NOTICE OF DISCIPLINARY ACTION

FILE NO.:

CBOT 09-04190-MS-BC AND CBOT 11-8467-MS-BC

MEMBER:

MACQUARIE INC.

CBOT RULE VIOLATION:

Rule 538. EXCHANGE FOR RELATED POSITIONS

A. Nature of an EFRP

An EFRP consists of two discrete but related simultaneous transactions. One party to the EFRP must be the buyer of (or the holder of the long market exposure associated with) the related position and the seller of the corresponding Exchange contract. The other party to the EFRP must be the seller of (or the holder of the short market exposure associated with) the related position and the buyer of the corresponding Exchange contract.
. . . .

FINDINGS:

Pursuant to an offer of settlement in which Macquarie Inc. neither admitted nor denied the rule violation upon which the penalty is based, on November 15, 2011, a Panel of the CBOT Business Conduct Committee found that on October 19, 2009, Macquarie executed two Exchange for Related Position (“EFRP”) transactions for 200 contracts each. In the first, the futures component was the July 2010 Wheat futures contract, and in the second, the futures component was the July 2011 Wheat futures contract. The underlying related position for both EFRPs was a single swap spread executed by Macquarie on Friday, October 16, 2009, which created a July 2010 - July 2011 wheat spread with a quantity equivalent to 200 contracts per leg.

Based on the manner in which the October 16, 2009, swap spread was unwound through EFRPs on October 19, 2009, it appears the execution of the EFRPs were contingent on each other.

The Business Conduct Committee further found that on Friday, July 1, 2011, Macquarie executed two EFRP transactions for 50 contracts each. In the first, the futures component was the September 2011 Corn futures contract, and in the second, the futures component was the December 2011 Corn futures contract. The underlying related position for both EFRPs was a single swap spread executed by Macquarie on Thursday, June 30, 2011, which created a September 2011 – December 2011 corn spread with a quantity equivalent to 50 contracts per leg.

Based on the manner in which the June 30, 2011, swap spread was unwound through EFRPs on July 1, 2011, it appears the execution of the EFRPs were contingent on each other.

The Business Conduct Committee found that the conduct described above was in violation of CBOT Rule 538 (Exchange for Related Positions).

PENALTY:

In accordance with the settlement offer, the Panel fined Macquarie $35,000.

EFFECTIVE DATE:

November 17, 2011