As authorities continue to investigate and prosecute those responsible for rigging LIBOR, the United States Commodity Futures Trading Commission (“CFTC”) has begun probing ICAP, the largest interdealer broker in the world and entity responsible for managing the ISDAfix benchmark rate.4

The ISDAfix benchmark rate represents the interest rate at which fifteen of the world’s largest banks say they would buy and sell a benchmark swap with a notional value of $50 million. The banks included in the rate are Bank of America Corp., Barclays, BNP Paribas SA, Citigroup Inc., Credit Suisse AG, Deutsche Bank AG, Goldman Sachs Group Inc., HSBC Holdings Plc, JPMorgan Chase & Co., Mizuho Financial Group Inc., Morgan Stanley, Nomura Holdings Inc., Royal Bank of Scotland, UBS, and Wells Fargo & Co. The rate is calculated daily at 11am in New York, and is included in a daily report on money-market rates from the U.S. Federal Reserve. According to news reports, concern about the ISDAfix rate was first raised by Martin Wheatley (now chief executive of the UK’s new regulator, the Financial Conduct Authority) in a report concerning LIBOR. The CFTC has now issued subpoenas to ICAP and the fifteen other banks involved in setting the ISDAfix rate.

ICAP receives commissions based on the sizes of the trades it completes. According to ICAP’s annual report, in 2012 it had an average of $1.4 trillion of transactions on its systems each day. One area of reported concern is with the manual entry of prices onto ICAP’s electronic screen known as 19901. Because, it is said, ICAP tells its dealers not to enter trades into the system until a transaction is complete, the current market price listed on the screen is skewed. Additionally, at least one former ICAP broker has reported that because the entry of this data is manual, brokers may cause manipulation of the ISDAfix rate by failing to input data following the completion of a trade.


It is likely that the ISDAfix rate will not be the last inter-bank rate to receive attention by governmental authorities as they continue to investigate the improper behavior of banks and traders. Although it is still too early to tell whether any of the banks involved will face penalties for improper behavior, in light of the historic settlements that have already been reached with banks implicated in the LIBOR scandal, it is likely that additional significant settlements and fines will be forthcoming if government authorities discover actionable wrongdoing and malfeasance.