Principles
The Repo market in Swiss francs got off to a successful start in June 1999.
Swiss and foreign participants can carry out their funding and collateral management operations directly on the interbank market as well as at the almost daily auctions of the Swiss National Bank (SNB), thereby also facilitating their intraday liquidity management in Swiss francs.
The SNB now relies almost exclusively on repo auctions via this electronic platform to conduct its open market operations, and in principle accepts government bonds from Switzerland, Germany and other European countries as well as German Jumbo "Pfandbriefe".
Advantages for the participant
- Screen based trading increases trading volume, price transparency and rapidity of trading. Ultimately, this results in narrower spreads.
- The term and collateral overview fulfils the dealing requirements of both General Collateral and Special repo traders.
- Integrated clearing/settlement is the basis for secure, fast and cost-effective execution.
- Eurex Repo makes it possible to take part in central bank auctions, which means that participants can manage their intraday liquidity efficiently in Swiss francs.
- Internet technology permits simple installation and use, and low-cost system operation (plug & play).
- Multi-currency and multi-market capability enables repo trading on one platform.
Intraday Repo
Unique in the electronic Repo environment, intraday contracts enables both national and international participants to organize their intraday liquidity management in Swiss francs in accordance with their particular needs.
Multi Currency Repo Trading
The Multi Currency service is based on the already existing CHF repo trading system and uses the same principles as the Swiss Triparty Repo market. Liquidity in EUR, USD and GBP can be managed from intraday up to 12 months with General Collateral baskets (see baskets). Multi Currency repo trading is based on the well established cooperation between Eurex Zürich AG and SIS SegaInterSettle AG. The already existing multi-lateral contract applicable for CHF repo trading also applies for Multi Currency trading.
Swiss Equity-Repo Trading
As of March 5, 2001, equity-repo trading with Swiss blue-chip stocks was initiated. With the introduction of the expanded facility, we opened up our repo platform for collateralized funding business, thus underscoring the increasing importance of this market for interbank transactions. We are leading the way in consolidating the collateralization of money-market transactions.
Electronic CHF Repo Market with a fully integrated value chain
Fully integrated trading, clearing and settlement
Over 100 participants
are using the CHF Repo Market platform since the successful start in June 1999
A market for all
The electronic CHF Repo Market is open for all interested participants who fulfill the Trading and Clearing Admission.
Trading hours
07:00 a.m. to 6:00 p.m. CET (supported 07:15 a.m. to 06:00 p.m. CET)
Cut-Off Times
 | | | |
| Currency | Intraday | Overnight | Timezone |
| CHF | 14:45 | 15:55 | CET |
| EUR | 15:55 | 15:55 | CET |
| USD | Not Available | 17:55 | CET |
| GBP | Not Available | 15:00 | CET |
Terms Bonds
IN, ON, TIN, TN, SN, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 12M, IMM MAR, IMM JUN, IMM SEP,
IMM DEC, Non Standard, Special
Terms Equity
ON, TN, SN, 1W, 2W, 3W, 1M, 2M, 3M, 6M, Non Standard, Special
Contract Size
Minimum CHF 1 Million for GC Repo
Minimum CHF 10,000 for Special Repo
Specifications Fixed Income Baskets (see also Basket section on the Webpage)
SNB GC Basket: Defined from the Swiss National Bank, is equivalent to the sum of the all other
baskets.
CHF GC Basket: In Switzerland issued bonds with a minimum rating of A and a minimum issue
size of CHF 100 mio.
GOV GC Basket: Government bond issues of the following countries: Austria, Belgium, Finland, France,
Germany, Ireland, Netherlands and Spain.
International GC Basket: Pfandbriefe, Int. Organisations, Agencies and County Issues.
For more information visit the SNB webpage: www.snb.ch
EEA FI GC Basket: ECB eligible securities with a minimum rating of A-/A3 and a minimum issue size of EUR 200 mio.
Specifications Equity Baskets
SMI GC Equity Basket: All 20 SMI stocks
DAX GC Equity Basket: All 30 DAX stocks
Open Order Book
All quotes are binding. Participants can use the Fill-or-Kill trading restriction. All orders and quotes will be automatically deleted at market close.
Order Types
Indication of Interest, Quote, Addressed Offer
Trading Fees
The fee models apply to the entire Swiss Franc Repo Market, including foreign currencies
- No admission fee
- No software licence fee
| | | | |||
| Trading Fees | ||||||
| Quoting | Aggressor | Aggressor | Aggressor | |||
| IN, TIN, ON, TN, SN | 0.006 % | 0.006 % | 0.006 % | |||
| 1W bis 1M | 0.001% | 0.002% | 0.0015% | 0.003% | 0.0025% | 0.003% |
| 2M bis 12M | 0% | 0.001% | 0.001% | 0.003% | 0.002% | 0.003% |
| SPC, NON, IMM | 0.003% | 0.003% | 0.003% | |||
| Annual fee (CHF) | 150'000.- | 50'000.- | 5'000.- | |||
| Minimum invoice per month (CHF) | 25'000.- | 10'000.- | 800.- | |||
| Minimum fee per transaction (CHF) | 10.- | 10.- | 10.- | |||
Minimum transanction fee per currency: EUR 6.50; USD 8; GBP 4.50
Non-Aggressor=Participant who has entered into the system the quote or indication of interest (IOI) that ultimately reuslts in a given transaction.
Aggressor=Participant who has traded on the basis of a quote or indication of interest (IOI) published in the system.
A screen on your PC
The "Term Overview" assists dealers in gaining a sense of the term structure, and is primarily used by GC traders.
The "Collateral Overview" assists dealers in gaining a sense of the collateral structure, and is primarily used by Special traders.
