Page 442 - 《期货和衍生品行业监管动态》（2022年合集）

期货和衍生品行业监管动态

observed broker mid prices and in a manner that aligned with the risk positions of the
IRD Desk, while generally staying within the limits of internal controls designed to

detect mismarking. Although Natixis maintained certain controls relating to the

marking of the Closing Curve, those controls were insufficient to detect the trader’s

misconduct for over three years. At its peak in early 2018, the trader’s mismarking of

the Closing Curve overstated the P&L of the IRD Desk by approximately $25 million.

As a result of the bank’s supervisory failures, its books and records were

inaccurate in several respects, and Natixis further failed to comply with certain

obligations to provide accurate daily mark disclosures to certain counterparties, to

properly calculate margin, and to report accurate swap valuation data to a swap data

repository.

In addition, the order further finds that Natixis failed to diligently supervise the
activities of its FAST Desk. Specifically, between February 2017 and November 2019,

traders on the FAST Desk made certain manual adjustments to the bank’s internal
trade booking systems for the purpose of “smoothing” or hiding the FAST Desk’s

P&L and later releasing the P&L during difficult market conditions. At its peak, the

P&L smoothing understated the unrealized P&L of the FAST Desk by over $6 million.

This misconduct rendered the bank’s books and records inaccurate.

In accepting the bank’s offer of settlement, the CFTC recognizes its substantial

cooperation during the Division of Enforcement’s investigation of this matter. The

CFTC notes that the bank’s substantial cooperation and remediation are recognized in

the form of a reduced civil monetary penalty.

https://www.cftc.gov/PressRoom/PressReleases/8581-22

5. 美国商品期货交易委员会数据部公布联邦法规第 43、45 部分实施技术规范的

部分修订内容（2022 年 9 月 15 日）

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