29.03.2013 Views

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SHOW MORE
SHOW LESS

Create successful ePaper yourself

Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.

Smith, Kathrin<br />

From: Bisiere, Christophe<br />

Sent: Wednesday, January 03, 2007 9:54 AM<br />

To: Spatt, Chester S.; Mayhew, Stewart<br />

Subject: Securities Lending<br />

Attachments: Length_May_July.bmp; 5_days.bmp; 6_days.bmp; 7_days.bmp; 8_days.bmp; 10_days.bmp;<br />

Length_Jan_Nov.bmp<br />

Chester and Stewart,<br />

Since our last meeting, what I have done is the followings:<br />

• Start with a much larger sample period (Jan-Nov 2006);<br />

• Simulate the threshold list over this sample period. Note that a large sample period is useful to make sure that the<br />

simulated threshold list is fully determined at the beginning of our May-July sample period (for some stocks, a run<br />

of 5 consecutive days such that the threshold criteria are met (or not met) takes a long time to show up in the<br />

data).<br />

• Draw a freq chart of the in-threshold-list run’s length (file Length_Jan_Nov.bmp)<br />

• Build our sample of events. An event is an in-threshold-list run fully contained within the May-July sample period;<br />

with the additional restriction that it must have 5 days of out-of-threshold-list data on both ends (taking care that<br />

these 5 days don’t overlap with another event on the same stock). The goal is to study what is going on 5 days<br />

before entering a run and 5 days after leaving a run.<br />

• Draw a freq chart of the in-threshold-list run’s length over our May-July sample period (file<br />

Length_May_July.bmp). Hopefully very similar to the large sample freq chart.<br />

• Draw for each length the times series of: Lending rate, Fails in % of outstanding shares, Shares borrowed in % of<br />

outstanding shares. I report here the graphs x_days.bmp for which we have at least 20 events.<br />

A quick look at these graphs shows that:<br />

• Fails quickly drop after entering the list.<br />

• There is a strange bump after leaving the list for events of length 6. I must investigate this point further.<br />

• Borrowings in % are almost flat. I must rescale it.<br />

• There is no obvious pattern for the Lending Rate.<br />

I hope that we will have the corrected Quadriserv data soon, which could dramatically increase the number of events in<br />

our sample, and solve this “negative lending rates” issue we had.<br />

Let me know if you can/want to have a short meeting today or if you prefer to schedule it post-Chicago. In any case, I am<br />

still working on the project.<br />

Have a good day, and a Happy New Year,<br />

Christophe<br />

Length_May_July.b<br />

mp<br />

5_days.bmp 6_days.bmp 7_days.bmp 8_days.bmp 10_days.bmp Length_Jan_Nov.b<br />

mp<br />

1<br />

<strong>SEC</strong>_<strong>OEA</strong>_<strong>FCIC</strong>_001826

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!