NOTICE OF DISCIPLINARY ACTION

FILE NO.:

CME 19-1168-BC

NON-MEMBER:

Grantham, Mayo, Van Otterloo & Co. 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.

FINDINGS:

Pursuant to an offer of settlement in which Grantham, Mayo, Van Otterloo & Co., LLC (“GMO”) neither admitted nor denied the rule violation upon which the penalty is based, on December 19, 2019, a Panel of the CME Business Conduct Committee (“Panel”) found that, as a result of transactions on July 30, 2019, five GMO-managed accounts combined held a short position of 6,292 OCT19 Lean Hog futures contracts, 292 (4.87%) contracts over the single month position limit and held that position through the close of trading on July 30, 2019. On the morning of July 31, 2019, after realizing it was over the single month position limit, GMO promptly reduced the overage to bring its accounts’ position into compliance, resulting in a profit to the accounts of $314,160.

The Panel concluded that GMO thereby violated CME Rule 562.

PENALTY:

In accordance with the settlement offer, the Panel ordered GMO to pay a fine in the amount of $15,000 and ordered disgorgement of the profit in the amount of $314,160.

EFFECTIVE DATE:

December 23, 2019