SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

Figure 4 Short Selling as a Percent of Volume The sample includes 388 IPOs issued between January 1, 2005 and December 31, 2006 excluding closedend funds. Short sales are from Regulation SHO Pilot data and compiled from the following exchanges and SROs: Amex, Arcaex, Boston, Chicago, NASD, Nasdaq, National, NYSE and Phlx. Exchange listing and daily volume (in shares) are from CRSP. Volume is the daily number of shares traded from CRSP scaled by the number of shares offered. Short Sales/Volume 30% 25% 20% 15% 10% 5% 0% All IPOs Nasdaq IPOs Nyse IPOs Volume/Offer 1 2 3 4 5 6 7 8 9 101112131415161718192021222324252627 Day 49 70% 60% 50% 40% 30% 20% 10% 0% Volume/Shares Offered SEC_OEA_FCIC_002500
Figure 5 Short Selling and Failures to Deliver The sample includes 388 IPOs issued between January 1, 2005 and December 31, 2006 excluding closedend funds. Short sales are from Regulation SHO Pilot data and compiled from the following exchanges and SROs: Amex, Arcaex, Boston, Chicago, NASD, Nasdaq, National, NYSE and Phlx. Daily fails to deliver for IPOs are from NSCC’s Continuous Net Settlement which includes stocks with aggregate fails to deliver of at least 10,000 shares. Fails to deliver on T+N are shown three trading days prior (N-3). Short sales and fails to deliver are a percent of shares offered. Shares offered are from SDC and excludes the exercise of the overallotment option. Fails and Short Sales As Percent of Shares Offered 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Fails to Deliver Short Sales 0 1 2 3 4 5 6 7 8 91011121314151617181920212223242526 Trading Day 50 SEC_OEA_FCIC_002501
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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
Page 433 and 434:
241120 221885 463089 242404 268242
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1034773 507119 1929040 729702 21777
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down5_8 down5_9 down5_10 down5_11 d
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594851 477540 815219 558737 595063
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533491 248814 375456 321906 302504
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624651 1105941 805570 1053176 11970
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4200 37163 300 200 7379 500 700 100
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100 100 1501 600 621 330 4000 1200
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100 600 500 5500 100 200 1200 3800
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20910 36164 30643 155502 74702 1124
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34196 19500 55548 30203 29025 49981
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33038 9300 33512 28113 24513 31940
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trade_12 trade_15 trade_16 trade_17
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3259 4060 1301 3600 6100 410 3800 1
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245 23292 29685 32235 131277 50646
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94506 158205 426920 1103544 257455
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16200 110995 231657 425131 597896 4
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37430 109134 110898 474335 769341 7
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53417 181823 546172 342284 49297 19
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MS 16 49 MS 16 50 MS 16 51 MS 16 52
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MS 18 33 MS 18 34 MS 18 35 MS 18 36
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MS 9 17 MS 9 18 MS 9 19 MS 9 20 MS
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MS 11 1 MS 11 2 MS 11 3 MS 11 4 MS
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MS 12 45 MS 12 46 MS 12 47 MS 12 48
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MS 14 29 MS 14 30 MS 14 31 MS 14 32
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spindex__ meanp_2 minp_2 maxp_2 ran
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41.16
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41.46327 41.45829 41.46125 41.46493
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42.14067 42.1 42.23 0.13 0 35200 41
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42.04836 42 42.1 0.1 0 24500 41.392
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41.39925 41.39 41.42 0.03 0 24442 4
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40.86447 40.82 40.88 0.06 0 28120 4
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41.3 41.3 0 13055 0 41.2573 41.2701
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41.052 41.06055 41.04888 41.1732 41
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41.18338 41.19231 41.19168 41.19479
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41.73 41.82 0.09 0 22423 41.24243 4
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41.49 41.54 0.05 0 13778 40.99331 4
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41.45 41.48 0.03 0 15300 41.02212 4
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angep_4 tradebig_4 tradesmall_spind
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42.18422 42.18422 42.18272 0 0 100
Page 513 and 514:
41.97166 41.96509 41.98361 41.98375
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0.1289 12200 82640 41.8887 40.12155
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0.09 0 21945 41.41648 40.53181 40.4
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0.08 0 51100 41.11773 41.09831 41.0
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0.1 0 43500 41.07753 40.66593 40.64
Page 523 and 524:
40.35161 41.72151 40.34821 41.72793
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100 40.23214 44.32539 44.3 44.51 0.
