Swiss rate reform set to trigger swap value change

Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower

Alternative reference rate in Swiss franc
Changing discount rate can have a big impact on the present value of trades

Users of Libor-linked Swiss franc interest rate swaps could see their current portfolios revalued at the end of the year as part of the local market’s efforts to create a new risk-free rate. But swap users whose positions lose value are not expected to receive compensation – a position that could be controversial among some market participants.

Switzerland is planning to replace its overnight indexed swap (OIS) rate, the current unsecured tomorrow/overnight index (Tois), with a reformed version

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