What can financial services compliance staff and internal auditors do when political, structural and economic incentives all militate against compliance with national antitrust law? Recent cases in the EU and USA of inter-bank rate fixing, blocking derivatives exchanges from entering the credit default swap business and other scandals have shown that incentives to engage in anticompetitive behaviour certainly exist in the financial services sector. In theory, lawmakers would have little incentive to encourage such behaviour. Regulations (and in certain cases judicial authorities) can impose large enough sanctions to dissuade equilibrium anticompetitive behaviour among financial services providers. Why don’t they? Despite the usual theories, law sometimes gives banks incentives to engage in anticompetitive behaviour (and hide such behaviour from competition authorities). In such a case – and again as poorly theorised – compliance staff and internal auditors could actually encourage anticompetitive behaviour. We show such a theoretical possibility using Malaysia as an example. In this case, optimal spending on antitrust compliance and equal equals zero. When banks still must spend money on such compliance and audit, they will need to engage in illegal behaviour to earn the money needed to pay for compliance and audit activities themselves. Such an effect varies over bank size, revenues and profits. Basically, law encourages auditors and compliance to misbehave for reasons which stem not from the usual political desire to immaculate the law, organisational failure or other reason posited by most theories. Our paper does not follow the usual format. The first section of this paper discusses some of the structural features of the Malaysian banking sector – namely, entrenchment in government and family networks – which may lead to anticompetitive mark-ups observed in practice. We show why structure may supersede law. The second section looks at some of the ways internal auditors can spot anticompetitive behaviour in Malaysia’s banks – and shows why optimal antitrust compliance and internal audit spending for come to zero. The third section describes the likely cost of antitrust compliance programmes in such a context. The final section concludes by arguing for institutional/regulatory design that takes incentives into account. Following new thinking in organisational theory writing, we present the theory and contrast arguments from the literature, directly with the data to engage more fully with the theory[1]. We should provide a couple of caveats before we begin. First, we do not follow the typical approach of building a model and testing it econometrically with data. Instead, we use case studies with illustrative data and economic/legal arguments. Our audience consists mainly of policymakers and educated by non-quantitative social scientists – which will drop our article when wading through an economically “rigorous” piece. We hope convincing arguments will replace a model many readers yearn for. Second, we do not want to suggest that Malaysian law causes widespread illegal behaviour. Instead, we argue that Malaysian law and institutions provide the conditions under which compliance and audit staff may actually ignore or encourage illegal behaviour. Our slightly taunting tone only serves to prove a point, rather than accuse anyone of wrong doing