SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

21.00394 156.8448 155.9 157.89 1.99 0 2185631 158.4757 21.09202 156.6218 155.73 161.67 5.94 0 1117833 159.1402 21.08903 157.2048 156.49 157.91 1.42 0 812474 159.1177 21.19517 159.7604 157.8 160.95 3.15 0 1862096 159.9185 21.18593 158.7328 157.01 160.5 3.49 74000 1824984 159.8488 21.1022 17.5 157.6102 157.2 159.5 2.3 250400 12164 159.217 21.11885 157.1024 156.51 157.59 1.08 0 3682 159.3427 21.11969 157.1548 156.7 157.59 0.89 0 1636 159.349 21.09384 156.8906 156.7 157.32 0.62 0 1020 159.154 20.98348 158.3213 20.89288 157.6377 20.91692 157.8191 20.8907 154.1789 153.31 155 1.69 0 9939 157.6213 20.81313 151.1996 149.5 153.75 4.25 20000 171537 157.036 20.80712 15.7 152.3048 149.5 155.69 6.19 217700 3334846 156.9906 20.89033 151.668 149.87 153 3.13 172250 4127748 157.6185 21.01493 152.2722 150.5 154.75 4.25 275200 3168522 158.5586 21.07537 153.2537 151.87 154.12 2.25 0 1623022 159.0146 21.01861 152.2579 151 153.25 2.25 282200 1455519 158.5864 21.18021 155.0538 152.91 156.49 3.58 0 1842697 159.8057 21.19028 155.7916 153.25 159.42 6.17 63300 3624836 159.8816 21.38219 17.55 156.8838 153.1514 159.5 6.3486 250752 79857 161.3296 21.4 156.1918 153.2 158.73 5.53 0 17107 161.4639 21.41262 154.6783 153 156 3 0 22055 161.5592 21.39648 155.7998 155.58 155.97 0.39 0 805 161.4374 21.3996 161.461 21.4222 161.6315 21.36195 161.1768 21.35681 155.8149 155.21 156 0.79 0 701 161.1381 21.27872 154.6798 154 156 2 0 20323 160.5489 21.20186 15.15 154.1861 152.35 155.58 3.23 87400 1961193 159.969 21.27072 156.4112 153.48 158.69 5.21 0 2363989 160.4885 21.39417 159.3764 157.07 161.77 4.7 94500 2725322 161.42 21.35141 157.2734 155.81 158.35 2.54 53900 1475952 161.0974 21.30001 156.8985 154.75 158.75 4 0 2153781 160.7095 21.35219 157.6746 156 158.69 2.69 141100 1333713 161.1032 21.40752 155.8418 154.01 158.45 4.44 12500 2653182 161.5207 21.50317 12.14 154.5737 152.633 156.817 4.184 521405 12674 162.2424 21.466 154.3647 154.21 155.49 1.28 0 11300 161.9619 21.41854 155.3814 154.6 155.5 0.9 0 5465 161.6038 21.45703 154.9863 154.86 155.01 0.15 0 950 161.8943 20.8255 142.61 142.61 142.61 0 0 100 157.1293 20.80957 140.5 140.5 140.5 0 0 100 157.0092 20.73043 141.1374 140 142.62 2.62 0 1900 156.412 20.68404 140.5313 139.47 142.9 3.43 0 88028 156.062 20.76947 141.6114 140 142.89 2.89 14900 294252 156.7066 20.79859 7.12 147.147 140.74 151.4 10.66 126398 4089525 156.9263 20.98763 145.0849 142.41 150.3 7.89 82900 6055389 158.3526 21.00408 147.0849 144.02 148.85 4.83 76900 3552236 158.4767 20.98082 143.3915 141.52 146.13 4.61 119534 4249253 158.3013 20.94274 137.0771 132.07 145.0199 12.9499 136712 6799809 158.0139 20.8783 135.5036 131.8 144.39 12.59 439958 5553810 157.5277
