SAR Rule 10b-5 Exposure Report 4Q 2023

Global SCA Rule 10b-5 Exposure of U.S. Public Companies Approached ~$110 Billion in 4Q’23. A decrease of 21.3% relative to 3Q’23.i

SAR analyzed 44 U.S. public corporations that were sued for alleged violations of the federal securities laws under Section 10(b) and 20(a) of the Securities Exchange Act of 1934 and SEC Rule 10b-5, promulgated thereunder (the “Exchange Act”) during 4Q’23.ii

Global SCA Rule 10b-5 Exposure of U.S. and non-U.S. issuers amounts to $110.0 billion in 4Q’23, a decrease of 21.3% from the last quarter’s global exposure of $139.8 billion. Approx. $10.4 billion, or 8.6% of investor plaintiffs' alleged market capitalization losses do not surpass statistical thresholds of stock price reaction, thereby affecting the validity of back-end price impact and loss causation analyses. As a result, this estimate of alleged shareholder losses may not translate into potential aggregate damages that may be due to investors.

Without discounting the effects of plaintiffs’ stock price impact and loss causation deficiencies SAR identified in first-filed class action complaints, alleged shareholder market capitalization losses in 4Q’23 amount to $120.4 billion.

2H 2023 Key Takeaway(s): For global issuers that trade on U.S. stock exchanges, investor plaintiffs alleged, on average, $2.78 billion in market capitalization losses per Exchange Act claim, and $1.37 billion per alleged stock drop. Both metrics declined relative to 1H 2023, by 26.5% and 26%, respectively.

Global Securities Class Action Rule 10b-5 Exposure

U.S.

SCA

Rule 10b-5 Exposure of U.S. Issuers

Decreased ~17% to $108.5B in 4Q’23iii

SAR analyzed 41 U.S. issuers that were sued for alleged violations of the Exchange Act during 4Q’23.iv

U.S. SCA Rule 10b-5 Exposure of U.S. issuers to claims that allege violations of the Exchange Act amounts to $108.5 billion.v

Approximately $7.8 billion, or 6.7% of alleged market capitalization losses, do not surpass statistical thresholds of stock price reaction. Without discounting the econometric deficiencies of plaintiffs’ alleged stock drops and related loss causation issues in firstfiled class action complaints, alleged market capitalization losses against U.S. issuers in 4Q’23 amount to $116.3 billion.

Table 1: U.S. SCA Rule 10b-5 Exposure of U.S. Issuers

10b-5 Exchange

[1] Identified and analyzed first-filed SCA complaints that allege violations of Rule 10b-5. Excludes non-U.S. issuers that trade on U.S. exchanges through ADRs.

[2] U.S. SCA Rule 10b-5 Exposure is equal to investor plaintiffs alleged market cap. losses that may surpass back-end price impact thresholds based on exhibited residual stock price declines at the 95% confidence

[4] The ratio of U.S. SCA Rule 10b-5 Exposure to the aggregate market cap of U.S. issuers ([4] = [2] / [3]).

[5] = Number of defendant U.S. issuers divided by the aggregate number of U.S. issuers.

2H 2023 Key Takeway(s): U.S. SCA Rule 10b-5 Exposure per Exchange Act claim declined steadily throughout 2023 - dropping from $5.38 billion in 1Q to $2.65 billion in 4Q. Overall, the data also indicate that during the last three quarters of 2023, alleged shareholder losses in Rule 10b-5 private securities-fraud litigation stabilized relative to the aggregate market capitalization of U.S. issuers, at approximately .26% per quarter. Aggregate market capitalization loss data, which is SAR's second leading indicator of potential SCA loss severity, exhibited significantly less volatility quarter-over-quarter in 2023, particularly during the second half. Our data and analysis also indicate with a high degree of confidence that filing frequency and potential SCA loss severity need not move in tandem. For example, there were 6 fewer Exchange Act claims filed during 1Q'23 than in 4Q'23, but quarterly SCA exposure (market capitalization losses) was $80 billion dollars greater. Relying solely on filing frequency to estimate claim-specific loss reserves may likely lead to unfavorable loss reserve developments for D&O insurance carriers that have inadequate data-driven SCA analytics to support robust financial controllership. Back-of-the-envelope loss reserve calculations on a growing inventory of high severity, long-tail SCAs is imprudent given the risk environment issuers face today

Table 2: Econometric Summary of Residual Stock Price Reaction of Plaintiffs’ Alleged Corrective Disclosures Against U.S. Issuers

[1] Identified and analyzed first-filed SCA complaints that allege violations of Rule 10b-5. Excludes non-U.S. issuers that trade through ADRs.

