美國金融機構監管功能失靈了嗎

On May 6 2010, when the US stock markets plunged 600 points and rebounded within 20 panic-stricken minutes — an event that became known as the “flash crash” — an independent trader from west London received a warning about his behaviour from the US’s largest futures exchange.

2010年5月6日，美國股市突然暴跌600點，然後在一片恐慌的大約20分鐘後反彈——這件事後來被稱爲“閃電崩盤”(flash crash)，當時倫敦西區的一名獨立交易員因其交易行爲，受到了美國最大期貨交易所的警告。

It was the third warning the Chicago Mercantile Exchange had sent to Navinder Singh Sarao, the 36-year-old British-born trader, and his broker, for placing and then quickly cancelling orders — a practice known as “spoofing”. Orders were “expected to be entered in good faith for the purpose of executing bona fide transactions”, the CME told him.

這已是芝加哥商品交易所(CME)第三次警告英國出生的36歲交易員納溫德•辛格•薩勞(Navinder Singh Sarao)及其經紀商了，起因是下單並迅速撤銷訂單的行爲——這種操作被稱爲“誘騙”(spoofing)。“市場預期，交易指令是爲了執行真實的交易而在誠信基礎上發出的，”芝加哥商品交易所告訴他。

If this worried him at all, however, Mr Sarao could at least console himself with the fact that, by the time the market closed, he had made $879,018. And two weeks later, he would brag to his broker that he had told the CME to “kiss my ass”.

然而，如果說這讓薩勞感到擔心的話，那麼他至少可以感到安慰的是，當日市場收盤時，他斬獲了87.9018萬美元。兩週後，他向自己的經紀商誇口稱，他已告訴芝加哥商品交易所“親我屁股”。

This week Mr Sarao has found himself inside a London courtroom facing criminal and civil charges from the US Department of Justice and Commodity Futures Trading Commission for allegedly contributing to the panic that day and embarking on a pattern of behaviour that is said to have netted him nearly $40m in four years.

上週，薩勞出現在倫敦一家法庭上，面對美國司法部(DoJ)和美國商品期貨交易委員會(CFTC)提出的刑事與民事指控，罪名是他涉嫌在那天加劇了恐慌，並持續投入一種行爲模式——據稱該模式讓他在4年裏賺到了近4000萬美元。

On Wednesday Mr Sarao, dressed in tracksuit trousers and a canary yellow sweatshirt, was given conditional bail of £5.05m as he prepared to fight efforts by US authorities to extradite him to Illinois to be tried for wire fraud, commodities fraud, commodities manipulation and spoofing. He faces as much as 25 years in prison if found guilty.

上週三，身着運動褲和淡黃運動衫的薩勞以505萬英鎊獲得有條件保釋。他準備反對美國當局引渡他到伊利諾伊州受審的努力；他在美國面對的指控包括電信欺詐、大宗商品欺詐、商品市場操縱以及誘騙操作。如果被判有罪，他面臨長達25年的刑期。

Mr Sarao was hardly a masters of the universe type, nor did he fit the mould of the “flash” traders who use ultra-fast internet connections and sophisticated software to gain a millisecond advantage. Instead, he traded on a customised version of an off-the-shelf software program from his modest home in Hounslow, a drab London suburb. So far he is the only person accused in connection with the flash crash.

薩勞很難說得上是那種宇宙主宰型人物，也不符合“閃電”交易員的特徵——那些人以超高速互聯網連接和先進軟件獲得一毫秒的優勢。相反，他用一款現成軟件程序的定製版進行操盤，地點就在死氣沉沉的倫敦豪恩斯洛區(Hounslow)不起眼的家裏（見右圖）。到目前爲止，他是因閃電崩盤而面對刑事指控的唯一人士。

His arrest has revived criticism of the market oversight by the CME and other regulators — and prompted some to ask whether Mr Sarao has been made a scapegoat while the role of larger players has gone unpunished. And despite untold hours spent by US regulators investigating one of the most mysterious episodes in market history, authorities only brought this case after a whistleblower provided hundreds of hours of analysis of the trades, a lawyer for the whistleblower said.

薩勞被逮捕已使芝加哥商品交易所和其他監管機構的市場監管再度受到批評，並促使一些人質疑，在大型操盤手的作用未受懲罰之際，薩勞是不是被當做了替罪羊？此外，據一名舉報者的律師透露，儘管美國監管機構花了大量時間調查市場歷史上最神祕的事件之一，但當局只是在他的當事人提供了對相關交易的數百小時分析之後，才向法庭提起此案。

To critics, the idea that a lone trader could help wreak so much havoc demonstrates that the fragmented US system of regulatory oversight is unsuited to a financial market that is so closely connected by computerised trading.

在批評者看來，一個單幹的交易員就可能造成如此大的混亂，這表明美國各自爲政的監管制度不適合被電腦化交易緊密連接的金融市場。

“The fact that it took five years to catch [arrest] this guy is a symptom of a broken enforcement system,” says James Angel, a professor at Georgetown University.

