SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

0 102903 38.73526 39.74578 39.64 39.81 0.17 57491 108127 0 143039 38.78924 39.54882 39.49 39.64 0.15 15092 78334 0 76255 38.7819 39.51687 39.49 39.55 0.06 0 46509 0 68089 38.7561 39.46848 39.41 39.51 0.1 0 44009 0 76393 38.81951 39.32184 39.23 39.44 0.21 0 45900 0 75606 38.83913 39.34239 39.23 39.45 0.22 0 53910 0 91567 38.77962 39.38668 39.34 39.47 0.13 0 51998 0 74808 38.74408 39.38836 39.31 39.47 0.16 0 56090 0 296770 38.73315 39.33098 39.28 39.38 0.1 0 70044 0 137085 38.71156 39.38521 39.29 39.45 0.16 0 45500 0 139332 38.68452 39.34053 39.29 39.39 0.1 0 64253 0 125678 38.69466 39.32679 39.28 39.37 0.09 0 68295 0 69076 38.72289 39.28293 39.26 39.3 0.04 0 29900 0 107105 38.70512 39.36954 39.27 39.47 0.2 0 51827 0 81889 38.7245 39.54801 39.45 39.68 0.23 0 81323 0 75755 38.74267 39.75804 39.67 39.83 0.16 0 105448 0 99794 38.75907 39.61101 39.55 39.71 0.16 0 77459 0 86573 38.71913 39.65523 39.6 39.7 0.1 0 73024 0 90077 38.68553 39.64967 39.63 39.69 0.06 0 59387 0 58016 38.6896 39.69109 39.65 39.74 0.09 0 36700 0 27146 38.67929 39.70549 39.64 39.77 0.13 0 58610 0 30765 38.68765 39.65736 39.64 39.69 0.05 0 33617 0 51592 38.66524 39.72623 39.65 39.77 0.12 0 69554 0 65120 38.66482 39.71863 39.68 39.75 0.07 0 43793 0 51457 38.64779 39.81649 39.72 39.9 0.18 0 79233 0 33133 38.65089 39.80023 39.74 39.88 0.14 0 55560 0 41020 38.67992 39.69267 39.54 39.81 0.27 0 125458 0 25173 38.66786 39.51414 39.42 39.55 0.13 0 57197 0 24900 38.68841 39.4469 39.39 39.5 0.11 0 72587 0 104965 38.7268 39.35683 39.24 39.46 0.22 0 88921 0 91661 38.74062 39.29426 39.25 39.36 0.11 0 46440 0 52238 38.76312 39.37391 39.29 39.44 0.15 0 35600 0 86627 38.82717 39.4202 39.4 39.46 0.06 0 43971 0 87296 38.85653 39.45062 39.42 39.4814 0.0614 0 21069 10000 128967 38.87203 39.46162 39.42 39.51 0.09 0 22828 0 81031 38.85647 39.53356 39.435 39.56 0.125 14600 71922 0 69411 38.89438 39.51381 39.48 39.56 0.08 0 82288 0 79960 38.8903 39.61083 39.57 39.64 0.07 0 57057 0 65356 38.86488 39.61418 39.56 39.66 0.1 0 33601 0 64056 38.85546 39.45721 39.39 39.58 0.19 0 55425 0 123835 38.85494 39.42471 39.29 39.461 0.171 0 35050 0 86196 38.90391 39.35471 39.29 39.4 0.11 0 34876 0 182190 38.89974 39.2882 39.23 39.35 0.12 0 30412 0 63900 38.90471 39.32134 39.28 39.4 0.12 0 55418 0 63395 38.87601 39.26109 39.16 39.32 0.16 0 30150 49100 50750 38.85475 39.20515 39.15 39.3 0.15 0 29303 0 39240 38.83013 39.25381 39.2 39.29 0.09 0 25980 0 56602 38.82114 39.33745 39.28 39.42 0.14 0 62085 0 52250 38.83788 39.50085 39.34 39.52 0.18 167000 40491 0 68495 38.85289 39.32593 39.26 39.39 0.13 0 34755 0 98950 38.911 39.2899 39.24 39.36 0.12 0 32372 0 102101 38.94 39.2482 39.17 39.34 0.17 0 85555
0 119996 38.95339 39.13122 39.06 39.21 0.15 0 27857 0 45965 38.94557 39.02986 39.01 39.07 0.06 0 31286 0 93390 38.95386 39.04321 38.99 39.08 0.09 0 16200 0 86451 38.96302 38.9842 38.9347 39.05 0.1153 0 26114 0 144645 38.92877 39.07496 38.97 39.16 0.19 0 40088 0 65143 38.93634 39.08075 39.05 39.12 0.07 0 19298 0 34038 38.93256 39.09728 39.07 39.13 0.06 0 26599 0 60982 39.00533 39.227 39.14 39.27 0.13 0 31760 0 83726 39.06364 39.19463 39.16 39.23 0.07 0 15867 0 91771 39.07307 39.1346 39.1 39.2 0.1 0 23475 0 31150 39.06197 39.13296 39.1 39.18 0.08 0 14210 0 46187 39.0653 39.10394 39.05 39.17 0.12 0 15200 0 49581 39.04587 39.11928 39.08 39.16 0.08 0 16800 0 29308 39.01461 39.10297 39.08 39.11 0.03 0 16400 0 46592 39.02406 39.01466 38.99 39.08 0.09 0 34250 0 26310 39.01084 39.03777 39.02 39.06 0.04 0 6691 0 65064 38.98211 39.06057 39 39.12 0.12 0 17738 0 55017 38.96608 39.16501 39.11 39.21 0.1 0 21240 0 40747 38.95099 39.08529 39.04 39.15 0.11 0 33063 0 53422 38.93281 39.07888 39.05 39.11 0.06 0 12900 0 115395 38.93204 39.0761 39.05 39.1 0.05 0 19500 0 34731 38.93356 39.03026 39.01 39.1 0.09 0 47945 0 24236 38.9037 39.01066 38.99 39.02 0.03 0 39496 0 25760 38.92733 39.06486 39.02 39.1 0.08 0 28956 0 12779 38.9396 39.13673 39.07 39.2 0.13 0 30156 0 14580 38.93455 39.18417 39.15 39.22 0.07 0 13907 0 32021 38.91821 39.11326 39.08 39.2 0.12 0 54212 0 33310 38.92142 39.15494 39.12 39.23 0.11 0 49010 0 40545 38.94724 39.15898 39.1199 39.18 0.0601 0 41490 0 56784 38.94888 39.11004 39.06 39.43 0.37 0 18937 0 15800 38.93572 39.12259 39.07 39.19 0.12 0 18500 0 28600 38.92714 39.043 39.01 39.08 0.07 0 15250 0 30037 38.90114 38.89703 38.84 39.02 0.18 0 98355 0 27946 38.89878 38.97085 38.9 39.03 0.13 0 25464 0 12250 38.93258 38.97828 38.9 39.04 0.14 0 40459 0 14620 38.92023 38.99277 