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 European Central Bank (ECB) has been in discussions with national central banks about how to address concerns over a potential increase in deposit rates if they are not aligned with their respective inflation targets.
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.