Several weeks after becoming the top cop for U.S. markets last May, Jay Clayton began reading everything he could get his hands on about bitcoin, realizing it was quickly evolving from a method of payment to a global investment craze.

Since then, the Securities and Exchange Commission chairman has elevated digital currencies to the forefront of his agenda, asserting that many of the products fall under the agency's oversight. During Clayton's tenure, the SEC has unleashed its enforcement lawyers on companies that are illicitly raising money by selling digital tokens, put the kibosh on attempts to set up cryptocurrency mutual funds, and repeatedly urged investors to take more seriously the risk of getting fleeced.

Clayton's latest concern, detailed in an interview this week, is the lightly regulated exchanges where the currencies are bought and sold. With many located offshore, Clayton said, federal authorities have no insight into their operations and little recourse when things blow up for U.S. investors.