bear_8 BARCELONA INKA 8 bullish bull_8 350,000 BARCELONA INKA 8 cnet cnet_8 0 0 0 350,000 350,000 BARCELONA INKA 8 netbearish netb_8 350,000 BARCELONA INKA 8 sbuy sbuy_8 BARCELONA INKA 8 ssell ssel_8 BARCLAYS BANK 9 abuy abuy_9 -25,000,000 -10,000,000 -74,200,000 -46,879,650 BARCLAYS BANK 9 asell asel_9 15,000,000 15,000,000 40,000,000 53,262,500 67,900,000 BARCLAYS BANK 9 bearish bear_9 -25,000,000 -20,000,000 -20,000,000 -74,200,000 -56,879,650 BARCLAYS BANK 9 bullish bull_9 15,000,000 15,000,000 40,000,000 58,262,500 67,900,000 BARCLAYS BANK 9 cnet cnet_9 -10,000,000 -15,000,000 5,000,000 -10,937,500 82,850
Page 1 and 2:
TO: Distribution List DRAFT MEMORAN
Page 3 and 4:
DRAFT on short selling, particularl
Page 5 and 6:
Price pressure DRAFT Several empiri
Page 7 and 8:
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
Page 15 and 16:
DRAFT National Association of Real
Page 17 and 18:
To: Chairman Christopher Cox Throug
Page 19 and 20:
In our analyses, (described in furt
Page 21 and 22:
4. 0< ri 100 bp where bp is basis p
Page 23 and 24:
We also found that changes in the p
Page 25 and 26:
- If the order was submitted at the
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ates were 56%. This asymmetry holds
Page 29 and 30:
Table 2 - Minimum Shortable Price(M
Page 31 and 32:
Table 3 Minimum Shortable Price(MSP
Page 33 and 34:
Table 4 - Minimum Shortable Price(M
Page 35 and 36:
Table 5 Minimum Shortable Price(MSP
Page 37 and 38:
Table 5 (cont’d) Minimum Shortabl
Page 39 and 40:
Table 6 (Cont’d) Minimum Shortabl
Page 41 and 42:
Table 7-A Stocks: Three sampled sto
Page 43 and 44:
OFFICE OF ECONOMIC ANALYSIS DRAFT M
Page 45 and 46:
Historical Context To aid in evalua
Page 47 and 48:
Market Volatility Forecast The grap
Page 49 and 50:
Root Mean Squared Return 0.006 0.00
Page 51 and 52:
Abnormal End-of-Day Volatility In o
Page 53 and 54:
To further investigate historical p
Page 55 and 56:
1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0
Page 57 and 58:
Appendix 2: Open-To-Close vs. Overn
Page 59 and 60:
Appendix 3: Extreme Days The analys
Page 61 and 62:
Index (15:20 = 1) 1.01 1 0.99 0.98
Page 63 and 64:
810 800 790 780 770 760 750 740 Fig
Page 65 and 66:
Have a great week end. Christophe 2
Page 67 and 68:
Smith, Kathrin From: Bisiere, Chris
Page 69 and 70:
SEC_OEA_FCIC_001828
Page 71 and 72:
SEC_OEA_FCIC_001830
Page 73 and 74:
SEC_OEA_FCIC_001832
Page 75 and 76:
Smith, Kathrin From: Bisiere, Chris
Page 77 and 78:
SEC_OEA_FCIC_001836
Page 79 and 80: SEC_OEA_FCIC_001838
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 and 128: ALADDIN R 1 Citigroup Credit Defaul
Page 129: Citigroup Credit Default Swap Trans
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
Page 179 and 180: Price $15.00 $12.50 $10.00 $7.50 $5
Page 181 and 182:
21 18 COL1 3.807082 3.54 4.04 0.5 3
Page 183 and 184:
Total Notional Amount (DTCC) Millio
Page 185 and 186:
Summary of Citigroup Credit Default
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Date Open High Low Close Volume Adj
Page 205 and 206:
date2 _NAME_2 no_NoPay_C fi_NoPay_C
Page 207 and 208:
PIM6888 100 Citigroup Credit Defaul
Page 209 and 210:
- 91 41 Bearish # - / Bullish # 91
Page 211 and 212:
BLACK DIAMOND OFFSHORE, LTD 11 abuy
Page 213 and 214:
