SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Table 3 Minimum Shortable Price(MSP) vs. Actual Short Sale Price (9/11/2008-9/18/2008)
lagged returns
This table summarizes the percentage of short sales with price below the Minimum Shortable Price (MSP) for
different price increments and for different levels of lagged returns, for the dates between September 11 th and
September 18 th 2008. If the latest tick was an uptick, MSP was equal to the maximum of "best bid + n cents" and
"Last Trade Price". If the latest tick was a downtick, MSP was equal to the maximum of "best bid + n cents" and
"Last Trade Price + 1cent". We computed stock returns ri on a five minute intervals for each stocks and we
classified them into the following five categories: 1) ri < -100 bp; 2) -100 bp < ri 7m) -100 bp < ri 7m) -100 bp < ri 7m) -100 bp < ri