[2] The number of alleged corrective disclosures identified in the sample of first-filed SCA complaints.

[3] Total U.S. SCA Rule 10b-5 Exposure for the identified sample of claims divided by the number of identified alleged corrective disclosures [2].

[4] The number of alleged corrective disclosures that do not exhibit a statistically significant one-day residual stock price return at the 95% confidence standard.

[5] The ratio of the number of alleged corrective disclosures that exhibit an absence of indirect price impact to the total number of alleged corrective disclosures claimed in first filed SCA complaints. [5] = ([4] / [2])

During 4Q’23, SAR analyzed 57 first-filed “stock-drop” SCAs filed against U.S. issuers that allege violations of Rule 10b-5 via 120 claimed corrective events or truth-revealing disclosures.vi After analyzing and consolidating cases with seemingly related allegations against individual U.S. issuers, SAR accounted for and analyzed 41 filed SCAs. A total of 79 corrective disclosures have been alleged in the 41 first-filed SCAs.vii

The number of alleged stock drops decreased from 94 in 3Q’23 to 79 in 4Q’23, a decline of 16%. During 4Q’23, investor Plaintiffs alleged, on average, 2 corrective disclosures per first-filed SCA complaint. On average, shareholders' alleged market capitalization losses per alleged corrective disclosure amount to $1.38 billion during 2H 2023. This is a decrease of 35.2% relative to 1H 2023.

Of the 79 corrective disclosures alleged during 4Q’23, the allegedly related residual stock price decline of 19 (24%) may not translate into aggregate shareholder damages because they may not warrant inclusion in a certified class because they do not surpass statistical thresholds of stock price reaction at the 95% confidence standard which is highly unfavorable for plaintiffs seeking to establish backend price impact.viii

24% of investor Plaintiffs’ alleged stock drops in the sample of first-filed class action complaints also run afoul of the heightened pleading standards of loss causation because they lack statistical significance at the 95% confidence standard to merit potential aggregate shareholder damages after excluding non-company and non-fraud related factors ix

The Bottom Line: During 2H 2023, the data indicate stabilization of investor plaintiffs' alleged market capitalization losses together with an unremarkable uptick in filing frequency x With the Supreme Court's ruling in Goldman Sachs establishing a data-driven framework to disqualify investor Plaintiffs' deficient stock drops, $12.9 billion of claimed market capitalization losses during 2H 2023 is now significantly more important for D&O claim handlers and insurers' coverage counsel to limit potential SCA settlement losses.

SCA RULE 10b-5

BY INDUSTRY SECTOR FOR U.S. ISSUERS

The Top Three Industries Impacted by Rule 10b-5 Exposure in 4Q’23

Out of the 41 SCAs analyzed in 4Q’23, 10 (or 24%) were filed against Auto companies, 6 (or 15%) against Pharma/Biotech, and 5 (or ~12%) against Software companies. The industries impacted most by the related Rule 10b-5 SCA Exposure are Software (42%), Retail and Consumer Products (30%), and Electronics, Hardware and Semiconductor (12%), which collectively accounted for 84.4% of aggregate market capitalization losses in 4Q’23.

Data and analyses indicate that the industry sectors that were impacted most by plaintiffs’ alleged market capitalization losses that may not translate into alleged aggregate shareholder damages were Manufacturing, Farm, and Industrial companies (79%), Auto (41%) and Health Care companies (7%). $7.8 billion, or 6.7%, of claimed market capitalization losses in these sectors may not translate into potential shareholder damages due to econometric deficiencies of backend price impact and potential loss causation failures.

U.S. SCA

SCA

10b-5 EXPOSURE OF U.S. LARGE CAP CORPORATIONSxi

SCA Rule 10b-5 Exposure of U.S. Large Caps decreased by 14.1% to $101.8B in 4Q’23.

U.S. Large Cap SCA Rule 10b-5 Exposure decreased 14.1% relative to 3Q’23, amounting to $101.8 billion. Our estimate of litigation frequency against U.S. Large Caps also decreased substantially from 2.49% in 3Q’23 to 1.65% in 4Q’23.

