The Bank cut the target range to -0.25% to -1.25%, down from 0.25% to -0.75% in January as it abandoned the exchange-rate ceiling against the euro, causing the Swiss franc to appreciate sharply.
The move will erode the returns generated on Swiss-denominated fixed-income securities, while increasing the market value – and consequently the unrealised gains – of bond portfolios.
Domestic insurers such as Swiss Life and Baloise, which have 32% and 49% of their asset portfolios in government and corporate bonds, will suffer the most, Moody's said in a report.
In contrast, Zurich and Swiss Re will be marginally affected, given the geographical diversification of their investments – only 8% and 2% are invested in SFr-denominated fixed income.