38.96 39.02 0.06 0 8200 0 5310 38.90434 38.98932 38.96 39.02 0.06 0 9745 10100 67754 38.83068 39.00412 38.9554 39.03 0.0746 0 8497 0 15825 38.80308 39.02938 38.5212 39.06 0.5388 0 14500 0 24125 38.81249 39.01972 39 39.05 0.05 0 11997 0 22600 38.80995 38.89621 38.678 39.02 0.342 0 20298 0 83870 38.87863 39.00041 38.95 39.06 0.11 0 23500 0 93430 38.92457 38.95828 38.93 38.99 0.06 0 12320 0 38865 38.9026 39.01051 38.92 39.06 0.14 0 38254 0 38477 38.89616 39.08921 39.03 39.12 0.09 0 12364 0 24631 38.84744 39.04194 39 39.11 0.11 0 17880 0 57745 38.86781 39.01905 38.99 39.04 0.05 0 7225 0 62294 38.81592 39.04622 38.99 39.06 0.07 220000 35324 0 60076 38.79938 39.02939 39 39.06 0.06 0 28089 0 54487 38.8033 39.03062 39 39.05 0.05 0 21318 0 38397 38.84741 39.01135 38.99 39.04 0.05 0 15300 0 29975 38.83768 38.95517 38.9 39.03 0.13 0 36499
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TO: Distribution List DRAFT MEMORAN
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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
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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
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Table 3 Minimum Shortable Price(MSP
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Table 4 - Minimum Shortable Price(M
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Table 5 Minimum Shortable Price(MSP
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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
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Historical Context To aid in evalua
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Market Volatility Forecast The grap
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Root Mean Squared Return 0.006 0.00
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Abnormal End-of-Day Volatility In o
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To further investigate historical p
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1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0
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Appendix 2: Open-To-Close vs. Overn
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Appendix 3: Extreme Days The analys
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Index (15:20 = 1) 1.01 1 0.99 0.98
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810 800 790 780 770 760 750 740 Fig
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Have a great week end. Christophe 2
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001828
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SEC_OEA_FCIC_001830
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SEC_OEA_FCIC_001832
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Smith, Kathrin From: Bisiere, Chris
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SEC_OEA_FCIC_001836
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SEC_OEA_FCIC_001838
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SEC_OEA_FCIC_001840
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SEC_OEA_FCIC_001842
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In-Threshold Run Length in Number o
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Beta Excess Return cond. on # of da
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Beta Excess Return cond. on in-thre
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Total Notional Amount (DTCC) Millio
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Summary of Citigroup Credit Default
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CEDAR HILL CAP 18 bullish bull_18 1
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GOLDMAN SACHS 35 ssell ssel_35 -10,
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MERRILL LYNCH 53 bullish bull_53 5,
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PIM2136 70 ssell ssel_70 PIM2224 71
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PIM3706 88 bullish bull_88 200,000
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ROYAL BANK OF 105 ssell ssel_105 -5
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLUE MTN CREDI 12 abuy abuy_12 -20,
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GENERAL ELECT 34 bearish bear_34 GE
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NATIONAL BANK O 56 cnet cnet_56 0 -
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PIM2679 78 sbuy sbuy_78 PIM2679 78
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PROVINZIAL RHE 101 abuy abuy_101 PR
