SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

10. Percentage of short positions captured: We compared the total short positions
reported through Form SH for a specific security to the aggregate open short
interest which is publicly reported on a twice-monthly basis. The median
percentage of short positions captured through Form SH is 68%, a much higher
percentage than the median short-selling volume.
4. How can we use the data: Identifying potential violations
11. Criteria: Using input from staff in the Division of Enforcement and the Office of
Compliance, Inspections and Examinations, we developed a set of criteria to
identify potential instances of manipulation and insider trading. These criteria
include:
where a filer has engaged in short selling prior to, or concurrent with, a
significant drop in the stock price, and
the filer’s short volume is a high percentage of the daily trading
volume, and
there is unusual volume, either for the security, or for the filer, and
short selling occurred prior to a news release which was associated
with a drop in the stock price. 11
These criteria are combined into a scoring mechanism to identify cases of interest.
12. Output: We developed computer programs to generate charts for specific filers’
activity in specific securities that had generated a particularly high level of
interest, based on the criteria identified above. Attached to this document are a
11 In addition, this criterion requires that the short position remain open at the time of the disclosure.
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SEC_OEA_FCIC_001876