【FINC6014 Assignment TUTOR ZHOU】
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FINC6014 Group Assignment 2023S2
作业要求
❖ Write a report about issues raised in a Stanford Graduate School of Business case study on the
LIBOR scandal (Shotts and Melvin, 2013). The case study is provided on Canvas.
❖ The report is due on 20 October 2023. No extensions will be granted.
❖ The APA 7th referencing style is preferred.
❖ The report must be submitted as a PDF file via the unit Canvas site.
❖ Only one group member needs to submit the assignment on behalf of the group.
❖ The maximum length of the report is 10 A4 pages (including tables, figures, references, and
appendices). Reports should be 1.15-spaced, size 12 points, font Times New Roman. Use margins
of at least 2.54 cm (1 inch).
https://www.cnfin.com/bond-xh08/a/20130226/1128321.shtml
http://www.knowledgeatwharton.com.cn/article/3187/
https://www.cfr.org/backgrounder/understanding-libor-scandal
https://www.yicai.com/news/2726199.html
https://www.zhihu.com/question/22190953
https://www.gov.uk/government/publications/the-wheatley-review
2012年6月29日，英国巴克莱银行与美国商品期货交易委员会、美国司法部和英国金融服务管
理局就其涉嫌操纵LIBOR和EURIBOR丑闻达成和解。据上述三家监管机构调查，2005年至2009年
期间，巴克莱银行高管和交易员共向LIBOR和EURIBOR报价员请求人为更改利率257次，试图抬
高或降低利率估值，以增加衍生品交易的利润或降低损失。在和解书中，巴克莱银行同意支付
总额为2.9亿英镑(相当于4.5亿美元)的罚金。
【FINC6014 Assignment TUTOR ZHOU】
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(一)LIBOR形成机制存在缺陷
根据现行的 LIBOR定价机制，20家大型银行在每天伦敦时间上午 11点向英国银行家协会
提交借贷利率估值，后者去除占报价行总数 1/4的最高利率和最低利率得出的算术平均值，即
为当天的 LIBOR 利率，随后这一利率便被应用到各种贷款、衍生品和其他金融工具的定价中。
这种定价机制明显存在两个问题：
一是无法保证银行报价的真实性。目前银行提供的 LIBOR报价大多是基于无担保货币市场上借
得资金所需支付的利率，而不是实际获取贷款时支付的利率。此外，银行间市场是一个双边市
场，只有交易双方才清楚确切的交易条款，相关交易信息很难被外界获知。因此，报价行的数
据准确与否很难考证。
二是易被操纵。由于 LIBOR 选取的统计样本行只有 20 家，如果几家银行串谋，或者一两家银
行持续压低或抬高报价，都可能对最终结果产生影响。根据现行 LIBOR定价机制，占报价行总
数 1/4 的最高利率和最低利率都将被剔掉，因此如果有超过报价行总数 1/4 的银行参与操纵
价格，则完全可以影响最终结果。
（二)巨额非法利益的驱动
首先，利率操纵有利于银行在危机时降低借贷成本。金融危机期间银行间资金拆借的流动
性会变得紧张，此时 LIBOR上升将导致银行的借贷成本上升，对资金紧缺的银行来说将是雪上
加霜。因此大型国际金融机构有动力在 LIBOR报价时报出比实际更低的利率，以使得市场最终
将 LIBOR维持在低位，从而降低融资成本。
操纵 LIBOR的另外一个原因是其对利率衍生品市场产生的巨大影响。据国际清算银行(BIS)
统计，截至 2011年 12月，全球场外交易衍生产品名义价值总量达 648万亿美元，其中利率衍
生品占 78%，为 504万亿美元。通过改变利率，国际金融机构可以使衍生品价值向有利于自己
的方向变动，极其微小的利率改变都将带来巨大的衍生品实际价值改变，从而给自己带来巨额
收益。
最后，出于维持金融市场稳定的考虑。若 LIBOR大幅走高，或将意味着银行业流动性再次
枯竭，从而推高市场风险厌恶情绪，为避免被市场认定为高风险，国际大型金融机构也会倾向
于报出较低的价格，避免被市场认定自己陷入了财务风险。
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(三)相关金融监管的疏失
LIBOR是一个每日公开的数值，但 LIBOR的异常并没有及时引起关注，这样的监管疏失在
一定程度上纵容了巴克莱银行等投行的操纵行为。例如，2007 年，巴克莱就曾向英美金融机
构反映 LIBOR 报价存在低估，但监管当局并未及时作出反应和加强严格监管。从 2007 年 8 月
至 2008 年 10 月，巴克莱与美联储就 LIBOR 相关问题沟通就达 10 次。纽约联邦储备银行曾就
改进 LIBOR形成机制向英国央行提出过建议，但并未采取措施阻止巴克莱的利率操纵行为。国
际清算银行在 2008 年 3 月发表的《国际银行业与金融市场发展》报告中专门提到，与其他参
考利率相比，LIBOR 的可靠性可能存在问题。同年 4 月 16 日，美国《华尔街日报》发表文章
指出，为避免被认为存在流动性压力，LIBOR报价机构有意将报价放低。英国《金融时报》当
时也表达出对此问题的忧虑。当前似乎没有哪家监管机构表示应对确保银行提交利率数据的真
实性负有最终责任，凸显全球监管体系的重大漏洞。
【FINC6014 Assignment TUTOR ZHOU】
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1. What is the LIBOR and how was it used?
The LIBOR (London Interbank Offered Rate) is an interest rate that banks charge each other for short-
