Effective September 1, broker-dealers must report open short interest positions in all securities they carry, listed or not, twice a month. Generally, this means open short positions on a settlement date on the 15th and last business day of each month, and if that is not a settlement day, on the preceding business day, reports are due, generally, two business days later.

http://www.nasd.com/web/groups/rules_regs/documents/notice_to_members/nasdw_019161.pdf

http://apps.nyse.com/commdata/PubInfoMemos.nsf/AllPublishedInfoMemosNyseCom/85256FCB005E19E8852572DD006F0D63/$FILE/Microsoft%20Word%20-%20Document%20in%2007-45.pdf