FRAs won't work with standard Libor fallback, experts say

Payments on $84 trillion market rely on forward rates but industry’s chosen fallback is backward looking

calculations

A backward-looking Libor fallback could make it impossible to calculate payments on some commonly traded derivatives and potentially deter some users from participating in an industry protocol aimed at blanket adoption of standard fallback language, market participants warn.

Speaking at the Quant Summit Europe conference in London on March 6, Marc Henrard, a managing partner at muRisQ Advisory in London, argued payments on forward rate agreements (FRAs), which are currently based on forward

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