SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Recommendations

Info

Pursuant to my voicemail, below is the email from the Chairman. He wants to know why the below securities weren't threshold on Sept. 17, but were threshold on Sept. 26. We were wondering if you could pull the fails data, see who's failing in the securities, and also let us know if these are optionable securities. Erik is meeting with the Chairman at 3pm today. So, any info by then would be fantastic. Thanks!! -----Original Message----- From: Sirri, Erik R. Sent: Saturday, September 27, 2008 11:46 AM To: Brigagliano, James A.; Colby, Robert LD; Crane, Victoria L.; Tao, Josephine J. Cc: Gallagher, Jr., Daniel M. Subject: FW: Rules without Teeth From the Chairman. It must be the case the market makers are failing here? But OMM is now gone, and we're at T+3. What is your guess as to the source and mechanism. __________________________________ Erik R. Sirri <strong>SEC</strong>, Div. of Trading and Markets sirrie@sec.gov (202) 551-5500 -----Original Message----- From: Cox, Christopher Sent: Saturday, September 27, 2008 11:37 AM To: Sirri, Erik R. Subject: Fw: Rules without Teeth Erik--we should discuss this issue and possible remedies.Thanks, Chris ***************** Sent from BlackBerry Wireless Handheld. ----- Original Message ----- From: Susanne Trimbath To: Cox, Christopher Sent: Fri Sep 26 19:19:40 2008 Subject: Rules without Teeth Chairman Cox: The following companies, included in the <strong>SEC</strong>'s Sept. 19 emergency order prohibiting "short selling any publicly traded securities of any Included Financial Firm" are on the NYSE SHO Threshold list for Sept 26 and NOT for Sept 17: BAC (pr j), DSL, FIG, KEY (pr g), RGA(.a), USB (PR L), WHI and WM. This has been my point all along. Why short sell when you can simply fail to deliver? You achieve the same purpose and save the time and cost of borrowing. Please, enforce finality of settlement. Sincerely, ___________________ Susanne Trimbath, Ph.D. CEO and Chief Economist STP Advisory Services, LLC 4089 S. 84th Street, #145 Omaha, NE 68127 402-932-8888 ext. 300 2
2118 Wilshire Boulevard, #596 Santa Monica, CA 90403 310-285-8153 Website: www.STPAdvisors.com Research: http://papers.ssrn.com/Author=272819 NOTICE: This message, including any attachments, may include privileged, confidential and/or inside information. Any distribution or use of this communication by anyone other than the intended recipient(s) is strictly prohibited and may be unlawful. If you are not the intended recipient, please notify the sender by replying to this message and then delete it from your system. Thank you. 3
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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
Page 51 and 52:
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
Page 73 and 74:
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
Page 81 and 82:
SEC_OEA_FCIC_001840
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SEC_OEA_FCIC_001842
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In-Threshold Run Length in Number o
Page 87 and 88:
Beta Excess Return cond. on # of da
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Page 91 and 92:
Page 93 and 94:
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_
Page 133 and 134:
CEDAR HILL CAP 18 bullish bull_18 1
Page 135 and 136:
GOLDMAN SACHS 35 ssell ssel_35 -10,
Page 137 and 138:
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
Page 167 and 168:
BLUE MTN CREDI 12 abuy abuy_12 -20,
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GENERAL ELECT 34 bearish bear_34 GE
Page 171 and 172:
NATIONAL BANK O 56 cnet cnet_56 0 -
Page 173 and 174:
PIM2679 78 sbuy sbuy_78 PIM2679 78
Page 175 and 176:
PROVINZIAL RHE 101 abuy abuy_101 PR
Page 177 and 178:
Page 179 and 180:
Price $15.00 $12.50 $10.00 $7.50 $5
Page 181 and 182:
21 18 COL1 3.807082 3.54 4.04 0.5 3
Page 183 and 184:
Page 185 and 186:
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Date Open High Low Close Volume Adj
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date2 _NAME_2 no_NoPay_C fi_NoPay_C
Page 207 and 208:
PIM6888 100 Citigroup Credit Defaul
Page 209 and 210:
- 91 41 Bearish # - / Bullish # 91
Page 211 and 212:
BLACK DIAMOND OFFSHORE, LTD 11 abuy
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FORE ERISA FUND, LTD. 31 bearish be
Page 215 and 216:
MARATHON 51 cnet cnet_51 0 0 -45,00
Page 217 and 218:
PIM2224 71 sbuy sbuy_71 1,000,000 P
Page 219 and 220:
PIM4807 92 abuy abuy_92 PIM4807 92
Page 221 and 222:
THE ROYAL BANK OF SCOTLAND PLC 112
Page 223 and 224:
11/18/08 -17000000 10000000 -7,000,
Page 225 and 226:
Page 227 and 228:
Adjusted Close 25 20 15 10 5 0 10/1
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
BBVA DerivServ SUBMITTING_PARTY SUB
Page 239 and 240:
BUYER_NAME SELLER_ID SELLER_NAME TR
Page 241 and 242:
SUBMIT_DATE SUBMIT_TIME TRANSACTION
