Updated to reflect call and e-mail to Execution Noble on Friday, heightened volume in Goldman's stock on Thursday.

NEW YORK ( TheStreet) -- What if the cost of a Goldman Sachs ( GS - Get Report) settlement is significantly higher than analysts have been projecting?

Those fears, sparked by a Financial Times report that the Securities and Exchange Commission had stepped up its inquiries into a second security that was not part of the civil fraud charges the SEC brought against Goldman in April, appear to be the reason Goldman shares fell while the broader market rallied on Thursday.

Goldman finished the day down 2.21%, while Morgan Stanley ( MS - Get Report) shares rose 1.83%, Citigroup ( C - Get Report) was up 0.78% , JPMorgan Chase ( JPM - Get Report) jumped 3.15% and Bank of America ( BAC - Get Report) was up 3%.

Execution Noble, a London-based international firm that executes trades on behalf of select large and influential investors, raised the question of a higher-than-expected settlement in an informal note it sent to clients. According to Execution Nobel U.S. equities chief Gary Cunningham, a so-called "desk analyst" estimated in a message sent to the sales team and passed on to clients that a $15 billion settlement could knock $27 a share off of Goldman's stock.

That number is far higher than analysts have been projecting. Rochdale Securities analyst Dick Bove had estimated the settlement could cost Goldman $1 billion, and Sanford Bernstein analyst Brad Hintz estimated in an April 16 report that "potential worst case liability is $706.5 million of earnings."

However, those estimates were based on the SEC case announced in April related to a security called Abacus. If charges expand to include the second security, a $2 billion collateralized debt obligation called Hudson Mezzanine Funding, it could mean a bigger settlement. Goldman is also fighting a lawsuit from an Australian hedge fund, which alleges Goldman misrepresented the value of a $1 billion deal in 2007 called Timberwolf.

Execution Noble's Cunningham said his analyst does not provide formal coverage of Goldman Sachs and his research is not meant for public distribution. He believes it was distributed to no more than seven clients. He declined to discuss who Execution Noble's clients are, but, according to a New York-based executive at a giant global investment bank, they are of substantial size -- easily large enough to move the market. However, the executive says Execution Noble is not known for its research, a point Cunningham also emphasized in discussing his desk analyst.

"He was responding to our internal sales traders asking why was Goldman Sachs underperforming and he went and canvassed a few other people around the market and some clients and then he put together a few lines that basically said if the fine that they're looking at is more than the market expects, then this is what it would mean to tangible book value, and maybe that's why Goldman Sachs was underperforming," Cunningham said. "But none of his comments are based on any research or anything else. He's just doing a simple back of the envelope calculation that 'if the market thinks they're going to get fined five (billion dollars) and they end up getting fined between 10 and 20 (billion dollars) -- what that might mean of a valuation basis to the stock.'

Cunningham said the numbers were not meant to be taken as an estimate of Goldman potential liability. "If someone asks us 'well give me a worst case scenario: what could this mean to Goldman Sachs?' he's trying to provide it but at no stage is he saying we're hearing it's going to be 15," Cunningham said. He declined to provide the note, or even to allow it to be referred to as a note.

"It's not a proper note, as I say, it's just a chat," he said.

A Goldman Sachs spokesman declined to comment on the cost of a potential settlement. Goldman President Gary Cohn told reporters Thursday there were "no indications" Goldman was close to settling fraud charges with the SEC, according to a Reuters report.

Asked in a followup e-mail on Friday if Execution Noble was short Goldman, Cunningham wrote, "We not trade as principal...we are an agency only broker dealer." As to whether the firm trying to stir up trading activity in Goldman, Cunningham wrote simply, "No."

Volume in Goldman shares was almost 22 million on Thursday, more than 20% ahead of the stock's trailing three-month daily average of around 18 million.

-- Written by Dan Freed in New York.

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