By James Thursfield September 26, 2019, Global Investor Group Members of the European Central Bank (ECB) working group on euro risk-free rates have warned that the industry must be “especially careful” when switching discounting in non-linear derivatives from Eonia flat to €ster. The co-chair of the cash products and derivatives sub-committee Anna Kozhevnikova, from Italian insurance firm Generali, said the Eonia-€STR price alignment interest (PAI) transition would have a particular impact on caps/floors and swaptions. full article
Some members of the ECB advisory group on euro RFRs have warned that caps / caps and swaptions would be most impacted by EONIA - ESTR ##E alignment pricing transitions . The co - chair of the cash products and derivatives sub - committee , Anna price , advised market participants to be careful when considering discounting in non - linear derivatives .