Barclays launches internal dark pool investigation

Antony Jenkins, former chief executive officer of Barclays
Simon Dawson | Bloomberg | Getty Images

Barclays has begun an internal investigation into allegations of fraud by the New York state attorney general at the British bank's U.S.-based dark pool, Chief Executive Antony Jenkins said in a memo to his employees late on Thursday.

Earlier this week the U.S.'s top securities regulator announced he was suing Barclays for allegedly misleading institutional investors over its anonymous trading facility, or dark pool.

In a memo sent by Jenkins, and seen by CNBC, the Barclays CEO expressed his "deep disappointment and frustration that our business is back in the news this week for the wrong reasons."

Read More NY AG to file suit against Barclays over 'dark pools'

"These are serious charges which allege a grave failure to live up to our values and to the culture in Barclays that we are working to create."

The bank has been working to rebuild its governance and reputation since a damaging scandal in 2012 which uncovered widespread rigging at the bank of a key interbank rate known as Libor. Bob Diamond, then Barclays CEO, and several top-level executives lost their jobs in the fallout of the investigation.

Since then, in spite of changes at the top and a push to improve its internal controls, the bank has also been embroiled in investigations into the rigging of other rates and prices, including gold and foreign exchange rates.

Late Thursday there were reports in other media including the Financial Times and on Dow Jones newswires that major brokers, including Deutsche Bank and RBC, were beginning to sever their ties to the Barclays dark pool.

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"I will not tolerate any circumstances in which our clients are lied to or misled and any instances I discover will be dealt with severely," Jenkins' memo went on.

"The success of our business depends crucially on our clients being able to rely absolutely on our honesty and integrity,"

Read More Brokers cut ties to Barclays dark pool: Report