SEC报告解读（下）：GME事件及所引发的监管思考-45正式版.docx

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1、StaffReportonEquityandOptionsMarketStructureConditionsinEarly2021October14,2021DISCLAIMER:ThisisareportoftheStaffoftheU.S.SecuritiesandExchangeCommission.Staffreports,InvestorBulletins,andotherstaffdocuments(includingthosecitedherein)representtheviewsofCommissionstaffandarenotarule,regulation,orstat

2、ementoftheCommission.TheCommissionhasneitherapprovednordisapprovedthecontentofthesedocumentsand,likeallstaffstatements,theyhavenolegalforceoreffect,donotalteroramendapplicablelaw,andcreatenoneworadditionalobligationsforanyperson.TheCommissionhasexpressednoviewregardingtheanalysis,findings,orconclusi

3、onscontainedherein.TableofContents1. Introduction22. U.S.MarketStructureandSecuritiesRegulatoryFramework32.1 EquitiesandOptionsMarketStructure32.2 OverviewoftheRegulatoryFramework42.3 IndividualInvestorsandRetailBroker-Dealers62.4 OrderExecutionandSegmentationofIndividualInvestorFlow102.5 Clearancea

4、ndSettlement143. GameStop:WhatHappened153.1 TheRun-UptoJanuary2021andIncreasingIndividualInvestorParticipation153.2 GMEEquitiesTrading173.3 ImpactonExchange-TradedFunds233.4 ShortSellingandCoveringShortPositions243.5 ClearingAgencyMarginandCapitalIssues313.6 Broker-DealerReactionsandTradingRestricti

5、ons323.7 RoleofOff-ExchangeMarketMakers353.8 AvailableLiquidityforGME373.9 GMEOptionsTrading404. Conclusions431. IIltrOdlICtionGameStopCorp(GameStoporGME)andmultipleotherstocksexperiencedadramaticincreaseintheirsharepriceinJanuary2021asbullishsentimentsofindividualinvestorsfilledsocialmedia.Asthecom

6、panies,sharepricesskyrocketedtonewhighs,increasedattentionfollowed,andtheirsharesbecameknownas“memestocks.Then,astheendofJanuaryapproached,severalretailbroker-dealerstemporarilyprohibitedcertainactivityinsomeofthesestocksandoptions.ThisreportofthestaffoftheSecuritiesandExchangeCommission(SECor“Commi

7、ssion)primarilyexaminestheJanuary2021tradingactivityinGME,themostfamousofmemestocksagainstthebackdropofcontemporaneoustradingactivityinothermemestocks.Becausethemediaattentionsurroundingthememestockepisoderaisedseveralquestionsaboutmarketstructure,thisreportwillbeginwithanoverviewofU.S.equityandopti

8、onsmarketstructureandexplainhowindividualinvestors,ordersaretypicallyhandled.Asmoreindividualinvestorsparticipateinthemarkets,asmanydidduringthevolatiletradinginearly2021,itisimportanttounderstandhowtheirordersareexecutedandtheincentivesoftheirbroker-dealerswhenexecutingthoseorders.Inparticular,thea

9、bilityofasmallnumberofoff-exchangemarketmakerstotradeprofitablywithretailorderflowhasledthesemarketmakerstonegotiateagreementswithretailbroker-dealerstosecurerightstothisorderflow.Inturn,thispaymentfororderflowcreatesincentiveswithregardtotheendcustomerwhoseorderflowisbeingsold.Someindividualinvesto

10、rsmighttrademorefrequentlyascommissionshavefallenorbeeneliminated,whichraisesquestionsabouttheeffectofnovelfeatures(e.g.,digitalengagementpractices)oftheirbroker-dealers.Theexecutionofretailordersbyoff-exchangemarketmakersraisesfurtherquestionsaboutwhetherindividualinvestorsmaystillbesubjecttootherl

11、essconspicuouscostsandconflictsofinterest.Whilethesefeaturesarenotnecessarilythecauseofthememestockvolatility,investorsshouldbemindfulofhowtheirordersarehandled,includingthedifferencebetween“fieeandnoCommiSSions.”DynamicsrelatedtoshortsellingarealsoanintegralpartoftheGameStopstory.Stocksseenbypartso

12、fthemarketasovervaluedtendtoexhibitsignificantshortinterest,andpriortoJanuary2021,GameSlopwasnodifferentinthisrespect.However,someinthemediadirectly1 Thisreportusesthetermtindividualinvestor“tomeananaturalpersonwhoistselfdirected”(i.e.,notactingonarecommendationbyabroker-dealer),incontrastwithprofes

13、sionalinvestorsorinstitutionalinvestors.Thetermencompassesanindividualwhotradesfrequentlyorinfrequentlyandinverysmalltolargedollaramounts.Thetermuretailbroker-dealef,referstoabroker-dealerthatcaterstoindividualinvestors.ThisdefinitionofindividualinvestordiffersfromtheConsolidatedAuditTrail(ttCAT,)de

14、finitionof“individualcustomeraccount,“whichisalsousedinthisreport.Seeinfranote59.linkedtradingactivitytothepresenceofshortinterest,characterizingtradinginGameStopasanactofrebellionintendedtohumbleshort-sellingprofessionalinvestorswhohadallegedlytargetedthestock.Lastly,theepisodehighlightedtherisksth

15、atexistwhiletradesaresettledandraisedconcernsaboutthemechanismsmarketparticipantsusetomanagethoserisks.Specifically,volatilitycombinedwithsettlementrisksledsomefirmstotemporarilyrestricttrading.Wediscussaspectsofequityandoptionsmarketstructurebelow.2. U.S.MarkCtStrUCtUreandSCCUritieSReBlIlatenFraInC

16、work2.1 EquitiesandOptionsMarketStructureCustomerClearance and SettlementBroker- DeaIer(S)Options: O*cha9Execution via Trading CentersFqtMftes. OftxchangOthw broker-dealfs (woAsars, ATSs) OiwxchangeTounderstandwhattranspiredinJanuary2021,itisnecessarytounderstandthemarketstructurewithinwhichtheeventsoccurred.2Fromtheperspectiveofindividualinvestors,the