Swiss Reference Rates
The Swiss National Bank (SNB), in cooperation with SIX Swiss Exchange, developed CHF reference rates for the financial markets in 2009. These reference rates are based on CHF repo interbank market data provided by SIX Repo Ltd. 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). SIX Swiss Exchange is the Swiss reference rates administrator and is thus responsible for their daily calculation and publication.
Internationally, overnight interest rates play a significant role in determining yield curves, and the Swiss franc yield curve is to be based on the Swiss Average Rate Overnight (SARON®) in future. Since 13 June 2019, the SNB has been implementing its monetary policy by setting the SNB policy rate. The SNB seeks to keep the secured short-term Swiss franc money market rates close to its policy rate and is focussing on the SARON in this regard.
Swiss Average Rate
The Average Rate is a rolling, volume-weighted average based on transactions concluded and reference prices posted on a 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 risk of manipulation to an absolute minimum. The Average Rate is calculated continuously in real time and published every ten minutes. In addition, a fixing is conducted three times a day at 12 noon, 16:00 and at the close of the trading day (18:00 at the earliest). SARON - with fixing at the close of the trading day - is used in the derivatives market.
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. The risk of manipulation of the Current Rate is also minimised through the application of appropriate filtering criteria. The Current Rate is calculated every three minutes and 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 RatesTermAverage RateCurrent RateOvernight (ON)SARONSCRONTom/Next (TN)SARTNSCRTNSpot/Next (SN)SARSNSCRSN1 week (1W)SAR1WSCR1W2 weeks (2W)SAR2WSCR2W3 weeks (3W)SAR3WSCR3W1 month (1M)SAR1MSCR1M2 months (2M)SAR2MSCR2M3 months (3M)SAR3MSCR3M6 months (6M)SAR6MSCR6M9 months (9M)SAR9MSCR9M12 months (12M)SAR12MSCR12M
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.