The average aggregate market capitalization of U.S. Large Cap corporations, based on the market capitalization range of the S&P500 Index during 4Q’23, was approximately $45.6 trillion xii This is an increase of approximately 3.4% relative to 3Q’23.

Large Cap SCA Rule 10b-5 Exposure Rate decreased by 5 basis point to 0.22% in 4Q’23 – a moderate decrease relative to 3Q’23. The Large Cap SCA Rule 10b-5 Litigation Rate decreased substantially from 2.49% in 3Q’23 to 1.65% in 4Q’23, a decrease of 84 basis points.

The return of the S&P500 Index between October 1, 2023, and January 1, 2024 was 11.7%. $16.7B 14.1% $101.8B 4Q’23

Large Cap SCA Rule 10b-5 Exposure

Large Cap SCA Rule 10b-5 Exposure Rate Relative to 3Q’23

Large Cap SCA Rule 10b-5 Litigation Rate

1.65% 4Q’23 0.22% 4Q’23

U.S. Large Cap Analysis: Fraud-on-the-market litigation against U.S. Large Caps is a material contributor of aggregate Exchange Act exposure for U.S. issuers. During 2H 2023, litigation exposure amounts to $5.37 billion per Exchange Act claim, a decrease of 37.4% relative to 1H 2023.

Table 4: Large Cap SCA Rule 10b-5 Exposure of U.S. Issuers

$43,066,692,153

$44,065,408,313

$45,570,524,663

SCA RULE 10b-5 EXPOSURE OF U.S. MID CAP

SCA Rule 10b-5 Exposure of U.S. Mid Caps decreased by ~81.6% relative to 3Q’23 to $1.8B

6 U.S. Mid Cap corporations were sued for alleged violations of Rule 10b-5 during 4Q’23 – one fewer than the number of U.S. issuers sued in this cohort during the previous quarter. Along with the reduction in the number of suits, Mid Cap SCA Rule 10b-5 Exposure in 4Q’23 decreased by ~81.6% relative to 3Q’23, amounting to $1.8 billion.

The average aggregate market capitalization of U.S. Mid Cap corporations, based on the market capitalization range of the S&P MidCap 400 Market Index during 4Q’23, was approximately $1.4 trillion.xiv

Mid Cap SCA Rule 10b-5 Exposure Rate decreased by 57 basis points relative to 3Q’23, amounting to 0.13%. The Mid Cap Rule 10b-5 Litigation Rate decreased in 4Q’23 to 1.02%, a decline of 10 basis points relative to 3Q’23.

The return of the S&P MidCap 400 between October 1, 2023, and January 1, 2024, was 11.7%.

$7.9B 81.6%

4Q’23 0.13% 4Q’23

U.S. Mid Cap Analysis: Despite a remarkable decline in quarterly exposure in 4Q'23, during 2H 2023, litigation exposure amounts to $880 million per Exchange Act claim against Mid Caps; an increase of 141% relative to the 1H 2023. High magnitude of SCA exposure against Mid Caps exhibited during 3Q'23 contributed to the increase during 2H 2023. 3Q'23 Mid Cap SCA Rule 10b-5 Exposure was higher than the other three quarters combined.

Table 5: Mid Cap SCA Rule 10b-5 Exposure of U.S. Issuers

SCA RULE 10b-5 EXPOSURE OF U.S. SMALL CAP CORPORATIONSxv

Small Cap SCA Rule 10b-5 Exposure

$5.0B 4Q’23

SCA Rule 10b-5 Exposure of U.S. Small Caps increased by ~109.8% relative to 3Q’23 to $5.0B.

According to the number of cases analyzed, filing frequency increased against U.S. Small Caps relative to 3Q’23, with 19 corporations sued for alleged violations of Rule 10b-5. The Small Cap SCA Rule 10b-5 Exposure in 4Q’23 amounts to $5.0 billion, which translates to an increase of 109.8% relative 3Q’23.

The average aggregate market capitalization of U.S. Small Caps corporations, based on the market capitalization range of the S&P SmallCap 600 Market Index during 4Q’23, was $856 billion, an increase of about 0.2% relative to 3Q’23.xvI

In 4Q’23, the Small Cap SCA Rule 10b-5 Exposure Rate was 0.58%, which is 30 basis points higher than in 3Q’23. The Small Cap Rule 10b-5 Litigation Rate increased by 29 basis points to 0.79%.

