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Compound Rates for illustrative purposes

SIX as the Benchmark Administrator of the SARON has released the following compound rates for illustrative purposes. SIX aims at ensuring market transparency seeking feedback on the formulas and allowing customers to perform early simulation to ensure the support for the migration of CHF LIBOR to the alternative reference rate SARON.

Why does SIX provide compound rates? The SARON is an Overnight Rate and applies for the upcoming overnight period (SARON). Market participants are engaged typically in longer term contracts like 1, 3, 6 or longer terms as a basis for loans and mortgages, deposits, bonds and floating rate notes, swaps and futures.

The Index Commission Swiss Reference Rates is advising on the concept and SIX is in close cooperation with the National Working Group (NWG) for References Rates for the final design and release of such rates.

The following example calculations for compound rates have been identified.

Please provide SIX with your feedback regarding the example calculations here.

Description Document
SARON Compound methodology
1. Examples for SARON Compound for 1, 3 und 6 months
2. Examples for SARON Compound for 1 and 3 months according to the IMM calendar
3. SARON Compound calculator (Excel in Zip file)
4. SARON Compound calculator with macro to refresh data (Excel in Zip file)
5. SARON Compound calculation matrix
History SARON 3 months Compound

Legal notice

® SAR, SAR SWISS AVERAGE RATE, SARON, SCR, SCR SWISS CURRENT RATE, SCRON, SAION, SCION are registered or pending trademarks of the SIX Swiss Exchange. Licensing is subject to a fee.