Swiss Reference Rates (SARON) & Knowhow | SIX (2024)

About Swiss Reference Rates (SARON)

Overnight interest rates play a significant role in determining the yield curve. Going forward, the point of departure for Switzerland’s yield curve is SARON, an overnight reference rate based on data from the Swiss franc repo market. Repo transactions represent an important instrument for banks in their daily liquidity management activities. Repo transactions have become a key pillar of the money markets – and the Swiss National Bank (SNB) uses repo transactions as a means of implementing its monetary policy.

The reference rate SARON, which stands for Swiss Average Rate Overnight, represents the overnight interest rate of the secured money market for Swiss francs (CHF). It is based on transactions and quotes posted in the Swiss repo market, a pivotal part of the Swiss Value Chain. SIX is the Benchmark Administrator of SARON and is responsible for its calculation and publication. Further information on licensing, data access and usage can be found on the licensing page.

Internationally, there is a consensus that financial benchmarks need to be resilient and reliable. Repo markets, in their role as the backbone of the financial industry and central bank activity, are the obvious choice. They are liquid, highly regulated and of high integrity.The National Working Groupon Swiss franc reference rate, which leads efforts to reform benchmark interest rates, has recommended SARON as the alternative for CHF LIBOR.

Available since 25 Aug 2009


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Product Overview

Quick Facts
SARON Swiss Average Rate Overnight
ISIN CH0049613687
Bloomberg-/Refinitiv-Ticker SSARON/SARON.S
Definition Volume-weighted average interest rate
Calendar CHF Currency Holiday Calendar
Fixing-Time 12 pm 4 pm 6 pm
Fixings SRFXON1 SRFXON2 SRFXON3
Day-Count Convention ACT/360
Futures EUREX: FSO3 / ICE: SA3
Clearing CME, EUREX, LCH
Historical data since 30.06.1999
Introduction 25.08.2009
Publication start Daily at 8:30 a.m.
Publication interval Every 10 minutes

Why Choose Swiss Reference Rates?

SARON is an overnight rate reflecting both actual transactions and binding quotes of the underlying Swiss repo market while its methodology ensures robustness and reliability. The market is under the surveillance of SIX Exchange Regulation and is regulated under the Swiss Financial Market Infrastructure Act (FMIA) as a multilateral trading facility. Between 2017 and 2019 the average daily trade volume was around CHF 3.3 billion.

Based on data from the secured money market, SARON can be used for different financial market instruments but it is particularly suitable for secured loans due to the negligible counterparty and liquidity risks. As a risk neutral benchmark, SARON shows considerably lower volatility to changes in bank confidence levels and during turbulent phases compared to a reference rate based on the unsecured money market. For the use of interest rate swaps, this is of course an essential advantage. Major clearing houses offer to clear swaps based on SARON. Exchanges are now offering the ability to trade futures on SARON as well.

SARON is based on concluded transactions and trade quotes posted on the SIX Repo trading platform, provided they lie within the parameters of the quote filter. The quote filter is parameterized in a way that limits the possibilities for manipulation. SARON is continually calculated in real time and published every ten minutes. In addition, a fixing is conducted three times a day at 12 pm, 4 pm and 6 pm. The 6 pm fixing serves as a reference reading for derivative financial products and the valuation of financial assets.

In 2017, SIX established an Index Commission for Swiss Reference Rates that advises in all matters related to them. SIX is committed to the IOSCO Principles for Financial Benchmarks and SARON is approved under EU Benchmark Regulation. The administration of the Swiss Reference Rates is in compliance with the recommendations and requirements set forth in these regulations. This also ensures the international use of the SIX benchmarks for customers and financial service providers.

Five Key Differences Between SARON and LIBOR

Reference interest rates are important. And not just as far as monetary policy is concerned. Financial contracts for loans, savings deposits and mortgages all refer to these rates, which also provide an essential baseline on the derivatives market or for structured products. In less than two years, support for LIBOR will be removed and banks will have to switch contracts, products, systems and processes based on the rate to new, alternative reference rates (ARR). For the Swiss market, SIX provides a robust alternative to the CHF LIBOR with SARON that offers five key advantages:

SARON LIBOR
Money Market SIX operates the fully automated trading platform (SIX Repo) for the secured money market (short-term credit funding) in Switzerland. The SARON reference rate reflects this repo market. “Funding against collateral” is the rule here. The LIBOR reference rate reflects the unsecured money market (short-term credit funding). “Funding against creditworthiness” is the rule here (no collateral required).
Participants Some 160 banks and insurance companies take part in the Swiss repo market, including the Swiss National Bank (SNB), which uses it to supply Switzerland’s economy with liquidity. A group of 11 to 16 panel banks is involved in setting LIBOR.
Basis Banks lend money to each other, with securities being deposited as collateral (secured interbank market). The borrower undertakes to repurchase these securities at a later date and pays interest. The panel banks answer the question of what interest rate they could borrow funds at if they ask for an interbank offer in a reasonable market size. Illicit collusion between some of those panel banks caused the LIBOR scandal in 2011.
Values & Calculation Actual concluded transactions and quotes flow into the calculation of SARON. That’s approximately 110 interest rates per day on an annual average. The estimates submitted by the panel banks flow into the calculation of LIBOR. Between 5 and 8 interest rates are used, depending on the number of banks involved. The 3 to 4 highest and lowest interest rates are discarded.
Publishing –Calculated/published every ten minutes
–Fixing conducted three times a day (closing rate: 6:00 pm)
–Available in one currency (CHF)
–Calculated once a day
–Published once a day
–Available in five currencies (CHF, EUR, GBP, JPY, USD)

Key Product Information

  • Output Statement for SARON, administrated by SIX Swiss Exchange

    The Swiss Reference Rates (SRR), including the SARON as overnight rate, is a set of reference rates reflecting the CHF repo market. SIX Swiss Exchange (SSX), as Benchmark Administrator of the SRR is following the IOSCO Principles for Financial Benchmarks (July 2013).

