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Notice

Securities Exchange Act of 1934; Order Suspending the Operation of Short Sale Price Provisions for Designated Securities and Time Periods

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Start Preamble Start Printed Page 48032

The Securities and Exchange Commission (“Commission”), by this Order, is establishing a Pilot (“Pilot”) suspending the provisions of Rule 10a-1(a) under the Securities Exchange Act of 1934 (the “Act”) [1] and any short sale price test of any exchange or national securities association for: (1) Short sales [2] in the stocks identified in Appendix A to this Order; (2) short sales in any security included in the Russell 1000 index effected between 4:15 p.m. EST and the open of the consolidated tape [3] on the following day; and (3) short sales in any security not included in paragraphs (1) and (2) above effected in the period between the close of the consolidated tape and the open of the consolidated tape the following day. The Commission is establishing this Pilot for a one-year period commencing on January 3, 2005. The Commission may issue subsequent orders that affect the operation of the Pilot. The Commission finds that the Pilot is necessary and appropriate in the public interest and consistent with the protection of investors.[4]

I. Short Selling In Designated Securities

During the term of the Pilot, all short selling in the securities identified in Appendix A to this Order shall be effected without regard to the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association. As discussed below, the Commission has selected a subset of stocks from the Russell 3000 index for inclusion in the Pilot, after giving due consideration to the liquidity, volatility, market depth and trading market of these securities.

A pilot that includes a subset of securities from the Russell 3000 provides a balanced and targeted approach to assessing the efficacy of a price test for short sales for a broad range of securities. The average daily dollar volume for the securities in the Russell 3000 index in 2003 was $22.9 million dollars.

We selected the securities to be included in the Pilot by first excluding the 32 securities in the Russell 3000 index as of June 25, 2004 that are not Nasdaq national market securities (“NNM”), listed on the American Stock Exchange (“Amex”), or listed on the New York Stock Exchange (“NYSE”) because short sales in these securities are currently not subject to a price test. We also excluded issuers whose initial public offerings commenced after April 30, 2004.[5] We then sorted the remaining securities into three groups—Amex, Nasdaq NNM and NYSE—and ranked the securities in each group by average daily dollar volume over the one year prior to the issuance of this order from highest to lowest for the period.[6] In each group, we then selected every third stock from the remaining stocks.[7]

The Pilot stocks consist of 50% NYSE listed securities, 2.2% Amex listed securities, and 47.8% Nasdaq NNM securities. The Pilot stocks include stocks that have associated options trading on a registered options exchange or Nasdaq (63.7% of Pilot stocks) and associated securities futures (2.8% of Pilot stocks).[8]

The Pilot includes securities with varying levels of liquidity, which will enable us to examine whether the absence of a short sale price test affects less liquid and more liquid securities differently. We do not believe that there is sufficient volatility in these securities so as to make them inappropriate for inclusion in the Pilot. In addition, these securities have significant market depth, and are traded on exchanges or other organized markets with high levels of transparency and surveillance, which will enhance the ability of the Commission and self-regulatory organizations (“SROs”) to monitor trading behavior during the Pilot and surveil for manipulative short selling.

The remaining stocks in the Russell 3000 index will function as the control group.[9] The securities in the control group are similar to the stocks in the Pilot group in terms of the percentage of NYSE, Amex, and Nasdaq securities, as well as securities for which there are associated options and single stock futures.[10]

We are establishing the Pilot as part of the Commission's review of short sale regulation.[11] The Pilot is in the public interest because it will assist us in assessing whether changes to short sale regulation are necessary in light of current market practices and the purposes underlying short sale regulation.[12] The Pilot will enable us to obtain empirical data to help assess whether short sale regulation should be removed, in part or in whole, for actively-traded securities, or if retained, should be applied to additional securities. The Pilot will allow us to study trading behavior in the absence of a short sale price test on the stocks selected by comparing the trading behavior of the control group stocks to that of the Pilot stocks through empirical analysis. We will examine, among other things, the impact of price tests on market quality (including volatility and liquidity), whether any price changes are caused by short selling, costs imposed by a price test, and the use of alternative means to establish short positions.

We do not believe that any variations in prices and trading activity between the Pilot stocks and similar securities not subject to the price test will be problematic. The risk of any adverse impact on the Pilot securities is expected to be small, particularly relative to the benefits of obtaining empirical data regarding trading behavior in the absence of a short sale price test.[13] A large number of Pilot Start Printed Page 48033stocks are actively traded, and as we have previously stated, we believe that actively traded securities are less susceptible to manipulation.[14] In addition, the Commission and the SROs will monitor trading activity during the Pilot and surveil for manipulative short selling.

We believe that a one-year Pilot will allow the Commission sufficient time to gather and analyze data necessary to reach conclusions regarding trading behavior in the absence of short sale price restrictions. The Commission, however, may, by further order, terminate, extend the period of, or modify the Pilot as it determines necessary or appropriate in the public interest or for the protection of investors. In addition, the Pilot will suspend only the operation of short sale price tests. All other short sale rules, including the other provisions of Rule 10a-1,[15] the marking, locate and delivery requirements adopted under Regulation SHO,[16] and applicable SRO rules, will remain in effect.

II. Short Selling During After-Hours Trading

During the Pilot, short sales: (1) In any security included in the Russell 1000 index effected after 4:15 p.m. e.s.t. and the open of the consolidated tape on the following day; and (2) in any security not included either in paragraph (1) or in the designated securities described in Section I above effected between the close of the consolidated tape and the open of the consolidated tape on the following day, shall be effected without regard to the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association.

Securities in the Russell 1000 index are appropriate for inclusion in a Pilot examining short sales between 4:15 p.m. and the close of the consolidated tape.[17] The Russell 1000 index represents a broad range of securities; it comprises 1,000 of the largest companies in the Russell 3000 index (approximately 92% of the total market capitalization of the Russell 3000 index).[18] Although there is limited trading volume in these securities after 4:15 p.m., we believe the liquidity is sufficient to allow us to examine the impact of removing short sale price tests.

Moreover, we believe securities in the Russell 1000 index are less susceptible to manipulative short selling in the absence of a price test after 4:15 p.m. than securities of issuers with a lower market capitalization. A subset of the Russell 3000, the Russell 1000 securities generally trade on exchanges or other organized market centers, and we believe that as a result, the investment community widely follows Russell 1000 index securities. Any aberrations in price are likely to be observed and addressed quickly. In addition, while after-hours trading has grown in recent years, the volume is relatively small compared to the volume of trading occurring during regular trading hours when liquidity is greatest and prices reflect active market interest.[19] Thus, the impact of any manipulative short selling after hours would be less than the effect of such activity during regular market hours because after-hours prices are not widely viewed as indicative of normal market prices. Further, we do not believe that there is sufficient volatility in these securities after hours so as to make them inappropriate for inclusion in the Pilot. The lack of significant market depth in these securities after hours will allow us to examine what effect, if any, removing a short sale price test has where information on buy and sell orders is not as readily available.

