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Eurex | Eurex Clearing
SIX, the leading index provider for the Swiss Market today, 8 October 2018, announces that it has licensed the SARON (Swiss Average Rate Overnight) to the derivative exchange Eurex as underlying for Futures contract. SARON represents the overnight interest rate of the secured funding market for Swiss franc (CHF). It is based on transactions and quotes made on the regulated trading platform SIX Repo. The Futures contracts, with a maturity of three months, will start trading on October 29, 2018 on Eurex.
SARON was jointly developed by SIX and the Swiss National Bank (SNB) as an alternative reference interest rate for the CHF market and launched by SIX in 2009 as part of the Swiss Reference Rate family. The National Working Group (NWG) on Swiss Franc reference rates, which leads efforts to reform benchmark interest rates, has recommended SARON as the alternative for CHF LIBOR in October 2017.
“After the successful transition from the TOIS-fixing to SARON last year and the establishment of a SARON swap market, the launch of the futures on SARON mark an important step to support the transition from CHF LIBOR towards SARON.”, said Dr. Christian Bahr, Head Index & iNAV Services at SIX.
“Eurex has been quietly building out its Fixed Income portfolio over the last two years and the money market segment is an important area that we feel affords us an opportunity to grow. Adding SARON futures demonstrates our commitment to our core European Markets and positions us to build out liquidity and further our capabilities in this segment.”, said Lee Bartholomew, Head of Fixed Income ETD Product Design at Eurex.
The SARON is a volume weighted average reflecting both, actual transactions and binding quotes of the underlying Swiss repo market, while its methodology ensures robustness and reliability. The market of SIX Repo is under the surveillance of SIX Exchange Regulation and is regulated under the Swiss Financial Market Infrastructure Act (FMIA) as a multilateral trading facility.
SIX as the benchmark administrator for SARON is responsible for the overall provision of the benchmark and its methodology. The Index Commission Swiss Reference Rate is supported SIX with market insights as an advisory body.
The index methodology and data are available at: https://www.six-group.com/exchanges/indices/data_centre/swiss_reference_rates/reference_rates_en.html