SARON is the CHF reference rate, reflecting both actual transactions and binding quotes of the underlying Swiss repo market. SIX, as the benchmark administrator of SARON, also provides calculations for a compounded SARON for pre-defined time periods in arrears beyond the overnight tenor. Based on these Compound Rates further “SARON Compound Indices” are calculated.
- The SARON 1 week Compound Rate reflects the aggregation of all daily SARON rates over the time period of one week in arrears. The time period for the SARON 1 week Compound Rate ends on each business day of a given week and starts on a business day one week earlier.
- The further SARON 2, 9 and 12 months Compound Rates reflect the aggregation of all daily SARON rates over the time period of the respective period.
The SARON Compound Indices are based on the above mentioned SARON Compound Rates and reflect the performance generated by investing at the daily observation of the respective Rate.
“With this launch, SIX completes the offering around the Swiss Reference Rates and SARON.”, says Dr. Christian Bahr, Head Index Services at SIX, “the tenors from 1 week to 12 months and the previously released web-based SARON Compound calculator underline our commitment as the Benchmark Administrator.”
The SARON Compound Rates and Indices support the market for benchmarking and are essential for financial products such as funds, mortgages, deposits, bonds, floating rate notes, swaps and futures. SARON was launched in 2009 and was listed in the ESMA register in early 2020 under the EU Benchmark Regulation. By providing these additional Rates and Indices, SIX supports the transition away from CHF LIBOR, which ceases to exist after 31 December 2021.
Please click here to access the SIX Calculator for a Compounded SARON on our website.