Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
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
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