The Commission has sent questionnaires to market participants in the supranational, sub-sovereign and agency debt markets, sources told the Financial Times.
The newspaper has previously reported a similar investigation by the US Department of Justice (DOJ) and said that the UK's Financial Conduct Authority (FCA) is also believed to be investigating the market.
The Financial Times said that Credit Agricole, Nomura and Credit Suisse are among a number of banks being investigated by the DOJ, and that London-based traders at these three banks, plus another trader at Bank of America, have been put on leave in response to the investigations, according to people familiar with the matter.
The investigation follows revelations that traders manipulated the London Interbank Offered Rate, or LIBOR. LIBOR is the average interest rate at which banks can borrow unsecured funds from one another in the London market. Libor rates are calculated for five currencies and seven borrowing periods ranging from overnight to one year and are published each business day.
Nine of the world's largest banks agreed last year to pay a total of $2 billion in compensation to investors in the US over the manipulation of exchange rates, and to cooperate in litigation against 12 other defendants.
The first criminal conviction by a jury for manipulation of LIBOR was secured in August 2015 with a former derivatives trader at UBS and Citigroup found guilty of eight counts of conspiracy to defraud with a substantial jail term of 14 years' imprisonment.
In the UK, six defendants were found not guilty last month of conspiracy to defraud in connection with the SFO's ongoing criminal investigation into the manipulation of the Yen LIBOR.
Financial services regulation expert Michael Ruck of Pinsent Masons, the law firm behind Out-Law.com said: "Despite the recent LIBOR verdict it is clear that many regulators, including the FCA here in the UK, are keen to investigate and take action in relation to other benchmarks and markets, whether from a regulatory or a competition law perspective."
"In the UK the FCA now regulates a further seven benchmarks and is keen to support or follow other EU and US regulators in imposing significant sanctions where it identifies misconduct. It is also clear that regulators within the EU and elsewhere overseas are keen to work together and share information to ensure such misconduct is identified," Ruck said.
A trial of individuals charged with the manipulation of the US dollar LIBOR is due to begin on 15 February, while a trial of individuals charged with the manipulation of the Euro Interbank Offered Rate (EURIBOR) is scheduled to begin on 4 September 2017, the SFO said.
To date the SFO, which investigates and prosecutes the most serious economic crimes, has charged 19 individuals as part of its LIBOR-related investigations, it said.