SARON key terms

Swiss Average Rate Overnight: the transaction-based overnight reference rate for the Swiss franc, computed from concluded repo trades on the SIX Repo trading platform and published by SIX each business day.

The key interest rate set by the Swiss National Bank to steer monetary conditions, implemented mainly through the remuneration of sight deposits and used as the anchor for short-term franc rates.

An interest rate swap in which one leg pays a compounded overnight rate, such as SARON, and the other pays a fixed rate, with the floating leg reflecting realised daily fixings over the term.

The floating leg amount produced by applying each published SARON fixing to the outstanding principal over the accrual period and compounding daily, typically with a lag and a defined observation shift.

A repo structure in which a settlement agent manages collateral, margining and substitution on behalf of both parties, and the predominant format for trades underlying the SARON calculation.

A repo transaction agreed and settled directly between two counterparties, who handle collateral delivery and margin calls themselves rather than delegating to a triparty agent.

Repo borrowing secured by a basket of eligible securities rather than specific named bonds, so the cash rate reflects funding conditions instead of the scarcity of one instrument.

The percentage by which the market value of pledged collateral exceeds the cash lent, protecting the cash provider against price moves and liquidation costs if the borrower defaults.

The documented rules that convert daily overnight fixings into a term rate, covering day count, business day convention, lag, and how non-publication days are treated.

A convention that aligns the rate observation period with the interest accrual period by shifting the observation window back by a set number of business days, avoiding end-of-period distortion.

The number of business days by which rate observations are moved earlier relative to the accrual period, giving notice of the applicable rate before interest is calculated.

The pre-agreed substitute rate and spread adjustment applied when a reference rate ceases to be published or is declared non-representative, designed to preserve contract continuity.

The Swiss rules governing administrators and users of indices used to price financial instruments, imposing governance, control, and transparency duties on benchmark providers such as the SARON administrator.

International standards for financial benchmarks covering governance, quality of input data, methodology transparency, and accountability, referenced by Swiss and foreign benchmark regimes.

An independent body that reviews the benchmark administrator's methodology, input data quality, and operational controls, and advises on changes affecting the reference rate.

Balances held by commercial banks at the Swiss National Bank, whose remuneration tiers transmit the policy rate and shape the floor for franc money market rates.

A rate environment in which depositors pay to hold cash at the central bank, a phase Switzerland experienced and which required careful handling in contract and system design.

The programme replacing the discontinued London interbank franc rate with SARON in loans, derivatives, and bonds, including contractual fallbacks and repapering of legacy contracts.

The family of official franc interest rate benchmarks published by SIX, of which SARON is the overnight member used for discounting and floating-rate products.

A forward-looking rate fixed at the start of an interest period for that whole period, as opposed to a backward-looking compounded overnight rate determined at period end.

The exposure arising when assets and liabilities reference different rates or reset on different schedules, so hedges do not move exactly with the underlying position.

The difference between a fixed swap rate and the yield of a government bond of matching maturity, reflecting funding, balance sheet, and liquidity factors in the franc market.

The electronic queue of buy and sell orders for a security on SIX Swiss Exchange, ordered by price and time, which determines execution priority and visible market depth.

The matching rule giving precedence to the best price and, among orders at the same price, to the one entered earliest, ensuring deterministic and fair execution on the order book.

An instruction to buy or sell at no worse than a stated price, which may rest in the order book until executed, amended, or cancelled by the participant.

An instruction to trade immediately at the best available prices on the opposite side of the book, with no price protection beyond the depth currently displayed.

A periodic price formation phase in which orders are accumulated and matched at a single equilibrium price, used at the open, at the close, and after trading interruptions.

An automated mechanism that halts or pauses trading in an instrument after an extreme price movement, allowing order flow to stabilise before continuous trading resumes.

The SIX function that monitors trading for manipulation, insider dealing, and rule breaches, and refers suspicious activity to the Swiss financial regulator under the applicable laws.

The duty to take all reasonable steps to obtain the best possible result for client orders in terms of price, cost, speed, and likelihood of execution and settlement.

The difference between the price expected when an order was submitted and the average price actually achieved, often caused by thin liquidity or fast-moving markets.

The formal record sent to a counterparty or client setting out the economic terms of an executed transaction, serving as the basis for affirmation and settlement.

The automated, manual-free flow of trade data from execution through confirmation, clearing, and settlement, reducing operational errors and shortening the post-trade cycle.

An entity that interposes itself between trade counterparties, becoming buyer to every seller and seller to every buyer, and manages default risk through margin and a default fund.

Collateral collected up front to cover potential future exposure on a cleared or non-cleared position over the close-out period assumed in the risk model.

Collateral transferred to reflect the daily mark-to-market change in the value of open positions, settling accumulated gains and losses between counterparties.

A demand for additional collateral when existing margin no longer covers the modelled or actual exposure, requiring the recipient to fund the shortfall within an agreed deadline.

The contractual date on which cash and securities are exchanged to discharge a trade, determined by the applicable market convention and any holiday adjustments.

The contractual permission governing who may receive and redistribute exchange prices and reference rates, and at what fee, distinguishing display use from derived data use.

Static or slowly changing attributes such as instrument identifiers, tick sizes, trading calendars, and rate fixing times, needed to interpret and process market activity correctly.