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Price $15.00 $12.50 $10.00 $7.50 $5
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21 18 COL1 3.807082 3.54 4.04 0.5 3
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Date Open High Low Close Volume Adj
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date2 _NAME_2 no_NoPay_C fi_NoPay_C
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PIM6888 100 Citigroup Credit Defaul
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- 91 41 Bearish # - / Bullish # 91
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BLACK DIAMOND OFFSHORE, LTD 11 abuy
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FORE ERISA FUND, LTD. 31 bearish be
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MARATHON 51 cnet cnet_51 0 0 -45,00
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PIM2224 71 sbuy sbuy_71 1,000,000 P
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PIM4807 92 abuy abuy_92 PIM4807 92
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THE ROYAL BANK OF SCOTLAND PLC 112
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11/18/08 -17000000 10000000 -7,000,
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Adjusted Close 25 20 15 10 5 0 10/1
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BBVA DerivServ SUBMITTING_PARTY SUB
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BUYER_NAME SELLER_ID SELLER_NAME TR
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SUBMIT_DATE SUBMIT_TIME TRANSACTION
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NOTIONAL_AMOUNT NOTIONAL_CURRENCY A
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POST_TRADE_PAYMENT_DATE POST_TRADE_
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PERIOD_MULTIPLIER PAYMENT_FREQUENCY
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INITIAL_CURRENCY RESTRUCTING_INDICA
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MATRIX_TYPE PUBLICATION_DATE 01/01/
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MATRIX_AGREEMENT_DATE ASSIGNMENT_RO
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date _NAME_ TD_C AB_C AS_C TM_C 11/
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ALADDIN R 1 Citigroup Credit Defaul
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Citigroup Credit Default Swap Trans
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namegroup idname _NAME_ rangen day_
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CREDIT SUISSE INTERNATIONAL 21 abuy
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INTERN KAPIT MBH (PRV-C) 41 bearish
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PIM1356 61 cnet cnet_61 500,000 500
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PIM2755 81 sbuy sbuy_81 300,000 PIM
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PURSUIT 102 abuy abuy_102 PURSUIT 1
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BNP Paribas Securities Corp. Top No
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Volume (thousands) 1 , 1 0 0 1 , 0
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Volume (thousands) Price and Volume
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Volume (thousands) Price and Volume
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Volume (thousands) 3 0 2 0 1 0 0 Pr
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security on each calendar day of th
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10. Percentage of short positions c
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selling. The purple bar indicates t
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Chart 1 Form SH Daily Volume Compar
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Form SH Reported Short Volume for C
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Form SH Data Quality Check of Volum
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Form SH Summary of Securities by CR
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# of Securities (3,989 Total) 1,600
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# Security - Days (3,899 Total) 600
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Form SH Reported Data Compared to O
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# Daily Positions 300,000 250,000 2
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# Daily Volumes 45,000 40,000 35,00
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Securities Reported by Filers 30,00
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Dollar Value Sold Short ($ Millions
