Investigation on the Potential Manipulation of ROBOR Interest Rates

Abstract: Recently observers have expressed concerns that the ROBOR benchmark interest rates may not accurately reflect the costs of interbank lending. ROBOR rates are reference indices for variable interest loans granted to both individuals and corporate clients in Romania, but also for derivative financial contracts that has ROBOR as the underlying asset. Therefore, the impact of ROBOR’s relevance is reflected in a much wider range of financial products addressed to the population, which will bear all the changes related to its volatility. This paper examines a possible manipulation of the prices of interbank deposits. In order to evaluate the evolution of the relevant ROBOR rates from the perspective of the existence of a market manipulation behavior, for the period July 2, 2018 - April 4, 2022, two scenarios were analyzed. Firstly, the collusion between two or more participants to obtain additional financial income related to the loan portfolio indexed to ROBOR. Secondly, the collusion between two or more participants to use inside information regarding the monetary policy decisions of the National Bank of Romania (NBR). Analyzing the hypotheses of the two scenarios, we conclude that there are no indications of a possible manipulation of ROBOR interest rates by tacit agreements between participants in the Fixing or by using inside information on monetary policy decisions of the NBR.

Key words: Romanian Interbank Offer Rate (ROBOR), benchmark interest rates, market abuse, market manipulation, inside information, Cartel

JEL codes: E4, E43