CME fines Deutsche Bank AG London Branch
International derivatives marketplace CME Group has posted a notice of disciplinary action against Deutsche Bank AG London Branch (DBAG London).
Pursuant to an offer of settlement in which DBAG London neither admitted nor denied any rule violation, a Panel of the Chicago Mercantile Exchange (CME) Business Conduct Committee found that on June 8 and June 9, 2022, DBAG London operated an automated trading system that entered multiple opposing buy and sell orders for the same account in June 2022 New Zealand Dollars Futures Non-inverted CME FX Link Spreads, Swiss Franc Futures Inverted CME FX Link Spreads, and Euro FX Futures Non-Inverted CME FX Link Spreads.
DBAG London’s ATS was coded to consider the basis between related markets, and the algorithm adjusted order prices in response to tightening bid-ask spreads in these markets.
Because the ATS was subject to minimum tick increments and rounding logic, the adjusted order prices DBAG London’s algorithm entered in the futures markets became opposing buy and sell orders at the same prices. These orders then traded opposite each other in the same DBAG London account causing self-matching to occur on more than an incidental basis.
The Panel found that DBAG London reasonably should have known that entering orders in this manner would achieve a wash result.
The Panel therefore concluded that DBAG London violated CME Rule 534.
In accordance with the settlement offer, the Panel ordered DBAG London to pay a $70,000 fine.
The effective date of the notice is December 11, 2023.