This portion of the Pilot will allow us to examine whether removing a price test after the close of regular trading in securities included in the Russell 1000 index would benefit investors and the markets by increasing liquidity and pricing efficiency in these securities in the after-hours market. We will also be able to study whether the absence of a short sale price test enhances a broker-dealer's ability to facilitate customer orders in a security at a specific reference price, such as the closing price or volume weighted average price, that are often executed in the after-market.

For these reasons, we believe that it is appropriate that the Pilot include the suspension of all price tests for all securities included in the Russell 1000 index for short sales effected between 4:15 p.m. and the open of the consolidated tape the following day.[20]

We are also removing the price tests during the one-year Pilot period for short sales in any other security effected when the consolidated tape is not operating. This portion of the Pilot is important because it will allow us to study the effect of removal of a price test on a broader segment of the market than the other parts of the Pilot while the consolidated tape is not operating. It will also allow us to study whether, and to what extent, removal of the price test after hours will affect regular trading in the security on the following day. Moreover, we do not believe this portion of the Pilot will pose any threat to liquidity or increase volatility in these securities after-hours. Historically, the Commission has found that there is little evidence that significant trading activity occurs when the consolidated tape is not operating,[21] and there is little transparency or market depth. Nevertheless, the Commission and the SROs will monitor the trading and our analysis of data obtained from the Pilot will also focus on the impact of after-hours short selling.

III. Conclusion

The Commission finds that establishing the Pilot for the reasons stated above is necessary and appropriate in the public interest and consistent with the protection of investors. The Pilot will allow the Commission to obtain empirical data and study the effects of short selling in the absence of price test restrictions.

Accordingly,

A. It is hereby ordered that the suspension of the short sale price tests described below in Paragraph B shall commence on January 3, 2005, and shall terminate on December 31, 2005. The Commission from time to time may issue further orders affecting the operation of this Order. Start Printed Page 48034

B. It is further ordered that the provisions of Rule 10a-1(a) and any short sale price test of any exchange or national securities association are suspended with respect to:

(1) Short sales in the securities set forth in Appendix A to this Order;

(2) Short sales in any security included in the Russell 1000 index effected between 4:15 p.m. e.s.t. and the open of the consolidated tape on the following day; and

(3) Short sales in any security not included in paragraphs (1) and (2) above effected between the close of the consolidated tape and the open of the consolidated tape on the following day.

All other provisions of Rule 10a-1 shall remain in effect.

C. It is further ordered that no self-regulatory organization shall have a rule that is not in conformity with or conflicts with the provisions of Paragraph B. All other provisions of the rules of any self-regulatory organization shall remain in effect.

Start Signature

By the Commission.

Jill M. Peterson,

Assistant Secretary.

End Signature

Appendix A

The following securities are subject to this Order:

