Over a dozen of the world’s largest banks are being sued in the US over claims they colluded to manipulate ISDAFIX, a benchmark rate underpinning interest rate derivatives and a range of other swaps.
The accusations come from the Alaska Electrical Pension Fund, which alleged that 13 banks conspired to set the ISDAFIX rate at artificial levels between 2009-2012.
The pension fund claims the actions caused billions of dollars of investor losses.
The banks accused are Barclays, Deutsche Bank, UBS, Credit Suisse, BNP Paribas, HSBC, Bank of America, Citigroup, Royal Bank of Scotland, Goldman Sachs, Nomura, Wells Fargo and JP Morgan.
ISDAFIX is a leading benchmark rate for OTC derivatives providing average mid-market swap rates for four major currencies at selected maturities on a daily basis.
The rate is calculated through a submissions model, where banks submit price estimations.
The form of calculation came into question following the Libor scandal, where a handful of banks were found guilty of rigging the benchmark rate.
As such, the International Organization of Securities Commissions (IOSCO) published principles for financial benchmarks in July 2013 aimed at reforming the processes.
These new standards have been incorporated by ISDAFIX’s new administrator, ICE Benchmark Administration (IBA), which took over the role in August 2014.
IBA will move ISDAFIX from a polled submission model to a
methodology based on actual transactions or executable quotes posted on
regulated trading venues.
ICE also took over the administration of Libor at the beginning of 2014.