TP ICAP Global Markets Americas LLC
The findings stated that the firm lacked a supervisory system reasonably designed to detect potential spoofing and layering activity. The firm implemented a surveillance report intended to detect instances of potential spoofing and layering but did not establish written supervisory procedures (WSPs) that identified the report or how it was to be reviewed. The firm later revised its WSPs to address use of the surveillance report, including by describing the report, the party responsible for its review, the actions to be taken by the reviewer, and the frequency of review.
In addition, the firm’s surveillance parameters were too narrow to reasonably detect instances in which customers potentially marked the close. The firm later revised the parameters it used to conduct reviews of daily trading blotters to identify potential marking the close. The revised parameters unreasonably limited the firm’s surveillance for marking the close to transactions that were executed in the last five minutes of trading and comprised greater than 25 percent of that day’s trading volume in the security being traded. As a result of the firm’s unreasonably narrow surveillance parameters, the firm failed to identify red flags of marking the close in 45 transactions.
The firm later revised its procedures, implementing an automated exception-based surveillance report with expanded parameters designed to identify red flags of marking the close transactions.
The findings also stated that the firm’s surveillance parameters were too narrow to reasonably identify potentially manipulative wash trades. The firm’s review parameters unreasonably limited the firm’s surveillance for potential wash trades to trades that occurred in the same millisecond. By limiting its review to transactions occurring in the same millisecond, the firm failed to identify red flags of wash trading in eight transactions. The firm later amended its procedures to expand the review parameters for wash trade surveillance.