term loans. It was calculated for different currencies (10) and borrowing periods (15). The rate was
determined by the average of the submitted rates from banks, after eliminating high and low outliers.
The process of submitting rates became more formalized in the 1980s and was overseen by the British
Bankers Association (BBA).
The LIBOR was widely used in financial transactions, including consumer loans, mortgages, and
financial derivatives. It played a significant role in determining interest rates for prime and subprime
mortgages, as well as variable rate student loans. The BBA estimated that trillions of dollars of swaps
and loans were indexed to the LIBOR.
参考：IMF “what is LIBOR”
https://www.imf.org/external/pubs/ft/fandd/2012/12/basics.htm#:~:text=LIBOR%20is%20supposed
%20to%20reflect,funds%20on%20any%20given%20day.
https://zhuanlan.zhihu.com/p/87598177
2. How were the submitters able to manipulate the LIBOR?
The person who submitted a bank’s data for LIBOR calculations could overstate or understate the true
rate that the bank would pay on short-term loans.
There were two main forms of rate-rigging that took place at Barclays.
The first form occurred between 2005 and 2007 and involved individual traders requesting the
submission of rates that would benefit their transactions, rather than rates at which Barclays actually
believed it could borrow money. This manipulation was done to help traders who had taken positions
dependent on the LIBOR rate.
The second form of rate-rigging occurred during the 2007-2008 credit crisis when banks were
concerned about appearing weak. Barclays officials ordered subordinates to submit lower LIBOR
estimates to avoid seeming weak. This manipulation was done to maintain good favor with government
officials who were unhappy with high LIBOR rates.
The submitters were able to manipulate the LIBOR through various means. They made requests to
manipulate the LIBOR rates to benefit their own trading positions or the bank's interests. These
requests were made through in-person conversations, emails, and instant messaging. Traders
sometimes discussed specific requests with their desk managers, and they even made notes in their
electronic calendars to remind themselves of the requests.
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Barclays' derivatives traders also tried to influence the LIBOR submissions of other banks by asking
external traders to pass on their requests to their own banks' submitters. They also helped colleagues
who had left for other banks by accepting requests to alter the LIBOR rate and passing them on to
Barclays' submitters.
During the credit crisis of 2007-2008, Barclays' senior managers were concerned about negative media
scrutiny and instructed submitters to reduce LIBOR submissions to avoid further negative comments.
Submitters were advised to keep Barclays' rates within ten basis points of those made by other banks.
Overall, the manipulation of the LIBOR involved multiple traders, desks, offices, and currencies, and
it occurred on a regular basis over several years.
3. How did traders benefit from manipulating the LIBOR?
Traders benefited from manipulating the LIBOR in several ways. By requesting specific LIBOR
submissions, they could manipulate the rates to benefit their own trading positions or the bank's
interests. Here are a few ways they benefited:
1. 利益个人：交易员可以通过操纵LIBOR利率来获得个人利益。例如，在利率互换交易中，如
果交易员能够影响LIBOR利率的提交，他们可以使交易结果对自己有利。
2. 利益银行：交易员有时也会操纵LIBOR利率以使银行受益。通过操纵LIBOR利率，银行可以
改变其借贷成本、影响市场情绪和提高其声誉。
3. 影响市场：操纵LIBOR利率还可以对市场产生影响。如果交易员能够通过操纵LIBOR利率来
影响其他金融机构的利率，他们可以获得更有利的交易条件，并在市场中获得竞争优势。
4. What does “head above the parapet” mean in the context of this case?
Barclays的高LIBOR提交引起了负面的媒体关注和市场质疑，因此他们的高LIBOR提交被描述为
将自己暴露在公众视野中，可能会引发负面后果。
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5. How would you characterise the relationships between submitters and traders?
The relationships between submitters and traders can be characterized as collaborative and mutually
beneficial, with traders actively seeking to manipulate the LIBOR rate and submitters accommodating
their requests.
Traders would make requests for specific LIBOR submissions, sometimes in person, via email, or
instant messaging. They would even make notes in their calendars to remind themselves of the requests.
Traders would also discuss their requests with desk managers and sometimes involve external traders
from other banks to pass on their requests. In some cases, traders would help colleagues who had left
for other banks by accepting a request to alter the LIBOR rate and passing it on to Barclays' submitters.
The submitters, in turn, would respond to these requests, sometimes using informal language and
indicating their willingness to help. The relationships between submitters and traders were
characterized by a willingness to manipulate the LIBOR rate for personal or bank-related benefits.
6. What factors contributed to the manipulation of the LIBOR by individual traders?
• Personal and financial gain: Traders had a vested interest in manipulating the LIBOR rate to
benefit their own trading positions or the bank's profitability. By requesting specific LIBOR
submissions, they could potentially increase their profits or minimize losses.
• Lack of secrecy: The manipulation attempts were conducted with little attempt at secrecy.
Traders openly discussed their requests and sometimes shouted across desks to ensure their
requests did not conflict with those of their colleagues. This lack of secrecy suggests a level of
acceptance and normalization of the manipulative behavior.
• Inadequate oversight and control: The manipulation of the LIBOR was able to persist for an
extended period because of inadequate oversight and control mechanisms within Barclays. The
senior LIBOR submitter, who had significant experience in the field, played a crucial role in
the submission process but was not effectively supervised.
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7. Suppose you are a Barclays trader or rate submitter who is opposed to manipulation—
what can you do to avoid behaving unethically? Do you have a responsibility to take
actions to prevent manipulation by others in your firm?
• Report concerns: If you become aware of any manipulative practices or requests, it is important
to report your concerns to the appropriate channels within your organization. This could
include your immediate supervisor, compliance department, or internal audit team.
Whistleblower hotlines or anonymous reporting mechanisms may also be available.
• Document evidence: Keep a record of any suspicious requests or conversations related to
LIBOR submissions. This documentation can serve as evidence if you need to support your
claims or if an investigation is initiated.
• Seek guidance: Consult with legal or compliance professionals within your organization to
understand the ethical and legal implications of the actions being requested. They can provide
guidance on how to navigate such situations and ensure compliance with regulations.
• Raise awareness: If you believe there is a systemic issue within your firm, consider raising
awareness among your colleagues or forming alliances with like-minded individuals who share
your concerns. By collectively addressing the issue, you may be able to exert pressure for
change and promote a culture of integrity.
• Follow internal policies and procedures: Familiarize yourself with your organization's policies
and procedures regarding LIBOR submissions and ensure that you adhere to them. If you notice
any gaps or weaknesses in these policies, communicate your observations to the relevant
stakeholders.
• Engage in ethical decision-making: Continuously evaluate the ethical implications of your
actions and decisions. Consider the potential harm caused by manipulation and the broader
impact on market integrity and public trust. Act in accordance with your professional and
ethical responsibilities.