Ticker symbolCompany name
AAGILENT TECHNOLOGIES INC
AAIAIRTRAN HOLDINGS INC
AAONAAON INC
ABCAMERISOURCEBERGEN CORP
ABCOADVISORY BOARD CO
ABCWANCHOR BANCORP INC
ABGXABGENIX INC
ABKAMBAC FINANCIAL GRP INC
ABMDABIOMED INC
ABRARBOR REALTY TRUST INC
ABRXABLE LABORATORIES INC
ABTABBOTT LABORATORIES
ACAIATLANTIC COAST AIRLINES
ACAPAMERICAN PHYSICIANS CAP
ACMRA C MOORE ARTS & CRAFTS
ACTIACTIVCARD CORP
ACVALBERTO CULVER CO
ADADVO INC
ADICADVANCED DIGITAL INFO
ADLRADOLOR CORP
ADVNBADVANTA CORP
AEISADVANCED ENERGY INDS INC
AESAES CORP
AFASTORIA FINANCIAL CORP
AFCALLMERICA FINANCIAL CORP
AFCOAPPLIED FILMS CORP
AFFXAFFYMETRIX INC
AFRAMERICAN FINANCIAL RLTY
AGEEDWARDS AG INC
AGIIARGONAUT GROUP INC
AGNALLERGAN INC
AGPAMERIGROUP CORP
AGR.BAGERE SYSTEMS INC
AGYSAGILYSYS INC
AHCAMERADA HESS CORP
AHGAPRIA HEALTHCARE GROUP
AHRANTHRACITE CAPITAL INC
AHSAMN HEALTHCARE SERVICES
AINVAPOLLO INVESTMENT CORP
AIQALLIANCE IMAGING INC
AKAMAKAMAI TECHNOLOGIES
ALDALLIED CAPITAL CORP
ALEXALEXANDER & BALDWIN INC
ALGNALIGN TECHNOLOGY INC
ALKSALKERMES INC
ALLALLSTATE CORP
ALOGANALOGIC CORP
ALSCALLIANCE SEMICONDUCTOR
ALXALEXANDERS INC
AMDADVANCED MICRO DEVICES
AMEDAMEDISYS INC
AMLAMLI RESIDENTIAL PPTYS
AMMDAMERICAN MEDICAL SYSTEMS
AMRIALBANY MOLECULAR RESRCH
AMTDAMERITRADE HOLDING CORP
ANDWANDREW CORP
ANENANAREN INC
ANHANWORTH MORTGAGE ASSET
ANSIADVANCED NEUROMODULATION
ANSRANSWERTHINK INC
ANSSANSYS INC
AOSSMITH A O CORP
AOTAPOGENT TECHNOLOGIES
APCANADARKO PETROLEUM CORP
APCCAMERICAN PWR CONVERSION
APHAMPHENOL CORP
APOGAPOGEE ENTERPRISES INC
APOLAPOLLO GROUP INC
APPBAPPLEBEES INTERNATIONAL
APPXAMERICAN PHARMA PARTNERS
APSGAPPLIED SIGNAL TECH
AREALEXANDRIA REAL ESTATE
ARTCARTHROCARE CORP
ARWARROW ELECTRONICS INC
ARXXAEROFLEX INC
ASBCASSOCIATED BANC CORP
ASCAAMERISTAR CASINOS INC
ASGRAMERICA SERVICE GROUP
ASKJASK JEEVES INC
ASTEASTEC INDUSTRIES INC
ATACAFTERMARKET TECHNOLOGY
ATGAGL RESOURCES INC
ATIALLEGHENY TECHNOLOGIES
ATKALLIANT TECHSYSTEMS
ATMIATMI INC
ATMLATMEL CORP
ATNACTION PERFORMANCE COS
ATRAPTARGROUP INC
ATRXATRIX LABS INC
AUGTAUGUST TECHNOLOGY CORP
AVAVAYA INC
AVIDAVID TECHNOLOGY INC
AVTRAVATAR HOLDINGS INC
AVXAVX CORP
AVYAVERY DENNISON CORP
AWBCAMERICANWEST BANCORP
AWEAT&T WIRELESS SERVICES
AWRAMERICAN STATES WATER CO
AXEANIXTER INTERNATIONAL
AYIACUITY BRANDS INC
AZRAZTAR CORP
BBARNES GROUP INC
BBABOMBAY CO INC
BBOXBLACK BOX CORP
BBTBB&T CORP
BCBRUNSWICK CORP
BCSIBLUE COAT SYSTEMS INC
BDGBANDAG INC
BDNBRANDYWINE REALTY TRUST
BEASBEA SYSTEMS INC
BEAVBE AEROSPACE INC
BEBEBEBE STORES INC
BECBECKMAN COULTER INC
BENFRANKLIN RESOURCES INC
BF.BBROWN FORMAN CORP
BFSSAUL CENTERS INC
BGFVBIG 5 SPORTING GOODS
BGPBORDERS GROUP INC
BHSBROOKFIELD HOMES CORP
BIIBBIOGEN IDEC INC
BIOBIO-RAD LABORATORIES INC
BIOVBIOVERIS CORPORATION
BJBJS WHOLESALE CLUB INC
BLCBELO CORP
BLSBELLSOUTH CORP
BMCBMC SOFTWARE INC
BNIBURLINGTON NORTHERN
BOBEBOB EVANS FARMS INC
BPOPPOPULAR INC
BRBURLINGTON RESOURCES INC
BRCDBROCADE COMMUNICATIONS
BRCMBROADCOM CORP
BRLBARR PHARMACEUTICALS IN
BROBROWN & BROWN INC
BRWBRISTOL WEST HLDGS INC
BRYBERRY PETROLEUM CO
BSBNBSB BANCORP
BSCBEAR STEARNS COS INC
BSTEBIOSITE INC
BSXBOSTON SCIENTIFIC CO
BTRXBARRIER THERAPEUTICS INC
BWSBROWN SHOE INC
BXSBANCORPSOUTH INC
BYDBOYD GAMING CORP
CACCAMDEN NATIONAL CORP
CACHCACHE INC
CAHCARDINAL HEALTH INC
CAICACI INTERNATIONAL INC
CAKECHEESECAKE FACTORY INC
CALCONTINENTAL AIRLINES INC
CALMCAL MAINE FOODS INC
CAMCOOPER CAMERON CORP
CAMDCALIFORNIA MICRO DEVICES
CARSCAPITAL AUTOMOTIVE REIT
CASYCASEYS GENERAL STORES
CATYCATHAY GENERAL BANCORP
CBCHUBB CORP
CBBCINCINNATI BELL INC
CBSHCOMMERCE BANCSHARES INC
CBSSCOMPASS BANCSHARES INC
CBTCABOT CORP
CBUCOMMUNITY BANK SYSTEMS
CCCGCCC INFORMATION SVCS
CCECOCA COLA ENTERPRISE
CCRNCROSS COUNTRY HEALTHCARE
CCRTCOMPUCREDIT CORP
CCUCLEAR CHANNEL COMM INC
CDECOEUR D ALENE MINES CORP
CDICDI CORP
CDISCAL DIVE INTERNATIONAL
CDTCABLE DESIGN TECHNOLOGY
CEGCONSTELLATION ENERGY GRP
CENTCENTRAL GARDEN & PET CO
CERNCERNER CORP
CEYCERTEGY INC
CFBXCOMMUNITY FIRST BANK
CFCCOUNTRYWIDE FINANCIAL
CGLOEWS CORP—CAROLINA GR
CGCCASCADE NATURAL GAS CORP
Start Printed Page 48035
CGXCONSOLIDATED GRAPHIC
CHCOCITY HOLDING CO
CHECHEMED CORPORATION
CHFCCHEMICAL FINANCIAL CORP
CHHCHOICE HOTELS INTL INC
CHKCHESAPEAKE ENERGY CORP
CHRDCHORDIANT SOFTWARE INC
CHRSCHARMING SHOPPES INC
CHTTCHATTEM INC
CHUXO CHARLEYS INC
CICIGNA CORP
CIACITIZENS INC
CIMACIMA LABS INC
