Isdafix Class Action Litigation

Problem 

  • Identify manipulative transactions resulting in ISDAfix benchmark manipulation

  • Calculate damages based on both defendants’ and plaintiffs’ transactional data

  • Evaluate feasibility of plan of allocation

 

Solution

  • Fideres developed pricing models for different types of products affected by ISDAfix manipulation (e.g. swap, swaption, constant maturity swaps, Treasuries)

  • We developed screening tools to identify instances of benchmark manipulation

  • Fideres calculated class-wide trading volumes of various relevant products to estimate the distribution across different baskets of products based on various assumptions

  • We also reviewed defendants’ chatroom communications and matched them to the trading records to match documentary evidence of price manipulation to actual transactions data

 

Result

  • Fideres’s proprietary research led to the filing of a class action in the US

  • We provided a preliminary class-wide damages estimation

  • We designed a simplified plan of allocation based on notional traded and other sensitivity factors that significantly reduced the burden of data collection and the cost of settlement fund allocation

  • We estimated class-wide damages as well as damages broken down by the relevant financial products involved

  • The plan of allocation was successfully approved by the judge