CITIGROUP GLOBAL MARKETS, INC.
CME RULE VIOLATIONS:
Rule 526. BLOCK TRADES (in part)
D. The price at which a block trade is executed must be fair and reasonable in light of (i) the size of the block trade, (ii) the prices and sizes of other transactions in the same contract at the relevant time, (iii) the prices and sizes of transactions in other relevant markets, including without limitation the underlying cash market or related futures markets, at the relevant time, and (iv) the circumstances of the markets or the parties to the block trade
F. Unless otherwise agreed to by the principal counterparties to the block trade, the seller, or, in the case of a brokered transaction, the broker handling the block trade, must ensure that each block trade is reported to the Exchange within five minutes of the time of execution; except that block trades in interest rate futures and options executed outside of Regular Trading Hours (7:00 a.m. – 4:00 p.m. Central Time, Monday – Friday on regular business days) and Housing and Weather futures and options must be reported within fifteen minutes of the time of execution. The report must include the contract, contract month, price, quantity of the transaction, the respective clearing members, the time of execution, and, for options, strike price, put or call and expiration month. The Exchange shall promptly publish such information separately from the reports of transactions in the regular market.
Rule 536. RECORDKEEPING REQUIREMENTS FOR PIT, GLOBEX, AND NEGOTIATED TRADES (in part)
A.1. Customer Orders
At the time of execution, every order received from a customer must be in the form of a written or electronic record and include an electronic timestamp reflecting the date and time such order was received on the floor of the Exchange and, except as provided in Section C, must identify the specific account(s) for which the order was placed. Such record shall also include an electronic timestamp reflecting the date and time such order was modified, returned, confirmed or cancelled.
Market Regulation Advisory Notice RA1203-3 Block Trades
5. Block Trade Price Reporting Requirements
b) Reporting Obligation (in part)
The failure to submit timely, accurate and complete block trade reports may subject the party responsible for the reporting obligation to disciplinary action.
Market Regulation Advisory Notice RA1303-3RR (in part)
3. Time and Prices of Block Trades
The trade price must be consistent with the minimum tick increment for the market in question. Additionally, each outright transaction and each leg of any block eligible spread or combination trade must be executed at a single price.
Pursuant to an offer of settlement in which Citigroup Global Markets, Inc. (“Citi”) neither admitted nor denied the rule violations upon which the penalty is based, on November 18, 2014, a Panel of the CME Business Conduct Committee (“BCC” or “Panel”) found that it had jurisdiction over Citi pursuant to CME Rules 400 and 402 as the conduct occurred while Citi was a CME member. The Panel also found that during the time period from February 2012 through October 2013, Citi, through its employees, executed multiple block trades in various CME FX futures contracts that were not reported to the Exchange within the applicable time limit following execution. The Panel concluded that Citi thereby violated CME Rule 526.F.
The Panel also found that during the same timeframe, Citi, through its employees, reported to the Exchange inaccurate execution times of block trades and failed to maintain accurate written or electronic records with respect to block trade executions. The Panel concluded that Citi thereby violated CME Rule 536.A.
Lastly, the Panel found that on one occasion in April 2013, Citi, through its employees, executed a May/June 2013 Brazilian Real futures spread block transaction where each leg of the spread was not executed at a single price. The Panel concluded that Citi thereby violated CME Rule 526.D.
In accordance with the settlement offer, the Panel fined Citi $50,000.
November 20, 2014