Abstract: Both in the US and EU Horizontal Merger Guidelines as in the Block Exemption Regulations for agreements according to Art. 81 EC, the Herfindahl-Hirschman-Index (HHI) or market shares are used for sorting competition cases into subclasses of unproblematic (safe har-bor) and more problematic cases, which require a deeper investigation of anti- and procompeti-tive effects. Although the practical rationale for such thresholds is widely undisputed, it is very unclear how the specific values of the thresholds can be justified. In this paper, we present a theoretical model, which analyzes these thresholds as a first sorting criterion of an optimal se-quential investigation process, which tries to minimize the sum of investigation and error costs. Our model allows the analysis of the determinants (and information requirements) for finding optimal values for market share thresholds in safe harbor rules or ranges of HHIs as a first screening device in merger reviews.