2010年初，两位分别来自加州大学洛杉矶分校（UCLA）和明尼苏达大学（University of Minnesota）的经济学教授对Libor操纵行为进行了研究，发现至少有一项指标显示，在金融危机之前花旗不实申报借款利率的幅度超过了美国其他任何一家大银行。分析认为，全球最严重的是加拿大皇家银行（Royal Bank of Canada）。
并不是只有这一项研究称花旗Libor问题的严重性。早在2008年年中，《华尔街日报》（Wall Street Journal）就已开始报道Libor问题，这一利率的计算是在16家大银行提交的借款利率中，选中间8个取平均值。《华尔街日报》比较了这些银行上报的利率和借款保险成本。结果同样，分析显示花旗低报借款利率最多。根据《华尔街日报》的计算，从2008年1月23日到2008年4月16日，花旗低报借款利率0.87个百分点，几乎是巴克莱低报0.30个百分点的近三倍。
Earlier this week, Citigroup CEO Vikram Pandit told analysts not to use Barclays' $450 million Libor settlement as a guidepost for what his firm might have to pay. And he could be right. Citigroup (C) might end up paying much more.
A number of studies have shown that when it comes to lying about the key bank rate, Barclays was far from the worst offender. That title may belong to Citi.
In early 2010, two economics professors from UCLA and the University of Minnesota looked at Libor manipulation and found that, at least according to one measure, Citi had misstated its lending rate by more than any other large U.S. bank in the run up to the financial crisis. The worst offender worldwide, according to the analysis, was the Royal Bank of Canada.
The professors compared Libor submissions to another harder to manipulate bank rate and found that on average Citi understated its borrow costs by an average of 0.12 percentage points from August 2007 to August 2008. That may not sound like much, but it's 50% more than the 0.08 percentage points that Barclays under reporting its own borrowing costs, according to the professors' analysis.
And as we now know, Libor affects how much consumers and companies pay on a wide variety of loans and financial instruments, so even a very small difference in the rate can mean a big difference collectively to borrowers and investors.
That's not the only study that said Citi's pants were on fire when it came to Libor. Back in mid-2008, when the Wall Street Journal began to report the problems with Libor, which is set by averaging the middle eight borrowing rates submitted by 16 large banks, the paper compared the banks' reported Libor rates and the cost of insuring their debt. Once again Citi was shown to have understated its borrowing costs by the most. By the WSJ's calculations, from January 23 to April 16 of 2008 Citi under-reported its borrowing rate by 0.87 percentage points, or nearly triple the 0.30 percentage point difference that the paper figured Barclays was fibbing by.
Last week, brokerage analysts at Nomura constructed their own approximation of the difference between what the banks' true borrowing costs were and what they told the Libor panel. The analysts, lead by Glenn Schorr, looked at a longer time frame than the other studies, from August 2007 to May 2010.
Guess what bank stood out. Citi reported its loan costs at just under 2.1% during the period. But Nomura calculated Citi's real rate was more like 3.6%, meaning the bank understated its borrowing expense by 42%. That was by far the largest margin of any bank. The difference between Barclay's reported and actual borrowing rate was just 6%.
Citi decline to comment on the studies.
None of this ensures that the bank will end up paying a bigger fine than Barclays, or other banks. The two other U.S. banks that are part of the rate setting process, JPMorgan Chase (JPM) and Bank of America (BAC), appear to have lied more than Barclays about their borrowing costs as well.
Why Citi understated its rate matters. In Barclays' case, it was clear that traders at the bank were trying to profit from the manipulation. But if Citi lied solely to make it look better, law professor John Coffee of Columbia says that may not be enough to prove it was trying to manipulate Libor.
"Criminal prosecutors are unlikely to go after a bank that was just trying to make itself look good," says Coffee.
Still, a number of investors, pension funds and municipalities have begun to bring suits, and Citi is named in a number of them. The fact that Citi's rates were so far from reality might make the bank an easy target. What's more, at such a large bank, it will be easy to find some division of the bank that would have benefited from an artificially low Libor rate. In fact, the 2010 academic Libor study found that Citi's interest revenue jumped in early 2009, at around the same time most suits claim Libor was being manipulate.
In general, banks tended to bunch their Libor quotes. As a result, Conan Snider, who is an economics professor at UCLA and co-author of the 2010 study, says it makes sense that Citi's rate would have been the most manipulated. The worse shape you were in, the more you had to lie to keep your rate in line with others. And in late 2008 and early 2009, few banks were worse off than Citi. Now, what they did to cover that up may come back to haunt the bank.
When it comes to the lies Wall Street told during the financial crisis, it appears, all is far from forgiven.