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 .
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.