CKCROMPTON CORP
CKECCARMIKE CINEMAS INC
CKFRCHECKFREE CORP
CKHSEACOR HOLDINGS INC
CKRCKE RESTAURANTS INC
CLCOLGATE PALMOLIVE CO
CLECLAIRES STORES INC
CLFCCENTER FINANCIAL CORP
CLRSCLARUS CORP
CLSRCLOSURE MEDICAL CORP
CLZRCANDELA CORP
CMLSCUMULUS MEDIA INC
CMPCCOMPUCOM SYSTEMS INC
CMSCMS ENERGY CORP
CMTLCOMTECH TELECOMM
CMTYCOMMUNITY BANKS INC
CNACNA FINANCIAL CORP
CNBCOLONIAL BANCGROUP INC
CNMDCONMED CORP
CNTCENTERPOINT PPTYS TRUST
COCOCORINTHIAN COLLEGES INC
COKECOCA COLA BOTTLING
COLBCOLUMBIA BKG SYSTEM INC
COOCOOPER COMPANIES INC
COPCONOCOPHILLIPS
CORICORILLIAN CORP
COSICOSI INC
COSTCOSTCO WHOLESALE CORP
CPBCAMPBELL SOUP CO
CPHDCEPHEID INC
CPKICALIFORNIA PIZZA KITCHEN
CPRTCOPART INC
CPSCHOICEPOINT INC
CPWMCOST PLUS INC
CRAAPPLERA CORP CELERA
CRD.BCRAWFORD & CO
CRNCORNELL COMPANIES INC
CRSCARPENTER TECHNOLOGY
CRWNCROWN MEDIA HOLDINGS INC
CSCCOMPUTER SCIENCES CORP
CSECAPITALSOURCE INC
CSSCSS INDUSTRIES INC
CSTRCOINSTAR INC
CSXCSX CORP
CTBCOOPER TIRE & RUBBER CO
CTBICOMMUNITY TRUST BANCORP
CTCOCOMMONWEALTH TEL ENT
CTICCELL THERAPEUTICS INC
CTLCENTURYTEL INC
CTOCONSOLIDATED TOMOKA LAND
CTRCATO CORP
CTSCTS CORP
CTSHCOGNIZANT TECH SOLUTIONS
CTXSCITRIX SYSTEMS INC
CUBCUBIC CORP
CUNOCUNO INC
CUZCOUSINS PROPERTIES INC
CVCENTRAL VERMONT PUB SVC
CVTXCV THERAPEUTICS INC
CYPBCYPRESS BIOSCIENCES INC
CYTKCYTOKINETICS INC
DARDARLING INTERNATIONAL
DBRNDRESS BARN INC
DCIDONALDSON INC
DCLKDOUBLECLICK INC
DCNDANA CORP
DDICDDI CORP
DDSDILLARDS INC
DECKDECKERS OUTDOOR CORP
DGIIDIGI INTL INC
DGINDIGITAL INSIGHT CORP
DHCDANIELSON HOLDING CORP
DISDISNEY WALT CO
DJODJ ORTHOPEDICS INC
DKSDICKS SPORTING GOODS INC
DLTRDOLLAR TREE STORES INC
DMRCDIGIMARC CORP
DOVDOVER CORP
DOVPDOV PHARMACEUTICAL INC
DPDIAGNOSTIC PRODUCTS CORP
DPMIDUPONT PHOTOMASKS INC
DPTRDELTA PETROLEUM CORP
DREDUKE REALTY CORP
DRXRDREXLER TECHNOLOGY CORP
DSSQUANTUM CORP
DTASDIGITAS INC
DTPIDIAMONDCLUSTER INTL INC
DTSIDIGITAL THEATRE SYSTEMS
DUSADUSA PHARMACEUTICALS INC
DVDEVRY INC
DVDDOVER MOTORSPORTS INC
EACENCORE ACQUISITION CO
EASENERGY EAST CORP
EASIENGINEERED SUPPORT SYS
EBAYEBAY INC
EBFENNIS BUSINESS FORMS INC
ECLGECOLLEGE COM
ECSIENDOCARDIAL SOLUTIONS
EDCONSOLIDATED EDISON INC
EDLGEDUCATION LENDING GROUP
EDSELECTRONIC DATA SYSTEMS
EFDEFUNDS CORP
EFIIELECTRONICS FOR IMAGING
EFXEQUIFAX INC
EGNENERGEN CORP
EGOVNIC INC
EIXEDISON INTERNATIONAL
ELESTEE LAUDER COMPANIES
ELNKEARTHLINK INC
ELONECHELON CORP
ELYCALLAWAY GOLF CO
EMCE M C CORP
ENDPENDO PHARMACEUTICALS
ENMCENCORE MEDICAL CORP
ENTGENTEGRIS INC
ENZENZO BIOCHEM INC
EOGEOG RESOURCES INC
EOPEQUITY OFFICE PPTYS TR
EPAXAMBASSADORS GROUP INC
EPEXEDGE PETROLEUM CORP
EPICEPICOR SOFTWARE CORP
EPIXEPIX MEDICAL INC
EQREQUITY RESIDENTIAL
EQTEQUITABLE RESOURCES INC
ERESERESEARCHTECHNOLOGY INC
ESCAESCALADE INC
ESIOELECTRO SCIENTIFIC INDS
ESLESTERLINE TECHNOLOGIES
ESPDESPEED INC
ESSESSEX PROPERTY TRUST INC
ESSTESS TECHNOLOGY INC
ESVENSCO INTERNATIONAL INC
ETE TRADE FINANCIAL CORP
ETMENTERCOM COMMUNICATIONS
ETRENTERGY CORP
EVEATON VANCE CORP
EXLTEXULT INC
EYETEYETECH PHARMACEUTICALS
FACFIRST ACCEPTANCE CORP
FADVFIRST ADVANTAGE CORP
FBCFLAGSTAR BANCORP INC
FBTXFRANKLIN BANK CORP
FCE.AFOREST CITY ENTRPRS
FCHFELCOR LODGING TRUST INC
FCNCAFIRST CITIZENS BANCSHRS
FCXFREEPORT-MCMORAN C&G
FDFEDERATED DEPT STORE
FDSFACTSET RESEARCH SYSTEMS
FFFLFIDELITY BANKSHARES INC
FFINFIRST FINL BANKSHARES
FICFAIR ISAAC CORP
FIFFINANCIAL FED CORP
FINLFINISH LINE INC
FISIFINANCIAL INSTNS INC
FLFOOT LOCKER INC
FLBFIRST NATL BANKSHARES
FLOFLOWERS FOODS INC
FLRFLUOR CORP
FLYRNAVIGANT INTERNATIONAL
FMERFIRSTMERIT CORP
FMKTFREEMARKETS INC
FOBBFIRST OAK BROOK BANCSHRS
FOEFERRO CORP
FONSPRINT FON GROUP
FORRFORRESTER RESEARCH INC
FPICFPIC INSURANCE GROUP INC
FPLFPL GROUP INC
FRFIRST INDUSTRIAL RLTY TR
FREDFREDS INC
FRKFLORIDA ROCK INDUSTRIES
FRMEFIRST MERCHANTS CORP
FRNTFRONTIER AIRLINES INC
FRTFEDERAL REALTY INVT
FRXFOREST LABS INC
FSHFISHER SCIENTIFIC INTL
FSLAFIRST SENTINEL BANCORP
FTBKFRONTIER FINANCIAL CORP
FTIFMC TECHNOLOGIES INC
FULFULLER H B CO
GGILLETTE CO
GASNICOR INC
GBBKGREATER BAY BANCORP
GBCIGLACIER BANCORP INC
GBNDGENERAL BINDING CORP
GBPGABLES RESIDENTIAL TRUST
GBXGREENBRIER COMPANIES INC
GCOGENESCO INC
GDIGARDNER DENVER INC
GDYSGOODYS FAMILY CLOTHING
GEFGREIF INC
GERNGERON CORP
GETGAYLORD ENTMT CO
GGGGRACO INC
GGPGENERAL GROWTH PPTYS INC
GIFIGULF ISLAND FABRICATION
GISXGLOBAL IMAGING SYSTEMS
GKSRAG&K SERVICES INC
