SARON
Sign in to saveAlso known as Swiss Average Rate Overnight
The Swiss Average Rate Overnight (SARON) is a measurement of the overnight interest rate of the secured funding market denominated in Swiss Franc (CHF). It is based on transactions and quotes posted in the Swiss repo market, and is administered by SIX.
~7 min read
Article
12 sectionsContents
- Introduction
- Attributes
- Representative market
- Risk-neutral reference rate
- Calculation and publication
- Governance and regulation
- Quick facts
- History
- Future
- Compound rates
- References
- External links
The Swiss Average Rate Overnight (SARON) is a measurement of the overnight interest rate of the secured funding market denominated in Swiss Franc (CHF). It is based on transactions and quotes posted in the Swiss repo market, and is administered by SIX.
Internationally, there is a consensus that financial benchmarks need to be resilient and reliable. Repo markets, in their role as the backbone of the financial industry and central bank activity, are the obvious choice. They are liquid, highly regulated, and stable. The National Working Group on the Swiss Franc reference rate, which leads efforts to reform benchmark interest rates, has recommended SARON as the alternative to CHF Libor.