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
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meanp_9 minp_9 maxp_9 rangep_9 trad
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43.18457 43.18117 43.19477 43.18627
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43.36903 43.37727 39.7425 39.74 43.
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42.95786 42.87 43 0.13 0 70242 43.1
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42.17411 42.14 42.24 0.1 0 90289 42
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.
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39.94 0.13 0 2192 40.67039 35.91425
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38.32 0.14 0 111093 40.37693 37.312
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39.02 0.08 0 34460 40.69035 37.5625
Page 559 and 560:
40.07 0.05 0 21911 40.88056 38.7236
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tradebig_11tradesmall_spindex_11mea
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39.07 39.07 39.07 0 0 100 39.05293
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0 1500 38.43361 0 500 38.39862 38.2
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0 208240 38.53788 37.8859 37.84 37.
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0 119996 38.95339 39.13122 39.06 39
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0 44256 38.79547 37.98676 37.94 38.
Page 573 and 574:
0 110077 39.01476 38.22831 38.21 38
Page 575 and 576:
38.70023 37.3634 38.72405 37.23349
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38.55764 34.03986 33.9 34.5 0.6 0 8
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38.32867 32.99608 32.99 33.01 0.02
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38.63587 34.58665 34.56 34.66 0.1 4
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38.56625 33.82328 33.76 33.88 0.12
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38.54373 32.38956 32.27 32.5 0.23 0
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minp_16 maxp_16 rangep_16 tradebig_
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32.13448 31.78 31.78 0 0 200 32.134
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27.86 28.24 0.38 0 60290 31.67596 2
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28.025 28.75 0.725 59400 618974 31.
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26.42 26.78 0.36 0 182872 31.98663
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27.83 27.995 0.165 0 85468 32.13794
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28.42 28.8 0.38 40100 308589 32.558
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0.38 0 7875 28.54326 22.66857 22.58
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0.4 0 37836 28.72396 22.84878 22.55
Page 605 and 606:
0.46 23416 91786 28.11341 20.14171
Page 607 and 608:
0.29 0 408554 27.96835 19.59765 19.
Page 609 and 610:
0.225 0 494911 27.84082 15.32434 14
Page 611 and 612:
0.56 145997 1370219 27.91591 17.442
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tradesmall_spindex_18meanp_19 minp_
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2900 21.79807 22.57521 7500 22.7348
Page 617 and 618:
59616 21.91836 32.85777 32.69 33 0.