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    Rulebook Swiss Reference Rates

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  • FAQ Index Licensing – Swiss Reference Rates (SRR)

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  • Price List – Swiss Reference Rates (SRR)

    Refer to the price list for all details

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  • Price List – Derived Data and Benchmarks based on Swiss Reference Rates (SRR)

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  • SIX Calculated Indices

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See all available Documents including Historical Data

For the latest values of the overnight term (ON) and the snapshot 6pm, visit ourclosed user groupsite.

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Tenor Name Symbol Rate Index ISIN
ON SAR Swiss Average Rate ON SARON Average -- CH0049613687
ON SCR Swiss Current Rate ON SCRON Current -- CH0049613901
ON SARON Index SAION -- Average CH0100517157
ON Swiss Current Index ON SCION -- Current CH0100484986
Tenor Name Symbol Rate Index ISIN
ON SAR Swiss Average Rate ON SARON Average -- CH0049613687
ON SCR Swiss Current Rate ON SCRON Current -- CH0049613901
ON SARON Index SAION -- Average CH0100517157
ON Swiss Current Index ON SCION -- Current CH0100484986
Tenor Name Symbol Rate Index ISIN
1W SARON 1 week Compound Index SARO1WI -- Compound CH0599147359
1W SARON 1 week Compound Rate SAR1WC Compound -- CH0599147342
1M SARON 1 month Compound Index SARO1MI -- Compound CH0599147292
1M SARON 1 month Compound Rate SAR1MC Compound -- CH0477123886
1M SARON 1 IMM Compound Rate SAR1IMMC Compound -- CH0477123860
2M SARON 2 months Compound Index SARO2MI -- Compound CH0599147300
2M SARON 2 months Compound Rate SAR2MC Compound -- CH0477123894
3M SARON 3 months Compound Index SARO3MI -- Compound CH0572109855
3M SARON 3 IMM Compound Rate SAR3IMMC Compound -- CH0477123878
3M SARON 3 months Compound Rate SAR3MC Compound -- CH0477123902
6M SARON 6 months Compound Index SARO6MI -- Compound CH0599147318
6M SARON 6 months Compound Rate SAR6MC Compound -- CH0477123910
9M SARON 9 months Compound Index SARO9MI -- Compound CH0599147326
9M SARON 9 months Compound Rate SAR9MC Compound -- CH0477123928
12M SARON 12 months Compound Index SARO12MI -- Compound CH0599147334
12M SARON 12 months Compound Rate SAR12MC Compound -- CH0477123936
Tenor Name Symbol Rate Index ISIN
TN SAR Swiss Average Rate TN SARTN Average -- CH0049613703
TN SCR Swiss Current Rate TN SCRTN Current -- CH0049613919
SN SAR Swiss Average Rate SN SARSN Average -- CH0049613711
SN SCR Swiss Current Rate SN SCRSN Current -- CH0049613927
1W SAR Swiss Average Rate 1W SAR1W Average -- CH0049613737
1W SCR Swiss Current Rate 1W SCR1W Current -- CH0049613935
2W SAR Swiss Average Rate 2W SAR2W Average -- CH0049613745
2W SCR Swiss Current Rate 2W SCR2W Current -- CH0049613950
3W SAR Swiss Average Rate 3W SAR3W Average -- CH0049613752
3W SCR Swiss Current Rate 3W SCR3W Current -- CH0049613968
1M SAR Swiss Average Rate 1M SAR1M Average -- CH0049613760
1M SCR Swiss Current Rate 1M SCR1M Current -- CH0049613976
2M SAR Swiss Average Rate 2M SAR2M Average -- CH0049613778
2M SCR Swiss Current Rate 2M SCR2M Current -- CH0049613984
3M SAR Swiss Average Rate 3M SAR3M Average -- CH0049613786
3M SCR Swiss Current Rate 3M SCR3M Current -- CH0049613992
6M SAR Swiss Average Rate 6M SAR6M Average -- CH0049613802
6M SCR Swiss Current Rate 6M SCR6M Current -- CH0049614008
9M SAR Swiss Average Rate 9M SAR9M Average -- CH0049613810
9M SCR Swiss Current Rate 9M SCR9M Current -- CH0049614016
12M SAR Swiss Average Rate 12M SAR12M Average -- CH0049613828
12M SCR Swiss Current Rate 12M SCR12M Current -- CH0049614024

Access Fixings for Swiss Reference Rates

The use of Swiss Reference Rates and the access to restricted intraday rates are governed by a licensing agreement. To request a data license, please fill in ourform.

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    Contact theIndex Business Support Team to discuss how you can use the Swiss Indices to support your investment strategy or for any queries related to licensing or permissioning of index data.

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    Contact us for any technical questions related to Swiss Indices. We are happy to help you from 8:00 am to 6:30 pm CET on trading days.

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Swiss Reference Rates (SARON) & Knowhow | SIX (2024)

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