Page 35 - 期货和衍生品行业监管动态（2023年10月刊）

期货和衍生品行业监管动态

Case Background

The order finds Goldman did not maintain an adequate supervisory system to

ensure its customer’s trading on December 29, 2017 in the ICE Futures Europe (ICE)

Low Sulphur Gasoil futures contract February 2018/December 2018 calendar spread

was not disruptive. Specifically, the order finds Goldman’s Volatility Awareness

Control (VAC)—a preventative control to suspend potentially disruptive trading when

volatility thresholds were exceeded—malfunctioned and did not suspend the trading on

December 29, 2017 as it should have. Additionally, the order finds Goldman’s post-

trade surveillance, which was designed to detect potential intentional or reckless efforts

to influence the daily settlement price in futures contracts, did not use the correct

settlement period for the ICE Gasoil futures contract on December 29, 2017 and thus

was not properly surveilling for potential disruptive trading activity. Thus, Goldman

did not maintain an adequate supervisory system with respect to disruptive trading in

violation of CFTC Regulation 166.3.

The order further finds Goldman omitted material information regarding the

VAC’s malfunction in its response to a DOE request for, among other things, a

description of the method by which Goldman’s customer’s orders were executed,

including the reasons Goldman executed its customer’s orders in the fashion that it did

and a full description of any algorithms used. Goldman did not make any mention of

Goldman’s VAC that should have—but did not—suspend the operation of Goldman’s

trading algorithm on December 29, 2017. The order finds Goldman reasonably should

have known that its omission of that information rendered its August 6, 2018 letter to

DOE materially misleading, in violation of Section 6(c)(2) of the CEA.

https://www.cftc.gov/PressRoom/PressReleases/8800-23

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