20.65615 134.4959 130.43 145.89 15.46 192352 9527718 155.8516 20.59805 4.76 136.3055 134.65 140.35 5.7 833698 231546 155.4132 20.49544 135.93 132.21 146 13.79 15032 25912 154.639 20.41603 134.3998 134.02 135.2 1.18 0 8445 154.0398 20.37704 140.3202 134.01 145.88 11.87 0 17859 153.7457 20.36441 137.1188 136.79 138 1.21 0 1600 153.6504 20.46671 136.7775 136.3 137 0.7 0 3600 154.4223 20.34803 136.3593 135.75 137 1.25 0 7850 153.5268 20.24766 136.137 134.8 138.5 3.7 0 69801 152.7695 20.16642 126.5082 121.61 135.49 13.88 48035 1581840 152.1565 20.07064 1.85 120.8227 113.01 125.5 12.49 555015 9113385 151.4339 20.31653 128.6923 121 132.99 11.99 435500 10424959 153.2891 20.39523 130.8544 123 135 12 208830 7177836 153.8829 20.44751 130.6243 128.25 132.06 3.81 22500 3424679 154.2774 20.47066 130.4969 129.26 132 2.74 69250 1900901 154.452 20.4107 129.8148 125.67 134.34 8.67 186670 6304694 153.9997 20.69358 132.5052 130.04 135.29 5.25 30900 5965625 156.134 20.73715 3.75 133.1048 128.6392 136.5 7.8608 418146 161138 156.4627 20.61595 131.7934 130.9 132.75 1.85 0 22123 155.5482 20.57123 132.2974 128.53 133.01 4.48 85656 28449 155.2109 20.86004 136.219 131.5 138.44 6.94 0 59709 157.3899 20.66944 155.9519 20.73275 156.4295 20.68344 135 135 135 0 0 940 156.0575 20.72007 134.1714 132.07 137 4.93 0 22244 156.3339 20.56834 126.7959 124.5 135.01 10.51 0 345174 155.189 20.40393 2.29 121.1215 117.48 124.81 7.33 864202 9191386 153.9485 20.34978 121.7732 117.37 126.6 9.23 414880 9424456 153.54 20.1355 107.9078 100 126 26 1100557 19714562 151.9233 20.06953 101.6651 97.78 106 8.22 1361597 18013669 151.4255 20.0598 100.5653 98.81 103 4.19 989764 12434394 151.3521 20.17081 107.273 100.27 115.03 14.76 484300 17759496 152.1897 20.17274 108.5414 103.23 114.3 11.07 136350 17216598 152.2042 20.00283 2.05 113.1443 104.8376 117.0922 12.2546 1307978 890688 150.9223 20.03445 111.5945 105.53 112.33 6.8 10675 181264 151.1608 19.94552 109.7356 105.83 114.5 8.67 50395 102355 150.4898 19.90862 109.7016 109 110.91 1.91 0 23793 150.2114 20.13389 112.6383 111.45 113.99 2.54 0 600 151.9111 20.11713 114.95 114.95 114.95 0 0 500 151.7847 20.13249 117.1519 116 117.29 1.29 0 3600 151.9005 20.14194 117.3686 116 120.5 4.5 0 223136 151.9719 20.05446 107.9773 103.5 119.6 16.1 78200 1381956 151.3118 20.08372 2.4 108.2316 103 112.91 9.91 624629 10223809 151.5326 20.13505 111.096 105.5 115.28 9.78 92000 11950874 151.9199 19.86421 101.8925 98.3 107.29 8.99 157700 13883503 149.8763 19.68719 95.61509 85.88 111.02 25.14 481528 14731859 148.5408 19.84172 99.37899 86.85 107.67 20.82 526714 19730278 149.7067 19.89914 101.2557 94.75 117.19 22.44 175721 12666543 150.1399 20.5016 110.8098 96.46 120 23.54 761816 24633128 154.6855 20.47198 2.69 107.1007 94.7637 119.28 24.5163 1518878 313393 154.462 20.50261 108.84 107.5 115.1088 7.6088 30850 138965 154.6931 20.67464 109.5712 108 114.5 6.5 0 59926 155.9911
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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
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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
Page 445 and 446:
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
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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 and 568:
0 208240 38.53788 37.8859 37.84 37.