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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
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1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
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1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1:0
Page 637 and 638:
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Page 639:
verticle close_1 close_2 close_3 cl
Page 643 and 644:
40.83 41.3 42.17 40.34 41.36 43.27
Page 645 and 646:
50 51 52 53 54 55 56 57 58 59 60 61
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154 155 156 157 158 159 160 161 162
Page 649 and 650:
258 259 260 261 262 263 264 265 266
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362 363 364 365 366 367 368 369 370
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466 467 468 469 470 471 472 473 474
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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
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Morgan Stanley CDS Transactions (Go
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Example 6: CDS (Using Morgan Stanle
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Goldman Sachs Example 8a: Assent St
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Goldman Sachs Example 8c: Assent St
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Summary File Common Stock Transacti
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Confidential 45 Wellington Capital
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OEA DRAFT - INTERNAL Therefore, exa
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Figure 2 Percent of Shares Outstand
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Merrill Lynch September Activity Ja
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Merrill Lynch Stock Price Summary P
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch CDS Prices of New Tra
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Merrill Lynch CDS Transactions Top
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Merrill Lynch 21(a) Response - Exam
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Page 715 and 716:
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Merrill Lynch Example 7a: Assent St
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Merrill Lynch Example 7c: Assent St
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Morgan Stanley Stock Price Summary
Page 725 and 726:
Morgan Stanley Intra-Day Stock Pric
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Morgan Stanley CDS Summary SEC_OEA_
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Morgan Stanley 21(a) Response - Exa
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Page 739 and 740:
Morgan Stanley September Activity J
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Page 743 and 744:
Morgan Stanley Stock Price Summary
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Page 747 and 748:
Page 749 and 750:
Morgan Stanley CDS Prices of New Tr
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Morgan Stanley CDS Transactions Top
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Morgan Stanley Example 1b: CDS Cita
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Morgan Stanley Example 2b: CDS Paul
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Morgan Stanley Example 3b: CDS Deut
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Morgan Stanley Example 4b: CDS Merr
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Morgan Stanley Example 5b: Assent S
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Washington Mutual September Activit
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Page 769 and 770:
Washington Mutual Stock Price Summa
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Washington Mutual Intra-Day Stock P
Page 773 and 774:
Washington Mutual Intra-Day Stock P
Page 775 and 776:
Washington Mutual CDS Prices of New
Page 777 and 778:
Washington Mutual CDS Transactions
Page 779 and 780:
Washington Mutual 21(a) Response -
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Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
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Form 424B2 NATIONAL CITY CORP - ncc
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2013 at a redemption price per shar
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Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
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Table of Contents Dividend Stopper
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S-4
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Table of Contents RISK FACTORS An i
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Table of Contents decline as a resu
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Table of Contents USE OF PROCEEDS W
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Table of Contents upon the conversi
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Table of Contents number of shares
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Table of Contents not to issue such
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Table of Contents adjustments to th
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Table of Contents to authorize, or
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Table of Contents exercised by the
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Table of Contents DIRECT REGISTRATI
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Table of Contents of a partnership
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Table of Contents in an amount equa
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Table of Contents Information Repor
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Table of Contents Plan, or any pers
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Table of Contents Shares of Series
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Table of Contents Maximum Number of
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Table of Contents (1) The “Maximu
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Table of Contents natural persons t
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Table of Contents Because the selli
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Table of Contents PLAN OF DISTRIBUT
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Table of Contents PROSPECTUS Senior
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Table of Contents ABOUT THIS PROSPE
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Table of Contents No dealer, salesp
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Washington, DC 20549-9040 (202) 551
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Table of Contents CALCULATION OF RE
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TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
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Table of Contents Stock will automa
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Table of Contents Anti-Dilution Adj
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Table of Contents Voting Rights Ran
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Table of Contents The market price
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Table of Contents The Series G Pref
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Table of Contents DESCRIPTION OF NA
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Table of Contents Certificate of De
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Table of Contents Where, OS 0 = the
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Table of Contents with a tender or
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Table of Contents Right to Elect Tw
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Table of Contents participating, op
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Table of Contents based on the high
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Table of Contents CERTAIN U.S. FEDE
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Table of Contents Stock or our comm
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Table of Contents other requirement
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Table of Contents CERTAIN ERISA CON
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Table of Contents SELLING STOCKHOLD
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(12) Aristeia Capital LLC is the in
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Table of Contents (22) All of the e
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Table of Contents Each of SAC Capit
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Table of Contents EXPERTS The conso
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TABLE OF CONTENTS Prospectus About
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Table of Contents You may request a
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Fallon, Zachary From: Krawitz, Jaco
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Confidential # Producer How To Use
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Price $30.00 $25.00 $20.00 $15.00 $
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Price $20.00 $18.00 $16.00 $14.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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dayn hour _NAME_ AIG_mean AIG_minp
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10 11 COL1 18.24242 17.62 18.9 1.28
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18 19 COL1 2.697085 2.58 2.8 0.22 1
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21.08166 159.9686 159.95 160.03 0.0
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20.65615 134.4959 130.43 145.89 15.
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GS_close LEH_meanLEH_minp LEH_maxpL
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7.766267 7.44 8.2 0.76 1864755 2700
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142.51 129.8
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24.59935 24.21 24.9 0.69 0 33850 27
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18.62415 17.26 19.45 2.19 1793447 3
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MS_minp MS_maxp MS_rangepMS_tradeb
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38.08 39.04 0.96 342900 3791667 39.
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22.81 25.07 2.26 0 176151 39.31129
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4.0454 26650 4.02 0.12 5/18/1927 16
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2.17 0.18 15724864 47826532 3.96374
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MER_shortGS_shorta GS_shortp AIG_sh
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23.01972 855059 156.7115 5143237 18
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22.71091 19061 114.533 600 2.75 127
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2200 6000 100 7200 26800 3.919888 3
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23916408 2.052039 81053295 38584977
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Fallon, Zachary From: Edwards, Amy
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2118 Wilshire Boulevard, #596 Santa
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SAS Output 20080925 60505724BANK OF
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SAS Output 20080916 261018105DOWNEY
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SAS Output 2008091734958B106 FORTRE
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SAS Output 20080922 493267405KEYCOR
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SAS Output 20080918 902973882US Ban
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SAS Output 20080918 929251106W HOLD
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SAS Output 20080925 939322103WASHIN
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Fallon, Zachary From: McCormick, Ti
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arrived, they might borrow real sha
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friendly relations with its short-s
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To: Jim Overdahl From: Tim McCormic
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• For exchange-listed issues, the
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Table 2 Average Daily Number of Sec
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Table 4 Summary Statistics for Secu
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Reg SHO Pilot Report DRAFT 9/14/200
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permanent the relevant provisions o
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• The average daily dollar value
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Table 1 Summary Statistics on Fails
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2.5 2 1.5 1 0.5 0 20040401 20040825
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700 600 500 400 300 200 100 0 20050
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3 2.5 2 1.5 1 0.5 0 Figure 5 Fails
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2 1.5 1 0.5 0 Figure 7 Fails to Del
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Fail Category Settlement Days to Cl
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Reg SHO Pilot Report 2/12/2007 Tabl
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Reg SHO Pilot Report 2/12/2007 In J
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Reg SHO Pilot Report 2/12/2007 grou
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Reg SHO Pilot Report 2/12/2007 pilo
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Reg SHO Pilot Report 2/12/2007 Thir
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Reg SHO Pilot Report 2/12/2007 II H
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Reg SHO Pilot Report 2/12/2007 In 1
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Reg SHO Pilot Report 2/12/2007 With
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Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
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Reg SHO Pilot Report 2/12/2007 rule
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Reg SHO Pilot Report 2/12/2007 Simi
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Reg SHO Pilot Report 2/12/2007 The
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Reg SHO Pilot Report 2/12/2007 V Me
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Reg SHO Pilot Report 2/12/2007 R =
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Reg SHO Pilot Report 2/12/2007 dist
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Reg SHO Pilot Report 2/12/2007 acti
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Reg SHO Pilot Report 2/12/2007 Stoc
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Reg SHO Pilot Report 2/12/2007 side
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Reg SHO Pilot Report 2/12/2007 Stoc
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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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provides for a 35-settlement day ph
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• The average daily number of fai
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2.5 2 1.5 1 0.5 0 20040401 20040825
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700 600 500 400 300 200 100 0 20050
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2.5 2 1.5 1 0.5 0 20080602 20080616
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1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
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All Securities (Table 1): Table 1 s
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Daily Fails to Deliver in All Secur
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700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
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Number of Threshold Securities 700
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• The average daily number of fai
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Daily Number of Threshold List Secu
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700 600 500 400 300 200 100 0 0501
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1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
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700 600 500 400 300 200 100 0 20080
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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: Table 4 Summary Statistics on Fails
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: Figure 3 Short Selling, Returns and
show all

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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