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Swiss Reference Rates

Introduction

The Swiss National Bank (SNB), in cooperation with SIX Swiss Exchange, has developed CHF reference rates for the financial markets. These reference rates are based on CHF repo interbank market data provided by SIX Repo Ltd.

Overnight interest rates are of central significance for the determination of yield curves in the international fixed interest markets. Going forward, the Swiss franc yield curve will be based on the Swiss Average Rate Overnight (SARON®). Since 25 August 2009, SARON has replaced the previously used repo overnight index (SNB) and will play an important role in the financial markets.

The Swiss Reference Rates comprise the Swiss Average Rates (SAR®) and the Swiss Current Rates (SCR®), covering a term spectrum ranging from overnight (ON) to 12 months (12M). The first publication takes place at 8.30 a.m. and the last at the end of the trading day (6 p.m. at the earliest). SIX Swiss Exchange calculates and publishes the reference rates.

Swiss Average Rate

The Average Rate is an ongoing, volume-weighted reading based on the transactions concluded and reference prices posted on the given trading day. The reference price is calculated on the basis of tradable quotes in the order book of the SIX Repo Ltd electronic trading platform, provided they lie within the parameters of the quote filter. The quote filter is parameterised in a way that limits the possibilities of manipulation to an absolute minimum. The Average Rate is continually calculated in real time and published every ten minutes. In addition, a fixing is conducted three times a day at 12.00 noon, 4.00 p.m. and at the close of the trading day (6 p.m. at the earliest). These fixings serve as a reference reading for derivative financial products and the valuation of fixed income investments.

Swiss Current Rate

The Current Rate is based on the price of a transaction or, alternatively, specific quotes. In contrast to the way in which the Average Rate is calculated, volume is not taken into account. Possibilities for manipulation of the Current Rate are also minimised through the application of appropriate filtering criteria. Calculation of the Current Rate is made every three minutes and the result is published immediately thereafter. The Current rate reflects the latest pricing in the money market and is an indicator of short-term changes.

Overview of the Swiss Reference Rates

Term
Average Rate
Current Rate
Overnight (ON)
SARON
SCRON
Tom/Next (TN)
SARTN
SCRTN
Spot/Next (SN)
SARSN
SCRSN
1 week (1W)
SAR1W
SCR1W
2 weeks (2W)
SAR2W
SCR2W
3 weeks (3W)
SAR3W
SCR3W
1 month (1M)
SAR1M
SCR1M
2 months (2M)
SAR2M
SCR2M
3 months (3M)
SAR3M
SCR3M
6 months (6M)
SAR6M
SCR6M
9 months (9M)
SAR9M
SCR9M
12 months (12M)
SAR12M
SCR12M

Further information

Press release "Swiss Reference Rates - new reference rates for the financial markets"
PDF
Speech "SARON - An innovation for the financial markets"

The regulations containing detailed information on the calculation of the CHF reference rates as well as historical data can be accessed on the SIX Swiss Exchange website.