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CFTC fines CitiBank for USD ISDAFIX infringements

First Published 25th May 2016

CFTC orders Citibank to pay $250 million for attempted manipulation and false reporting of U.S. dollar ISDAFIX benchmark swap rates.

Washington, DC - The U.S. Commodity Futures Trading Commission (CFTC) has issued an Order filing and settling charges against Citibank, N.A. The CFTC Order finds that, beginning in January 2007 and continuing through January 2012 (the Relevant Period), Citibank on multiple occasions attempted to manipulate, and made false reports concerning, the U.S. Dollar International Swaps and Derivatives Association Fix (USD ISDAFIX), a global benchmark for interest rate products.

The CFTC Order requires Citibank to pay a $250 million civil monetary penalty and to immediately cease and desist from further violations of the Commodity Exchange Act. Further, Citibank is required take specified steps to implement and strengthen its internal controls and procedures, including measures to detect and deter trading potentially intended to manipulate swap rates such as USD ISDAFIX and to ensure the integrity of interest-rate swap benchmarks.

"The CFTC's order demonstrates that we will vigorously continue to investigate any efforts to manipulate financial benchmarks, and we will take action where possible to protect the integrity of these benchmarks," said Aitan Goelman, the CFTC's Director of Enforcement. Mr. Goelman further commented, "The terms of this settlement are intended to reflect all aspects of Citibank's response to the investigation, including the evolving nature of its cooperation."

Citibank, by and through certain of its traders, attempted to manipulate and made false reports concerning USD ISDAFIX by skewing the Bank's USD ISDAFIX submissions, in the Bank's role as a panel bank in the USD ISDAFIX setting process, in order to benefit the Bank's trading positions at the expense of its derivatives counterparties. In addition, Citibank, through its traders, bid, offered, and executed trades in targeted interest rate products, including swap spreads and U.S. Treasuries, in a manner designed - including in timing and pricing - to influence the published USD ISDAFIX to benefit the Bank in its derivatives positions, according to the Order.


ISDAFIX is a leading global benchmark referenced in a range of interest rate products. ISDAFIX rates and spreads are published daily and are meant to indicate the prevailing daily market rate for the fixed leg of a standard fixed-for-floating interest rate swap in various currencies. USD ISDAFIX rates and spreads are published daily (now under a different name and methodology) for various maturities of U.S. Dollar-denominated swaps. The USD ISDAFIX rate is used for valuing cash settlement of options on interest rate swaps, or swaptions, and as a valuation tool for a wide range of products across financial markets. For example, during the Relevant Period, USD ISDAFIX was also used to calculate payments to be made between counterparties in curve option transactions.

During the Relevant Period, the USD ISDAFIX was set each day in a process that began at 11:00 a.m. Eastern Time with the recording of swap rates and spreads from a U.S.-based unit of a leading interest rate swaps broking firm, which disseminated the rates and spreads captured in this snapshot to a panel of banks including Citibank. The panel banks then made submissions that were supposed to reflect where the banks would each offer and bid interest rate swaps to a dealer of good credit as of 11:00 a.m. The USD ISDAFIX benchmark was then calculated by a process of averaging those panel bank submissions.

Citibank's Unlawful Conduct to Benefit Derivatives Positions

As the Order sets forth, Citibank attempted to manipulate USD ISDAFIX by making false USD ISDAFIX submissions. According to the Order, on multiple occasions during the Relevant Period, Citibank, in its role as a panel bank, submitted a rate or spread higher or lower than the reference rates and spreads disseminated to the panel banks on certain days that Citibank had a derivatives position settling or resetting against the USD ISDAFIX benchmark, in an attempt to benefit that derivatives position.

The Order also finds that Citibank, on multiple occasions, attempted to manipulate USD ISDAFIX by bidding, offering, and executing transactions in targeted interest rate products, including swap spreads and U.S. Treasuries at or near the critical 11:00 a.m. fixing with the intent to affect the reference rates and spreads captured in the snapshot sent to submitting banks, and thereby to affect the published USD ISDAFIX. As captured in electronic communications, Citibank traders boasted about "pushing out the isdafixing" or "push[ing]" the market, described USD ISDAFIX as being "suprising[ly] easy to push," and explained the best way to "influence the set."

The Order describes multiple examples involving these strategies for attempted manipulation and false reporting by Citibank during the Relevant Period.

The Order recognizes Citibank's cooperation with the CFTC Division of Enforcement's investigation in this matter, but notes that at the outset of the investigation, Citibank's cooperation was not sufficient. According to the Order, Citibank's cooperation improved after the Division said that it expected the Bank to make productions more expeditiously, after which Citibank discovered and produced evidence showing that its initial statements about certain misconduct were incorrect.

With Today's Actions, the CFTC Has Imposed Over $5.08 Billion in Penalties in 17 Actions against Banks and Brokers to Address ISDAFIX, FX, and LIBOR Benchmark Abuses

The CFTC has imposed penalties of over $5.08 billion in its investigation of manipulation of global benchmark rates. Of this, over $1.8 billion in penalties has been imposed on six banks for misconduct relating to foreign exchange benchmarks, while over $3.21 billion has been imposed for misconduct relating to ISDAFIX, LIBOR, Euribor, and other interest rate benchmarks. Below is a summary of the CFTC's actions: