SARON case studies

SARON · Put your knowledge to work in context.

SARON - the Swiss Average Rate Overnight - is the reference rate for the Swiss franc money market, administered by SIX in cooperation with the Swiss National Bank. An examination carrying this name tests whether a candidate understands how that rate is produced, how products referencing it are priced and settled, and how trading and post-trade activity around it is governed on SIX Swiss Exchange. The SARON case studies are 5 cases and about 2,412 words.

Treasury Allocation Between a Fixed-Term Deposit and a Floored SARON Call Account

Clara, treasurer of a Swiss machinery exporter, holds CHF 80 million of surplus cash that will be needed for a plant expansion in four months. Her bank currently offers a three-month fixed-term deposit at 0.65% p.a.

458 words, about 2 min 2

Challenging an Official SARON Fixing After a Large Quarter-End Repo Trade

At 17:00 on 30 September, the official SARON is published at 0.42%. The product control team of a Zurich bank had independently estimated 0.38% for discounting its CHF 600 million SARON OIS book.

467 words, about 2 min 3

Hedging a Floored SARON Loan with a SARON OIS Payer Swap

A Swiss pension fund owns a real-estate subsidiary that has drawn a CHF 45 million five-year floating-rate loan. The loan pays daily compounded SARON in arrears plus a 110 bp margin, with a 0% floor on the SARON component.

496 words, about 2 min 4

Executing a Large ETF Order Around the SARON Publication

At 10:15 a client relationship manager at a SIX member firm receives an order from a pension fund to buy CHF 25 million of a CHF-denominated ETF that tracks short-term SARON-linked Swiss government bills. The ETF's average daily on-exchange volume is CHF 4 million.

496 words, about 2 min 5

Limit Breach and Model Risk in a SARON OIS Receiver Book

The risk committee of a Swiss cantonal bank reviews a CHF 250 million seven-year receiver SARON OIS swap. The bank receives fixed 0.85% and pays compounded SARON; the trade was put on to hedge a fixed-rate asset but the asset was sold last month, leaving the swap unhedged.

495 words, about 2 min