The return of the S&P SmallCap 600 Index between October 1, 2023, and January 1, 2024, was 15.12%.

Relative to 3Q’23

$2.6B 109.8%

Small Cap SCA Rule 10b-5 Exposure Rate

Small Cap SCA Rule 10b-5 Litigation Rate 0.79% 4Q’23 0.58% 4Q’23

U.S. Small Cap Analysis: Despite a remarkable increase in exposure during 4Q'23, market capitalization losses per Exchange Act claim during 2H 2023 decreased by 27% relative to 1H 2023. During 2H 2023, litigation exposure amounts to $240 million per Exchange Act claim, a decrease of 27% relative to 1H 2023. The declining trend exhibited in the Small Cap SCA Rule 10b-5 Exposure per claim is less pronounced than the decline exhibited in U.S. Large Caps, but still notable.

According to the cases analyzed, 3 non-U.S. issuers that trade on U.S. exchanges through ADRs were sued for alleged violations of the Exchange Act during 4Q’23.

ADR SCA Rule 10b-5 Exposure of non-U.S. issuers to claims that allege violations of the Exchange Act amounts to $1.5 billion. There were two claims against non-U.S. issuers in the previous quarter. Interestingly, the marginal increase in filing frequency in 4Q’23 was accompanied by a notable decrease in ADR SCA Rule 10b-5 Exposure

The three tracked SCA claims had a total of seven alleged corrective disclosures but only one exhibited sufficient stock price reaction at the 95% confidence standard.

In 4Q’23, the ADR SCA Rule 10b-5 Exposure Rate decreased by 2 basis points to 0.01%. The ADR SCA Rule 10b-5 Litigation Rate increased from last quarter, to 0.15%. This rate is based on the number of non-U.S. issuers that trade in the NYSE, NASDAQ, and over-the-counter in the U.S.

ADR SCA Rule 10b-5 Exposure

The ADR SCA Rule 10b-5 Exposure Exposure of non-U.S. issuers in 4Q’23 amounts to $1.5 billion, a decrease of ~84% relative to 3Q’23.xvii $1.5B 4Q’23

ADR SCA Rule 10b-5 Exposure Rate Relative to 3Q’23

ADR SCA Rule 10b-5 Litigation Rate

4Q’23 0.01% 4Q’23

ADR Analysis: During 2H 2023, litigation exposure amounts to $2.2

relative to the 1H 2023.

Table 8: Econometric Summary of Residual Stock Price Reaction to Plaintiffs Alleged Corrective Disclosures of Non-U.S. Issuers

[1] First-filed and analyzed SCA complaints that allege violations of Rule 10b-5 against non-U.S. issuers that trade on U.S. exchanges through ADRs. Excludes U.S. issuers.

[2] The total number of alleged corrective disclosures identified in the sample of SCA complaints.

[3] Total ADR SCA Rule 10b-5 Exposure for the identified sample of claims divided the number of identified alleged corrective disclosures [2].

[4] The total number of alleged corrective disclosures that do not exhibit a statistically significant residual stock price return at the 95% confidence standard.

[5] The ratio of the number of alleged corrective disclosures that exhibit an absence of indirect price impact to the total number of alleged corrective disclosures claimed in first filed SCA complaints. [5] = ([4] / [2])

EMPIRICAL ANALYSIS OF SETTLEMENT AMOUNTS TO RULE 10b-5 AGGREGATE DAMAGES

Empirical Results of Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages

The results of our on-going, independent, empirical analyses on SCA Rule 10b-5 settlements indicate that SAR’s Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages continue to be statistically robust determinants of potential settlement amounts using a single explanatory variable.

Our empirical results demonstrate that our Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages (calculated around the time when the corresponding securities class action complaints are filed) alone explains ~54% of the variation in settlement amounts in simple univariate regressions xviii Our results exhibit highly significant coefficient estimates indicating that a ~10% increase in potential aggregate damages predicts a ~5.5% increase in the settlement amount. These results are robust and significantly more accurate than proxy-style damages estimates.xix A proxy for damages claimed by investor plaintiffs may not be an accurate determinant in predicting Rule 10b-5 settlement outcomes because it does not apply the court-accepted event study methodology to effectively compute potential damages per share on a claim-specific basis.

