SIX has licensed the SARON index (Swiss Average Rate Overnight) to EUREX as underlying for Futures contracts
SIX, the leading index provider for the Swiss Market today announces that it has licensed the SARON (Swiss Average Rate Overnight) to the derivative exchange EUREX as underlying for Futures contracts. 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 SARO