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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: