Banks fixing derivative rates?

KMGeneral · Aug 4, 2013

Never!

http://www.telegraph.co.uk/finance/...vidence-of-banks-fixing-derivative-rates.html

US regulators have reportedly been handed evidence that traders at some of the world's biggest banks manipulated a key rate for derivatives, pocketing millions at the expense of pension funds in the process.

The Commodity Futures Trading Commission (CFTC) is probing 15 banks over allegations that they instructed brokers to carry out trades that would move ISDAfix, the leading benchmark rate for interest rate swaps.

Pension funds and companies who invest in interest rate derivatives often deal with banks to insure against big movements in the ISDAfix rate or to speculate on changes to interest rate swaps

ISDAfix is published each morning after banks submit bids for swaps via Icap, the inter-dealer broker, in a number of currencies. The CFTC has been investigating suggestions that the banks deliberately moved the rate in order to profit on these deals.

Given the hundreds of trillions of dollars worth of interest rate derivatives trades that occur annually, even the slightest manipulation can have a substantial effect. The CFTC, which started to investigate ISDAfix after last summer's Libor scandal has now been handed emails and phone call recordings that show the rate was deliberately moved, according to Bloomberg.

Barclays has reportedly handed the CFTC information, while employees at Icap and Citigroup have also been questioned. In its interim results statement yesterday, Royal Bank of Scotland also said it was co-operating with authorities regarding the investigation
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KMGeneral · Aug 4, 2013

Story also carried by Bloomberg

http://www.bloomberg.com/news/2013-...-manipulated-rate-at-expense-of-retirees.html

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Banks fixing derivative rates?

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