GLTGLATFELTER
GLWCORNING INC
GMRKGULFMARK OFFSHORE INC
GMTGATX CORP
GPCGENUINE PARTS CO
GPIGROUP 1 AUTOMOTIVE INC
GPPGOVERNMENT PPTYS TRUST
GPTGREENPOINT FINANCIAL
GRCGORMAN RUPP CO
Start Printed Page 48036
GSGOLDMAN SACHS GROUP INC
GTGOODYEAR TIRE & RUBBER
GTIGRAFTECH INTL LTD
GTKGTECH HOLDINGS CORP
GTYGETTY REALTY CORP
GWGREY WOLF INC
GWRGENESEE & WYOMING INC
GWWGRAINGER W W INC
GYGENCORP INC
HARBHARBOR FLORIDA BANCSHRS
HASHASBRO INC
HBANHUNTINGTON BANCSHARES
HBEKHUMBOLDT BANCORP
HBHCHANCOCK HOLDING CO
HCHANOVER COMPRESSOR CO
HCAHCA INC
HCPHEALTH CARE PROPERTY INV
HDHOME DEPOT INC
HDIHARLEY DAVIDSON INC
HETHARRAHS ENTMT INC
HHHOOPER HOLMES INC
HHSHARTE HANKS INC
HIHHIGHLAND HOSPITALITY
HIWHIGHWOODS PROPERTIES INC
HLRHOLLINGER INTERNATIONAL
HLTHWEBMD CORP
HMEHOME PROPERTIES INC
HMXHARTMARX CORP
HNRHARVEST NATURAL RES
HOMSHOMESTORE INC
HOTTHOT TOPIC INC
HPHELMERICH & PAYNE INC
HRBBLOCK H & R INC
HRHHILB ROGAL & HOBBS CO
HSYHERSHEY FOODS CORP
HTCHHUTCHINSON TECHNOLOGY
HTLDHEARTLAND EXPRESS INC
HUGHUGHES SUPPLY INC
HVTHAVERTY FURNITURE INC
HYCHYPERCOM CORP
IAAIINSURANCE AUTO AUCTIONS
ICBCINDEPENDENCE CMNTY BANK
ICCIINSIGHT COMMUNICATIONS
ICOSICOS CORP
ICSTINTEGRATED CIRCUIT SYS
IDAIDACORP INC
IDCINTERACTIVE DATA CORP
IDNXIDENTIX INC
IESINTEGRATED ELECTRICAL
IFLOI-FLOW CORP
IFSIAINTERFACE INC
IGTINTL GAME TECHNOLOGY
IHIINFORMATION HOLDINGS INC
ILAAQUILA INC
ILEISOLAGEN INC
ILXOILEX ONCOLOGY INC
IMCLIMCLONE SYSTEMS INC
IMDCINAMED CORP
IMKTAINGLES MARKETS INC
IMMCIMMUNICON CORP
ININFONET SVCS CORP
INCYINCYTE CORP
INDBINDEPENDENT BANK MA
INETINET TECHNOLOGIES INC
INHOINDEPENDENCE HOLDING CO
INSUINSITUFORM TECHNOLOGIES
INTWORLD FUEL SVCS CORP
INTCINTEL CORP
INTUINTUIT
IOINPUT/OUTPUT INC
IONIONICS INC
IPASIPASS INC
ISISISIS PHARMACEUTICALS
ISRGINTUITIVE SURGICAL INC
ISSCINNOVATIVE SOLUTIONS
ITGARTNER INC
ITCDITC DELTACOM INC
ITLAITLA CAPITAL CORP
ITWILLINOIS TOOL WORKS INC
IUSAINFOUSA INC
IVDIVAX DIAGNOSTICS INC
JBLJABIL CIRCUIT INC
JBLUJETBLUE AIRWAYS CORP
JCIJOHNSON CONTROLS INC
JCOMJ2 GLOBAL COMMUNICATIONS
JEFJEFFERIES GROUP INC
JJSFJ & J SNACK FOODS CO
JJZJACUZZI BRANDS INC
JKHYHENRY JACK & ASSOCIATES
JLGJLG INDUSTRIES INC
JNJJOHNSON & JOHNSON
JOYGJOY GLOBAL INC
JUPMJUPITERMEDIA CORP
KBHKB HOME
KERXKERYX BIOPHARMACEUTICALS
KEXKIRBY CORP
KEYSKEYSTONE AUTOMOTIVE INDS
KFEDK FED BANCORP
KLACKLA-TENCOR CORP
KMRTKMART HOLDING CORP
KNGTKNIGHT TRANSN INC
KNTAKINTERA INC
KOCOCA COLA CO
KOPNKOPIN CORP
KRKROGER CO
KRBMBNA CORP
KRIKNIGHT RIDDER INC
KROLKROLL INC
KRTKRAMONT REALTY TRUST
KSEKEYSPAN CORP
KSSKOHLS CORP
KSWSK-SWISS INC
KTOK2 INC
KYPHKYPHON INC
LLIBERTY MEDIA CORP
LABSLABONE INC
LACOLAKES ENTERTAINMENT INC
LAWSLAWSON PRODUCTS INC
LBYLIBBEY INC
LCILANNETT CO INC
LEGLEGGETT & PLATT INC
LENDACCREDITED HOME LENDERS
LEXGLEXICON GENETICS INC
LFBLONGVIEW FIBRE CO
LGLACLEDE GROUP INC
LHOLASALLE HOTEL PROPERTIES
LIFCLIFECELL CORP
LINLINENS N THINGS INC
LIZLIZ CLAIBORNE INC
LKQXLKQ CORP
LLYLILLY ELI & CO
LNETLODGENET ENTMT CORP
LNRLNR PROPERTY CORP
LPNTLIFEPOINT HOSPITALS
LPXLOUISIANA PACIFIC CORP
LSCCLATTICE SEMICONDUCTOR
LSCPLASERSCOPE
LSECAPITAL LEASE FUNDING
LSSLONE STAR TECHNOLOGIES
LSTRLANDSTAR SYSTEMS INC
LTCLTC PROPERTIES INC
LTDLIMITED BRANDS INC
LTRELEARNING TREE INTL INC
LUMLUMINENT MORTGAGE CAP
LXPLEXINGTON CORP PPTYS
LZLUBRIZOL CORP
MAAMID-AMER APT CMNTYS
MAGMAGNETEK INC
MAPXMAPICS INC
MATKMARTEK BIOSCIENCES CORP
MATWMATTHEWS INTERNATIONAL
MAYMAY DEPARTMENT STORES CO
MBTFMBT FINANCIAL CORP
MCBCMACATAWA BANK CORP
MCDTAMCDATA CORP
MCHMILLENNIUM CHEMICALS
MCRLMICREL INC
MDCMDC HOLDINGS INC
MDCOMEDICINES CO
MEDTMEDSOURCE TECHNOLOGIES
MERQMERCURY INTERACTIVE CORP
METHMETHODE ELECTRS INC
MFAMFA MORTGAGE INVESTMENTS
MFWM & F WORLDWIDE CORP
MGGMGM MIRAGE
MHCMANUFACTURED HOME  CMNTYS
MHOM/I HOMES INC
MICUMICURON PHARMACEUTICALS
MIDDMIDDLEBY CORP
MILMILLIPORE CORP
MIPSMIPS TECHNOLOGIES INC
MKCMCCORMICK & CO INC
MKLMARKEL CORP
MKSIMKS INSTRUMENTS INC
MLANMIDLAND CO
MMCMARSH & MCLENNAN COS
MNROMONRO MUFFLER BRAKE INC
MNSTMONSTER WORLDWIDE INC
MODIMODINE MANUFACTURING CO
MOGNMGI PHARMA INC
MONMONSANTO CO
MONEMATRIXONE INC
MOVMOVADO GROUP INC
MPGMAGUIRE PPTYS INC
MPXMARINE PRODUCTS CORP
MRDMACDERMID INC
MRGEMERGE TECHNOLOGIES INC
MROMARATHON OIL CORP
MRXMEDICIS PHARMACEUTICAL
MSAMINE SAFETY APPLIANCES
MSCCMICROSEMI CORP
MSEXMIDDLESEX WATER CO
MSFGMAINSOURCE FINANCIAL GRP
MSMMSC INDL DIRECT INC
MTEXMANNATECH INC
MTGMGIC INVESTMENT CORP
MTNVAIL RESORTS INC
MTRXMATRIX SERVICE CO
MTWMANITOWOC CO INC
MUSAMETALS USA INC
MVLMARVEL ENTERPRISES INC
MWMENS WEARHOUSE INC
MWDMORGAN STANLEY
NABCNEWALLIANCE BANCSHARES
NABINABI BIOPHARMACEUTICALS
NAFCNASH FINCH CO
NATINATIONAL INSTRS CORP
NAVGNAVIGATORS GROUP INC
NBIXNEUROCRINE BIOSCIENCES
NBLNOBLE ENERGY INC
NCSNCI BUILDING SYSTEMS INC
NDCNDCHEALTH CORP
NEUNEW MARKET CORPORATION
NFBNORTH FORK BANCORP
NFPNATIONAL FINL PARTNERS
NHINATIONAL HEALTH INVS INC
NITEKNIGHT TRADING GROUP INC
NLSNAUTILUS GROUP INC
Start Printed Page 48037
NLYANNALY MORTAGE MGMT INC
NMG.ANEIMAN MARCUS GROUP INC
NNBRNN INC
NNINELNET INC
NOVNNOVEN PHARMACEUTICALS
NPBCNATIONAL PENN BANCSHARES
NPSPNPS PHARMACEUTICALS INC
NRNEWPARK RESOURCES INC
NRGNNEUROGEN CORP
NSITINSIGHT ENTERPRISES INC
NSTNSTAR
NTECNEOSE TECHNOLOGIES INC
NTLINTL INC
NTYNBTY INC
NUNORTHEAST UTILITIES
NUENUCOR CORP
NUTRNUTRACEUTICAL INTL CORP
NVLSNOVELLUS SYSTEMS INC
NVRNVR INC
NXSTNEXSTAR BROADCASTING
NYMNYMAGIC INC
NYTNEW YORK TIMES CO
OCAORTHODONTIC CTRS OF AMER
OCASOHIO CASUALTY CORP
OIOWENS ILLINOIS INC
OISOIL STATES INTERNATIONAL
OMEOMEGA PROTEIN CORP
OMEFOMEGA FINANCIAL CORP
OMIOWENS & MINOR INC
ONBOLD NATIONAL BANCORP
ONXXONYX PHARMACEUTICALS INC
OPNTOPNET TECHNOLOGIES INC
ORCLORACLE CORP
ORLYO REILLY AUTOMOTIVE INC
OSOREGON STEEL MILLS INC
OSBCOLD SECOND BANCORP INC
OSGOVERSEAS SHIPHOLDNG GRP
OSIOUTBACK STEAKHOUSE INC
OSIPOSI PHARMACEUTICALS
OSTKOVERSTOCK COM INC
OSURORASURE TECHNOLOGIES INC
OTLOCTEL CORP
OTTROTTER TAIL CORP
OVRLOVERLAND STORAGE INC
OVTIOMNIVISION TECHNOLOGIES
OXMOXFORD INDUSTRIES INC
PACRPACER INTERNATIONAL INC
PASPEPSIAMERICAS INC
PAXPAXSON COMMUNICATION
PAYXPAYCHEX INC
PBIPITNEY BOWES INC
PBKSPROVIDENT BANKSHARES
PCARPACCAR INC
PCCCP C CONNECTION
PCGPG&E CORP
PCHPOTLATCH CORP
PCLPLUM CREEK TIMBER CO INC
PCSAAIRGATE PCS INC
PCTYPARTY CITY CORP
PCUSOUTHERN PERU COPPER
PCYCPHARMACYCLICS INC
PDPHELPS DODGE CORP
PDLIPROTEIN DESIGN LABS INC
PDXPEDIATRIX MEDICAL GROUP
PEETPEETS COFFEE & TEA INC
PEGPUBLIC SVC ENTERPRISE
PEGAPEGASYSTEMS INC
PENGPRIMA ENERGY CORP
PENNPENN NATIONAL GAMING INC
PEPPEPSICO INC
PERPEROT SYSTEMS CORP
PETSPETMED EXPRESS INC
PFEPFIZER INC
PFGCPERFORMANCE FOOD GROUP
PFGIPROVIDENT FINANCIAL GRP
PFSPROVIDENT FINANCIAL SVCS
PFSBPENNFED FINANCIAL SVCS
PGNXPROGENICS PHARMACEUTICAL
PHPARKER HANNIFIN CORP
PHCCPRIORITY HEALTHCARE
PHLYPHILADELPHIA CONS HLDG
PICOPICO HOLDINGS INC
PIIPOLARIS INDUSTRIES INC
PILLPROXYMED PHARMACY INC
PLABPHOTRONICS INC
PLDPROLOGIS
PLREPRICE LEGACY CORP
PLUGPLUG POWER INC
PLXSPLEXUS CORP
PLXTPLX TECHNOLOGY INC
PMCSPMC-SIERRA INC
PMTIPALOMAR MEDICAL TECH
PNKPINNACLE ENTMT INC
PNMPNM RESOURCES INC
PNRPENTAIR INC
POPPOPE & TALBOT INC
POSCATALINA MARKETING CORP
POWLPOWELL INDUSTRIES INC
POZNPOZEN INC
PPCPILGRIMS PRIDE CORP
PPLPPL CORP
PPPPOGO PRODUCING CO
PRFSPENNROCK FINANCIAL SVCS
PRMPRIMEDIA INC
PRSFPORTAL SOFTWARE INC
PRSPPROSPERITY BANCSHARES
PRTRPARTNERS TRUST FINL GRP
PSAPUBLIC STORAGE INC
PSBPS BUSINESS PARKS INC
PSDPUGET ENERGY INC
PSFTPEOPLESOFT INC
PSRCPALMSOURCE INC
PSSPAYLESS SHOESOURCE INC
PSSIPSS WORLD MEDICAL INC
PTMKPATHMARK STORES INC
PVHPHILLIPS VAN HEUSEN
PVTBPRIVATEBANCORP INC
PWAVPOWERWAVE TECHNOLOGIES
PWERPOWER-ONE INC
PWRQUANTA SERVICES INC
PXPRAXAIR INC
PXLWPIXELWORKS INC
PXPPLAINS EXPLORATION & PRO
QSFTQUEST SOFTWARE INC
QSIIQUALITY SYSTEMS INC
QUIXQUIXOTE CORP
RRYDER SYSTEM INC
RARECKSON ASSOCS RLTY
RAERAE SYSTEMS INC
RAHRALCORP HOLDINGS INC
RAVNRAVEN INDUSTRIES INC
RBCREGAL BELOIT CORP
RBNCREPUBLIC BANCORP INC MI
RBPAAROYAL BANCSHARES OF PENN
RCRCRC2 CORP
RDCROWAN COMPANIES INC
RDIREADING INTERNATIONAL IN
REGREGENCY CENTERS CORP
RFREGIONS FINANCIAL CORP
RGLDROYAL GOLD INC
RGRSTURM RUGER & CO INC
RGSREGIS CORP
RHDR H DONNELLEY CORP
RJRREYNOLDS R J TOB HLDGS
RKTROCK-TENN CO
RLPOLO RALPH LAUREN CO
RLIRLI CORP
RLRNRENAISSANCE LEARNING INC
RMBSRAMBUS INC
RMKARAMARK CORP
ROGROGERS CORP
ROHROHM & HAAS CO
ROLROLLINS INC
ROVRAYOVAC CORP
RRARAILAMERICA INC
RRIRELIANT ENERGY INC
RSGREPUBLIC SERVICES INC
RSHRADIOSHACK CORP
RSYSRADISYS CORP
RTIRTI INTERNATIONAL METALS
RUSHBRUSH ENTERPRISES INC
SAFMSANDERSON FARMS INC
SBACSBA COMMUNICATIONS CORP
SBNYSIGNATURE BANK
SBSESBS TECHNOLOGIES INC
SCHLSCHOLASTIC CORP
SCHNSCHNITZER STEEL INDS
SCHSSCHOOL SPECIALTY INC
SCLNSCICLONE PHARMACEUTICALS
SCMFSOUTHERN CMNTY FINL CORP