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# of Security Days with Some Report
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# of Security Days with Significant
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Price $0.20 $0.19 $0.18 $0.17 $0.16
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Price $3.00 $2.50 $2.00 $1.50 $1.00
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Price $17.50 $17.00 $16.50 $16.00 $
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Price $50.00 $45.00 $40.00 $35.00 $
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Price $2.40 $2.35 $2.30 $2.25 $2.20
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Price $16.00 $14.00 $12.00 $10.00 $
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dayn trade_date COMNAM PERMNO SHRCD
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14 14-Nov-08 HONEYWE 10145 11 20.16
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14 14-Nov-08 STURM RU 73219 11 0.00
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14 14-Nov-08 G A T X CO 12036 11 0.
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14 14-Nov-08 MAGUIRE 89768 18 35.07
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14 14-Nov-08 EMERITUS 82638 11 0.32
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14 14-Nov-08 GRAY TEL 83989 11 76.5
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14 14-Nov-08 CYTEC IND 80079 11 1.5
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14 14-Nov-08 TEXTAINE 92379 12 1.02
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14 14-Nov-08 CONSOL E 86799 11 3.04
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28 ######## DORAL FIN 12169 11 0.00
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volp_b _TYPE_ _FREQ_ countvolp volp
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shortpct ndays ndays_downdays_flat
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ndays_nex ndays_nex COMNAM 1 1 RITC
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PERMNO trade_date sdevv vol_crsp vo
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trade_date _NAME_ PRC_1 prc_down_ p
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vol_rest_7 PRC_10 prc_down_ prc_up_
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TY ENTERPRISES INC Y CO E BRANDS IN
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17 0 191 191 17 18 0 154 154 18 19
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nfilers_hist count low high lab1 _T
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date day_week count count_vol count
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $46.00 $45.00 $44.00 $43.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Price $40.00 $35.00 $30.00 $25.00 $
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Symbol hour minute sort trend5_2 tr
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MS 17 43 0 MS 17 44 0 MS 17 45 0 MS
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MS 8 27 1 MS 8 28 1 MS 8 29 1 MS 8
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MS 10 11 1 MS 10 12 1 MS 10 13 1 MS
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MS 11 55 1 MS 11 56 1 MS 11 57 1 MS
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MS 13 39 1 MS 13 40 1 MS 13 41 1 MS
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MS 15 23 1 MS 15 24 1 MS 15 25 1 MS
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
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HBB LBB HBB LBB HBB LBB HBB LBB HBB
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LBB LBB LBB LBB LBB LBB
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HBB HBB HBB HBB HBB HBB HBB HBB HBB
Page 429 and 430:
118679 140734 81539 98153 119580 10
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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
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594851 477540 815219 558737 595063
Page 441 and 442:
533491 248814 375456 321906 302504
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624651 1105941 805570 1053176 11970
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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
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MS 12 45 MS 12 46 MS 12 47 MS 12 48
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MS 14 29 MS 14 30 MS 14 31 MS 14 32
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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: 0 208240 38.53788 37.8859 37.84 37.
