How ANZ traders joked about bank bill swap rate rigging

New documents released in ASIC’s case reveal how senior traders joked about fixing headline interest rates.

Senior traders at ANZ joked about the fixing of headline interest rates by the bank, mocking widespread “manipulation within the Australian financial system.”

In new documents released as part ASIC’s case against ANZ for alleged manipulation of the bank bill swap rate (BBSW), senior traders thanked each other for setting the rate and joked about the manipulation of the headline rate in instant messaging.

“nice rsates et (sic),” Jim Vouziotis a former senior FX dealer wrote in an message to a Sean Collier at the short term funding group on November 5 2010.

“guess you can thank ANZ,” Mr Collier replied.

“llucky (sic) the rate sets are all legit and there is no manipulation within the Australian financial system.”

“ahahah” Mr Vouziotis replied in ironic hysterics.

The corporate regulator has filed a claim against ANZ for alleged unconscionable conduct and market manipulation, following a three-year investigation into manipulation of the BBSW.

While ANZ was the first Australian bank to face formal accusations of rate rigging, Westpac now also faces a civil claim accused of manipulation of the BBSW.

ASIC’s filings show the risks senior executives within the bank were allegedly prepared to take to help set the BBSW rate.

“I have sold short term paper last Friday to help the bank out for rateset purposes and now am in a situation of potential breach,” the head of ANZ’s Australian liquidity portfolio, Matthew Ritter, said in a September 9, 2010 email.

In another recorded conversation, trader Mark Budrewicz reassured Paul Castle, of the bank’s short-term funding group, that a plan to get $715m worth of extra bank bills for use setting the BBSW wouldn’t hurt ANZ’s cash position.

Mr Budrewicz planned to let futures contracts expire and take possession of the underlying bank bills.

“but I’m not going to … take actual delivery, I’m gonna sell them back out into the rate set ...,” he said in the conversation, recorded at 8:11am on December 9.

“So I’m gonna be buying probably about a yard of stock and it’ll be straight in and out tomorrow. So there’ll be no – no cash impact.”

Later that same day, Mr Budrewicz explained his plan to an internal bank analyst.

“What I have done today, is to sell them into the rate set to help push it in my favour,” he said in an email sent at 3.34pm that afternoon.

The BBSW is the primary interest rate benchmark used in Australian financial markets, administered by the Australian Financial Markets Association.

ANZ said it rejected the allegations and they would be “vigorously defended”. It believed ASIC’s case was based on a “misunderstanding”.

ASIC said it had identified 44 separate occasions of creating an artificial price for bank bills.

“It is alleged that ANZ traded in a manner intended to create an artificial price for bank bills on 44 separate days during the period of March 9, 2010 to May 25, 2012,” ASIC said in its statement of claim.

“ASIC alleges that on these days ANZ had a large number of products which were priced or valued off BBSW and that it traded in the bank bill market with the intention of moving the BBSW higher or lower.”

ASIC is seeking declarations that ANZ contravened sections of the Australian Securities and Investments Commission Act and the Corporations Act, which could result in tens of millions of dollars in fines.