Libor-in-arrears swaps face unwinds on benchmark death

Backward-looking fallbacks are incompatible with the product, which relies on forward rates

Backward-looking fallback methodology could force unwinds of swaps that require forward rates to settle

The death of Libor could result in the forced unwind of so-called Libor-in-arrears swaps, which require a forward rate to settle. That is likely to happen if Libor – a forward-looking benchmark – is replaced with a backward-looking fallback rate for swaps straddling the pre- and post-Libor worlds.

“A Libor-in-arrears swap without a forward-looking fixing would be impossible. The best thing to do would be to somehow try and unwind them,” says a rates trader at a European bank.

An industry

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here