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 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.