Milestones in the transition to SARON

1 July 2021

The National Working Group on CHF Reference Rates (NWG) discusses the definitive cessation of CHF LIBOR at end-2021. The NWG repeats its recommendation to transition bilateral and cleared derivatives ahead of year-end 2021 (transition now) and reminds participants that fallback clauses are just a «safety belt».

Regarding the use of the compounded SARON, the NWG recommends additionally considering the option Last Recent and the SARON 1M Compound Rate in case the rate needs to be known in advance. This might be of interest for intercompany loans, trade finance and fallback clauses, among others.

Lastly, the NWG recommends start dates for using SARON as single price reference and benchmark in derivatives markets.

5 March 2021

The regulator (Financial Conduct Authority, FCA) and the administrator (Intercontinental Exchange Benchmark Administration, IBA) of LIBOR confirm that all CHF LIBOR-settings will cease immediately after 31 December 2021. In response to these announcements, ISDA publishes a statement stipulating that the announcements constitute an index cessation event under the IBOR Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol.

1 February 2021

The NWG discusses the expected discontinuation of CHF LIBOR at end-2021, recommending that market participants switch bilateral CHF LIBOR-based derivatives to SARON-based derivatives ahead of end-2021, and that clearing houses consider doing the same for transactions cleared through them.

The NWG releases for publication a «Rate Switch Amendment Agreement», which aims at having a standardized amendment agreement for syndicated CHF single currency credit facility/-ies agreements in English language governed by Swiss law.

Furthermore, the NWG recommends a common approach for CHF hybrid bonds with reset dates beyond 2021. In addition, the NWG decides to further discuss interest rate fixings for intercompany loans and trade finance.

29 September 2020

The NWG expects the discontinuation of CHF LIBOR by the end of 2021. The Swiss Financial Market Supervisory Authority (FINMA), based on the results of their self-assessment survey, reports that the CHF LIBOR tough legacy volume appears to be small and not an existential problem. In this regard, the NWG, together with representatives of FINMA and SNB, recommends that all market participants should ensure that robust fallback languages are used in all contracts. This includes signing up to ISDA’s IBOR Fallbacks Protocol or similar protocols (such as the Swiss Master Agreement, SMA) as soon as possible.

Furthermore, the NWG repeats the recommendations to use the «shift» methodology and to floor the compounded SARON, as long as the domestic market is in the focus. In case international consistency is important, the «lag» methodology and flooring individual SARON values are viable alternatives.

7 May 2020

The NWG discusses the latest developments in the SARON-based cash and derivatives market. Several banks have launched SARON-based cash products since the last NWG meeting.

The NWG recommends to use the Lookback option for CHF syndicated loans with an offset of five business days. Moreover, it releases a term sheet for a SARON / SOFR cross currency basis swap.

Furthermore, the NWG reviews different LIBOR end scenarios, implications for fallback clauses and affirms last meeting’s recommendation to transition LIBOR exposures prior to the end of 2021 wherever possible. FINMA reiterates its expectation that market participants undertake all necessary steps to ensure LIBOR is replaced, latest until year-end 2021.

12 November 2019

The NWG gives, based on the consultation with the Secretariat of the Swiss Competition Commission, further guidance regarding options for using a compounded SARON in retail loans.

In addition, different transition scenarios are discussed. The recommendation is to transition LIBOR exposures prior to the end of 2021 wherever possible.

13 June 2019

The SNB introduces the SNB policy rate, which replaces the target range for the 3-month LIBOR.

The NWG presents a discussion paper on SARON floating rate notes and a paper on the effects of the IBOR transition on hedge accounting. Furthermore, the provision of SARON Compound Rates (standardized term rates published by SIX Financial Information Ltd) and the progress on adapting compounded SARON are discussed.

5 February 2019

The NWG identifies and describes a set of options for using a compounded SARON in cash products. These options are also included in the «User’s Guide on Overnight Risk-Free Rates» published by the Financial Stability Board in June 2019.

31 October 2018

The NWG recommends using compounded SARON wherever possible as a term rate alternative. The NWG considers it unlikely that a robust term rate based on SARON derivatives will be feasible.

Additionally, the NWG releases a checklist to help market participants become operationally ready for the LIBOR transition and discusses a proposal for a fallback template for retail loans.

Trading with SARON Futures at Eurex starts in October 2018.

4 June 2018

The NWG releases recommended specifications for SARON Futures (term sheet).

19 December 2017

TOIS fixing is discontinued.

5 October 2017

The NWG recommends SARON as the alternative to CHF LIBOR and establishes two sub-working groups to focus on a possible transition away from LIBOR in loan and deposit markets (ToR Sub-NWG L&D) as well as in derivatives and capital markets (ToR Sub-NWG D&C).

Also in October 2017, LCH and Eurex start the clearing of SARON swaps.

15 November 2016

The administrator of the TOIS fixing, ACI Suisse, announces the discontinuation of the TOIS fixing effective December 2017.

13 January 2016

The NWG decides to focus reform efforts on SARON as an alternative to the TOIS fixing. Between 2013 and 2016, multiple reform efforts with respect to the TOIS fixing were undertaken (summary). However, it became apparent that the efforts were not sufficient to reach a viable reference rate in the long run.

11 June 2013

The NWG is established to reform the TOIS fixing. The NWG is co-chaired by a representative of the private sector and a representative of the SNB.