Page 569 and 570:
0 119996 38.95339 39.13122 39.06 39
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
Page 633 and 634:
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
Page 651 and 652:
362 363 364 365 366 367 368 369 370
Page 653 and 654:
466 467 468 469 470 471 472 473 474
Page 655 and 656:
570 571 572 573 574 575 576 577 578
Page 657 and 658:
Morgan Stanley Intraday Trading by
Page 659 and 660:
Goldman Sachs September Activity Ja
Page 661 and 662:
Trading Patterns of Interest • Tr
Page 663 and 664:
Goldman Sachs Stock Price Summary P
Page 665 and 666:
Goldman Sachs Intra-Day Stock Price
Page 667 and 668:
Goldman Sachs Intra-Day Stock Price
Page 669 and 670:
Goldman Sachs 21(a) Response - Exam
Page 671 and 672:
Goldman Sachs 21(a) Response - Exam
Page 673 and 674:
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
Page 681 and 682:
Goldman Sachs Example 8c: Assent St
Page 683 and 684:
Summary File Common Stock Transacti
Page 685 and 686:
Confidential 45 Wellington Capital
Page 687 and 688:
OEA DRAFT - INTERNAL Therefore, exa
Page 689 and 690:
Figure 2 Percent of Shares Outstand
Page 691 and 692:
Page 693 and 694:
Page 695 and 696:
Page 697 and 698:
Merrill Lynch September Activity Ja
Page 699 and 700:
Page 701 and 702:
Merrill Lynch Stock Price Summary P
Page 703 and 704:
Merrill Lynch Intra-Day Stock Price
Page 705 and 706:
Merrill Lynch Intra-Day Stock Price
Page 707 and 708:
Merrill Lynch CDS Prices of New Tra
Page 709 and 710:
Merrill Lynch CDS Transactions Top
Page 711 and 712:
Merrill Lynch 21(a) Response - Exam
Page 713 and 714:
Page 715 and 716:
Page 717 and 718:
Merrill Lynch Example 7a: Assent St
Page 719 and 720:
Merrill Lynch Example 7c: Assent St
Page 721 and 722:
Page 723 and 724:
Morgan Stanley Stock Price Summary
Page 725 and 726:
Morgan Stanley Intra-Day Stock Pric
Page 727 and 728:
Morgan Stanley CDS Summary SEC_OEA_
Page 729 and 730:
Morgan Stanley 21(a) Response - Exa
Page 731 and 732:
Page 733 and 734:
Page 735 and 736:
Page 737 and 738:
Page 739 and 740:
Morgan Stanley September Activity J
Page 741 and 742:
Page 743 and 744:
Morgan Stanley Stock Price Summary
Page 745 and 746:
Page 747 and 748:
Page 749 and 750:
Morgan Stanley CDS Prices of New Tr
Page 751 and 752:
Morgan Stanley CDS Transactions Top
Page 753 and 754:
Morgan Stanley Example 1b: CDS Cita
Page 755 and 756:
Morgan Stanley Example 2b: CDS Paul
Page 757 and 758:
Morgan Stanley Example 3b: CDS Deut
Page 759 and 760:
Morgan Stanley Example 4b: CDS Merr
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Morgan Stanley Example 5b: Assent S
Page 763 and 764:
Page 765 and 766:
Washington Mutual September Activit
Page 767 and 768:
Page 769 and 770:
Washington Mutual Stock Price Summa
Page 771 and 772:
Washington Mutual Intra-Day Stock P
Page 773 and 774:
Washington Mutual Intra-Day Stock P
Page 775 and 776:
Washington Mutual CDS Prices of New
Page 777 and 778:
Washington Mutual CDS Transactions
Page 779 and 780:
Washington Mutual 21(a) Response -
Page 781 and 782:
Page 783 and 784:
Page 785 and 786:
Washington Mutual Example 7a: Assen
Page 787 and 788:
Washington Mutual Example 7c: Assen
Page 789 and 790:
Page 791 and 792:
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
