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1、LIBORManipulation:ABriefOverviewoftheDebateDavidM.Ellis,PhDManagingDirector/Economicsdavid.ellis@fticonsulting.com+44(0)2079797472FTIUKHOLDINGSLIMITED322HIGHHOLBORN,LONDONWC1V7PBLIBORManipulation:ABriefOverviewoftheDebate1IntroductionTherehavebeennumerousarticlesinthe
2、pressrecentlydiscussingtheinvestigationsthatarebeingmountedbytheSECandDOJinAmerica,andtheFSAintheU.K.Inordertounderstandtheallegations,oneneedstoknowhowthe“LIBORfixing”works,andthebanks’roleinit.Also,itimportanttounderstandthenatureofthestudiesandevidencethathaveledto
3、theallegationsofmanipulation.LIBORisakey,centralpartoftheglobalfinancialmarketsystem.Over$10trillionincorporateloans,floatingratenotes,adjustablerateresidentialmortgagesetc.,arepeggedtoLIBOR.Additionally,LIBORisthekeyrateinthe$350trillionmarketforinterestrateswaps.Fin
4、ally,manyotherderivativesdependuponLIBORinsomemannerorother.Therefore,ifLIBORratesarebeingdistortedormanipulatedinanyway,theramificationsextendtonearlyeverycorneroftheglobalmoneymarketsandtoparticipantsinmanysectorsoftheglobaleconomyotherthanbanksandfinancialinstituti
5、ons.Therehasbeennoevidence,todate,ofmanipulationofLIBORarisingfromsuchactivitiesasillegalcontactsbetweenbanksorbreachesofChinesewalls,etc.Rather,theallegationshavebeenbasedonempiricalanalysis(sometimesofaveryadhocnature)eitherofthebidsfromwhichpublishedLIBORrateshaveb
6、eencalculatedorofacomparisonofLIBORwithsimilarinterestratebenchmarks.Therehavebeennumeroussuchstudiesthathavebeenundertakeninthelastthreeyears.Severalofthemaresummarisedbelow.Whilesomeclaimtohavefoundevidenceofmanipulationbyoneormorebanks,theirevidenceisnotconclusivea
7、ndinsomeareasisinfacthighlyquestionable.2TheLIBORFixingProcessLIBORstandsforLondonInterBankOfferedRate.Itisproducedfortencurrencieswith15maturitiesquotedforeach,rangingfromovernightto12Monthsproducing150rateseachbusinessday.LIBORisabenchmark;givinganindicationoftheave
8、rageratealeadingbank,DavidM.EllisPhDLIBORManipulation:ABriefOverviewoftheDebate20April2011FTIConsultingforagivencurrency,can
