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And actually what matters isn't the daily libor fixing, it is the fixings used for the future expiries, 4 times a year. I believe that's the ones that were heav
by cm2187 5y ago
And actually what matters isn't the daily libor fixing, it is the fixings used for the future expiries, 4 times a year. I believe that's the ones that were heavily manipulated (by some faction of a basis point but on huge notionals), because you hedge with a single future exposures over a number of dates.
It is rather the impact on every day borrowers that was tiny. First they would have to be unlucky enough to have their libor fixing falling on one of these 4 dates, even if it did, the impact would likely be a rounding error.
- lordnacho 5y agoI'm not so sure. I sat on both futures and swaps desks. Certainly a lot went through the futures on those 4 dates, but the swaps business was OTC, settling every day. I could easily see someone with varying settlements pushing it conveniently their way every day. Each customer would lose a little bit but put it down to noise. Interestingly I also did FX and people got done on that as well. There's this daily fixing that's used for a variety of products, and a big player like a bank would have a daily delta that would be very nice to nudge the right way each day. You could actually see at 1630 each day that something odd was going on, and there'd be a rumor to go along with it on the squawk box.