Internationally, overnight interest rates play a significant role in determining the yield curve.
Therefore, Repo transactions have become a key pillar of the money markets - even the Swiss
National Bank (SNB) uses repo transactions as a means of implementing its monetary policy.
This instrument allows market participants to better manage their short-term refinancing needs
and therefore represents an important instrument for their daily liquidity management activities.
Hence, through the Swiss Reference Rates an additional instrument was created which complements
the Swiss franc Libor and TOIS Fixing and, furthermore, is calculated in Switzerland.
The point of departure of Switzerland's yield curve is the SARON®, an overnight reference rate based
on data from the Swiss franc repo market, which replaced the former Repo Overnight Index (SNB). The
Swiss Reference Rates comprise a total of 32 benchmark rates that cover a term spectrum ranging from
overnight (ON) to 12 months (12M) plus two distinct indices for the ON term. The relevant calculations
are based on CHF repo transactions concluded in the interbank market as well as on indicative quotes
posted on the Eurex Zurich Ltd trading platform.
Terms to maturity
Swiss Reference Rates
1 Week 1W
2 Weeks 2W
3 Weeks 3W
1 Month 1M
2 Months 2M
3 Months 3M
6 Months 6M
9 Months 9M
12 Months 12M
IMM March Contract
IMM June Contract
IMM September Contract
IMM December Contract
Rules governing the Swiss Reference Rates
Swiss Reference Rates factsheet
The regulations on the Swiss Reference Rates were drawn up in collaboration with the SNB. SIX Swiss Exchange Ltd
can make modifications to the regulations in consultation with the SNB. Calculation and publication
of reference rates is carried out by SIX Swiss Exchange Ltd.
Static data terms to maturity Overnight (ON)
Swiss Average Rate ON
Swiss Current Rate ON
Swiss Average Index ON
Swiss Current Index ON
Static data of all SIX Swiss Exchange indices
Current list of all indices and rates calculated by SIX Swiss Exchange
® SAR, SAR SWISS AVERAGE RATE, SARON, SCR, SCR SWISS CURRENT RATE, SCRON, SAION, SCION
are registered or pending trademarks of the SIX Swiss Exchange. Licensing is subject to a fee.