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8. What strategies should a firm like Barclays use to make sure that rate manipulation
does not occur?
1. Strong ethical culture: Foster a culture of integrity and ethical behavior throughout the organization.
This includes promoting transparency, accountability, and a zero-tolerance policy for manipulation.
2. Robust compliance framework: Establish and enforce comprehensive compliance policies and
procedures that explicitly prohibit rate manipulation. Regularly review and update these frameworks
to align with regulatory requirements.
3. Training and education: Provide regular training programs to employees, especially traders and rate
submitters, on ethical conduct, regulatory compliance, and the consequences of manipulation. Ensure
that employees understand their responsibilities and the potential risks associated with unethical
behavior.
4. Clear guidelines and oversight: Clearly define the process and criteria for rate submissions,
including the sources of data and methodologies used. Implement strong oversight mechanisms to
monitor and review rate submissions, ensuring they are accurate, fair, and in line with regulatory
requirements.
5. Independent verification: Establish independent verification processes to validate rate submissions
and detect any anomalies or potential manipulation. This can involve internal audit teams, compliance
officers, or external auditors.
6. Whistleblower protection: Implement a robust whistleblower program that encourages employees
to report any concerns or suspicions of manipulation. Ensure that employees feel safe and protected
when reporting such issues, and establish mechanisms for anonymous reporting.
7. Strong governance and risk management: Maintain a strong governance structure with clear lines of
responsibility and accountability. Implement effective risk management practices to identify, assess,
and mitigate the risks associated with rate manipulation.
8. Collaboration with regulators: Foster a cooperative relationship with regulatory authorities, actively
engaging in discussions and sharing information to ensure compliance with regulations and best
practices.
9. Continuous monitoring and improvement: Regularly monitor and assess the effectiveness of the
implemented strategies. Conduct internal audits and reviews to identify any gaps or weaknesses and
take corrective actions promptly.
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9. During the credit crisis, Barclays decided not to have its “head about the parapet”. Who
within the firm should have responsibility for making such a decision?
In general, the responsibility for making such decisions would typically lie with senior management,
including executives and board members.
Senior management is responsible for setting the overall strategic direction of the firm and ensuring
that it operates in compliance with ethical standards and regulatory requirements. They are accountable
for establishing and enforcing a strong ethical culture, implementing effective risk management
practices, and overseeing the actions of employees.
In the case of Barclays, it would be reasonable to expect that senior executives, including the CEO,
CFO, and other top-level managers, should have been aware of the potential risks and issues related to
LIBOR manipulation. They should have taken appropriate measures to prevent misconduct, implement
internal controls, and ensure that accurate and honest LIBOR submissions were made.
10. The manipulation of the LIBOR can be broken down into three phases. What were these
and how did they differ in terms of motivation and moral justification?
Phase 1: Helping Traders
In this phase, individual Barclays traders attempted to manipulate the LIBOR rate for their own benefit
or that of the bank. Their actions were conducted with little attempt at secrecy and involved making
requests in person, via email, and through instant messaging. Traders sometimes collaborated with
external traders to influence LIBOR submissions of other banks. The motivation in this phase was
primarily driven by personal gain and the desire to enhance trading positions or benefit the bank's
profitability.
Phase 2: Crisis Management
During the credit crisis, there was a shift in motivation and moral justification for manipulating the
LIBOR. As financial markets faced significant stress, Barclays, along with other banks, submitted
artificially low LIBOR rates to create an illusion of stability and financial health. The intention behind
this manipulation was to avoid signaling distress or weakness, which could have had severe
consequences for the bank and the broader financial system. The moral justification in this phase was
based on the belief that manipulating the LIBOR was necessary to prevent further market turmoil and
protect the stability of the financial system.
Phase 3: Concealing Misconduct
In this phase, after the credit crisis had subsided, Barclays sought to conceal its previous misconduct
related to LIBOR manipulation. The bank provided false and misleading information to regulators and
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investigators, attempting to cover up the extent of its involvement in rate-rigging. The motivation in
this phase was to avoid legal and reputational consequences for the bank and its executives. The moral
justification for concealing misconduct is generally considered unethical, as it involves deception and
undermines transparency and accountability.