The US Commodity Futures Trading Commission has settled charges against Deutsche Bank Securities for attempted manipulation of the ISDAFIX benchmark and has required it to pay a civil monetary penalty.

The CFTC order says that over a five-year period between January 2007 and May 2012 (the so-called relevant period), DBSI made false reports and, through its traders' actions, tried to manipulate the US Dollar International Swaps and Derivatives Association Fix (USD ISDAFIX), a leading global benchmark used by a range of interest rate products, to benefit its derivatives positions, including positions involving cash-settled options on interest rate swaps.

During the five-year period, USD ISDAFIX was set each day in a process that began at 11:00 am Eastern Time with the capture and recording of swap rates and spreads by a swaps brokerage.

ISDAFIX rates and spreads are published daily and are meant to indicate the prevailing mid-market rate, at a specific time of day, for the fixed leg of a standard fixed-for-floating interest rate swap. They are issued in several currencies and are published for various maturities of dollar-denominated swaps. According to the order, DBSI tried to manipulate the USD ISDAFIX by bidding, offering, and executing transactions in targeted interest rate products, including swap spreads and US Treasuries at or near the critical 11:00 a.m. fixing time to affect rates on the electronic interest rate swap screen known as the “19901 screen” and thereby increase or decrease the swaps brokerage’s reference rates and influence the final published USD ISDAFIX. As evidenced in recorded telephone calls, texts and emails, DBSI traders talked about “pushing” or “moving”  the fix, or “getting the print” at a price, to benefit DBSI’s positions.

DBSI memorialised its manipulative submissions conduct in a Swap Desk Guide which stated: “Swap dealer desks submit 11 am levels of rate and spreads for option striking purposes. The options desk may ask for specific levels.”  The head of the swaps desk at DBSI understood that if an options trader asked the swaps desk for specific levels and the submitter complied with that request, that would be wrong because that would be “fixing the rate.”