미국판 ELW 수사, 같은점과 다른점

1.
새벽 RSS로 바라본 월스트리트는 긴박했을 듯 합니다. 뉴욕주 법무부(검찰)가 HFT와 관련한 조사를 한다고 발표하였습니다. 이를 가장 먼저 보도한 불룸버그 기사입니다.

High-Speed Trading Faces New York Probe Into Fairness

뉴욕주 법무장관(Attorney General)인 Eric Schneiderman가 발표한 보도자료입니다.

Those services, which in the hands of predatory high-frequency traders distort our markets, include, for example: allowing traders to locate their computer servers within trading venues themselves; providing extra network bandwidth to high-frequency traders; and attaching ultra-fast connection cables and special high-speed switches to their servers. Each of these services offers clients a timing advantage – often in milliseconds – that allows high-frequency traders to make rapid and often risk-free trades before the rest of the market can react. As a result, these traders guarantee themselves enormous revenue and force large investors to develop complicated and expensive defensive strategies to conceal their orders from parasitic traders.

“Rather than curbing the worst threats posed by high-frequency traders, our markets are becoming too focused on catering to them,” said Attorney General Schneiderman. “I am committed to cracking down on fundamentally unfair – and potentially illegal – arrangements that give elite groups of traders early access to market-moving information at the expense of the rest of the market. We call it Insider Trading 2.0, and it is one of the greatest threats to public confidence in the markets. It’s long past time that we focus on structural reforms to help eliminate the unfair advantages enjoyed by high-frequency traders.”
A.G. Schneiderman Calls For New Efforts To Eliminate Unfair Advantages Provided By Trading Venues To High-Frequency Traders중에서

갑작스러운 발표이지만 발표문을 보면 지난해 가을부터 조사를 시작했고 로이터는 이에 따른 영향으로 HFT에게 제공하던 뉴스서비스를 중단하였다고 합니다.

Today’s speech is part of the Attorney General’s broader initiative, launched last year, looking into the unfair advantage provided to elite and technologically sophisticated market players at the expense of others. Last fall, the Attorney General announced that his office had secured an interim agreement with financial information giant Thomson Reuters to discontinue its practice of selling high-frequency traders a two-second sneak peek at certain market-moving consumer survey results. Prior to that agreement, Thomson Reuters was selling early access to results of the University of Michigan Survey of Consumers, one of the most closely watched indicators of consumer sentiment in the United States. The Attorney General’s investigation into the scope and impact of this practice is ongoing

뉴욕주의 조치에 대하여 SEC는 이런 입장을 표명하였습니다.

“We are working on these and a wide range of issues as part of our ongoing review of our current equity market structure.We appreciate hearing the views of all market participants and other interested parties, including Attorney General Schneiderman, as we move forward.”

2.
이름하여 미국판 ELW 수사. 이렇게 이름 짓으면 딱 맞을 듯 합니다. 현재 뉴욕주가 문제로 삼는 것은 서비스의 공정성입니다. 이 때 불공정하다고 판단한 서비스는 아래와 같습니다.

allowing traders to locate their computer servers within trading venues themselves; providing extra network bandwidth to high-frequency traders; and attaching ultra-fast connection cables and special high-speed switches to their servers.

미국과 한국의 차이가 있지만 위에서 언급한 것은 한국 검찰이 ELW 수사를 할 때 “불공정하다”고 판단했던 것과 동일합니다. 그리고 법적인 근거는 아래입니다.

By law, the information must be made available to all at the same time

그러면 어떤 점이 다를까요? 뉴욕주가 문제로 삼는 것은 거래소와 시세 및 뉴스사업자의 서비스입니다. 한국 검찰이 ELW스캘퍼를 구속한 것처럼 미국 뉴욕주는 트레이더 혹은 트레이딩회사 자체를 문제삼지 않고 있습니다. 다만 한국 검찰이 증권사 코로케이션을 문제삼는 것과 달리 미국 뉴욕주는 거래소의 코로케이션을 문제삼고 있습니다.

두번째로 철저한 준비와 연구로 뒷받침을 받은 후 수사를 진행하고 있는 듯 합니다. 지난 몇 년동안 미국 학계는 HFT를 둘러싸고 치열한 찬반논쟁을 벌였습니다. 논쟁의 당사자들이 발표한 논문을 누군가 뒷받침했을 듯 합니다. 사실 학술적으로 어느 한편이 완승을 할 수 있는 논쟁이 아닙니다. 그렇지만 어떤 정치적 행동을 할 때 이론적 뿌리는 얻을 수 있습니다. 뉴욕주 조사는 이를 근거로 합니다. 반면 한국 검찰은 덜컥수같은 느낌입니다. 정치권이 문제 삼으니까 한건을 하고 싶었던 검찰이 만들어낸 작품 같았습니다.

관전 포인트가 있습니다. 한국은 대법원까지 ELW와 관련한 피고들에게 무죄를 선고하였습니다. 미국은 어떨까요? 뉴욕주 법무부가 기소를 할지, 기소를 하면 법원은 어떤 판단을 할지, 궁금해집니다. 미국 뉴욕주의 수사(Probe)가 어떤 영향을 이끌어낼까요? 최소한 공정성 시비가 붙을 수 있는 제도들은 SEC와 CFTC를 통하여 시정되지 않을까 합니다.

이런 느낌이 듭니다.

“미국의 기관투자가들이 뉴욕주 검찰을 앞세워 HFT를 규제하려고 한다”

미국 금융자본의 정치력, 대단합니다.

(*)뉴욕주의 조사가 어디로 향하는지를 소개한 기사입니다. 새로운 조사대상이 거래소의 리베이트입니다.

The rationale for cracking down on such practices is to eliminate unfair advantages the HFTs have over other participants in the market. But Schneiderman might also do well to look at another source of market distortion: The rebates that exchanges offer broker-dealers (including, but not only, HFTs) to do business with them directly.

The rebates are known as “maker-taker.” An exchange offers a broker-dealer (the “maker”) a payment—roughly 30 cents per block of 100 shares sold, or “30 mils” in exchange parlance—to sell shares, or “make” liquidity, on that exchange, and charges a slightly smaller fee to “takers” who buy securities. Traders don’t typically pass these rebates on to customers. Here’s a Bloomberg story that discusses some of the trader talk around the rebate system.

So why are exchanges offering these rebates? The root cause is an increasingly fragmented market. Maker-taker rebates began to emerge in the late 1990s as upstart exchanges sought to lure broker business from bigger ones like NYSE and Nasdaq, and have proliferated along with the growing number of exchanges and dark pools (private trading platforms). Sprecher offered a fairly candid account of his own firm and rebates: “The pricing structure that has been created by exchanges, including my exchange, has really had a corrosive impact on cash trading in U.S. equities in particular,” he told Reuters.

The Wall Street Journal reported (paywall) yesterday that regulators at the Commodity Futures Trading Commission are looking into the rebates exchanges offer to clients. And one of the first HFTs set to go public, Virtu Financial, disclosed in its IPO papers that regulators were looking into rebate practices.
Eric Schneiderman is probing high-frequency traders but he shouldn’t stop there중에서