SCSSTEELCASE INC
SEBLSIEBEL SYSTEMS INC
SECDSECOND BANCORP INC
SEHSPARTECH CORP
SEICSEI INVESTMENTS CO
SFCCSFBC INTERNATIONAL INC
SFDSMITHFIELD FOODS INC
SFESAFEGUARD SCIENTIFICS
SFNSPHERION CORP
SFSWSTATE FINANCIAL SERVICES
SGASAGA COMMUNICATIONS
SGENSEATTLE GENETICS INC
SHLMSCHULMAN A INC
SHWSHERWIN WILLIAMS CO
SIRSIRVA INC
SJISOUTH JERSEY INDUSTRIES
SJWSJW CORP
SLFISTERLING FINL CORP PA
SLGSL GREEN REALTY CORP
SLRSOLECTRON CORP
SMHGSANDERS MORRIS HARRIS
SMSCSTANDARD MICROSYSTEM
SMTCSEMTECH CORP
SNHSENIOR HOUSING PPTYS TR
SNRRSUNTERRA CORP
SNSSTEAK N SHAKE CO
SNWLSONICWALL INC
SOSOUTHERN CO
SONES1 CORPORATION
SORCSOURCE INTERLINK COS INC
SRCLSTERICYCLE INC
SRDXSURMODICS INC
SRNASERENA SOFTWARE INC
SRPSIERRA PACIFIC RESOURCES
SRZSUNRISE SENIOR LIVING
SSISPECTRASITE INC
SSPSCRIPPS E W CO
STEISTEWART ENTERPRISES
STFCSTATE AUTO FINANCIAL
STKSTORAGE TECHNOLOGY CORP
STLSTERLING BANCORP
STMPSTAMPS COM INC
STNSTATION CASINOS INC
STRASTRAYER EDUCATION INC
STRTSTRATTEC SECURITY CORP
STSISTAR SCIENTIFIC INC
STTSTATE STREET CORP
STZCONSTELLATION BRANDS
SUISUN COMMUNITIES INC Start Printed Page 48038
SUNNSUNTRON CORP
SUNWSUN MICROSYSTEMS INC
SUPSUPERIOR INDUSTRIES INTL
SUPXSUPERTEX INC
SVMSERVICEMASTER CO
SWBTSOUTHWEST BANCORP OF TEX
SWKSTANLEY WORKS
SWWSITEL CORP
SWXSOUTHWEST GAS CORP
SWYSAFEWAY INC
SYDSYBRON DENTAL SPECIALTIE
SYKSTRYKER CORP
SYXSYSTEMAX INC
SYYSYSCO CORP
TARRTARAGON REALTY INVS INC
TASRTASER INTL INC
TBCCTBC CORP
TCCTRAMMELL CROW CO
TCRCORNERSTONE RLTY INC TR
TDWTIDEWATER INC
TDYTELEDYNE TECHNOLOGIES
TECUATECUMSEH PRODS CO
TELKTELIK INC
TERNTERAYON COMM SYSTEMS INC
TGTREDEGAR CORP
TGITRIUMPH GROUP INC
TGICTRIAD GUARANTY INC
TGTTARGET CORP
THFFFIRST FINANCIAL CORP
THOTHOR INDUSTRIES INC
THORTHORATEC CORP
THXHOUSTON EXPLORATION CO
TIFTIFFANY & CO
TKLCTEKELEC
TKRTIMKEN CO
TLABTELLABS INC
TLBTALBOTS INC
TLRKTULARIK INC
TMATHORNBURG MORTGAGE INC
TMGTRANSMONTAIGNE INC
TMWDTUMBLEWEED COMMUNI-  CATION
TOLTOLL BROTHERS INC
TOYTOYS R U.S. INC
TPTITIPPINGPOINT TECH INC
TQNTTRIQUINT SEMICONDUCTOR
TRTOOTSIE ROLL INDUSTRIES
TRCATERCICA INC
TRMKTRUSTMARK CORP
TRSTTRUSTCO BANK CORP NY
TRZTRIZEC PROPERTIES INC
TSASPORTS AUTHORITY INC
TSFGSOUTH FINANCIAL GROUP
TTCTORO CO
TTECTELETECH HOLDINGS INC
TTMITTM TECHNOLOGIES INC
TWXTIME WARNER INC
TXITEXAS INDUSTRIES INC
TXNTEXAS INSTRUMENTS INC
TXTTEXTRON INC
TXUTXU CORP
UBAURSTADT BIDDLE PPTYS INS
UCBHUCBH HOLDINGS INC
UCIUICI
UCLUNOCAL CORP
UFPIUNIVERSAL FOREST PRODS
UGIUGI CORP
UHALAMERCO
UICUNITED INDUSTRIAL CORP
ULBIULTRALIFE BATTERIES INC
ULCMULTICOM INC
UNFUNIFIRST CORP MASS
UOPXAPOLLO GRP UNIV PHOENIX
URSURS CORP
USGU S G CORP
USONUS ONCOLOGY INC
UTHRUNITED THERAPEUTICS
UVNUNIVISION COMMUNICATIONS
UVVUNIVERSAL CORP
VARVARIAN MEDICAL SYSTEMS
VARIVARIAN INC
VCBIVIRGINIA COMM BANCORP
VECOVEECO INSTRUMENTS INC
VFCV F CORP
VGRVECTOR GROUP LTD
VICRVICOR CORP
VITAORTHOVITA INC
VITLVITAL SIGNS INC
VLOVALERO ENERGY CORP
VLYVALLEY NATIONAL BANCORP
VMSIVENTANA MEDICAL SYSTEMS
VRCVARCO INTERNATIONAL INC
VRNTVERINT SYSTEMS INC
VRTXVERTEX PHARMACEUTICALS
VSATVIASAT INC
VSHVISHAY INTERTECHNOLOGY
VTAVESTA INS GROUP INC
VTIVVENTIV HEALTH INC
VVTVVALUEVISION MEDIA INC
VXGNEVAXGEN INC
WABWABTEC CORP
WASHWASHINGTON TRUST  BANCORP
WATWATERS CORP
WBSWEBSTER FINANCIAL CORP
WEBMWEBMETHODS INC
WENWENDYS INTERNATIONAL INC
WEYSWEYCO GROUP INC
WFRMEMC ELECTRIC MATERIALS
WFSGWILSHIRE FINANCIAL SVCS
WHQW-H ENERGY SVCS INC
WINDWIND RIVER SYSTEMS INC
WLTWALTER INDUSTRIES INC
WMGIWRIGHT MEDICAL GROUP INC
WMTWAL MART STORES INC
WNCWABASH NATIONAL CORP
WONWESTWOOD ONE INC
WORWORTHINGTON INDUSTRIES
WPIWATSON PHARMACEUTICALS
WPOWASHINGTON POST CO
WPSCWHEELING PITTSBURGH CORP
WRWESTAR ENERGY INC
WRCWESTPORT RESOURCES CORP
WREWASHINGTON REAL ESTATE
WRLDWORLD ACCEPTANCE CORP
WSBAWESTERN SIERRA BANCORP
WSBCWESBANCO INC
WSBKWILSHIRE STATE BANK
WSOWATSCO INC
WSTWEST PHARMACEUTICAL SVCS
WSTLWESTELL TECHNOLOGIES INC
WTBAWEST BANCORPORATION INC
WWWATSON WYATT & CO HLDGS
WWEWORLD WRESTLING ENTMNT
WWYWRIGLEY WM JR CO
WXHWINSTON HOTELS INC
WYWEYERHAEUSER CO
WYEWYETH
XLNXXILINX INC
XLTCEXCEL TECHNOLOGY INC
XRITX-RITE INC
XTOXTO ENERGY INC
YALLEGHANY CORP
YRKYORK INTERNATIONAL CORP
ZBRAZEBRA TECHNOLOGIES CORP
ZGENZYMOGENETICS INC
ZHNEZHONE TECHNOLOGIES INC
ZIGOZYGO CORP
ZILAZILA INC
ZIONZIONS BANCORPORATION
ZLCZALE CORP
ZMHZIMMER HOLDINGS INC
ZQKQUIKSILVER INC
End Preamble