Rule 10b-5 Settlements to Max. Potential Damages

When we add additional controls for the U.S. exchange, circuit court, and the plaintiff firm that represents the lead plaintiff, our Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages can explain ~81% of Rule 10b-5 settlement variation as reported by the R-squared measure, and ~68% by the adjusted R-squared measure, with the damage’s coefficient indicating that a 10% increase in estimated damages predicts a ~4.2% increase in the settlement amount.

Rule 10b-5 Private Securities-Fraud Litigation Settlement Rates

Based on our robust empirical results on 161 settled Rule 10b-5 SCAs filed since June 2018, we computed the median settlement rates by taking the median quotient of claim-specific settlement amounts (as reported by Institutional Shareholder Services Securities Class Action Services) and our proprietary estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages.

SAR estimates and tracks quarterly Rule 10b-5 Exchange Act median settlement rates to estimate more accurate potential settlement losses on a claim-specific basis. Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages are categorized into severity bands based on the magnitudes of claim-specific severity. The six severity band ranges are based on SAR’s clustering analyses of our aggregate severity data and the relative frequency of complaints according to magnitude of estimated damages severity. The median settlement ranges of the bands are statistically distinct.

We expect to further refine and add severity band ranges as our ratio population of settlement dollars to our Rule 10b-5 damages estimates expands and our statistical clustering analysis indicates meaningful distinction.

Securities Class Action Settlement Rates

Sources: S&P Global Market Intelligence, S&P Dow Jones Indices, Thomson Reuters, SAR SCA Platform as of December 31, 2023.

Any reprint of the information or figures presented in this quarterly report should reference SAR. Please direct any technical inquiries to Stephen Sigrist, SVP of Data Science, at 202.891.3652 or stephen@sarlit.com.

SAR is a pioneer in public company risk management data analytics solutions. The company relies on specialized data science and court-approved methodologies to quantify the securities litigation risk of U.S. and non-U.S. issuers listed on the NYSE and NASDAQ.

iGlobal SCA Rule 10b-5 Exposure amounts to the sum of U.S. Rule 10b-5 Exposure and ADR Rule 10b-5 Exposure estimates

iiThis tally accounts for U.S. issuers of common stock and non-U.S. issuers that trade on U.S. exchanges through ADRs that are listed as defendants in first-filed SCA complaints filed during the fourth quarter of 2023 and allege shareholder damages. It also accounts for claims against such issuers in which Rule 10b-5 allegations were first made in amended filings during 4Q’23. A corporation that was sued a second or third time during the current quarter in non-amended filings is not accounted for in the current quarter’s tally. The tally excludes SCA complaints that were identified but not analyzed per Appendix-1. iii Figures of Securities Class Action (SCA) Rule 10b-5 litigation exposure are based on identified and analyzed first-filed complaints for each claim filed during the corresponding quarter. They also include claims in which Rule 10b-5 allegations were first made in amended filings during the corresponding quarter. All federal SCA complaints are read by full-time human employees of SAR and screened for allegations that specifically allege violations of Rule 10b-5, define a specific Class Period, identify specific alleged misrepresentations, and allegedly related corrective disclosures. Proprietary non-ML and non-AI cloud-based technology is utilized and relied upon to capture, categorize, and database select constituent data components from each individual SCA complaint. Only the claimed stock price declines presented in the first-filed complaint against each defendant company are accounted for to estimate U.S. SCA Rule 10b-5 Exposure in this report. Measures of SCA exposure for each claim may increase or decrease as the case progresses through the class action life cycle. For purposes of this quarterly informative report, SCA Rule 10b-5 Exposure is not amended retroactively for cases that have been dismissed by the Court or voluntarily dismissed by plaintiffs.

ivThis tally accounts for U.S. issuers of common stock that are listed as defendants in first-filed SCA complaints filed during the fourth quarter of 2023 and allege aggregate shareholder damages. It also includes claims in which Rule 10b-5 allegations were first made in amended filings during 4Q’23. A U.S. issuer of common stock that was sued a second or third time during the current quarter in non-amended filings is not accounted for in the current quarter’s tally. The tally excludes SCA complaints against U.S. issuers of common stock that were sued for alleged violations of the federal securities laws in a previous quarters. The tally also excludes cases that have been filed against international corporations that are listed on U.S. exchanges through American Depositary Receipts (ADRs). The tally excludes SCA complaints that were identified but not analyzed per Appendix-1 vA public corporation’s exposure to alleged violations of Rule 10b-5 is estimated by tracking the cumulative decline in market capitalization during a single market trading session (close-to-close event windows) that correspond with the timing of the claimed alleged corrective disclosures that surpass statistical thresholds of indirect price impact at the 95% confidence standard and are presented in a first–filed SCA complaint. See, Halliburton III 309 F.R.D. 251 (N.D. Tex. July 25, 2015) and Exxon 2023 WL 5415315 (N.D. Tex. Aug. 21, 2023). This figure excludes market capitalization declines of non-U.S. issuers that have been sued for alleged violations of the U.S. federal securities laws and trade on U.S. exchanges through American Depositary Receipts (ADRs).

viSAR relies on Docket Alerts and Court Wire notifications attained from Thomson Reuters Westlaw. SAR professionals actively monitor and track case dockets to attain newly filed and amended SCA complaints.

viiThis tally of alleged corrective disclosures includes those from SCA complaints first-filed in 4Q’23 and amended filings in which Rule 10b-5 allegations were first made in 4Q’23 against U.S. issuers of common stock. The tally excludes SCA complaints against companies for which there are relevant first-filed complaints in prior quarters.

viiiSee, Halliburton Co. v. Erica P. John Fund, Inc., 134 S. Ct. 2398 (2014); Erica P. John Fund, Inc. v. Halliburton Co., 309 F.R.D. 251 (N.D. Tex. 2015); Goldman Sachs Group Inc. v. Arkansas Teacher Retirement System, 141 S. Ct. 1951 (2021); Arkansas Teacher Retirement System v. Goldman Sachs Group, Inc., 77 F.4th 74 (2d Cir. 2023).

ixSee, Dura Pharmaceuticals, Inc. v. Broudo, No. 03-932, 2005 WL 885109 (2005).

xA single-firm multivariate regression analysis with a minimum of 100 observations (if a full 252 observations is unattainable) for a Control Period is applied to evaluate the statistical significance of the logarithmic residual stock price decline on the trading day(s) affected by an alleged corrective disclosure(s) (or the alleged adverse event). Statistical significance is measured by computing the t-statistic of the residual stock price decline during the single close-to-close trading session that is affected by the alleged corrective and/or truth-revealing information. The Control Period ends one trading day prior to the start of the Class Period presented in the corresponding SCA complaint. Due to the proliferation of Rule 10b-5 claims made against companies involved in recent SPAC transactions, beginning in 2Q’21, a single-firm multivariate regression analysis is performed when sufficient pricing observations are available to support an adequate Control Period. If there are between 50 and 100 closing stock price observations before the first alleged corrective disclosure, the SVP of Data Science determines whether the raw data sample is sufficiently robust to perform a multivariate regression analysis that surpasses econometric quality controls standards of SAR.

xiLarge cap corporations are the sub-set of defendant corporations that have market capitalizations within the range of the greatest and least market capitalization value of the constituent members of the S&P 500 Market Index at the time of the start of the Class Period alleged in the first-filed complaint.

xiiThis is the average total market capitalization of U.S. issuers of common stock that are listed on the NYSE or Nasdaq exchanges with market capitalizations greater than $3.7 billion October 1st, 2023, and January 1st, 2024. This is the average total market capitalization of U.S. issuers of common stock that are listed on the NYSE or Nasdaq exchanges with market capitalizations between $1.26 and $3.7 billion between between October 1st, 2023, and January 1st, 2024.

xiiiMid cap corporations are the sub-set of defendant corporations that have market capitalizations within the range of the greatest and least market capitalization value of the constituent members of the S&P MidCap 400 Market Index at the time of the start of the Class Period alleged in the first-filed complaint.

xivThis is the average total market capitalization of U.S. issuers of common stock that are listed on the NYSE or Nasdaq exchanges with market capitalizations between $1.26 and $3.7 billion between between October 1st, 2023, and January 1st, 2024.

xvSmall cap corporations are the sub-set of defendant corporations that have market capitalizations within the range of the greatest and least market capitalization value of the constituent members of the S&P SmallCap 600 Market Index at the time of the start of the Class Period alleged in the first-filed complaint.