FORE ERISA FUND, LTD. 31 bearish be
Page 215 and 216:
MARATHON 51 cnet cnet_51 0 0 -45,00
Page 217 and 218:
PIM2224 71 sbuy sbuy_71 1,000,000 P
Page 219 and 220:
PIM4807 92 abuy abuy_92 PIM4807 92
Page 221 and 222:
THE ROYAL BANK OF SCOTLAND PLC 112
Page 223 and 224:
11/18/08 -17000000 10000000 -7,000,
Page 225 and 226:
Page 227 and 228:
Adjusted Close 25 20 15 10 5 0 10/1
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
BBVA DerivServ SUBMITTING_PARTY SUB
Page 239 and 240:
BUYER_NAME SELLER_ID SELLER_NAME TR
Page 241 and 242:
SUBMIT_DATE SUBMIT_TIME TRANSACTION
Page 243 and 244:
NOTIONAL_AMOUNT NOTIONAL_CURRENCY A
Page 245 and 246:
POST_TRADE_PAYMENT_DATE POST_TRADE_
Page 247 and 248:
PERIOD_MULTIPLIER PAYMENT_FREQUENCY
Page 249 and 250:
INITIAL_CURRENCY RESTRUCTING_INDICA
Page 251 and 252:
MATRIX_TYPE PUBLICATION_DATE 01/01/
Page 253 and 254:
MATRIX_AGREEMENT_DATE ASSIGNMENT_RO
Page 255 and 256:
Page 257 and 258:
Page 259 and 260:
Page 261 and 262:
Page 263 and 264:
Page 265 and 266:
Page 267 and 268:
Page 269 and 270:
date _NAME_ TD_C AB_C AS_C TM_C 11/
Page 271 and 272:
ALADDIN R 1 Citigroup Credit Defaul
Page 273 and 274:
Citigroup Credit Default Swap Trans
Page 275 and 276:
namegroup idname _NAME_ rangen day_
Page 277 and 278:
CREDIT SUISSE INTERNATIONAL 21 abuy
Page 279 and 280:
INTERN KAPIT MBH (PRV-C) 41 bearish
Page 281 and 282:
PIM1356 61 cnet cnet_61 500,000 500
Page 283 and 284:
PIM2755 81 sbuy sbuy_81 300,000 PIM
Page 285 and 286:
PURSUIT 102 abuy abuy_102 PURSUIT 1
Page 287 and 288:
BNP Paribas Securities Corp. Top No
Page 289 and 290:
Page 291 and 292:
Volume (thousands) 1 , 1 0 0 1 , 0
Page 293 and 294:
Page 295 and 296:
Page 297 and 298:
Volume (thousands) Price and Volume
Page 299 and 300:
Volume (thousands) Price and Volume
Page 301 and 302:
Page 303 and 304:
Page 305 and 306:
Volume (thousands) 3 0 2 0 1 0 0 Pr
Page 307 and 308:
security on each calendar day of th
Page 309 and 310:
10. Percentage of short positions c
Page 311 and 312:
selling. The purple bar indicates t
Page 313 and 314:
Chart 1 Form SH Daily Volume Compar
Page 315 and 316:
Form SH Reported Short Volume for C
Page 317 and 318:
Form SH Data Quality Check of Volum
Page 319 and 320:
Form SH Summary of Securities by CR
Page 321 and 322:
# of Securities (3,989 Total) 1,600
Page 323 and 324:
# Security - Days (3,899 Total) 600
Page 325 and 326:
Form SH Reported Data Compared to O
Page 327 and 328:
# Daily Positions 300,000 250,000 2
Page 329 and 330:
# Daily Volumes 45,000 40,000 35,00
Page 331 and 332:
Securities Reported by Filers 30,00
Page 333 and 334:
Dollar Value Sold Short ($ Millions
Page 335 and 336:
# of Security Days with Some Report
Page 337 and 338:
# of Security Days with Significant
Page 339 and 340:
Price $0.20 $0.19 $0.18 $0.17 $0.16
Page 341 and 342:
Price $3.00 $2.50 $2.00 $1.50 $1.00
Page 343 and 344:
Price $17.50 $17.00 $16.50 $16.00 $
Page 345 and 346:
Price $50.00 $45.00 $40.00 $35.00 $
Page 347 and 348:
Price $2.40 $2.35 $2.30 $2.25 $2.20
Page 349 and 350:
Price $16.00 $14.00 $12.00 $10.00 $
Page 351 and 352:
dayn trade_date COMNAM PERMNO SHRCD
Page 353 and 354:
14 14-Nov-08 HONEYWE 10145 11 20.16
Page 355 and 356:
14 14-Nov-08 STURM RU 73219 11 0.00
Page 357 and 358:
14 14-Nov-08 G A T X CO 12036 11 0.
