• NOTICE OF DISCIPLINARY ACTION

      • #
      • CME-17-0839-BC
      • Effective Date
      • 13 December 2018
    • FILE NO.:

      CME 17‐0839‐BC

      NON‐MEMBER:

      Ziemba Capital Management LLC

      CME RULE VIOLATIONS:

      Rule 562 (“Position Limit Violations”) (in part)

      Any positions, including positions established intraday, in excess of those permitted under the rules of the Exchange shall be deemed position limit violations.

      Market Regulation Advisory Notice RA1711‐5: Position Limits and Accountability Levels (Effective August 11, 2017)(in part)

      Q8: How does aggregation of accounts work with respect to position limits and position accountability levels?

      A8: Aggregation of positions is based on ownership or control. All positions in accounts for which any person, by power of attorney or otherwise, directly or indirectly controls trading or holds a 10 percent or greater ownership or equity interest must be aggregated with the position held and trading done by such person. For the purpose of determining the positions in accounts for which any person controls trading or holds a 10 percent or greater ownership or equity interest, positions or ownership or equity interests held by, and trading done or controlled by, two or more persons acting pursuant to an expressed or implied agreement or understanding shall be treated the same as if the positions were held by, or the trading were done or controlled by, a single person.

      FINDINGS:

      Pursuant to an offer of settlement in which Ziemba Capital Management LLC (“ZCM”) neither admitted nor denied the rule violation or factual findings upon which the penalty is based, on December 11, 2018, a Panel of the Chicago Mercantile Exchange (“CME”) Business Conduct Committee (“Panel”) found that at various points between the close of business on December 7, 2017, and December 12, 2017, accounts owned or controlled by the principals of ZCM, which were aggregated for the purposes of Exchange position limits, held December 2017 Lean Hogs futures equivalent positions that exceeded the spot month position limit of 950 contracts in effect at that time. Specifically, at the close of business on December 7, 2017, ZCM established an aggregate position that exceeded the spot month position limit and increased the position the next morning for a total overage of 287 contracts (30.2%). The Panel also found that on December 11, 2017, ZCM exceeded the position limit intraday by 120.9 contracts (12.7%), and again on December 12, 2017, by 25.3 contracts (2.7%). ZCM incurred a net loss from liquidating these overages.

      The Panel concluded that ZCM thereby violated CME Rule 562.

      PENALTY:

      In accordance with the settlement offer, the Panel ordered ZCM to pay a fine of $40,000.

      EFFECTIVE DATE:

      December 13, 2018