SIX licenses SARON index to Eurex
09 October 2018 Zurich
Image: Shutterstock
SIX has licensed the Swiss Average Rate Overnight (SARON) to the derivative exchange Eurex.
Futures contracts, with a maturity of three months, will start trading on 29 October 2018 on Eurex.
SARON represents the overnight interest rate of the secured funding market for Swiss franc (CHF).
The SARON is a volume-weighted average reflecting both, actual transactions and binding quotes of the underlying Swiss repo market.
It is based on transactions and quotes made on the regulated trading platform SIX Repo.
SARON was jointly developed by SIX and the Swiss National Bank as an alternative reference interest rate for the Swiss franc (CHF) market and launched by SIX in 2009 as part of the Swiss Reference Rate system.
The National Working Group on Swiss Franc reference rates, which leads efforts to reform benchmark interest rates, recommended SARON as the alternative for CHF LIBOR in October 2017.
The market of SIX Repo is under the surveillance of SIX Exchange regulation and is regulated under the Swiss Financial Market Infrastructure Act as a multilateral trading facility
SIX as the benchmark administrator for SARON is responsible for the overall provision of the benchmark and its methodology.
Christian Bahr, head index and iNAV services at SIX, said: “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.”
Lee Bartholomew, head of fixed income exchange-traded derivatives product design at Eurex, commented: “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.”
Futures contracts, with a maturity of three months, will start trading on 29 October 2018 on Eurex.
SARON represents the overnight interest rate of the secured funding market for Swiss franc (CHF).
The SARON is a volume-weighted average reflecting both, actual transactions and binding quotes of the underlying Swiss repo market.
It is based on transactions and quotes made on the regulated trading platform SIX Repo.
SARON was jointly developed by SIX and the Swiss National Bank as an alternative reference interest rate for the Swiss franc (CHF) market and launched by SIX in 2009 as part of the Swiss Reference Rate system.
The National Working Group on Swiss Franc reference rates, which leads efforts to reform benchmark interest rates, recommended SARON as the alternative for CHF LIBOR in October 2017.
The market of SIX Repo is under the surveillance of SIX Exchange regulation and is regulated under the Swiss Financial Market Infrastructure Act as a multilateral trading facility
SIX as the benchmark administrator for SARON is responsible for the overall provision of the benchmark and its methodology.
Christian Bahr, head index and iNAV services at SIX, said: “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.”
Lee Bartholomew, head of fixed income exchange-traded derivatives product design at Eurex, commented: “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.”
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