Key Points

• LIBOR suppression took place during the Greek sovereign crisis and the Eurozone crisis.
• Suppression of LIBOR during Eurozone crisis was more common and continued for longer than during the great financial crisis.

Our New Findings

Until recently, published academic research and regulatory findings relating to LIBOR manipulation have only covered the period up to the end of 2009, mainly focusing on the time before and during the great financial crisis.

Fideres have combined and refined existing analytical approaches to determine the degree of LIBOR manipulation during 2008-2009 and subsequently have extended this analysis for the period from 2010 to date. The graph below shows the results of this analysis over the entire period. The results suggest that LIBOR manipulation may have continued to a varying degree until 2013.

We further analysed the size of the potential LIBOR suppression during this period. A summary of the results is shown in the graph below:

Fideres’s results suggest that:

• LIBOR was possibly being suppressed not only during the great financial crisis of 2008/2009, but also during the Greek sovereign crisis and the Eurozone crisis.
• Although it appears that the size of the alleged LIBOR suppression was greater during the great financial crisis, it persisted for a longer period of time during the Eurozone crisis.
• Our results seem to confirm the theory that only no or insignificant LIBOR suppression took place in the period before the great financial crisis and during the period after the LIBOR investigations commenced and fines were imposed.

How Does This Compare To Our Previous Work?

Our original approach allowed us to identify potential manipulation of some bank’s LIBOR submissions on specific dates. The new methodology supplements our previous work by allowing us to estimate individual banks’ borrowing cost throughout the entire period and to determine by how much such bank’s LIBOR submission may have been suppressed. The graph below illustrates the results from our new analysis compared to our alternative approach taken previously.

As one can see, our new methodology seems to provide a conservative estimate of the potential size of manipulation. It further allows us to supplement, validate and strengthen our previous findings and to overcome the issues of our previous approach to determine the size of manipulation for any date during the period.