Commodity Futures Trading Commission investigators are poring over 1 million e-mails and instant messages as part of their price-manipulation probe of a swaps benchmark that helps determine interest rates on everything from annuities to bonds linked to skyscrapers.

Investigators preparing to interview bankers and brokers in the coming weeks are scouring the records collected under subpoena for any evidence that the world’s largest banks and ICAP Plc brokers rigged the ISDAfix swaps rate, said a person familiar with the matter, who asked not to be named because the probe is private. ICAP Chief Executive Officer Michael Spencer said last week that the company’s investigations have turned up no wrongdoing.

Electronic communications proved critical for regulators who fined Barclays Plc, UBS AG and Royal Bank of Scotland Group Plc more than $2.5 billion for rigging the London interbank offered rate, or Libor, the benchmark tied to $300 trillion of securities worldwide. Like Libor, ISDAfix is created by averaging submissions from banks rather than actual trade data.

“One of the things that keeps company compliance people and their attorneys awake at night is: ‘Oh my gosh, what’s in the e-mail?’” said Craig Pirrong, a finance professor at the University of Houston. While simply gathering such records doesn’t mean there’s been any wrongdoing, “e-mail is the main vulnerability that companies have,” he said.

‘Strict Rules’

Steve Adamske, a CFTC spokesman, declined to comment, as did Guy Taylor of ICAP.

“We have very strict rules for our staff who work on the dollar swap desk,” Spencer said on a May 14 conference call with reporters. “So far, nothing that we have discovered in our internal investigations gives me sleepless nights, and nothing that I’ve heard externally suggests ISDAfix has been tampered with.”

Companies and money managers in the $379 trillion swaps market rely on the ISDAfix benchmarks to value their trades. Banks use the rates in setting coupons paid on $550 billion of bonds tied to commercial real estate. The benchmark set in six currencies is used to price euro-denominated corporate bonds and fluctuations help determine the performance of structured notes bought by wealthy individuals.

London Inquiry

The CFTC issued subpoenas to current and former ICAP brokers, as many as 15 Wall Street dealers and to ISDA, Bloomberg News first reported April 8, citing people familiar with the matter. The U.K. Financial Conduct Authority also started an inquiry into how the benchmark swaps prices are set in British pounds, Bloomberg reported two weeks later, citing people familiar with that review.

The banks that contribute to ISDAfix are Bank of America Corp., Barclays, BNP Paribas SA, Citigroup Inc., Credit Suisse Group AG, Deutsche Bank AG, Goldman Sachs Group Inc., JPMorgan Chase & Co., Morgan Stanley, Nomura Holdings Inc., Royal Bank of Scotland, UBS and Wells Fargo & Co., according to ISDA. Representatives of the firms either declined to comment or didn’t immediately return telephone calls.

ISDAfix rates were created in 1998 by the International Swaps & Derivatives Association along with the predecessors of Thomson Reuters Corp. and ICAP, the biggest arranger of rate-swaps trades between banks.

Global Crackdown

The rates are distributed by Thomson Reuters, Telekurs and Bloomberg LP, the parent of Bloomberg News, according to ISDA’s website. Bloomberg competes with ICAP in some businesses, including foreign exchange trading.

Regulators worldwide are cracking down on price-setting processes used to create market benchmarks, which often involve banks submitting quotes that are averaged into one figure.

Price rigging allegations surfaced in the $3.4 trillion global crude oil market last week, with the European Commission saying May 14 that it’s investigating Royal Dutch Shell Plc, BP Plc and Statoil ASA, three of Europe’s biggest oil explorers, and Platts, owned by McGraw Hill Financial Inc.

The FCA, previously known as the Financial Services Authority, began looking into manipulation of Libor in 2009 after the CFTC requested its assistance the prior year. The British agency opened a formal investigation of that rate in early 2010, which includes the actions of interdealer brokers at RP Martin Holdings Ltd. and ICAP in London.

Libor Manipulation

Interdealer brokers line up buyers and sellers of securities for banks in exchange for a fee. Employees at RP Martin and ICAP, the world’s biggest interdealer broker, passed on requests from derivatives traders asking rate-setters at others banks to make favorable submissions, e-mails released as part of the global probe of interest rate-rigging show.

Brokers helped traders manipulate Libor in exchange for future business and in some cases, the middlemen took payments in the form of so-called wash trades, regulators said, without identifying the firms that did.

Dealers are pulling out of rate panels for benchmarks including Libor, Euribor and ISDAfix on growing concern that they may face lawsuits, fines and criminal penalties if found to have engaged in wrongdoing.

HSBC Holdings Plc, Europe’s largest bank by assets, and Japan’s Mizuho Financial Group stopped contributing to the ISDAfix dollar rate between November and January, and haven’t been replaced, according to documents on ISDA’s website. The industry group didn’t give any reason for the lenders’ departure.

List Culled

Subpoenas were issued by the CFTC to the banks and ICAP in November, according to the person familiar. Once investigators narrowed down their search for the relevant swaps traders, individuals were subpoenaed in late January and February, the person said. Not all banks involved in ISDAfix received secondary subpoenas, two other people with knowledge of the matter said.

E-mail and other electronic communication can be used subjectively by regulators to try to prove manipulation and the information may be taken out of context, Pirrong said.

ICAP manages the electronic screen known as 19901 on which rate-swap prices are displayed throughout the day to about 6,000 corporate treasurers and money managers so they can value positions. Those levels are directly linked to the ISDAfix process through a “reference point” that ICAP sends to the dealer banks each morning at about 11 a.m. in New York, according to ISDA’s website. Banks then either accept that as their contributions to the benchmark or submit different values.