SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Table 5 Minimum Shortable Price(MSP) vs. Best Ask Price (9/11/2008-9/18/2008)
contemporaneous returns
This table summarizes the percentage of time the Minimum Shortable Price (MSP) was equal to, lower than, or
higher than the best ask price for different price increments and for different levels of contemporaneous 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, in five minute
intervals for each stocks and we classified them into the following five categories: 1) ri < -100 bp; 2) -100 bp < ri
Ask % of the time % of the time
Volume
Group
Group (basis points) (for different increment
levels)
MSP=Ask
(for different
increment levels)
MSP7m) -100 bp < ri 7m) -100 bp < ri 7m) -100 bp < ri