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Glossary

SARON

SARON (Swiss Average Rate Overnight) is a weighted average interest rate of the secured funding in Swiss francs. The rate reflects real transactions and quotes for repo transactions in Switzerland, which are concluded on SIX Swiss Exchange.


SARON was created on August 25, 2009 with historical data available since June 30, 1999.


SARON is continually calculated in real time and published every 10 minutes. In addition, SIX publishes SARON fixing at 12:00, 16:00 and on closing at 18:00. The average daily trading volume in 2018 was around CHF 3.2 billion.


In 2017, the National Working Group on the Reference Rate, representing the participants of the Swiss financial market, proposed SARON as an alternative as part of the LIBOR CHF reform. This measure is a step towards the transition to risk-free rates as part of the global reform of interest rate benchmarks.


It is believed that SARON is a better indicator than CHF LIBOR, since SARON reflects both concluded transactions and binding quotes on the Swiss repo market.


Until June 13, 2019, the Swiss National Bank set the upper and lower limits for the fluctuation of the three-month CHF LIBOR, but now the regulator takes into account only the new SARON benchmark and sets the limits for its fluctuations.


Switzerland was the first country where the regulator began to use the new risk-free rate as an instrument of its monetary policy. In October 2017, the LCH clearing platform began to clear SARON interest rate swaps, and in 2018, the largest exchanges EUREX and ICE Futures Europe launched futures trading.


In September 2019, Credit Suisse Group issued first SARON-linked bonds on the Swiss market. These are Tier 1 bonds, which pay a fixed rate of 3% until 2025, and then the rate is SARON + 3.957%.


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