NOTICE OF DISCIPLINARY ACTION

FILE NO.:

CBOT 09-03091-BC

MEMBER:

Goldman, Sachs & Co.
 

CBOT RULE VIOLATION:

Rule 432.W. (General Offenses)

It shall be an offense for a Member to fail to diligently supervise its employees and agents in the conduct of their business relating to the Exchange.

FINDINGS:

Pursuant to an offer of settlement in which Goldman, Sachs & Co. neither admitted nor denied the rule violation upon which the penalty is based, on May
29, 2013, a Panel of the CBOT Business Conduct Committee found that in December 2008, CME Group Inc. Market Regulation Department was in regular contact with Goldman, Sachs & Co. regarding its Treasury Desk’s large position in the December 2008 10-Year Treasury futures contract, which was set to expire on December 19, 2008. Goldman, Sachs & Co. did not adequately relay Market Regulation’s concerns to its Treasury Desk traders. During the final minute prior to expiration of the December 2008 10-Year Treasury futures contract, in order to cover the tail (a standard form of risk management activity associated with holding a Treasury futures position at expiry) for the position held by Goldman, Sachs & Co.’s Treasury Desk, a Treasury trader for Goldman, Sachs & Co., executed a 100-lot market order, and then submitted a 50-lot limit order, which was only partially filled as a result of illiquidity in the market. During the course of these orders and subsequent fills, the market traded up 27+ ticks resulting in the final price of the December 2008 10-year Treasury futures contract settling above what was indicated by the December – March calendar spread. The Panel concluded that, by virtue of the foregoing, Goldman, Sachs & Co. violated CBOT Rule 432.W.

PENALTY:

In accordance with the settlement offer, the Panel ordered Goldman, Sachs & Co. to pay a fine of $875,000.

EFFECTIVE DATE:

May 31, 2013