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Secret manipulation of ETF disguised T+0 "gray curtain"

On January 23, the CSRC successively announced four cases of administrative punishment for the unfair trade caused by the manipulation of stock ETFs. Hangzhou Yangshuo Investment, Fujian Daochong Investment, and individual investors Feng Jianhua and Wang Yongke respectively traded different ETF products in a single account or account that they actually controlled, affecting their trading volume, and carrying out corresponding ETFs and corresponding constituents in disguise. Intraday trading.

Among them, Yangshuo Investment handled 3 ETF products in 50 ETF, 180 ETF and Shenzhen 100 ETF during the period involved. Daw Chong Investment operated 3 ETF products of Shenzhen 100 ETF, SME ETF and SME 300 ETF, all of which incurred transaction losses. The CSRC imposed a fine of 500,000 yuan and 1.6 million yuan.

Feng Jianhua manipulates commodity ETFs, oversized ETFs, non-weekly ETFs, dividend ETFs, financial ETFs, energy industry ETFs, consumer ETFs, central enterprise ETFs, and ETFs to control 9 ETF products. Wang Yongke operates GEM ETFs, Deep Dividend ETFs, and Deep 100 ETFs. The small and medium-sized board ETF has a total of 4 products. During the transaction period, the illegal profits were 5.01 million yuan and 4.53 million yuan. The CSRC adopted the principle of “one penalty for one”, and the two were fined 0.12 million yuan and 9.06 million yuan respectively.

It is not difficult to find that there are many similarities in the above cases: First, the ETFs that are not popular are such as the CSI 300 ETF, many of which are still very unpopular ETF types; and second, the use of multiple accounts for reverse transactions Affecting the trading volume of ETFs, the ETF trading volume handled by the parties in the case exceeded 5% of the total trading volume of the day; thirdly, the time involved in the case was at a time when the market fluctuated greatly. Most of the above-mentioned six cases were exposed in 2015. From June 15 to mid-August.

The ‘ingenious’ of this matter is that it seems to use the form of ETF arbitrage, but it is the essence of stock T+0. It can be said that it is covered with ETF arbitrage skin, and T+0 is self-declared.

For example: Investor A buys a basket of stocks through A account, and then purchases ETFs off-market. Due to the current regulations, it cannot be redeemed on the same day, but the ETF share held by the secondary market can be sold to the B account that he actually controls. Then, the B account initiates a redemption order to the fund company, and replaces it into a basket of stocks. The B account sells the stocks in the secondary market, obtains cash, and completes the cash-to-cash closed-loop path.

If you want to do normal ETF arbitrage trading, you actually want the ETF to buy and sell smoothly. If you choose a very unpopular ETF, it is very likely that you will not be able to sell it in a market with a light transaction. Therefore, the parties involved in the above case actually want to do not ETF arbitrage, but to do the intraday trading of stocks from the transaction. At the same time, in the normal ETF arbitrage trading, due to concerns about the ETF's own price decline, it usually shorts the stock index futures and locks down the risk of falling ETF prices. This has not happened in the above-mentioned exposed cases.

The trading threshold of ETF is very high. It requires a large amount of transactions to accumulate arbitrage profits. The risk of trading is also very high. It is necessary to prejudge the market. It is originally a bloody knife. There is also a monitoring layer in the dark. I can only sigh that the transaction is not easy!

I also say two sentences.

Column introduction

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