Euro swaptions market prepares for pricing revamp

Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books

Falling down stairs rate change
Lower rates tripped up euro swaptions market participants

In July, the $13.8 trillion European swaptions market will wipe away a historic blot, bringing pricing for the products in line with the swaps used to hedge them.

The move, agreed by an industry working group last year, is intended to head off any repeat of disputes that erupted after 2013, when the flaws of the old pricing methodology were exposed by falling European rates. But for end-users with legacy swaptions books, the fear is that it will become harder to value the positions and manage t

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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 indvidual account here: