New Zealand's Commerce Commission is investigating allegations of foreign exchange market manipulation after one market player opted to cooperate to obtain immunity from prosecution.The Commission operates a "cartel leniency" policy, which allows cartel members to approach the regulator first to give evidence on other members and obtain immunity."The investigation was commenced as a result of a leniency application under the Commission's cartel leniency policy," the Commission said. It declined further comment.The New Zealand investigation follows similar announcements by the Australian Securities and Investment Commission in mid-March and by Swiss and British regulators in late March.Last week the Swiss regulator Weko announced an investigation of Switzerland's UBS, Credit Suisse, Zurich Cantonal Bank and Julius Baer, along with JPMorgan Chase, Citigroup and Royal Bank of Scotland.Late last week US fund managers filed legal action in a US Federal Court alleging 12 banks colluded to rig currency rates. The defendants included Bank of America, Barclays, BNP Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan Chase, Morgan Stanley, Royal Bank of Scotland and UBS.Citibank, JP Morgan Chase and HSBC are registered as banks operating in New Zealand, although most New Zealand dollar trade happens in London, Hong Kong and New York.The Reserve Bank said last month the New Zealand dollar was between the seventh and tenth most traded currency in the world with volumes of about NZ$100 billion per day.