SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

Internal Memo on Form SH Office of Economic Analysis May 29, 2009 Form SH provides data regarding large short sales and short positions for large institutional investment managers. We have analyzed the data to identify instances of behavior that might signal potential manipulation and insider trading. Although the data is suggestive of potential violations, there may be legitimate reasons for the behaviors identified. In addition, for a given filer we cannot differentiate between trades by proprietary funds, through its advisor services, or on behalf of clients. 1. Background on the Rule 1. Who files Form SH? Certain institutional investment managers that exercise investment discretion with respect to accounts holding 13(f) securities that have an aggregate fair market value of at least $100,000,000. 1 2. How often do they file? The form is filed weekly, reflecting daily activity. 3. What is disclosed? With respect to each applicable section 13(f) security, the Form SH filing must reflect the number of securities sold short during the day, as well as the start of day short position and end of day short position, for that 1 Note that the aggregate fair market value of at least $100,000,000 refers to the aggregate long position. Privileged and Confidential – DRAFT DOCUMENT For Internal SEC Discussion Purposes Only Page 1 SEC_OEA_FCIC_001873
security on each calendar day of the week, with a few exceptions, most notably that no filing is required unless the value of the short sale exceeds $10,000,000. 2 2. Motivation for the Rule 4. The interim final temporary rule was motivated by a concern that “some persons may manipulate the stock of issuers that have become temporarily weakened by current market conditions.” 3 In particular, the rule notes that short selling may exacerbate “unnecessary or artificial downward price movements.” 4 5. One of the anticipated benefits of the rule is that “the Form SH disclosure will enable staff in our Office of Economic Analysis [“OEA”] and Office of Compliance, Inspections, and Examinations to analyze short selling patterns and use the data along with other information to study the impact of short selling on the market in times of financial crisis.” 5 6. In particular, prior to the adoption of the rule, OEA staff had indicated that the data from Form SH could be used to provide: Basic information regarding the identities of short sellers. This data allows us to answer, at least in part, the question, “Who is short selling this security?” 6 2 No Form SH filing is required when no short sales occurred during the week, or when all short sales and short positions are below the following thresholds: (a) The short sales and short positions are less than 0.25% of that class of the issuer’s section 13(f) securities issued, and (b) The fair market value of the short sale and short position is less than $10,000,000. 3 Federal Register, Vol. 73, No. 202, October 17, 2008, page 61686 4 Federal Register, Vol. 73, No. 202, October 17, 2008, page 61686 5 Federal Register, Vol. 73, No. 202, October 17, 2008, page 61687 6 As noted by the exceptions to filing requirements above, our ability to identify shortsellers with these data is limited to 13F filers with large short positions. Privileged and Confidential – DRAFT DOCUMENT For Internal SEC Discussion Purposes Only Page 2 SEC_OEA_FCIC_001874
Page 1 and 2:
TO: Distribution List DRAFT MEMORAN
Page 3 and 4:
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
Page 23 and 24:
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
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
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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
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
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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
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Smith, Kathrin From: Bisiere, Chris
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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 81 and 82:
SEC_OEA_FCIC_001840
Page 83 and 84:
SEC_OEA_FCIC_001842
Page 85 and 86:
In-Threshold Run Length in Number o
Page 87 and 88:
Beta Excess Return cond. on # of da
Page 89 and 90:
Page 91 and 92:
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 99 and 100:
Page 101 and 102:
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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 and 130:
Citigroup Credit Default Swap Trans
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
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Page 147 and 148:
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Page 153 and 154:
Page 155 and 156:
Page 157 and 158:
Page 159 and 160:
Page 161 and 162:
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 177 and 178:
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:
Page 185 and 186:
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: Total Notional Amount (DTCC) Millio
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: Summary of Citigroup Credit Default
Page 291 and 292: Volume (thousands) 1 , 1 0 0 1 , 0
Page 297 and 298: Volume (thousands) Price and Volume
Page 299 and 300: Volume (thousands) Price and Volume
Page 305: Volume (thousands) 3 0 2 0 1 0 0 Pr
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
Page 659 and 660:
Goldman Sachs September Activity Ja
Page 661 and 662:
Trading Patterns of Interest • Tr
Page 663 and 664:
Goldman Sachs Stock Price Summary P
Page 665 and 666:
Goldman Sachs Intra-Day Stock Price
Page 667 and 668:
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
Page 673 and 674:
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
Page 681 and 682:
Goldman Sachs Example 8c: Assent St
Page 683 and 684:
Summary File Common Stock Transacti
Page 685 and 686:
Confidential 45 Wellington Capital
Page 687 and 688:
OEA DRAFT - INTERNAL Therefore, exa
Page 689 and 690:
Figure 2 Percent of Shares Outstand
Page 691 and 692:
Page 693 and 694:
Page 695 and 696:
Page 697 and 698:
Merrill Lynch September Activity Ja
Page 699 and 700:
Page 701 and 702:
Merrill Lynch Stock Price Summary P
Page 703 and 704:
Merrill Lynch Intra-Day Stock Price
Page 705 and 706:
Merrill Lynch Intra-Day Stock Price
Page 707 and 708:
Merrill Lynch CDS Prices of New Tra
Page 709 and 710:
Merrill Lynch CDS Transactions Top
Page 711 and 712:
Merrill Lynch 21(a) Response - Exam
Page 713 and 714:
Page 715 and 716:
Page 717 and 718:
Merrill Lynch Example 7a: Assent St
Page 719 and 720:
Merrill Lynch Example 7c: Assent St
Page 721 and 722:
Page 723 and 724:
Morgan Stanley Stock Price Summary
Page 725 and 726:
Morgan Stanley Intra-Day Stock Pric
Page 727 and 728:
Morgan Stanley CDS Summary SEC_OEA_
Page 729 and 730:
Morgan Stanley 21(a) Response - Exa
Page 731 and 732:
Page 733 and 734:
Page 735 and 736:
Page 737 and 738:
Page 739 and 740:
Morgan Stanley September Activity J
Page 741 and 742:
Page 743 and 744:
Morgan Stanley Stock Price Summary
Page 745 and 746:
Page 747 and 748:
Page 749 and 750:
Morgan Stanley CDS Prices of New Tr
Page 751 and 752:
Morgan Stanley CDS Transactions Top
Page 753 and 754:
Morgan Stanley Example 1b: CDS Cita
Page 755 and 756:
Morgan Stanley Example 2b: CDS Paul
Page 757 and 758:
Morgan Stanley Example 3b: CDS Deut
Page 759 and 760:
Morgan Stanley Example 4b: CDS Merr
Page 761 and 762:
Morgan Stanley Example 5b: Assent S
Page 763 and 764:
Page 765 and 766:
Washington Mutual September Activit
Page 767 and 768:
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Washington Mutual Stock Price Summa
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Washington Mutual Intra-Day Stock P
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Washington Mutual Intra-Day Stock P
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Washington Mutual CDS Prices of New
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Washington Mutual CDS Transactions
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Washington Mutual 21(a) Response -
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Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
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Form 424B2 NATIONAL CITY CORP - ncc
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2013 at a redemption price per shar
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Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
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Table of Contents Dividend Stopper
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S-4
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Table of Contents RISK FACTORS An i
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Table of Contents decline as a resu
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Table of Contents USE OF PROCEEDS W
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Table of Contents upon the conversi
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Table of Contents number of shares
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Table of Contents not to issue such
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Table of Contents adjustments to th
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Table of Contents to authorize, or
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Table of Contents exercised by the
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Table of Contents DIRECT REGISTRATI
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Table of Contents of a partnership
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Table of Contents in an amount equa
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Table of Contents Information Repor
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Table of Contents Plan, or any pers
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Table of Contents Shares of Series
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Table of Contents Maximum Number of
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Table of Contents (1) The “Maximu
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Table of Contents natural persons t
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Table of Contents Because the selli
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Table of Contents PLAN OF DISTRIBUT
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Table of Contents PROSPECTUS Senior
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Table of Contents ABOUT THIS PROSPE
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Table of Contents No dealer, salesp
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Washington, DC 20549-9040 (202) 551
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Table of Contents CALCULATION OF RE
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TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
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Table of Contents Stock will automa
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Table of Contents Anti-Dilution Adj
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Table of Contents Voting Rights Ran
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Table of Contents The market price
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Table of Contents The Series G Pref
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Table of Contents DESCRIPTION OF NA
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Table of Contents Certificate of De
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Table of Contents Where, OS 0 = the
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Table of Contents with a tender or
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Table of Contents Right to Elect Tw
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Table of Contents participating, op
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Table of Contents based on the high
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Table of Contents CERTAIN U.S. FEDE
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Table of Contents Stock or our comm
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Table of Contents other requirement
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Table of Contents CERTAIN ERISA CON
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Table of Contents SELLING STOCKHOLD
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(12) Aristeia Capital LLC is the in
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Table of Contents (22) All of the e
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Table of Contents Each of SAC Capit
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Table of Contents EXPERTS The conso
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TABLE OF CONTENTS Prospectus About
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Table of Contents You may request a
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Fallon, Zachary From: Krawitz, Jaco
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Confidential # Producer How To Use
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Price $30.00 $25.00 $20.00 $15.00 $
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Price $20.00 $18.00 $16.00 $14.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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dayn hour _NAME_ AIG_mean AIG_minp
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10 11 COL1 18.24242 17.62 18.9 1.28
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18 19 COL1 2.697085 2.58 2.8 0.22 1
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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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Fail Category Settlement Days to Cl
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Short Selling in Initial Public Off
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delay, as previously thought. Short
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threshold list on the first possibl
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Both Geczy, Musto and Reed (2002) a
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esponsible for the Internet bubble.
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on periods during the tech bubble.
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trading although the levels are qui
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in offer price as measured as the p
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ule allows short sales to execute a
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negative and occasionally significa
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SROs daily for stocks that have agg
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place it on a list known as the Reg
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order to provide price support. Agg
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Panel B of Table 6 presents the det
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In focusing on the potential short
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During our sample period, Regulatio
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The perceived inability of short se
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References Aggarwal, Reena and Pat
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Houge, Todd, Tim Loughran, Gerry Su
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Table 2 Comparison of First Day Tra
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Variable Table 6 Determinants of Lo
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Table 8 Short Term Price Effects Th
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Figure 1 Distribution of Short Sell
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Figure 3 Short Selling, Returns and
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Figure 5 Short Selling and Failures
show all

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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