Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
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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