SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

The identity of short sellers who repeatedly take large short positions
associated with drops in stock prices.
3. What have we learned from the rule: Basic Data on Short-Sellers
7. Filing data analyzed: The staff has analyzed the data from Form SH filings
starting with November 2008, and ending in February 2009. 7 During this time
period, there were 9,722 filings. 8
8. Number of filers and securities: During this time period, there were 685 filers,
reporting short sales and positions on a total of 4,231 securities.
9. Percentage of daily short-selling volume captured: We compared the total
volume of short-selling reported through Form SH for a specific security, on a
specific date, to the total volume of short-selling reported from the major
exchanges 9 on the same security and date. The median percentage of short-
selling captured through Form SH is 7.8%. In many cases, no volume is reported
through Form SH. However, for 32,825 observations, Form SH captures more
than half of total reported volume, and for 4,079 observations, Form SH captures
more than 90% of total reported volume. 10 Chart 1 provides additional details.
7 The data filed prior to November 2008 is not complete due to processing difficulties. The data subsequent
to February 27, 2009 is available, but due to delays in obtaining data on stock prices and returns from the
Center for Research in Securities Prices, we have not included subsequent weeks for purposes of this
report.
8 Although there were some initial difficulties associated with processing the data, they have been resolved
to a large extent. Of the 9,722 filings, only 156 (less than 2%) were rejected. The non-rejected filings
contained 5,562,425 data records, from which 159,426 were removed due to incomplete or bad data,
reflecting a 97% capture rate. Additional records were removed because of duplicates, blank fields, and
data provided on holidays and weekends.
9 The SROs that provided data are NYSE, NYSE-ARCA, FINRA, and NASDAQ.
10 These figures do not include 19,174 observations where Form SH reported volume exceeds the total
exchange reported volume. There are many reasons why we might observe Form SH volumes in excess of
exchange reported short volume, including errors in reporting by the exchanges, errors in reporting on
Form SH, or duplicate filings.
Privileged and Confidential – DRAFT DOCUMENT
For Internal SEC Discussion Purposes Only
Page 3
SEC_OEA_FCIC_001875