Some members of the ECB working group on euro RFRs have warned that caps/floors and swaptions would be most impacted by Eonia-ESTR price alignment interest transitions. The co-chair of the cash products and derivatives sub-committee, Anna Kozhevnikova, urged market participants to be careful when switching discounting in non-linear derivatives.
Some members of the ECB working group on euro RFRs have warned that caps/floors and swaptions would be most impacted by EONIA-ESTR price alignment interest transitions. The co-chair of the cash products and derivatives sub-committee, Anna Kozhevnikova, urged market participants to be careful when switching discounting in non-linear derivatives.