xvi This is the average total market capitalization of U.S. issuers of common stock that are listed on the NYSE or Nasdaq exchanges with market capitalizations less than $1.26 billion October 1st, 2023, and January 1st, 2024.

xviiA non-U.S. issuer’s exposure to alleged violations of Rule 10b-5 is estimated by tracking the cumulative decline in market capitalization during open market trading sessions that correspond with the timing of the claimed alleged corrective disclosures that surpass statistical thresholds of indirect price impact and are presented in a first-filed SCA complaint.

xviiiThese results are based on a sample of 161 recently settled SCAs, and exclude settled SCAs that allege violations of both the Exchange Act and Securities Act. These specific performance metrics are based on log-log regressions that exclude the few settled cases for which Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages are zero, due to all of the alleged stock drops exhibiting a non-statistically significant residual stock price decline at the 95% confidence standard and greatly prohibiting the determination of back-end stock price impact, in accordance with the Supreme Court ruling, in Arkansas Teachers Retirement System v. Goldman Sachs, made effective June 21, 2021. Non log-log regressions that include these fully deficient securities claims that settled for a monetary sum perform similarly in terms of their explanatory power.

xixThe applied methodology for accumulating maximum potential alleged artificial inflation that investors claim is embedded in the defendant’s price of common stock, is the industry-accepted constant dollar method. Aggregate market data supplied by S&P Global Market intelligence is used to compute an appropriate level of daily effective float by taking into consideration and accounting for the effects of insider holdings and short interest on a daily basis throughout the corresponding class period based on the allegations of the corresponding class action complaint. For purposes of this informative quarterly report, no reduction to issue-specific float is made to account for institutional investor trading volume that may not be affected by and during investor plaintiffs alleged class period. A refined estimate of effective float may be computed in a litigation-specific context to control for institutional holdings that may not warrant inclusion in the estimation of the defendant’s effective float for a more accurate estimation of Maximum Potentially Available Rule 10b-5 Aggregate Damages. An adjustment to exchange-reported trading volume is made to account for common stock traded by designated market-makers or broker dealers who are acting as market-makers. Other specific refinements to exchange-reported volume may be made in a litigation-specific context based on data attained through discovery, for example when tracing issues may be present. The estimation of allegedly damaged shares during the operative class periods are made by applying a pre-calibrated, and industry-accepted two-trader model with static model inputs for each of the respective investor cohorts. The use of an industry-accepted quantitative model is a widely accepted technique used in securities class action litigation by established Plaintiff and Defense experts to estimate the number of alleged and potentially damaged shares because class counsel may not have the ability to attain the entire universe of trading records of all participants in the market that bought and sold publicly traded common stock of the corresponding share class in the U.S.-listed company during investor plaintiffs alleged inflationary period. The Estimate of Maximum Potentially Available Rule 10b-5 Aggregate Damages is based on the attribution of 100% of the residual stock price decline for each alleged corrective disclosure that exhibited a statistically significant residual stock price decline at the 95% confidence standard and using a close-to-close, single trading session event window. The limitation to maximum potentially attributable artificial stock price inflation that investor plaintiffs allege to be embedded in the price of common stock may be refined in litigation-specific circumstances based on the results of news discovery analyses to determine the magnitude of potential confounding information disclosed to participants in the market on the affected day. The Estimate of Maximum Potentially Available Rule 10b-5 Aggregate Damages applies

Section 21D(e) of the Private Securities and Litigation Reform Act of 1995 (PSLRA) 90-day look-back limitation on damages on the final alleged corrective disclosure that exhibited a statistically significant residual stock price decline at the 95% confidence standard and using a close-to-close, single trading session event window. In a litigation-specific circumstance, the 90-day look-back limitation to aggregate damages may applied and extended on all surviving alleged corrective disclosures that may exhibit back-end price impact which may further reduce the Estimates of Maximum Potentially Available Rule 10b-5 Aggregate Damages.

The following list comprises Rule 10b-5 Exchange Act SCAs filed during 2023 against U.S. and non-U.S. issuers, but not analyzed by SAR due to two primary factors. Either there is insufficient pricing data to conduct a multivariate regression in accordance with SAR’s data analytics standards of quality control, and/or the securities claims allege potentially novel theories of Rule 10b-5 liability.