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      • CBOT 15-0205-BC
      • Effective Date
      • 03 June 2016

      Macquarie Bank Limited


      538.A. Nature of an EFRP (LEGACY)

      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.

      Market Regulation Advisory Notice Exchange for Related Positions Rule 538
      RA 1006-5: (in part) (LEGACY)

      Q9: In which products are transitory EFRPs permitted?

      A9: Transitory EFRPs are EFRPs in which two parties contemporaneously execute an EFRP transaction and an additional cash or OTC transaction that offsets the cash or OTC component of the EFRP; such transactions are permitted exclusively in NYMEX energy and metals products, COMEX metals products, and CME foreign exchange (“FX”) products.


      Pursuant to an offer of settlement in which Macquarie Bank Limited (“Macquarie”) neither admitted nor denied the rule violations upon which the penalty is based, on June 1, 2016, a Panel of the Chicago Board of Trade Business Conduct Committee (“Panel or BCC”) found that it has jurisdiction over Macquarie pursuant to Rules 400 and 402 as the conduct occurred while Macquarie was an affiliate of Macquarie Futures USA LLC, a member of the Exchange, and that on March 28, 2013, Macquarie entered into an Exchange of Options for Options (“EOO”) transaction in the Corn options on futures market. The related position of the EOO consisted of three OTC swaption contracts that were settled the same day without market risk. The Panel found that the execution of the EOO and the OTC swaptions transactions constituted a transitory EFRP, which is prohibited in agricultural products.

      The Panel concluded that Macquarie thereby violated CBOT Rule 538.A.


      In accordance with the settlement offer, the Panel ordered Macquarie to pay a fine of $15,000.


      June 3, 2016