Tassi di mercato (Euribor, Libor, Irs) Il villaggio globale : manipolazione dei tassi (1 Viewer)


New Member
5 Gennaio 2009
Libor Punishment Could Be Worse Than the Crime

By Mikhail Chernov Aug 1, 2012 12:30 AM GMT+0200

People are rightly appalled at the way bankers manipulated Libor, a benchmark interest rate that influences the value of hundreds of trillions of dollars in financial contracts worldwide.
But before authorities topple more banks’ managements and scrap an indicator that has served the market for three decades, they should ask themselves a question: Who was really harmed?
The most significant misreporting of the London interbank offered rate, in an economic sense, occurred during the financial crisis. Banks lowered the borrowing rates they reported for the calculation of Libor because they wanted to avoid the impression that they were in distress. Some estimatessuggest U.S. dollar Libor might, at certain times during 2008, have been artificially depressed by more than 0.30 percentage point.
The misreporting was bad for investors in various securities, such as mortgage bonds tied to Libor, because it artificially lowered the payments they received. It also provided a welcome relief for millions of struggling U.S. homeowners with floating-rate mortgages, and greatly helped theFederal Reserve in its efforts to get interest rates down. At the time, the Wall Street Journal estimated that the benefit to homeowners and other borrowers amounted to more than $10 billion a month -- a meaningful stimulus at a crucial moment in the recession.
Utility Functions

This vast transfer of wealth was not necessarily a zero-sum game, because the winners and losers were very different people. In economic terms, they had different utility functions: A $100 break on a monthly payment would mean a lot more to an unemployed homeowner than a loss of $10,000 to a relatively wealthy investor. So it’s probable that, on balance, the benefit to homeowners outweighed the suffering of investors.
In other words, by lying about their borrowing costs to make themselves look healthier than they were, banks might actually have done humanity a great service. The people and institutions harmed were largely sophisticated types who should have known what they were getting into. Although anyone who committed fraud should be punished to the full extent of the law, authorities should consider this context in deciding what to do with the senior managements of the banks involved.
There is, of course, no guarantee that at some point in the future, bankers won’t have an incentive to overstate their cost of funds as systematically as they understated it during the crisis. It’s hard, though, to imagine a situation that would compel them to do so. Individual banks have different investments that a rise in interest rates would affect in complex and conflicting ways. Only something as powerful as the fear of bank runs can override those varied interests. In such cases the incentive is always the same: Push rates down to avoid looking weak.
Libor actually works pretty well most of the time. Outside of crisis periods, dollar Libor closely tracks interest rates on U.S. Treasuries. Any significant divergence would immediately set off alarm bells and create arbitrage opportunities, limiting banks’ ability to manipulate the rate. When crises do happen, the incentives to lie arise in a way that -- thanks to the Libor scandal -- we now understand pretty well.
Any potential replacement for Libor could entail all kinds of new and less manageable flaws. Consider the general collateral repo rate, the rate at which banks make loans against good collateral, such as Treasuries. It has the advantage of being based on actual, observable loans, as opposed to Libor, which relies on banks to estimate their borrowing costs. Yet the repo rate is also tied to supply and demand in the Treasury market, which can fluctuate in unpredictable ways -- for example, when global investors are looking for a safe place to park their cash.
Keeping Libor

In some markets, then, it might be best to stick with Libor. One solution would be to separate Main Street from Wall Street, in much the same way we do by allowing only wealthy, sophisticated investors to put their money in hedge funds. Consumer products such as mortgages and auto loans could be pegged to the central bank’s target interest rate, as is already done in some countries. Financial professionals could decide on the best benchmark for all their derivative contracts and so on. If they still prefer Libor, so be it.
For all its shortcomings, Libor is the evil we know. Before we throw it out and start over, we should consider the potential for unintended consequences.
(Mikhail Chernov is a finance professor at the London School of Economics. He has worked as an academic consultant to various institutions, including the U.S. Federal Reserve, theBank of England and Barclays Plc. The opinions expressed are his own.)
Read more opinion online from Bloomberg View. Subscribe to receive a daily e-mail highlighting new View editorials, columns and op-ed articles.
Today’s highlights: the editors on demanding a compromise tostop the fiscal cliff and on why Thailand needs political stability; Margaret Carlson on Mitt Romney’s stumbles over his wealth; Clive Crook on why Germany should let the ECB do“whatever it takes”; Amity Shlaes on why the Fed should stop sailing against the wind; Richard Cohen on the drama of theOlympic fencing duels; Handel Reynolds on the politics of mammograms.
To contact the writer of this article: Mikhail Chernov at [email protected].
To contact the editor responsible for this article: Mark Whitehouse at [email protected].


New Member
5 Gennaio 2009
Economists Build Libor Time Machines as Losses Puzzle Investors

By Keri Geiger - Jun 26, 2013
Paula Ramada, who has a doctorate in economics from the Massachusetts Institute of Technology, says she can calculate how much investors lost from banks’ alleged rigging of benchmark interest rates. Now all she needs is funding, a team of analysts and weeks to run the numbers.
Ramada is among a growing number of mathematicians, analysts and researchers trying to tackle one of the toughest questions to emerge from the Libor scandal: If banks manipulated rates tied to $300 trillion in instruments such as mortgages and student loans, how much did it cost investors?

Investors suing banks to recover losses must quantify those damages, which some analysts have estimated will total billions of dollars. While regulators have uncovered e-mails between employees trying to rig the London interbank offered rate, the benchmark for more than $300 trillion of securities worldwide, it has been harder to show that investors actually lost money.

“The facts are pretty clear on the plaintiffs’ side, but it’s still an issue of proving damages,” said Samuel Buell, a professor at Duke University School of Law in Durham, North Carolina, and a former lead prosecutor for the U.S. Justice Department’s Enron Task Force.

As regulators in the U.S., Europe and Asia probe an expanding list of benchmark rates -- underpinning loans, currencies and even some oil products -- the difficulties individual investors face in calculating losses show why many may never be compensated. The math probably will depend on data from illiquid instruments, such as credit-default swaps.
‘Accurate Records’

“You have to manually prepare the data and run it through a program,” said Ramada, 45, who leads a team of researchers at London Economics, a U.K. consulting firm in talks with lawyers representing investors. “The problem comes when a company doesn’t have accurate records on each and every interest-rate product, including when the payments were due.”

Ramada and teams working for at least two other consulting firms tackled the Libor puzzle as banks began settling regulators’ accusations that the rate was being rigged. For decades, a panel of global banks helped set the daily rate by estimating the premium they would pay to borrow from other firms. Watchdogs are examining whether bank employees gamed submissions to boost trading profits or downplay mounting funding costs during the 2008 financial crisis.
Attempted Manipulation

A year ago today, Barclays Plc (BARC) became the first bank to resolve regulators’ complaints that employees abused the system, saying it would pay 290 million pounds ($445 million). Zurich-based UBS AG (UBSN) and Royal Bank of Scotland Group Plc (RBS) in Edinburgh later agreed to penalties totaling $2.1 billion.

The settlements provide evidence of attempted manipulation with e-mails and banks’ internal records. At least a dozen more financial firms are still facing probes. Authorities haven’t accused those companies of wrongdoing.

Libor-panel banks generally haven’t forecast potential sanctions or lawsuits. Analysts’ estimates vary. In a research note last July, Morgan Stanley said legal costs for individual banks may range from $59 million to more than $1 billion. In a separate report that month, Macquarie Group Ltd. said investors may have lost as much as $176 billion, and that banks ultimately might be forced to pay about half that amount.

Ramada’s team, which has worked for antitrust agencies in the U.K. and the European Union, has helped assess damages in cartel cases, including ones involving elevators and marine hoses. She has a two-step approach to the Libor puzzle.
Credit Risks

First, she would reference other benchmarks to estimate what daily Libor rates would have been without rigging. If manipulation occurred, Libor would have diverged from benchmarks that track the cost of unsecured funding to banks, such as the Federal Reserve’s Eurodollar deposit rate, as well as instruments linked to the firms’ credit risks, such as credit-default swaps.

“Divergences from key benchmarks have been identified by several researchers and attributed to Libor manipulation,” said Marc Vellrath, chief executive officer of economic consulting firm Finance Scholars Group Inc., based in Orinda, California.

His company also is developing a method for estimating Libor losses, and like Ramada’s, is talking with plaintiffs’ lawyers looking to quantify damages.

Vellrath, 61, preliminarily estimates Libor rates were probably 25 basis points to 35 basis points lower than they should have been from late 2007 through early 2009. A basis point is 0.01 percentage point.
‘Liquid Market’

“The crucial point is to get the data,” Ramada said. “It’s difficult to determine if a liquid market for CDS transactions existed for each one of the 16 banks.”

That information might be purchased from a third-party data provider, which may or may not have a complete set, she said.

The second step is to recalculate payments on specific contracts. For that, investors will need documents from their trades.

Last year, government watchdogs proposed a simpler approach that hasn’t gained momentum. The Federal Housing Finance Agency’s inspector general estimated that Fannie Mae and Freddie Mac, the U.S.-controlled mortgage-finance firms, lost a combined $3 billion. That analysis relied mainly on divergences from the Fed’s Eurodollar deposit rate.

In March, Freddie Mac sued 15 banks including London-based Barclays and Citigroup Inc. (C), without specifying what damages it suffered. The case was filed in federal court in Alexandria, Virginia, and later consolidated with others before U.S. District Judge Naomi Reice Buchwald in Manhattan.
More than a dozen lawyers representing banks in Libor cases either didn’t respond to messages seeking comment or declined to discuss the case.
Liability Claims

Plaintiffs must prevail on liability claims to seek damages.

Some of those efforts were defeated in March when Buchwald dismissed more than two dozen interrelated antitrust claims by litigants, including pension funds and bondholders, who said banks conspired to set Libor at artificial levels. She allowed some commodities-manipulations claims to proceed.

Antitrust cases are attractive to plaintiffs because damages awards may be multiplied. Buchwald agreed with the banks, who had argued that plaintiffs failed to show harm stemming from anticompetitive behavior.

Other plaintiffs are pursuing fraud claims. Earlier this week, the Regents of the University of California filed an antitrust complaint in federal court in San Francisco against more than a dozen firms, including Barclays and Bank of America Corp. (BAC), accusing them of fraud, deceit and unjust enrichment.
‘Big Win’

“While the decision may be overturned or avoided, the panel banks scored a big win,” said Susan Foster, a partner at Perkins Coie LLP in Seattle who advises potential claimants on how to proceed. “Antitrust allows plaintiffs to claim treble damages, and it is easier to certify a nationwide class than in, say, a fraud action. If the decision is affirmed, the potential exposure to banks has been significantly reduced.”

There’s another complication: Not every investment was hurt by Libor manipulation. Plaintiffs who show financial losses on one part of their portfolios also may have benefited on other positions, reducing total losses, said C. Bailey King Jr., a lawyer at Smith Moore Leatherwood LLP in Charlotte, North Carolina, who isn’t representing Libor plaintiffs.

“This could be used as a defense tactic for the defendant banks,” King said.

It’s not clear whether plaintiffs will be able to focus only on their money-losing bets, he said.
Delay Payoffs

Disputes over damages can delay payoffs for years. A lawsuit against Household International Inc., now part of HSBC Holdings Plc, remains unresolved four years after a Chicago federal jury sided with plaintiffs. U.S. District Judge Ronald Guzman appointed a special master last year to help determine shareholder payouts. At a hearing last week, a lawyer for plaintiffs said HSBC is liable for about $1.5 billion.

Thomas Kavaler, a lawyer for London-based HSBC, told Guzman in 2009 that the jurors’ decision was “fatally flawed and inconsistent” and that the plaintiffs’ damages theory was “not legally permissible.”

For now, models built by Ramada and Vellrath are in early stages. To get them ready for court, researchers need access to more data and testing, Vellrath said.

“These models will hold up in the vetting process, but it will take a lot of time and effort,” Vellrath said.

The case is In re LIBOR-Based Financial Instruments Antitrust Litigation, 11-md-2262, U.S. District Court Southern District of New York (Manhattan).

To contact the reporter on this story: Keri Geiger in New York at [email protected]
To contact the editor responsible for this story: David Scheer at [email protected]


Forumer storico
25 Novembre 2005
Corriere della Sera > Economia >
Derivati, lettera Antitrust Ue:«Accordi illegali tra banche d’affari»
Derivati, lettera Antitrust Ue:
«Accordi illegali tra banche d’affari»

Tredici istituti di credito avrebbero violato le regole europee che proibiscono accordi di collusione sui derivati

Le principali banche di investimento internazionali, 13 per l’esattezza, hanno violato le regole europee Antitrust che proibiscono accordi di collusione per ostacolare l’accesso al business dei derivati tra il 2006 e il 2009.

Una lettera di obiezioni è stata inviata dall’Antitrust europeo a Bank of America Merrill Lynch, Barclays, Bear Stearns, Bnp Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, Hsbc, Jp Morgan, Morgan Stanley, Royal Bank of Scotland, Ubs oltreché all’International Swaps and Derivatives Association (Isda) e al fornitore di servizi Markit.

LA CONCLUSIONE - È questa la «conclusione preliminare» della Commissione europea che segna una tappa fondamentale nell’inchiesta sul mercato dei credit default swaps. Tra il 2006 e il 2009 Deutsche Boerse e il Chicago Mercantile Exchange avevano tentato di entrare nel business dei derivati di credito (si tratta di strumenti finanziari che consentono di separare il rischio di credito del titolo sottostante (obbligazione, prestito) e lo trasformano in un titolo trasferibile fornendo all’investitore un’assicurazione contro movimenti avversi nella qualità di credito del debitore). Le due entità si sono rivolto a Isda e Markit per ottenere le licenze per dati e benchmark ma, stando alle conclusioni preliminari della Commissione, le banche che controllano Isda e markit «hanno dato istruzioni per fornire la licenza solo per il trading otc e non per l’attività di ‘exchange trading’».

L’ACCORDO - In sostanza, secondo Bruxelles, le grandi banche di investimento «hanno cercato di chiudere gli scambi anche in altri modi per esempio coordinando la scelta della clearing house da loro preferita». Le banche hanno agito collettivamente (collusione) «temendo che il trading exchange avrebbe ridotto i loro profitti derivanti dal ruolo di intermediari nel mercato otc». Tra il 2006 e il 1009 i cds venivano trattati otc, cioè erano negoziati privatamente e bilateralmente: una banca di investimento agisce come intermediaria tra domanda e offerta promettendo di essere un venditore per ogni acquirente e un acquirente per ogni venditore. L’exchange trading invece, fa incontrare offerta e domanda su una piattaforma regolata di scambio e rispetto al trading over-the-counter è meno costoso e più sicuro. Nel 2013 il valore nazionale lordo dei circa 2 milioni di contratti cds superava 10mila miliardi.
1 luglio 2013 | 15:01

Users Who Are Viewing This Discussione (Users: 0, Guests: 1)