Velador Associates Large Scale Data Analysis team reviewed U.S. Dollar LIBOR related money-market transaction data to identify evidence of unilateral and collusive manipulation

The Complaint

In this Class Action lawsuit, the Plaintiffs alleged that the Defendants agreed and conspired to unlawfully and intentionally misreport and manipulate U.S. Dollar LIBOR rates, thereby restraining trade in the market for Eurodollar futures and other LIBOR-based derivatives. This alleged activity was in violation of Sections 2(a)(1)(B), 4s(h), 9(a)(2) and 22(a) of the CEA, the Sherman Act, 15 U.S.C. § 1, and common law.

The Brief

Acting for the Plaintiffs, Velador Associates analysed U.S. Dollar LIBOR related money-market transaction data in order to identify evidence of unilateral and collusive manipulation.

The Challenge

The Velador team were charged with identifying behaviour which might be consistent with collusion, as well as determining the Defendant bank’s daily reset exposure across multiple tenors.

We then compared these results to their LIBOR submissions. We were provided with partial datasets relating to the different trading books. These datasets needed to be cleaned, collated and cross-referenced. We then compared this data with the calculated bank’s daily reset risk exposure in order to assess the magnitude of proprietary positioning.

After analysis of the phone and chat-room transcripts around the time of each fixing, we produced an expert report.

The Outcome

Having completed our analysis, Velador Associates were able to provide expert witness testimony, supporting the Plaintiffs case. We showed that:-

  • The data provided was of poor quality
  • The data was incomplete
  • The data retention policies of a bank we had been specifically been charged with analysing was questionable
  • A statistically significant number of the LIBOR submissions were anomalous

This evidence, which was produced in just six weeks, combined with our expert testimony, supported the Plaintiffs case that the behaviour may have been consistent with collusion.