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Libor最大谎言可能出自花旗

Richard Nieva 2012年07月23日

三项研究显示,花旗集团在向Libor委员会上报利率时,低报借款利率的幅度超出了美国其他任何一家大银行。不过,经济学家指出,如果花旗撒谎仅仅只是为了面子上好看,监管部门可能不会揪住它不放。

    上周早些时候,花旗集团(Citigroup)首席执行官潘伟迪告诉分析师们,别把巴克莱银行(Barclays)4.50亿美元的Libor和解金额视为标杆,好像花旗也要支付这么多钱。他也许说对了。因为花旗集团最终付出的罚款可能将远超这个数。

    多项研究显示,就操纵关键银行利率而言,巴克莱并不是最严重的一家。这个名号或许应该属于花旗。

    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)。

    两位教授将各家银行提交Libor委员会的利率与另一项较难操纵的银行利率进行比较,发现2007年8月至2008年8月期间,花旗将其借款利率平均低报了0.12个百分点。这个数字或许听上去不多,但两位教授的分析显示,这比巴克莱低报借款利率0.08个百分点高出了50%。

    而且,正如我们所知,Libor影响到千万消费者和公司,影响到林林总总的贷款和金融工具的偿还成本。因此,即便很小的利率差异,汇聚反映到贷款人和投资者身上的影响也十分巨大。

    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。

    上上周,野村证券(Nomura)的券商分析师们也对这些银行的真实贷款利率和上报给Libor委员会的利率进行了比较。以格兰•斯肖为首的这些分析师们选取的时间段更长,一直从2007年8月到2010年5月。

    猜猜哪家银行排在首位?这期间,花旗上报的借款利率略低于2.1%。但野村计算发现,花旗的实际利率更接近3.6%,说明该行将借款成本低估了42%,超过其他任何一家银行。巴克莱的低报幅度仅为6%。

    花旗拒绝对这些研究发表评论。

    当然,这些研究并不能说明将来花旗支付的罚款就一定会超过巴克莱或其他银行。在这场利率操纵风波中脱不了干系的另外两家美国银行,也就是摩根大通(JPMorgan Chase)和美国银行(Bank of America),在借款利率方面撒的谎看来也超过了巴克莱银行。

    花旗为什么要低报利率,理解这一点很重要。巴克莱的情况显然是该行交易员希望通过操纵利率获利。但如果花旗撒谎仅仅只是为了让自己面子好看,哥伦比亚大学(Columbia)的法学教授约翰•考费称,那可能还不足以证明其试图操纵Libor。

    “刑事检察官不太可能揪着一家只为粉饰自己的银行不放,”考费称。

    不过,很多投资者、养老基金和市政机构已开始起诉,不少案件都牵涉到了花旗。花旗利率如此偏离现实,很容易成为众矢之的。而且,在这么大一家银行中,很容易就能找到一些部门可能当时受益于虚低的Libor利率。事实上,2010年的Libor学术研究发现,花旗利息收入在2009年初大幅增加,差不多就是大多数诉讼认为Libor被操纵的时候。

    总的来说,当时很多银行都有低报利率的倾向。因此,加州大学洛杉矶分校的经济学教授、2010年研究的合著者柯能•施耐德表示,花旗对利率的操纵程度可能是最大的,这一点并不难理解。状况越糟糕,就必须撒更多的谎,才能保持与他人一致的利率。2008年底、2009年初,没有几家银行的状况比花旗还糟糕。如今,花旗要为当年为掩盖困境而做的一切付出代价。

    谈到金融危机期间华尔街撒过的谎,这一页看来还远远没有到翻过去的时候。

    译者:早稻米

    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.

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