“用了5年才抓住（逮捕）這個傢伙，這個事實表明執法系統已失靈了，”喬治敦大學(Georgetown University)教授詹姆斯•安吉爾(James Angel)說。

Mr Sarao came of age just as the markets shifted to electronic trading. With the CME’s launch in 1997 of the “e-mini S&P”, a compact futures contract based on the S&P 500, investors had a smooth way of betting on the direction of the cash equity market. They could also use the contract to insulate their portfolios from losses.

薩勞磨練操盤技能的時候，正趕上市場轉向電子交易。隨着芝加哥商品交易所在1997年推出“e-mini S&P”——一款基於標普500(S&P 500)股指的小型期貨合約，投資者有了押注股市走向的順暢途徑。他們也可以使用這一合約使自己的投資組合免於虧損。

That attracted Mr Sarao, a British trader whose family lived under the main flight path into Heathrow airport. He got his start on the trainee programme of a small UK broker in 2003 and quickly stood out. “He was a bit of a strange character but he was a natural, a genius,” says a person who watched him trade. “He could read a screen like you and I could read a newspaper.” Mr Sarao stayed cool, wearing heavy-duty headphones to block out the noise of a trading floor. “He also used to dress shabbily as he didn’t care,” the person said.

這吸引了薩勞，他的家就在倫敦希思羅機場標準進場航路的下方。2003年，他參加英國一家小型經紀商的培訓生課程，由此踏入交易這一行，並很快脫穎而出。“他是個多少有點怪的人，但他是一塊天生的料子，一個天才，”曾經旁觀他交易的一名人士表示，“他可以像你我閱讀報紙一樣閱讀屏幕。”薩勞始終保持着冷靜，戴着重型耳機，屏蔽掉交易室的噪音。“他那時還不修邊幅，他根本不在乎這方面，”上述人士表示。

He developed a reputation for making big trades, according to two people familiar with his positions. “One day he traded 5,000 lots [equivalent to a notional value of $250,000] while he was talking to me,” one said.

兩名熟悉他倉位的兩位人士透露，他建立了進行大筆交易的名聲。“有一天，他一邊跟我聊天，一邊交易了5000手（名義價值總額達25萬美元），”其中一人表示。

By 2008 he had started his own firm and bought a seat on the CME, allowing him to trade on Chicago’s markets. Almost immediately the CME noticed his behaviour; by the following March the it had contacted MF Global, his brokerage, to alert them. The company passed the message to Mr Sarao and told him that he may have been breaking the rules.

到2008年，薩勞已成立了自己的公司，並在芝加哥商品交易所買下一個席位，由此得以押注芝加哥市場的走勢。芝加哥商品交易所幾乎立即注意到了他的行爲；次年3月，該交易所聯繫了他的經紀商MF Global，提醒他們注意薩勞。該公司把交易所的郵件轉發給薩勞，並告訴他：他可能在違反規則。

The problem: Mr Sarao pumped large amounts of orders into the e-mini market, then quickly cancelled them. Tracking his trades between September 2008 and October 2009, the CME noted that the tactic “appeared to have a significant impact on the indicative opening price” of the market.

問題在於，薩勞向e-mini市場發出大量交易指令，然後迅速撤銷。芝加哥商品交易所追蹤了他在2008年9月至2009年10月之間的交易後指出，這種手法“似乎對市場的指示性開盤價產生了重大影響”。

“When prices fell as a result of this activity, Sarao allegedly sold futures contracts only to buy them back at a lower price,” according to the DoJ. “Conversely, when the market moved back upward as the market activity ceased, Sarao allegedly bought contracts only to sell them at a higher price.”

“當這種行爲導致價格下跌時，據稱薩勞賣出期貨合約，然後在更低價格把它們買回來，”美國司法部表示，“相反，當這一市場行爲停止、市場反彈時，據稱薩勞買入合約，然後在更高價格將其賣出。”

The regulators allege Mr Sarao was rapidly placing and cancelling orders on May 6, 2010. In less than two hours he placed six e-mini orders, which were replaced or modified 19,000 times before cancelling them without completing a single trade. In that same period he accounted for between 20 and 29 per cent of the entire e-mini sellside order book on CME, regulators allege.

監管機構聲稱，薩勞在2010年5月6日快速下單並撤銷指令。在不到2小時內，他發出6個e-mini交易指令，在對其進行了1.9萬次替換或修改後將其取消，而沒有完成任何一筆交易。監管機構稱，其間他的操作介於CME全部E-mini賣方訂單的20%至29%之間。

He also executed real trades, boosting his returns. By 2009, Mr Sarao allegedly began to move money offshore to avoid paying taxes on his profits, according to court filings. In 2010 he created a company, Nav Sarao Milking Markets, incorporating it in Nevis, a small island in the Caribbean.

