The International Swaps & Derivatives Association said it hired consulting firm Oliver Wyman to make recommendations on how to modify an interest-rate swap pricing process that is the subject of a U.S. investigation.
The Commodity Futures Trading Commission has subpoenaed ICAP Plc (IAP) and as many as 15 dealers related to potential manipulation of benchmark rate-swap measures, including the so- called ISDAfix rates, according to people familiar with the investigation. The rates were created in 1998 by ISDA with the predecessors of Thomson Reuters Corp. and ICAP.
ISDA, the New York-based industry and lobbying group for the over-the-counter derivatives market, participated in a regulatory review of how the London interbank offered rate is determined, said Steve Kennedy, an ISDA spokesman. UBS AG, Royal Bank of Scotland Group Plc and Barclays Plc (BARC) have paid $2.6 billion in fines for rigging Libor rates.
“As part of that process some best practices were articulated for the setting of these rates,” Kennedy said in a telephone interview. “We anticipated during that review that we’d want to do the same thing for ISDAfix.”
A representative for Oliver Wyman didn’t return telephone calls seeking comment.
The Wall Street Journal and the Financial Times earlier reported the hiring of Oliver Wyman.