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CHF – Swiss Average Rate Overnight (SARON)

Swiss Average Rate Overnight (SARON): An Alternative Reference Rate for Swiss Financial Markets

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The following 4 datasets are available for resale as part of the TraditionData SARON data package:

CHF OIS SARON

1W – 50Y

CHF OIS SARON vs 3M LIBOR

3M – 50Y

CHF OIS SARON FRA

1×4, 2×5, 3×6, 6×9, 9×12, 12×15, 15×18, 21×24, 1×7, 2×8, 3×9, 9×12, 12×18, 18×24, 12×24

CHF OIS SARON vs. SOFR

3M – 50Y

Gottex data is available on Bloomberg under GOTX and Refinitiv under CHFSAROIS=GOTL.

SUMMARY

SARON: the key reference rate for overnight lending in Switzerland

SARON (Swiss Average Rate Overnight) is a new reference rate for the Swiss franc overnight market. It is designed to replace the current reference rate, the Swiss Interbank Offered Rate (CHF LIBOR), which was phased out on the 31^st Dec 2021.

SARON is based on transactions and quotes posted in the Swiss repo market and was first cleared in October 2017, with SARON futures available since October 2018.

Unlike CHF LIBOR, SARON is calculated and published on a daily basis, providing more frequent and up-to-date information. Additionally, SARON is based on a larger and more diverse pool of data than traditional reference rates, providing greater transparency and stability.

Key features of SARON include:

an overnight interest rate calculated on an actual transaction basis
based on the Swiss Franc overnight market
calculated and published daily by the Swiss National Bank (SNB)
administered by Six Swiss Exchange

By transitioning to SARON and subscribing to our data packages, financial services professionals can ensure they are receiving the most accurate and up-to-date information and are contributing to a more stable and fair financial market.

*SARON is not part of the TraditionData ARR package, and is only available in the stand-alone Gottex package.

Related products

Europe – IBOR Transition EUR – ESTR GBP – SONIA

KEY FEATURES

SARON can be used by financial services professionals in the following ways:

To determine the interest rates for a range of financial instruments such as bonds, swaps and futures

To set the benchmark for pricing of financial products

As a way to evaluate the performance of investments

To manage risk and determine the cost of borrowing and lending

As a way to assess the market conditions and determining investment strategies.

GBP – SONIA

SONIA: An Alternative Reference Rate for the United Kingdom’s Financial Markets