薩勞也會執行實際交易，以提高回報。法院文件顯示，到2009年，薩勞據稱開始向海外轉移現金，以此避免爲他的交易利潤交稅。2010年，他創辦了一家名爲Nav Sarao Milking Markets的公司，註冊地爲加勒比海小島尼維斯。

In 2011 he created a company called International Guarantee Corp that he based in Anguilla with a bank account in Switzerland. He used IGC to make loans to his trading firm and invest in other companies. A year later, according to court filings, he authorised a transfer from another Swiss bank account to the United Arab Bank in Dubai.

2011年，他創辦了一家名爲International Guarantee Corp (IGC)的公司，總部位於安圭拉，該公司有一個瑞士的銀行賬戶。他利用IGC向自己的交易公司發放貸款，並投資於其他公司。法院文件顯示，一年後他授權進行了一筆轉賬，把資金從另一個瑞士的銀行賬戶轉移至迪拜的聯合阿拉伯銀行(United Arab Bank)。

But Mr Sarao’s allegedly manipulative trading continued, and it was not until at least the end of 2013 that US regulators opened their investigations.

但是，薩勞據稱的操縱交易行爲仍然繼續，而美國監管機構至少到了2013年底纔開啓調查。

The unmasking of Mr Sarao has raised eyebrows among traders and the broader industry. Markets by their nature reflect the choices and actions of numerous people and no single trade or activity can be held responsible for big market swings, observers say.

當局揪出薩勞的舉動引發交易員乃至整個行業愕然。觀察人士稱，從本質上講，市場反映的是許多人的選擇和動作，對於市場的大幅波動，不應該追究任何個別交易或行動的責任。

“It is possible that it [Mr Sarao’s trading] was a factor among many that contributed to what happened on that day,” says Justin Schack, managing director at Rosenblatt Securities. “What is hard to believe is that this guy is the Franz Ferdinand of the flash crash.”

“（薩勞的交易）可能是導致當天市場波動的衆多因素之一，”Rosenblatt Securities的董事總經理賈斯汀•沙克(Justin Schack)稱，“令人難以置信的是，這個人就是閃電崩盤的弗朗茨•斐迪南（Franz Ferdinand，奧匈帝國王儲，他的遇刺成爲一戰爆發的導火線——譯者注）。”

The CME this week reiterated its position that its own investigations, and those of regulators, found that the futures market was not to blame. Regulators say the arrest of Mr Sarao did not mean that their report was wrong or that other players, like large money managers, did not play a role.

上週，CME重申了自己的立場，該交易所自己的調查以及監管機構的調查均認爲，期貨市場沒有過錯。監管機構稱，薩勞被捕並不意味着他們的報告是錯誤的、或者其他操盤手（比如大型資產管理機構）沒有起到作用。

The official report on the flash crash, released in September 2010, highlighted the impact of a rapidly executed $4.1bn sale of stock index futures by a single institutional investor, Waddell & Reed, which began at 2:32pm EST. A trade of that size went well beyond what Mr Sarao could have done. According to the complaints, Mr Sarao switched off his layering program at 2.40pm that day, two minutes before the S&P 500 really started to plummet. He kept trading during the crash and for years after.

針對閃電崩盤的官方報告在2010年9月公佈，報告強調了一家名爲Waddell & Reed的機構投資者所做操作的影響。該機構從美東時間下午2:32開始快速賣出41億美元的股期指貨。這種規模的交易遠遠超出薩勞可能企及的程度。根據訴狀，薩勞於當日下午2:40關閉了其“分層”(layering)程序，2分鐘後標普500真正開始暴跌。他在暴跌期間繼續交易，之後也交易了好幾年。

Andrei Kirilenko, professor at the MIT Sloan School of Management and joint author of the report into the flash crash, says it is hard to see the connection between the algorithm in his customised program and what happened later. “The complaint says that this algorithm is present a bunch of times before and after the flash crash, but is actually not there during the most volatile period of the flash crash.”

麻省理工大學斯隆商學院(MIT Sloan School of Management)教授、閃電崩盤報告的聯合作者安德烈•基裏連科(Andrei Kirilenko)稱，很難看出薩勞定製程序的算法與隨後發生的情況之間的聯繫。“訴狀稱，這種算法在閃電崩盤發生前後出現了數次，但實際上在閃電崩盤波動最劇烈的時刻並未出現。”

While regulators debate the structure of the markets, a new vitality appears to have taken hold among prosecutors. “With this turn of events, we need to acknowledge that it is the FBI and the Department of Justice that are now in charge of how this market will operate,” says Prof Kirilenko. “This changes things.”

在監管機構辯論市場架構之際，檢方似乎展現了新的活力。“鑑於這一轉折，我們要承認，如今是FBI和美國司法部來掌管市場該如何運行了，”基裏連科教授稱，“這會改變一些事。”