NOTICE OF DISCIPLINARY ACTION

MEMBER FIRM:

Saxo Bank A/S

CME RULE VIOLATIONS:

Rule 575 Disruptive Practices Prohibited

D. No person shall enter or cause to be entered an actionable or non-actionable message with intent to disrupt, or with reckless disregard for the adverse impact on, the orderly conduct of trading or the fair execution of transactions.

Rule 576: Identification of Globex Terminal Operators

Each Globex terminal operator shall be identified to the Exchange, in the manner prescribed by the Exchange, and shall be subject to Exchange rules. In no event may a person enter an order or permit the entry of an order by an individual using a user ID other than the individual’s own unique ID.

FINDINGS:

Pursuant to an offer of settlement in which Saxo Bank A/S (“Saxo”) neither admitted nor denied the rule violations upon which the penalty is based, on March 16, 2017, a Panel of the Chicago Mercantile Exchange Business Conduct Committee (“Panel”) found that on multiple dates between January 2015 and March 2015, Saxo operated an auto-liquidation algorithm to liquidate its clients’ under-margined positions by entering a market order for the entire quantity of the clients’ open position. Saxo’s auto-liquidation algorithm entered orders without taking into consideration market conditions and, in at least two instances, caused significant price movements in certain CME FX futures markets. On its own initiative, Saxo promptly undertook remedial measures, including developing and employing a new and enhanced custom algorithm to liquidate under-margined customer positions, although Saxo continued to operate the algorithm before the firm completed and deployed the remedial measures. Additionally, during this time period, Saxo routed the market orders to the Exchange using Tag50 User IDs assigned to the underlying clients as opposed to assigning and using a unique Tag50 User ID for the algorithm. The Panel concluded that Saxo violated CME Rules 575.D. and 576.

PENALTY:

In accordance with the settlement offer, the Panel ordered Saxo to pay a fine of $190,000 in connection with this case and companion case CBOT 15-0158-BC ($70,000 of which is allocated to CME).

EFFECTIVE DATE:

March 20, 2017