Footnotes

2.  “Short sale” is defined in Rule 200 of Regulation SHO, 17 CFR 242.200.

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3.  The term “consolidated tape” refers to the effective transaction reporting plan of the Consolidated Tape Association.

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4.  In addition, pursuant to Section 3(f) of the Act, the Commission has considered the Pilot's impact on efficiency, competition, and capital formation. 15 U.S.C. 78c(f).

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5.  Similarly, we excluded spin-offs commencing after April 30, 2004.

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6.  Securities selected for inclusion in the Pilot will remain in the Pilot even if during the term of the Pilot they cease being included in the Russell 3000 index.

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7.  In each group, we started our selection with the second stock in order to have a more representative daily dollar volume sample. The most representative stock in a group of three stocks ranked by volume would be the middle stock. Thus, to select the most representative sample for the pilot, we would select the second stock of every three stocks; in other words, every third stock starting with the second.

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8.  The percentage of the stocks selected for the Pilot that are NYSE or Amex listed, or Nasdaq NNM, or for which there are associated options or securities futures, are representational of the Russell 3000 index as a whole. Specifically, the Russell 3000 index is composed of 49.9% NYSE listed securities, 2.2% Amex listed securities, 47.9% Nasdaq NNM securities, 63% with associated options, and 3.4% with associated single stock futures.

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9.  Like the group of pilot stocks, the control group will exclude any securities as to which there is currently no price test (i.e., securities that are not exchange-listed or Nasdaq NNM).

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10.  Specifically, the control group is composed of 49.9% NYSE listed securities, 2.2% Amex listed securities, 47.9% Nasdaq securities, 62.7% with associated options, and 3.7% with associated single stock futures.

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11.  See Securities Exchange Act Release No. 50103 (July 28, 2004) (“Adopting Release”).

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12.  Adopting Release.

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13.  The general anti-fraud and anti-manipulation provisions of the federal securities laws will continue to apply to trading in these securities, thus prohibiting trading activity designed to improperly influence the price of a security. See, e.g., Section 17(a) of the Securities Act of 1933, 15 U.S.C. 77q(a), and Sections 9(a), 10(b), and 15(c) of the Act, 15 U.S.C. 78i(a), 78j(b) and 78o(c), and Rules 10b-5 and 15c1-2 thereunder, 17 CFR 240.10b-5 and 240.15c1-2. Moreover, the Commission expects that SROs will actively monitor trading in the Pilot securities to identify any improper or abusive short selling during the course of the Pilot.

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14.  See Securities Exchange Act Release No. 38067, 62 FR 520 (Jan. 3, 1997) (adopting anti-manipulation rules including an exception to the rules for trading activity in securities with high average daily trading volume (“ADTV”)).

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17.  Regular trading-hours are between 9:30 a.m. and 4:00 p.m. e.s.t. See Electronic Communication Networks and After-Hours Trading Report by the Division of Market Regulation, June 2000, at 4. However, trade reporting can be delayed and continue past 4:00 p.m. Therefore, for purposes of the Pilot we have set 4:15 p.m. as the end of regular trading activity.

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18.  Securities selected for inclusion in this portion of the after-hours Pilot will remain in the Pilot even if during the term of the Pilot they cease being included in the Russell 1000 index.

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19.  For example, based on a sample of a trading day in January of 2000, only 3% of the share volume in NYSE-listed securities was effected after 4 p.m. Similarly, share volume from post-4:00 p.m. trades in Nasdaq securities for the same date accounted for only 3% of the daily total. A vast majority of this after-hours trading volume in both markets was effected shortly after the regular session closed through market structured after-market execution opportunities, i.e., crossing-sessions. Electronic Communication Networks and After-Hours Trading Report at 12-13.

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20.  The consolidated tape operates from 8 a.m. to 8 p.m. e.s.t. See Securities Exchange Act Release No. 44983 (October 25, 2001), 66 FR 55225, 55227 (November 1, 2001). The NASD's short sale rule, Rule 3350, is currently not applicable beyond traditional market hours (9:30 a.m. to 4 p.m. Eastern Time). See NASD Notice to Members 94-68.

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21.  Electronic Communication Networks and After-Hours Trading Report at 13.

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[FR Doc. 04-17572 Filed 8-5-04; 8:45 am]

BILLING CODE 8010-01-P