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Compounded SARON for illustrative purposes

SIX as the Benchmark Administrator of the SARON is in the process of launching SARON Compound indices for the pre-defined time periods.

The SARON is an Overnight Rate and applies for the upcoming overnight period. Market participants are engaged typically in longer term contracts like 1, 3 or 6 months as a basis for loans and mortgages, deposits, bonds and floating rate notes, swaps and futures. To cover longer term contracts in Swiss francs, calculations for a compounded SARON are provided. These SARON Compound indices are standardised compounded rates and calculated by compounding the daily SARON rates.

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.

The following sample files for the SARON Compound indices are provided for illustrative purposes.

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

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.