Eonia woes hold up euro swaptions switch

Eleventh-hour derailment for project that has been in the works for a year

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A long-awaited revamp of euro swaptions pricing has collided with efforts to shore up global interest rate benchmarks, presenting an obstacle that may be easy to overcome – or may not. While law firm Linklaters explores a possible fix, the pricing switch has been postponed.

Whatever happens next, the postponement of the pricing switch represents an eleventh-hour derailment for a project that has been underway for more than a year. The new approach was due to take effect this month.

The problem

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