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 , will play an influential role in financial markets. It 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.

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 Group on Swiss franc reference rate, which leads efforts to reform benchmark interest rates, has recommended SARON as the alternative for CHF LIBOR.

• Representative market show more

  SARON is a reference 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 2015 and 2017 the average daily trade and quote volume was around CHF 7.5 billion, about 42% of which were concluded repo transactions. hide

• Risk-neutral reference rate show more

  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. hide

• Calculation and publication show more

  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. hide

• Governance and regulation show more

  In 2017, SIX has established a special Index Commission for the Swiss Reference Rates, that advises in all matters related to the indices. Where necessary, it submits proposals regarding changes in index regulations, treatment of capital events and adjustments outside the established review and acceptance period. The Index Commissions meet at least twice per year. They provide valuable advice on how to improve existing products and the design of new products. When members of the Swiss Reference Rates Index Commission are selected, care is taken to ensure that they represent a variety of viewpoints. SIX is committed to the IOSCO Principles for Financial Benchmarks and ensures the administration of the SMI Indices is in compliance with the recommendations and in line with the principle of proportionality set forth in the IOSCO principles. This also ensures the continued use internationally of its benchmarks for customers and financial service providers. hide

Quick facts
SARON®	Swiss Average Rate Overnight
ISIN	CH0049613687
Bloomberg-/Refinitiv-Ticker	SSARON/SARON.S
Definition	Volume-weighted average interest rate
Dissemination Calendar	on all CHF trading and settlement days
Fixing-Time	12 pm 4 pm 6 pm
Fixings	SRFXON1 SRFXON2 SRFXON3
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

Terms to maturity	Swiss Reference Rates
	Average Rates	Current Rates	Average Indices	Current Indices	Historical values	Latest values
Overnight ON	SARON	SCRON	SAION	SCION

Index information

Description	Download
SARON® factsheet
Output Statement SARON
Rules governing the Swiss Reference Rates

Static data terms to maturity Overnight (ON)

ISIN	Symbol	Name	Description
CH0049613687	SARON	Swiss Average Rate ON	Interest rate
CH0049613901	SCRON	Swiss Current Rate ON	Interest rate
CH0100517157	SAION	Swiss Average Index ON	Index value
CH0100484986	SCION	Swiss Current Index ON	Index value

Static data of all SIX indices

Description	Download
All indices and rates calculated by SIX

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.