SIX: SARON as the future CHF-alternative to LIBOR

The Swiss average overnight rate, or SARON in short, is a Swiss stock exchange index that was launched in 2009 in conjunction with the SNB as an alternative reference interest rate for the CHF market. It is based on actual market transactions and prices in the Swiss repo market and thus on secured assets. The unsecured counterpart in the Swiss money market is TOIS-fixing. Like LIBOR, TOIS-fixing is calculated based on reports from banks. For this purpose, the panel banks determines the rates at which they can borrow money from other institutions on an unsecured basis. Both in Switzerland and abroad, unsecured transactions have become less common. This makes the determination of the LIBOR and the TOIS-fixing in comparison to the transaction-based SARON not sustainable. A first measure will be taken therefore in the Swiss money market at the end of 2017, when the TOIS-fixing will be replaced by SARON.

Why SARON is a real alternative to the CHF-LIBOR:

  • The SARON index is based on actual market transactions and quotes made on the regulated trading platform SIX Repo during the day.
  • SARON is calculated transparently in accordance with the index regulations, which are available on the SIX Swiss Exchange website.
  • Index data can be obtained via all standard data vendors or directly from SIX Swiss Exchange. Moreover, the fixing values are subsequently shown on the Swiss stock exchange website and can thus be viewed by everyone.
  • SIX Swiss Exchange uses the IOSCO Principles for Financial Benchmarks for all indices. SARON thus complies with international benchmark standards.
  • Additionally, support is available from the advisory Swiss Reference Rates Index Commission, comprising market representatives.
  • Furthermore, two major clearing houses have announced to offer the clearing of SARON swaps.

Read the full release

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