Effective January 2, 2018, Bloomberg will replace the TOIS fixing with the SARON (Swiss Average Rate Overnight) fixing in the calculation of all BCOM and UBS Bloomberg CMCI Swiss franc daily-hedged total return indices. Index level calculations will first incorporate SARON on January 3, 2018. The Bloomberg ticker for the overnight SARON rate used in the index calculations is SRFXON3.
Only CHF daily-hedged total return indices are affected by this change i.e., there is no impact to CHF monthly-hedged, CHF currency cross, or CHF daily-hedged excess return indices.
On November 15, 2016, ACI Suisse announced the termination of the TOIS fixing with effective date December 29, 2017. The transition away from the TOIS fixing towards SARON was discussed within the national working group on Swiss franc reference rates (NWG).
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