FX Manipulation

Challenge:

  • To determine in which ways and in which currency periods manipulation may have been taking place in FX markets
  • To then estimate the amount of damages caused by FX manipulation and who was impacted by said damages

Methodology:

  • Built statistical model to capture FX dynamics and determine anomalous moves around the daily 4pm WM/Reuters fixing that could have been caused by manipulative behavior, front-running, banging the close or painting the screen
  • Analyzed 27 currency pairs. These include all major G10 currency pairs as well as a selection of emerging market currencies
  • Extended damage theories to include manipulation of other fixings, (WM/Reuters, ECB fixing) manipulation of bid/ask spreads as well as manipulation in the futures market

Result:

  • Estimated frequency and quantum of alleged manipulation across a basket of the most frequently traded currencies
  • Conducted damages analysis on both a class-wide basis, as well as for a selection of large institutional investors, arising from manipulation of the WM/Reuters fixing, the ECB fixing, bid/ask spreads and the futures market

Swap Mis-selling Cases

Challenge:

  • Advise clients on suitability of swap transactions, alternative hedging strategies, market practice aspects and damages calculation.

Methodology:

  • Relied on Fideres’ direct market experience and expertise in the structuring and pricing of OTC derivatives, to model and price swap transactions and alternative hedging strategies
  • Reviewed transaction documentation and marketing material with respects to the relevant circumstances

Result:

  • Identified alternative suitable hedging strategies
  • Provided estimate of damages suffered by claimants under different scenarios and at different points in time, for the purpose of the pleadings
  • Identified failures by defendants in complying with good market practice standards

Libor Manipulation

Challenge:

  • To estimate the amount of suppression of panel banks’ respective LIBOR submissions during and post the great financial crisis and develop a damages model to determine damages suffered by investors.

Methodology:

  • Leveraging on Fideres’ knowledge of financial markets and the industry, we developed innovative approaches integrating numerous sources of banks’ borrowing pricing data
  • Elaborated cross-infection theory to estimate LIBOR suppression in different currencies

Result:

  • Estimated that LIBOR manipulation continued until the middle of 2012
  • Generated model for estimating “correct” LIBOR levels in different currencies
  • Estimated daily banks’ borrowing costs between 08 and 12
  • Determined daily amount of LIBOR suppression during the period analysed

Shareholder Dispute

Challenge:

  • Identify missing or mis-leading disclosure or relevant financial information in the rights-issue prospectus issued by the defendant.

Methodology:

  • Cross referenced information disclosed by defendant in the rights-issue prospectus with other sources to identify potential inconsistences, missing disclosure and mis-categorisation of financial liabilities and write-down provisions.

Result:

  • Provided detailed technical input in the particulars of claim which allowed claimants to issue detailed proceedings against the defendant.

CDS Antitrust Case

Challenge:

  • Develop preliminary damages model to estimate excess transaction costs caused by the alleged collusion.

Methodology:

  • Study benefits brought by transparency created through introduction of central clearing houses and regulated exchanges in other financial products.

Result:

  • Estimated class-wide damages resulting from the anti-trust behaviour
  • Estimated the approximate damages suffered for individual claimants

Precious Metals Markets

Challenge:

  • Identify signs of market manipulation and benchmark rigging in precious metal markets.

Methodology:

  • Developed new methodologies to analyse trading data in the physical and futures markets
  • Develop suite of methodologies including traditional collusion filters and financial market models to identify anomalous market behaviour/trading patterns
  • Applied game theory methodology to analyse benchmark panel members’ submission patterns

Result:

  • Elaborated market manipulation theory used in class-action complaints filed in the US on Gold, Silver, Platinum/palladium cases
  • Developed preliminary damages model