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
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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
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362 363 364 365 366 367 368 369 370
Page 653 and 654:
466 467 468 469 470 471 472 473 474
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570 571 572 573 574 575 576 577 578
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Morgan Stanley Intraday Trading by
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Goldman Sachs September Activity Ja
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Trading Patterns of Interest • Tr
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Goldman Sachs Stock Price Summary P
Page 665 and 666:
Goldman Sachs Intra-Day Stock Price
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Goldman Sachs Intra-Day Stock Price
Page 669 and 670:
Goldman Sachs 21(a) Response - Exam
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Goldman Sachs 21(a) Response - Exam
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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
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Goldman Sachs Example 8c: Assent St
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Summary File Common Stock Transacti
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Confidential 45 Wellington Capital
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OEA DRAFT - INTERNAL Therefore, exa
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Figure 2 Percent of Shares Outstand
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Merrill Lynch September Activity Ja
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Merrill Lynch Stock Price Summary P
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch Intra-Day Stock Price
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Merrill Lynch CDS Prices of New Tra
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Merrill Lynch CDS Transactions Top
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Merrill Lynch 21(a) Response - Exam
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Merrill Lynch Example 7a: Assent St
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Merrill Lynch Example 7c: Assent St
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Morgan Stanley Stock Price Summary
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Morgan Stanley Intra-Day Stock Pric
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Morgan Stanley CDS Summary SEC_OEA_
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Morgan Stanley 21(a) Response - Exa
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Morgan Stanley September Activity J
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Morgan Stanley Stock Price Summary
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Morgan Stanley CDS Prices of New Tr
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Morgan Stanley CDS Transactions Top
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Morgan Stanley Example 1b: CDS Cita
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Morgan Stanley Example 2b: CDS Paul
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Morgan Stanley Example 3b: CDS Deut
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Morgan Stanley Example 4b: CDS Merr
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Morgan Stanley Example 5b: Assent S
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Washington Mutual September Activit
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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
Page 777 and 778:
Washington Mutual CDS Transactions
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Washington Mutual 21(a) Response -
Page 781 and 782:
Page 783 and 784:
Page 785 and 786:
Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
Page 789 and 790:
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Form 424B2 NATIONAL CITY CORP - ncc
Page 793 and 794:
2013 at a redemption price per shar
Page 795 and 796:
Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
Page 799:
Table of Contents Dividend Stopper
Page 802 and 803:
S-4
Page 804 and 805:
Table of Contents RISK FACTORS An i
Page 806 and 807:
Table of Contents decline as a resu
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Table of Contents USE OF PROCEEDS W
Page 810 and 811:
Table of Contents upon the conversi
Page 812 and 813:
Table of Contents number of shares
Page 814 and 815:
Table of Contents not to issue such
Page 816 and 817:
Table of Contents adjustments to th
Page 818 and 819:
Table of Contents to authorize, or
Page 820 and 821:
Table of Contents exercised by the
Page 822 and 823:
Table of Contents DIRECT REGISTRATI
Page 824 and 825:
Table of Contents of a partnership
Page 826 and 827:
Table of Contents in an amount equa
Page 828 and 829:
Table of Contents Information Repor
Page 830 and 831:
Table of Contents Plan, or any pers
Page 832 and 833:
Table of Contents Shares of Series
Page 834 and 835:
Table of Contents Maximum Number of
Page 837 and 838:
Page 839 and 840:
Page 841 and 842:
Table of Contents (1) The “Maximu
Page 843 and 844:
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
Page 854 and 855:
Table of Contents No dealer, salesp
Page 856 and 857:
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
Page 864 and 865:
Table of Contents Stock will automa
Page 867 and 868:
Table of Contents Anti-Dilution Adj
Page 869 and 870:
Table of Contents Voting Rights Ran
Page 871 and 872:
Table of Contents The market price
Page 873 and 874:
Table of Contents The Series G Pref
Page 875 and 876:
Table of Contents DESCRIPTION OF NA
Page 877 and 878:
Table of Contents Certificate of De
Page 879 and 880:
Table of Contents Where, OS 0 = the
Page 881 and 882:
Table of Contents with a tender or
Page 883 and 884:
Table of Contents Right to Elect Tw
Page 885 and 886:
Table of Contents participating, op
Page 887 and 888:
Table of Contents based on the high
Page 889 and 890:
Table of Contents CERTAIN U.S. FEDE
Page 891 and 892:
Table of Contents Stock or our comm
Page 893 and 894:
Table of Contents other requirement
Page 895 and 896:
Table of Contents CERTAIN ERISA CON
Page 897 and 898:
Table of Contents SELLING STOCKHOLD
Page 899 and 900:
Page 901:
Page 904 and 905:
Page 906 and 907:
Page 908 and 909:
(12) Aristeia Capital LLC is the in
Page 910 and 911:
Table of Contents (22) All of the e
Page 913 and 914:
Table of Contents Each of SAC Capit
Page 915 and 916:
Table of Contents EXPERTS The conso
Page 917 and 918:
TABLE OF CONTENTS Prospectus About
Page 919 and 920:
Table of Contents You may request a
Page 921 and 922:
Fallon, Zachary From: Krawitz, Jaco
Page 923 and 924:
Confidential # Producer How To Use
Page 925 and 926:
Price $30.00 $25.00 $20.00 $15.00 $
Page 927 and 928:
Price $20.00 $18.00 $16.00 $14.00 $
Page 929 and 930:
Price $50.00 $45.00 $40.00 $35.00 $
Page 931 and 932:
dayn hour _NAME_ AIG_mean AIG_minp
Page 933 and 934:
10 11 COL1 18.24242 17.62 18.9 1.28
Page 935 and 936:
18 19 COL1 2.697085 2.58 2.8 0.22 1
Page 937 and 938:
21.08166 159.9686 159.95 160.03 0.0
Page 939 and 940:
20.65615 134.4959 130.43 145.89 15.
Page 941 and 942:
GS_close LEH_meanLEH_minp LEH_maxpL
Page 943 and 944:
7.766267 7.44 8.2 0.76 1864755 2700
Page 945 and 946:
142.51 129.8
Page 947 and 948:
24.59935 24.21 24.9 0.69 0 33850 27
Page 949 and 950:
18.62415 17.26 19.45 2.19 1793447 3
Page 951 and 952:
MS_minp MS_maxp MS_rangepMS_tradeb
Page 953 and 954:
38.08 39.04 0.96 342900 3791667 39.
Page 955 and 956:
22.81 25.07 2.26 0 176151 39.31129
Page 957 and 958:
4.0454 26650 4.02 0.12 5/18/1927 16
Page 959 and 960:
2.17 0.18 15724864 47826532 3.96374
Page 961 and 962:
MER_shortGS_shorta GS_shortp AIG_sh
Page 963 and 964:
23.01972 855059 156.7115 5143237 18
Page 965 and 966:
22.71091 19061 114.533 600 2.75 127
Page 967 and 968:
2200 6000 100 7200 26800 3.919888 3
Page 969 and 970:
23916408 2.052039 81053295 38584977
Page 971 and 972:
Fallon, Zachary From: Edwards, Amy
Page 973 and 974:
2118 Wilshire Boulevard, #596 Santa
Page 975 and 976:
SAS Output 20080925 60505724BANK OF
Page 977 and 978:
SAS Output 20080916 261018105DOWNEY
Page 979 and 980:
SAS Output 2008091734958B106 FORTRE
Page 981 and 982:
SAS Output 20080922 493267405KEYCOR
Page 983 and 984:
SAS Output 20080918 902973882US Ban
Page 985 and 986:
SAS Output 20080918 929251106W HOLD
Page 987 and 988:
SAS Output 20080925 939322103WASHIN
Page 989 and 990:
Fallon, Zachary From: McCormick, Ti