Page 243 and 244:
NOTIONAL_AMOUNT NOTIONAL_CURRENCY A
Page 245 and 246:
POST_TRADE_PAYMENT_DATE POST_TRADE_
Page 247 and 248:
PERIOD_MULTIPLIER PAYMENT_FREQUENCY
Page 249 and 250:
INITIAL_CURRENCY RESTRUCTING_INDICA
Page 251 and 252:
MATRIX_TYPE PUBLICATION_DATE 01/01/
Page 253 and 254:
MATRIX_AGREEMENT_DATE ASSIGNMENT_RO
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Page 257 and 258:
Page 259 and 260:
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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_
Page 277 and 278:
CREDIT SUISSE INTERNATIONAL 21 abuy
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INTERN KAPIT MBH (PRV-C) 41 bearish
Page 281 and 282:
PIM1356 61 cnet cnet_61 500,000 500
Page 283 and 284:
PIM2755 81 sbuy sbuy_81 300,000 PIM
Page 285 and 286:
PURSUIT 102 abuy abuy_102 PURSUIT 1
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BNP Paribas Securities Corp. Top No
Page 289 and 290:
Page 291 and 292:
Volume (thousands) 1 , 1 0 0 1 , 0
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Page 295 and 296:
Page 297 and 298:
Volume (thousands) Price and Volume
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Volume (thousands) Price and Volume
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Page 305 and 306:
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
Page 315 and 316:
Form SH Reported Short Volume for C
Page 317 and 318:
Form SH Data Quality Check of Volum
Page 319 and 320:
Form SH Summary of Securities by CR
Page 321 and 322:
# of Securities (3,989 Total) 1,600
Page 323 and 324:
# Security - Days (3,899 Total) 600
Page 325 and 326:
Form SH Reported Data Compared to O
Page 327 and 328:
# Daily Positions 300,000 250,000 2
Page 329 and 330:
# Daily Volumes 45,000 40,000 35,00
Page 331 and 332:
Securities Reported by Filers 30,00
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Dollar Value Sold Short ($ Millions
Page 335 and 336:
# of Security Days with Some Report
Page 337 and 338:
# of Security Days with Significant
Page 339 and 340:
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
Page 343 and 344:
Price $17.50 $17.00 $16.50 $16.00 $
Page 345 and 346:
Price $50.00 $45.00 $40.00 $35.00 $
Page 347 and 348:
Price $2.40 $2.35 $2.30 $2.25 $2.20
Page 349 and 350:
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
Page 377 and 378:
ndays_nex ndays_nex COMNAM 1 1 RITC
Page 379 and 380:
PERMNO trade_date sdevv vol_crsp vo
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trade_date _NAME_ PRC_1 prc_down_ p
Page 383 and 384:
vol_rest_7 PRC_10 prc_down_ prc_up_
Page 385 and 386:
TY ENTERPRISES INC Y CO E BRANDS IN
Page 387 and 388:
17 0 191 191 17 18 0 154 154 18 19
Page 389 and 390:
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 $
Page 395 and 396:
Price $46.00 $45.00 $44.00 $43.00 $
Page 397 and 398:
Price $46.00 $45.00 $44.00 $43.00 $
Page 399 and 400:
Price $46.00 $45.00 $44.00 $43.00 $
Page 401 and 402:
Price $40.00 $35.00 $30.00 $25.00 $
Page 403 and 404:
Price $40.00 $35.00 $30.00 $25.00 $
Page 405 and 406:
Price $40.00 $35.00 $30.00 $25.00 $
Page 407 and 408:
Symbol hour minute sort trend5_2 tr
Page 409 and 410:
MS 17 43 0 MS 17 44 0 MS 17 45 0 MS
Page 411 and 412:
MS 8 27 1 MS 8 28 1 MS 8 29 1 MS 8
Page 413 and 414:
MS 10 11 1 MS 10 12 1 MS 10 13 1 MS
Page 415 and 416:
MS 11 55 1 MS 11 56 1 MS 11 57 1 MS
Page 417 and 418:
MS 13 39 1 MS 13 40 1 MS 13 41 1 MS
Page 419 and 420:
MS 15 23 1 MS 15 24 1 MS 15 25 1 MS
Page 421 and 422:
HBB HBB HBB HBB HBB HBB HBB HBB HBB
Page 423 and 424:
HBB LBB HBB LBB HBB LBB HBB LBB HBB
Page 425 and 426:
LBB LBB LBB LBB LBB LBB
Page 427 and 428:
HBB HBB HBB HBB HBB HBB HBB HBB HBB
Page 429 and 430:
118679 140734 81539 98153 119580 10
Page 431 and 432:
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
Page 439 and 440:
594851 477540 815219 558737 595063
Page 441 and 442:
533491 248814 375456 321906 302504
Page 443 and 444:
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
Page 477 and 478:
MS 11 1 MS 11 2 MS 11 3 MS 11 4 MS
Page 479 and 480:
MS 12 45 MS 12 46 MS 12 47 MS 12 48
Page 481 and 482:
MS 14 29 MS 14 30 MS 14 31 MS 14 32
Page 483 and 484:
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
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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
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Washington Mutual CDS Transactions
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Washington Mutual 21(a) Response -
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Washington Mutual Example 7a: Assen
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Washington Mutual Example 7c: Assen
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Form 424B2 NATIONAL CITY CORP - ncc
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2013 at a redemption price per shar
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Table of Contents ABOUT THIS PROSPE
