Swiss rate reform in race against the clock

Time constraints and valuation headaches complicate swaps market transition from Tois to Saron

Switzerland is known to take time-keeping seriously. But with the transition to a new overnight indexed swap (OIS) rate set for the end of the year, the local swap market is in danger of missing an important deadline.

From December 30, the current unsecured tomorrow/overnight index (Tois) fixing will be discontinued owing to a dwindling number of transactions and contributors. Before its secured replacement, the Swiss average rate overnight (Saron), can fully take over as the new OIS rate for t