The New York Times reported here that North Carolina State Treasurer Janet Cowell has spent the summer with her staff reviewing the state's finances to find LIBOR damages. As we have reported, those damages are to be found in the states swap agreements.
These paragraphs sum up the entire article:
North Carolina had two major swaps at the time the benchmark was suspected of being rigged. Together, the two swaps were tied to $1.3 billion of bonds that were issued in 2002 and 2005. The banks on the other side of these contracts included Bank of America, of Charlotte, N.C., and JPMorgan Chase & Company based in New York, both of which are involved in setting Libor.
The challenge facing North Carolina and other states is that there is no agreement yet on how much the banks actually manipulated Libor, and for how long. The lawsuits that have already been filed have estimated that the banks held Libor down by at least 30 basis points, or 0.30 percent, for three years. By one method of calculation, that could have meant losses for North Carolina of around $10 million on their swaps.
That comes out to be about 77 basis points on the notional swap amount.