1.
얼마전 SEC가 뉴욕증권거래소에 벌금을 부과하는 결정을 내렸습니다. 이유는 시세입니다. 벌금을 부과받을 때 NYSE가 제공하던 시세정보서비스의 흐름입니다. 무엇이 문제인지 아시겠습니까?
미국 자본시장을 감독하기 위한 규정을 RegNMS라고 합니다. 수많은 규정중 Rule 603(a)이 있습니다. 시세정보의 공정한 분배를 규정하고 있습니다. 아래의 굵은 글씨로 된 부분이 핵심입니다.
First, Rule 603(a)(1) requires that any market information distributed by an exclusive processor, or by a broker or dealer (including ATSs and market makers) that is the exclusive source of the information, be made available to securities information processors on terms that are fair and reasonable.
Rule 603(a)(2) requires that any SRO, broker, or dealer that distributes market information must do so on terms that are not unreasonably discriminatory. These requirements prohibit, for example, a market from making its “core data” (i.e., data that it is required to provide to a Network processor) available to vendors on a more timely basis than it makes available the core data to a Network processor.
Rule 603(a)를 기준으로 NYSE의 시세서비스를 보면 Prop #1과 Prop#2는 특정한 고객에게 이득을 불공정한 서비스입니다. 때문에 법규를 위반한 것입니다. 이를 WSJ은 아래와 같은 그림으로 표현하였습니다.
2.
이상을 한국자본시장에 적용해보죠.
첫째 미국과 달리 한국은 시세와 관련한 구체적인 감독규정이 없습니다. 미국은 명확히 “공정하고 합리적이고 불합리하게 차별적이지 않도록” 서비스하라고 합니다. 반면 한국의 경우?이전 글에서도 지적한 바와 같이 시세와 관련한 법규는 증권거래법이 처음 제정한 이후 한번도 바뀐 적이 없이 그대로 입니다.
둘째 NYSE를 KRX에 적용하면 어떨까요? KRX의 자회사인 코스콤이 새로운 시세정책을 시행하겠다고 합니다. 내용을 자세히 살펴보면 NYSE를 증권사로 바꾸면 NYSE의 사례와 똑같습니다. 다만 코스콤의 시세스위치가 증권사에 놓여 있는 현실을 보면 차이는 전혀 없습니다. 미국의 시세규정을 한국 코스콤정책에 적용하면 불법일까요? 합법일까요? 이것을 Themis Trading은 거래소에 의한 Latency Arbitrage라고 부릅니다.
시세공표의 의무와 DMA
새로운 시세정책 그리고 DMA
하나 더 생각해보죠. 만약 부산IDC를 위하여 시세분배시스템을 서울뿐 아니라 부산에 하나더 두면 불법일까요? 합법일까요? 규정이 없기때문에 정하면 정책이라고 금융감독원이나 한국거래소는 이야기할 듯 합니다. 그것이 불공정한 결과를 낳더라도.
그래서 시세규정을 좀더 세부화하여야 합니다. 여기서 SEC가 불법이라고 판정한 결과보고서를 보면 놀랍습니다. ELW 1심 판결문을 보는 듯 하였습니다. 그 만큼 시세분배와 관련한 자세한 분석과 기술적 지식을 보여주고 있습니다.
B. Rule 603(a) Section 11A(c)(1) of the Exchange Act authorizes the Commission to issue regulations concerning the distribution of market data. The Commission set forth standards for the distribution of market data in 2005 when it promulgated Rule 603(a) as part of Regulation NMS. Rule 603(a)(1) requires “exclusive processors” of market data, such as NYSE, to distribute data to securities information processors (which includes, among others, market data vendors in addition to the Network Processor) on terms that are “fair and reasonable.” Rule 603(a)(2) requires national securities exchanges, such as NYSE, to distribute their market data to persons
on terms that “are not unreasonably discriminatory.” Section 11A(c) and Rule 603(a) apply to “information with respect to quotations for or transactions in” securities. In the adopting release for Regulation NMS, the Commission stated that “independently
distributed data could not be made available on a more timely basis than core data is made available to a Network processor. Stated another way, adopted Rule 603(a) prohibits an SRO or broker-dealer from transmitting data to a vendor or user any sooner than it transmits the data to a Network processor.”See Regulation NMS, 70 Fed. Reg. 37,496, 37,567 and 37,569 (June 29, 2005) (adopting release); see also Concept Release on Equity Market Structure, 75 Fed. Reg. 3594, 3601 (January 21, 2010). The Commission has recognized that, due to the consolidation process (i.e., the time from the receipt by the Network Processor of the information from exchanges to the time it distributes consolidated information to the public), information from a Network Processor generally reaches market participants later than information from exchanges’ proprietary feeds. See Concept Release, 75 Fed. Reg. at 3601 (citing an average consolidation
time of approximately 5-10 milliseconds). Nevertheless, exchanges have an obligation under Rule 603(a) to take reasonable steps to ensure?through system architecture, monitoring, or otherwise?that they release data relating to current best-priced quotations and trades through proprietary feeds no sooner than they release data to the Network Processor, including during periods of heavy trading.Rule 603(a) applies to both of the NYSE proprietary feeds at issue here?OBU and PDP Quotes. PDP Quotes transmits the same quotes in a different format than NYSE sends to the Network Processor. OBU transmits delta messages reflecting order-book changes at all price points, rather than quotes and trade reports, but those delta messages contain information with respect to NYSE’s current best-priced quotes and trades.
From the launch of OBU in June 2008, NYSE consistently released OBU data to subscribers before releasing data to the Network Processor. The average gap in NYSE’s release of OBU data to its proprietary customers, as compared to the release of quote and trade reports to the Network Processor, ranged from single digit milliseconds to 100 or more milliseconds, with the worst disparities exceeding multiple seconds, including those on May 6, 2010. Further, after NYSE reconfigured PDP Quotes so that it received quotes at the same time as MDD, there were multiple instances during high-volume trading intervals in which processing delays in MDD resulted in NYSE releasing quotes to PDP Quotes subscribers before releasing them to the Network Processor. For the reasons given above, these disparities did not meet the standards of “fair and reasonable,” and “not unreasonably discriminatory,” and NYSE violated Rule 603(a). Because the personnel who designed and were responsible for NYSE’s market data delivery system, and the personnel responsible for ensuring compliance with Rule 603(a), ultimately reported to senior officers of NYSE Euronext, NYSE Euronext caused NYSE’s violations.
In the Matter of New York Stock Exchange LLC, and NYSE Euronext, Respondents.중에서
금융위원회나 금융감독원이 할 수 있을까요? 금융이 IT화 된 지금 IT 지식없는 금융 감독이 가능할까요? 마지막으로 든 생각이었습니다.
3.
아래는 자본시장연구원이 위의 사건을 정리한 보고서입니다.
