The Complaint alleges that throughout the Class Period the USD ISDAfix swap rates were set every day between 11:00am and 11:15am ET in a two-step process. The ISDAfix setting process began with rates drawn from actual transactions in the swaps market, where Defendants were supposed to be operating independently as horizontal competitors. From these transactions, ICAP Capital Markets LLC (“ICAP”), was supposed to calculate a “reference rate,” which was to be ICAP’s estimate of the average trading rate of USD interest rate swaps of various tenors at 11:00am. ICAP circulated the reference rates to the Defendant Banks, “polling” each of them as to the bank’s actual bid/offer spread. ICAP then adjusted the reference rates based on Defendants’ submissions with the resulting figures being the final, published ISDAfix rates for the day. From start to finish, ISDAfix was supposed to be set based on real transactions and prices drawn from a competitive market. Rather than allow free market forces to set ISDAfix, Defendants conspired to, and did, rig it to their advantage.

On behalf of all persons or entities who entered into, received or made payments on, settled, terminated, transacted in, or held…

1. any and all interest rate derivatives, including but not limited to any swaps, swap spreads, swap futures, variance swaps, volatility swaps, range accrual swaps, constant maturity swaps, constant maturity swap options, digital options, cash-settled swaptions, physically-settled swaptions, swapnote futures, cash-settled swap futures, steepeners, flatteners, inverse floaters, snowballs, interest rate-linked structured notes, and digital and callable range accrual notes where denominated in USD or relatedto USD interest rates; and
2. any financial instruments, products, or transactions related in any way to any USD ISDAfix Benchmark Rates, including but not limited to any instruments, products, or transactions that reference USD ISDAfix Benchmark Rates and any instruments, products, or transactions relevant to the determination or calculation of USD ISDAfix Benchmark Rates (or “ISDAfix Instrument”) during the Class Period

Pool A encompasses ISDAfix Instruments that were directly linked to one or more ISDAfix rates.

Pool B will consist of all other ISDAfix Instruments. Pool B’s allocation will be further divided among four sub-groups. Pool B.1 encompasses fixed-for-floating interest rate swaps where the floating leg references USD LIBOR as well as the set of interest rate derivatives that provide for the delivery, upon pre-specified conditions, of such interest rate swaps. Pool B.2 encompasses Treasury-fixed income securities or any derivative that allows for delivery of such a Treasury security such as a Treasury futures contract. Pool B.3 encompasses Eurodollar futures contracts or any derivative that provides for delivery of a Eurodollar futures contract such as Eurodollar options. Pool B.4 consists of any ISDAfix Instrument that does not fit into any of the above categories.

Each transaction will only form the basis for a claim against the portion of the Net Settlement Fund assigned to the same pool and sub-group to which that transaction is assigned. The Plan of Distribution will assign relative weights to each eligible transaction based on the following: (a) the amount of money on which the interest payments are based for the transaction (the “Transaction Notional Amount”); (b) the economic sensitivity of the transaction to ISDAfix rates and market swap rates (the “Economic Multiplier”); and (c) the relative degree of risk that claims arising out of that type of transaction may have faced at trial (the “Litigation Multiplier”). The Transaction Claim Amount for a given transaction is thus calculated as Transaction Claim Amount = Transaction Notional Amount x Economic Multiplier x Litigation Multiplier.

Distributions from each pool/sub-group will be made on a pro rata basis after such weighting is complete.

For complete disclosure, of the Plan of Distribution, SCAS recommends each investor see pages 6-to-7 of the Settlement Notice.