Swiss Reference Rate
The Swiss Reference Rate contains a total of 32 benchmark CHF rates (Swiss Average Rate and Swiss Current Rates) that cover a term spectrum from overnight (ON) to 12 months (12M) plus two indices for the ON term. SIX Swiss Exchange has developed the CHF reference rates in cooperation with the Swiss National Bank (SNB). The relevant calculations for the reference rates are based on secured money market transactions as well as on indicative quotes of the CHF repo interbank market provided by Eurex Zurich / Eurex Repo.
Going forward, the point of departure for the Swiss franc yield curve will be based on the Swiss Average Rate Overnight (SARON®).
 | | | | | |
| Terms | Swiss Reference Rates | ||||
| Average Rates | Current Rates | Average Indizes | Current Indizes | ||
| Overnight ON | SARON | SCRON | SAION | SCION | |
| Tom/Next TN | SARTN | SCRTN | |||
| Spot/Next SN | SARSN | SCRSN | |||
| 1 Week 1W | SAR1W | SCR1W | |||
| 2 Weeks 2W | SAR2W | SCR2W | |||
| 3 Weeks 3W | SAR3W | SCR3W | |||
| 1 Month 1M | SAR1M | SCR1M | |||
| 2 Months 2M | SAR2M | SCR2M | |||
| 3 Months 3M | SAR3M | SCR3M | |||
| 6 Months 6M | SAR6M | SCR6M | |||
| 9 Months 9M | SAR9M | SCR9M | |||
| 12 Months 12M | SAR12M | SCR12M | |||
| IMM March Contract | SARMAR | SCRMAR | |||
| IMM June Contract | SARJUN | SCRJUN | |||
| IMM September Contract | SARSEP | SCRSEP | |||
| IMM December Contract | SARDEC | SCRDEC | |||
SAR Swiss Average Rate®
The average Rate is a continually calculated, real-time, volume-weighted reading based and published every ten minutes. In addition, a fixing is conducted three times a day at 12:00 noon, 4:00 p.m. and at the close of the trading day (6:00 p.m. at the earliest)
SCR Swiss Current Rate®
The current rate is based on the price of a transaction or specific quotes (not volume-weighted). Calculation of the current rate is made every three minutes.
Swiss Average Index (SAION®) / Swiss Current Index (SCION®)
The indices are calculated and published once a day at the end of the trading day. They are based on the daily yields as indicated in SARON and SCRON, respectively, and take into account interest payments received on overnight transactions.
SIX Swiss Exchange calculates and publishes the reference rates. The first publication takes place at 8.30 a.m. and the last at the end of trading day (6 p.m. at the earliest).
The regulations containing detailed information on the calculation of the Swiss reference rates as well as the historical data are published on the SIX Swiss Exchange website:
