Swiss Average Rate Overnight

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Swiss Average Rate Overnight (abbreviation SARON ) is a reference interest rate for the Swiss franc currency . The SARON is based on the transactions and binding pricing of the Swiss repo market . SARON is a registered trademark of the SIX Swiss Exchange and serves as a replacement for the controversial London Interbank Offered Rate LIBOR.

history

The SARON was presented on August 25, 2009.

In October 2017, the “National Working Group for Reference Interest Rates in Swiss Francs” (NAG) recommended SARON as an alternative to Swiss franc LIBOR.

In July 2018, the UK banking regulator FCA announced that LIBOR would only be supported until the end of 2021 and would have to be replaced.

In October 2018, NAG recommended the compounded SARON as an alternative forward interest rate. A robust forward rate based on derivatives cannot be represented. Therefore, the new forward interest rates should be determined from a sequence of one-day SARON interest rates.

On June 13, 2019, the National Bank announced that it was adjusting its monetary policy concept. Until now, this was based on the controversial LIBOR. The SNB's monetary policy decisions are now based on the determination of the “SNB key interest rate”. This is based on the SARON. The new interest rate was currently also fixed at –0.75%.

detection

SARON

The SARON is a volume-weighted average rate based on concluded trade transactions. For the determination, one looks at the quotes from the order book of the electronic trading platform of SIX Repo AG . The quotations are filtered to avoid manipulation. The SARON is published every ten minutes on trading days from 8.30 a.m. Fixings are carried out three times a day - at 12 noon, 4 p.m. and at the end of the trading day (no earlier than 6 p.m. Swiss time).

It is published on the SIX website as well as via Bloomberg (SSARON) and Reuters (SARON.S). The ISIN is CH0049613687. The current rates require a license.

Forward rates

The daily SARON interest rates can be used to calculate compound rates that are required as a basis for loans and other financial products. The final design is still in coordination with the NAG (as of April 2019). Sample calculations for possible variants have already been published to illustrate this.

Index regulation

In order to ensure international use for customers and financial service providers, the requirements of the EU benchmark regulation are implemented at SIX Swiss Exchange.

Web links

Individual evidence

  1. ^ Swiss Reference Rates - New reference rates for the financial markets. Swiss National Bank, August 25, 2009, accessed on April 28, 2019 .
  2. ↑ a b Milestones NAG. Swiss National Bank, accessed on April 28, 2019 .
  3. ↑ Interest rate benchmark reform: transition to a world without LIBOR. FCA, July 12, 2018, accessed April 28, 2019 .
  4. ↑ Minutes from the meeting of the National Working Group on CHF Reference Interest Rates (31 October 2018). Swiss National Bank, accessed on April 28, 2019 (English).
  5. ↑ The replacement of the Libor is becoming concrete in Switzerland. NZZ, November 21, 2018, accessed on April 28, 2019 .
  6. ↑ Thomas Fuster: A new interest rate and old worries at the Swiss National Bank. In: Neue Zürcher Zeitung from June 13, 2019.
  7. ^ SIX Swiss Exchange Indices - Swiss Reference Rates regulations. SIX Swiss Exchange AG, September 1, 2017, accessed on April 28, 2019 .
  8. ↑ Compound rates for illustration. SIX Swiss Exchange AG, accessed on April 28, 2019 .
  9. ↑ Index regulation. SIX Swiss Exchange AG, accessed on April 28, 2019 .