Page 991 and 992:
arrived, they might borrow real sha
Page 993 and 994:
friendly relations with its short-s
Page 995 and 996:
To: Jim Overdahl From: Tim McCormic
Page 997 and 998:
Page 999 and 1000:
Page 1001 and 1002:
Page 1003 and 1004:
Page 1005 and 1006:
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• For exchange-listed issues, the
Page 1009 and 1010:
Table 2 Average Daily Number of Sec
Page 1011 and 1012:
Table 4 Summary Statistics for Secu
Page 1013 and 1014:
Reg SHO Pilot Report DRAFT 9/14/200
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permanent the relevant provisions o
Page 1103 and 1104:
• The average daily dollar value
Page 1105 and 1106:
Table 1 Summary Statistics on Fails
Page 1107 and 1108:
Page 1109 and 1110:
2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1111 and 1112:
700 600 500 400 300 200 100 0 20050
Page 1113 and 1114:
3 2.5 2 1.5 1 0.5 0 Figure 5 Fails
Page 1115 and 1116:
2 1.5 1 0.5 0 Figure 7 Fails to Del
Page 1117 and 1118:
Fail Category Settlement Days to Cl
Page 1119 and 1120:
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
Page 1135 and 1136:
Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
Page 1139 and 1140:
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
Page 1147 and 1148:
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
Page 1167 and 1168:
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
Page 1207 and 1208:
TO: File FROM: Office of Economic A
Page 1209 and 1210:
• The average daily number of opt
Page 1211 and 1212:
Page 1213 and 1214:
provides for a 35-settlement day ph
Page 1215 and 1216:
• The average daily number of fai
Page 1217 and 1218:
Page 1219 and 1220:
Page 1221 and 1222:
2.5 2 1.5 1 0.5 0 20040401 20040825
Page 1223 and 1224:
700 600 500 400 300 200 100 0 20050
Page 1225 and 1226:
2.5 2 1.5 1 0.5 0 20080602 20080616
Page 1227 and 1228:
1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 200
Page 1229 and 1230:
Page 1231 and 1232:
All Securities (Table 1): Table 1 s
Page 1233 and 1234:
Daily Fails to Deliver in All Secur
Page 1235 and 1236:
Page 1237 and 1238:
Page 1239 and 1240:
700 600 500 400 300 200 100 0 0501
Page 1241 and 1242:
1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
Page 1243 and 1244:
700 600 500 400 300 200 100 0 20080
Page 1245 and 1246:
Number of Threshold Securities 700
Page 1247 and 1248:
Page 1249 and 1250:
• The average daily number of fai
Page 1251 and 1252:
Daily Number of Threshold List Secu
Page 1253 and 1254:
Page 1255 and 1256:
Page 1257 and 1258:
700 600 500 400 300 200 100 0 0501
Page 1259 and 1260:
1.4 1.2 1 0.8 0.6 0.4 0.2 0 2005010
Page 1261 and 1262:
700 600 500 400 300 200 100 0 20080
Page 1263 and 1264:
Fail Category Settlement Days to Cl
Page 1265 and 1266:
Short Selling in Initial Public Off
Page 1267 and 1268:
delay, as previously thought. Short
Page 1269 and 1270:
threshold list on the first possibl
Page 1271 and 1272:
Both Geczy, Musto and Reed (2002) a
Page 1273 and 1274:
esponsible for the Internet bubble.
Page 1275 and 1276:
on periods during the tech bubble.
Page 1277 and 1278:
trading although the levels are qui
Page 1279 and 1280:
in offer price as measured as the p
Page 1281 and 1282:
ule allows short sales to execute a
Page 1283 and 1284:
negative and occasionally significa
Page 1285 and 1286:
SROs daily for stocks that have agg
Page 1287 and 1288:
place it on a list known as the Reg
Page 1289 and 1290:
order to provide price support. Agg
Page 1291 and 1292:
Panel B of Table 6 presents the det
Page 1293 and 1294:
In focusing on the potential short
Page 1295 and 1296:
During our sample period, Regulatio
Page 1297 and 1298:
The perceived inability of short se
Page 1299 and 1300:
References Aggarwal, Reena and Pat
Page 1301 and 1302:
Houge, Todd, Tim Loughran, Gerry Su
Page 1303 and 1304:
Table 2 Comparison of First Day Tra
Page 1305 and 1306:
Page 1307 and 1308:
Variable Table 6 Determinants of Lo
Page 1309 and 1310:
Table 8 Short Term Price Effects Th
Page 1311 and 1312:
Figure 1 Distribution of Short Sell
Page 1313 and 1314:
Figure 3 Short Selling, Returns and
Page 1315:
Figure 5 Short Selling and Failures
show all

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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