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 SIX SIS AG¹. 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 170 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

Terms Bonds

IN, ON, TIN, TN, SN, 1W, 2W, 3W, 1M, 2M, 3M, 6M, 9M, 12M, Non Standard, Special

Non Standard Fixed Term Variable, Non Standard Open Ended Variable

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: Securities denominated in CHF issued by various principales incl. debt certificates issued by the SNB with a minimum rating of A and a minimum issue size of CHF 100 mio.

GOV GC Basket: Securities denominated in Swiss franc, euros, US dollars, pounds sterling, Danish kroner, Swedish kronor or Norwegian kroner issued by sovereign countries and central banks incl. debt certificates issued by the SNB. Minimum rating of AA-/Aa3 and minimum issue size of CHF 1 bn.

International GC Basket: Securities denominated in Swiss franc, euros, US dollars, pounds sterling, Danish kroner, Swedish kronor or Norwegian kroner. Minimum rating of AA-/Aa3 and minimum issue size of CHF 1 bn. E.g. covered bonds, specific agencies, intl. organizations, statutory corporations, insurances, telecommunication, financial institutions, banks/credit institutions, chemical, energy.

Exclusion of counterparty's own securities: Counterparties own securities or those issued by persons or companies that form an economic unit with the counterparty are not accepted. An enterprise is deemed to belong to the same economic unit as the counterparty if 20% or more of the capital or voting rights are held.

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

Minimum transaction fee per currency: EUR 7.50; USD 10; GBP 6.50; CAD 10; JPY 900

Non-Aggressor=Participant who has entered into the system the quote or indication of interest (IOI) that ultimately results in a given transaction.

Aggressor=Participant who has traded on the basis of a quote or indication of interest (IOI) published in the system.

The fee calculation of Repo transactions which are concluded through an "addressed offer" order, is carried out in the aggressor role for both Participants.

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.

¹ SIX SIS AG is a legal entity of SIX Securities Services