Page 359 and 360:
14 14-Nov-08 MAGUIRE 89768 18 35.07
Page 361 and 362:
14 14-Nov-08 EMERITUS 82638 11 0.32
Page 363 and 364:
14 14-Nov-08 GRAY TEL 83989 11 76.5
Page 365 and 366:
14 14-Nov-08 CYTEC IND 80079 11 1.5
Page 367 and 368:
14 14-Nov-08 TEXTAINE 92379 12 1.02
Page 369 and 370:
14 14-Nov-08 CONSOL E 86799 11 3.04
Page 371 and 372:
28 ######## DORAL FIN 12169 11 0.00
Page 373 and 374:
volp_b _TYPE_ _FREQ_ countvolp volp
Page 375 and 376:
shortpct ndays ndays_downdays_flat
Page 377 and 378:
ndays_nex ndays_nex COMNAM 1 1 RITC
Page 379 and 380:
PERMNO trade_date sdevv vol_crsp vo
Page 381 and 382:
trade_date _NAME_ PRC_1 prc_down_ p
Page 383 and 384:
vol_rest_7 PRC_10 prc_down_ prc_up_
Page 385 and 386:
TY ENTERPRISES INC Y CO E BRANDS IN
Page 387 and 388:
17 0 191 191 17 18 0 154 154 18 19
Page 389 and 390:
nfilers_hist count low high lab1 _T
Page 391 and 392:
date day_week count count_vol count
Page 393 and 394:
Price $46.00 $45.00 $44.00 $43.00 $
Page 395 and 396:
Price $46.00 $45.00 $44.00 $43.00 $
Page 397 and 398:
Price $46.00 $45.00 $44.00 $43.00 $
Page 399 and 400:
Price $46.00 $45.00 $44.00 $43.00 $
Page 401 and 402:
Price $40.00 $35.00 $30.00 $25.00 $
Page 403 and 404:
Price $40.00 $35.00 $30.00 $25.00 $
Page 405 and 406:
Price $40.00 $35.00 $30.00 $25.00 $
Page 407 and 408:
Symbol hour minute sort trend5_2 tr
Page 409 and 410:
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
Page 413 and 414:
MS 10 11 1 MS 10 12 1 MS 10 13 1 MS
Page 415 and 416:
MS 11 55 1 MS 11 56 1 MS 11 57 1 MS
Page 417 and 418:
MS 13 39 1 MS 13 40 1 MS 13 41 1 MS
Page 419 and 420:
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
Page 483 and 484:
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
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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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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Page 901:
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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 $
Page 929 and 930:
Price $50.00 $45.00 $40.00 $35.00 $
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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
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MS_minp MS_maxp MS_rangepMS_tradeb
Page 953 and 954:
38.08 39.04 0.96 342900 3791667 39.
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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
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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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Page 1109 and 1110:
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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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
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Page 1213 and 1214:
provides for a 35-settlement day ph
Page 1215 and 1216:
• The average daily number of fai
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Page 1219 and 1220:
Page 1221 and 1222:
2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1223 and 1224:
700 600 500 400 300 200 100 0 20050
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2.5 2 1.5 1 0.5 0 20080602 20080616
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1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
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All Securities (Table 1): Table 1 s
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Daily Fails to Deliver in All Secur
Page 1235 and 1236:
Page 1237 and 1238:
Page 1239 and 1240:
700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
Page 1245 and 1246:
Number of Threshold Securities 700
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Page 1249 and 1250:
• The average daily number of fai
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Daily Number of Threshold List Secu
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Page 1255 and 1256:
Page 1257 and 1258:
700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
Page 1263 and 1264:
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
Page 1271 and 1272:
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
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
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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
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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
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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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