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.
Further information on licensing, data access and usage can be found
here.
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.
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Representative market
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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.
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Risk-neutral reference rate
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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.
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Calculation and publication
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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.
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Governance and regulation
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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.
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Quick facts
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SARON
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Swiss Average Rate Overnight
| | ISIN | CH0049613687 | | Bloomberg-/Refinitiv-Ticker | SSARON/SARON.S | |
Definition
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Volume-weighted average interest rate
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Dissemination Calendar
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on all CHF trading and settlement days | |
Fixing-Time
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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
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Daily at 8:30 a.m.
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Publication interval
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Every 10 minutes
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Terms to maturity
| Swiss Reference Rates | |
Average Rates
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Current Rates
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Average Indices
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Current Indices
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Historical values
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Latest values
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Snapshot 6pm
| | Overnight ON | SARON | SCRON | SAION | SCION |  |  | |
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Description
| Download | |
SARON factsheet
|  | | Output Statement SARON | | |
Rules governing the Swiss Reference Rates
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Static data terms to maturity Overnight (ON)
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| | | | | ISIN |
Symbol
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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
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Static data of all SIX indices
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Description
| Download | |
All indices and rates calculated by SIX
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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.
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