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SIX introduces SARON Compound indices for various time periods

Maria Nikolova

The launch of these indices marks an important step for the transition to SARON and away from LIBOR.

SIX today announces the launch of SARON Compound indices for various time periods. The introduction of a 1-, 3- and 6-month compounded SARON delivers an important component to the market in the transition from LIBOR to SARON.

SARON is the CHF reference rate, reflecting both actual transactions and binding quotes of the underlying Swiss repo market. SIX as the benchmark administrator of SARON provides in addition calculations for a compounded SARON for pre-defined time periods in arrears beyond the overnight tenor as of today.

  • The SARON 1 month Compound Index reflects the aggregation of all daily SARON rates over the time period of one month and is calculated in arrears. The time period for the SARON 1 month Compound index ends on each business day of a given month and starts on a business day one month earlier.
  • The SARON 3 months Compound Index reflects the aggregation of all daily SARON rates over the time period of three months and is calculated in arrears. The time period for the SARON 3 months Compound index ends on each business day of a given month and starts on a business day three months earlier.
  • The SARON 6 months Compound Index reflects the aggregation of all daily SARON rates over the time period of six months and is calculated in arrears. The time period for the SARON 6 months Compound index ends on each business day of a given month and starts on a business day six months earlier.
  • The SARON 1 IMM Compound Index reflects the aggregation of all daily SARON rates over the time period of one month and is calculated in arrears. The time period for the SARON 1 IMM Compound index ends on the 3rd Wednesday of a given month and starts on the 3rd Wednesday one month earlier according to the International Money Market Calendar.
  • The SARON 3 IMM Compound Index reflects the aggregation of all daily SARON rates over the time period of three months and is calculated in arrears. The time period for the SARON 3 IMM Compound index ends on the 3rd Wednesday of a given month and starts on the 3rd Wednesday three months earlier according to the International Money Market Calendar.

These “SARON Compound” indices support the market for benchmarking and for the determination of the observation period of a compounded SARON in financial products like mortgages, deposits, bonds, floating rate notes, overnight indexed swaps and futures.

Christian Bahr, Head Index Services at SIX, commented:

“The launch of these indices is an important step for the transition to SARON and away from LIBOR, and the indices provide important transparency into the CHF interest rate for time periods beyond the overnight tenor.”

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