Page 797 and 798:
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
Page 808 and 809:
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
Page 845:
Table of Contents Because the selli
Page 848 and 849:
Table of Contents PLAN OF DISTRIBUT
Page 850 and 851:
Table of Contents PROSPECTUS Senior
Page 852 and 853:
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
Page 858 and 859:
Table of Contents CALCULATION OF RE
Page 860 and 861:
TABLE OF CONTENTS ABOUT THIS PROSPE
Page 862 and 863:
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: Table of Contents Shares of Series
Page 901: Table of Contents Shares of Series
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: 21.08166 159.9686 159.95 160.03 0.0
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:
Page 1007 and 1008:
• 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
Page 1015 and 1016:
Page 1017 and 1018:
Page 1019 and 1020:
Page 1021 and 1022:
Page 1023 and 1024:
Page 1025 and 1026:
Page 1027 and 1028:
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Page 1099 and 1100:
Page 1101 and 1102:
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
Page 1121 and 1122:
Reg SHO Pilot Report 2/12/2007 In J
Page 1123 and 1124:
Reg SHO Pilot Report 2/12/2007 grou
Page 1125 and 1126:
Reg SHO Pilot Report 2/12/2007 pilo
Page 1127 and 1128:
Reg SHO Pilot Report 2/12/2007 Thir
Page 1129 and 1130:
Reg SHO Pilot Report 2/12/2007 II H
Page 1131 and 1132:
Reg SHO Pilot Report 2/12/2007 In 1
Page 1133 and 1134:
Reg SHO Pilot Report 2/12/2007 With
Page 1135 and 1136:
Reg SHO Pilot Report 2/12/2007 stoc
Page 1137 and 1138:
Reg SHO Pilot Report 2/12/2007 This
Page 1139 and 1140:
Reg SHO Pilot Report 2/12/2007 rule
Page 1141 and 1142:
Reg SHO Pilot Report 2/12/2007 Simi
Page 1143 and 1144:
Reg SHO Pilot Report 2/12/2007 The
Page 1145 and 1146:
Reg SHO Pilot Report 2/12/2007 V Me
Page 1147 and 1148:
Reg SHO Pilot Report 2/12/2007 R =
Page 1149 and 1150:
Reg SHO Pilot Report 2/12/2007 dist
Page 1151 and 1152:
Reg SHO Pilot Report 2/12/2007 acti
Page 1153 and 1154:
Reg SHO Pilot Report 2/12/2007 Stoc
Page 1155 and 1156:
Reg SHO Pilot Report 2/12/2007 side
Page 1157 and 1158:
Reg SHO Pilot Report 2/12/2007 Stoc
Page 1159 and 1160:
Reg SHO Pilot Report 2/12/2007 toge
Page 1161 and 1162:
Reg SHO Pilot Report 2/12/2007 incr
Page 1163 and 1164:
Reg SHO Pilot Report 2/12/2007 day
Page 1165 and 1166:
Reg SHO Pilot Report 2/12/2007 mani
Page 1167 and 1168:
Reg SHO Pilot Report 2/12/2007 pilo
Page 1169 and 1170:
Reg SHO Pilot Report 2/12/2007 marg
Page 1171 and 1172:
Reg SHO Pilot Report 2/12/2007 acti
Page 1173 and 1174:
Reg SHO Pilot Report 2/12/2007 lowe
Page 1175 and 1176:
Reg SHO Pilot Report 2/12/2007 Refe
Page 1177 and 1178:
Page 1179 and 1180:
Page 1181 and 1182:
Page 1183 and 1184:
Page 1185 and 1186:
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Page 1189 and 1190:
Page 1191 and 1192:
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Page 1197 and 1198:
Page 1199 and 1200:
Page 1201 and 1202:
Reg SHO Pilot Report 2/12/2007 Figu
Page 1203 and 1204:
Page 1205 and 1206:
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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