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Table of Contents SUMMARY This summ
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Table of Contents Dividend Stopper
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S-4
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Table of Contents RISK FACTORS An i
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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
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Table of Contents number of shares
Page 814 and 815:
Table of Contents not to issue such
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Table of Contents adjustments to th
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Table of Contents to authorize, or
Page 820 and 821:
Table of Contents exercised by the
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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
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Table of Contents Plan, or any pers
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Table of Contents Shares of Series
Page 834 and 835:
Table of Contents Maximum Number of
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Page 839 and 840:
Page 841 and 842:
Table of Contents (1) The “Maximu
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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
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
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TABLE OF CONTENTS ABOUT THIS PROSPE
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Table of Contents Risks and uncerta
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Table of Contents Stock will automa
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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
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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
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Table of Contents Right to Elect Tw
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Table of Contents participating, op
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Table of Contents based on the high
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Table of Contents CERTAIN U.S. FEDE
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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
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Table of Contents (22) All of the e
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Table of Contents Each of SAC Capit
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Table of Contents EXPERTS The conso
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TABLE OF CONTENTS Prospectus About
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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: Fallon, Zachary From: Edwards, Amy
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: Figure 1 Percent of Shares Outstand
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
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Reg SHO Pilot Report DRAFT 9/14/200
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permanent the relevant provisions o
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• 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
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Fail Category Settlement Days to Cl
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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
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Reg SHO Pilot Report 2/12/2007 stoc
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Reg SHO Pilot Report 2/12/2007 This
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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
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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
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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
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TO: File FROM: Office of Economic A
Page 1209 and 1210:
• The average daily number of opt
Page 1211 and 1212:
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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:
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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
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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
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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.
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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
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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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