- 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
- 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
- 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
- Advise clients on suitability of swap transactions, alternative hedging strategies, market practice aspects and damages calculation.
- 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
- 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
- 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.
- 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
- 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
- Identify missing or mis-leading disclosure or relevant financial information in the rights-issue prospectus issued by the defendant.
- 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.
- Provided detailed technical input in the particulars of claim which allowed claimants to issue detailed proceedings against the defendant.
CDS Antitrust Case
- Develop preliminary damages model to estimate excess transaction costs caused by the alleged collusion.
- Study benefits brought by transparency created through introduction of central clearing houses and regulated exchanges in other financial products.
- Estimated class-wide damages resulting from the anti-trust behaviour
- Estimated the approximate damages suffered for individual claimants
Precious Metals Markets
- Identify signs of market manipulation and benchmark rigging in precious metal markets.
- 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
- Elaborated market manipulation theory used in class-action complaints filed in the US on Gold, Silver, Platinum/palladium cases
- Developed preliminary damages model
- To identify the extent of collusion among pharmaceutical manufacturers in the generic prescription drug market
- Develop economic analysis on collusive markers and plus factors that help distinguish collusion from competition
Analyse drug pricing and use quantitative measures to identify potential price collusion using:
- Structural break tests,
- Market concentration measures,
- Price and quantity markers, eg the degree of correlation amongst manufacturers,
- Various other plus factors and collusive markers
- Identified over 90 generic drugs that experienced an average price increase of 1,350% and showed a similar timing of sales increases between manufactures
- Developed economic analysis used for the filing of four drug collusion complaints based on economic evidence with total damage estimates in the region of USD 5.2 billion
- Identified a number of potentially new issues in regards to the role of Pharmacy Benefit Managers (PBMs) including the potential conflicts of interest, complex rebate structures and general lack of regulation
- Replicate the methodology and results of the European Securities and Markets Authority (ESMA) study into Closet Index Tracking Funds (funds which advertise as actively managed, but in reality, track a benchmark)
- Provide detailed analysis and a report on the methodology used and results
- Filter the universe of actively managed funds for the same criteria used by ESMA to produce a sample of 2333 funds.
- Further filtering removed funds without available data to analyse, resulting in a final sub-sample of 1014 funds.
- Classify the sub-sample of funds into categories based thresholds for each of the key statistical metrics: Active Share, Tracking Error and R-Squared.
- Analyse the performance of the worst offenders by stripping out the effect of management fees to identify variances between the fund and its benchmark’s performance
- Fideres found that over 16% of European UCITs funds of the sample analysed show characteristics that may indicate they are potential closet indexers
- The study was mentioned in a Financial Times article
- Results of the study closely approximated the results published by ESMA (within one percent for each classification)