SARON study plan
SARON · Give each week a clear focus.
8 weeks · About 7 hours per week
SARON reference rate: methodology, calculation, and publication & Swiss money market and interest rate environment
Explain how SARON is derived from the Swiss Franc Reference Rate (SFRR) process: which transactions qualify, the trimming methodology, and the volume-based fallback tiers
Compute a hypothetical SARON fixing from a small set of qualifying money-market transactions, including the volume-weighted median and trimming steps
Distinguish SARON from LIBOR-style term fixings on the dimensions of backward-looking compounding, secured vs unsecured basis, and publication timing
Map the roles of SIX and the National Working Group in the benchmark's governance and IOSCO-compliant control framework
Your checkpoint
A one-page worked example of a SARON fixing calculation with a written explanation of each methodology step
SARON reference rate: methodology, calculation, and publication & Swiss money market and interest rate environment
Reconstruct the compounding formula for backward-looking SARON interest (daily compounding, business-day conventions, settlement lag) and apply it to a 3-month accrual period
Calculate accrued interest on a SARON-linked loan using actual/360 and compare it to a simple average of daily fixings
Describe the SNB's monetary policy toolkit (policy rate, sight deposits, tiering) and how SARON relates to the SNB policy rate corridor
Identify the publication calendar, cut-off times, and revision policy for SARON fixings
Your checkpoint
A spreadsheet that computes compounded SARON interest for a sample period and reconciles it against the simple-average figure, with a short note on the difference
SARON-based products and derivatives
Differentiate SARON-based OTC products: swaps (OIS), basis swaps, forward rate agreements, and SARON-in-arrears loans
Price a plain-vanilla SARON OIS from a discount curve and explain how the overnight-indexed swap curve is bootstrapped
Explain the CHF transition from CHF LIBOR to SARON, including fallback language, spread adjustments, and legacy contract remediation
Compare SARON futures and SARON-based ETF or money-market fund products on their exposure and settlement mechanics
Your checkpoint
A pricing sheet for a 2-year SARON OIS with bootstrapped discount factors and a written comparison of at least three SARON-linked instruments
SARON-based products and derivatives & Trading, order handling, and market conduct on SIX Swiss Exchange
Outline SIX Swiss Exchange trading phases (pre-opening, opening auction, continuous trading, closing auction) and the order types available in each
Describe order handling rules: priority, price-time matching, auction price determination, and treatment of market and limit orders
Explain market conduct obligations on SIX, including best execution, client order handling, and prohibition of market manipulation
Identify the relevant SIX rules on price determination and error trades
Your checkpoint
A process diagram of the SIX trading day with the applicable order types and matching rules annotated per phase
Trading, order handling, and market conduct on SIX Swiss Exchange & Regulatory framework and compliance
Summarize the Swiss regulatory architecture: FINMA, the Financial Market Infrastructure Act (FinfraG), and the Financial Services Act (FIDLEG) as they affect SARON-referenced business
Explain the benchmark regulation regime applicable to SARON, including administrator and user obligations and the IOSCO Principles for Financial Benchmarks
Describe conduct-of-business rules relevant to order handling, conflicts of interest, and record-keeping
Map which supervisory authority oversees which activity in the SARON ecosystem
Your checkpoint
A regulatory responsibility matrix mapping each key obligation to the authority and the internal control that satisfies it
Regulatory framework and compliance & Risk management and controls
Identify the key risks in SARON-referenced books: basis risk, fixing risk, valuation risk, and model risk in compounding
Design controls for benchmark integrity: independent price verification, fixing validation, and fallback contingency planning
Describe stress-testing approaches for interest-rate risk in a low-rate environment and the impact of negative rates on SARON products
Explain the role of independent benchmark oversight and audit trails in a SARON user firm
Your checkpoint
A risk-control register with at least six risks, their controls, and a proposed stress scenario for a SARON-linked portfolio
Risk management and controls & Market data, reporting, and post-trade processes
Trace the post-trade lifecycle for a SARON swap: confirmation, clearing, collateral, and settlement
Explain reporting obligations relevant to SARON products, including trade reporting and benchmark usage disclosure
Describe market-data sourcing for SARON fixings, licensing, and the difference between real-time and end-of-day data
Reconcile a sample trade from execution through settlement to verify data integrity
Your checkpoint
An end-to-end post-trade checklist for a SARON swap with the data and reporting touchpoints identified
Swiss money market and interest rate environment & SARON reference rate: methodology, calculation, and publication & SARON-based products and derivatives & Trading, order handling, and market conduct on SIX Swiss Exchange & Regulatory framework and compliance & Risk management and controls & Market data, reporting, and post-trade processes
Synthesize all domains into a coherent narrative linking the SARON methodology to product pricing, trading, and compliance
Complete a timed mock exam under realistic conditions and review every incorrect answer
Revisit the two weakest domains identified in the mock and close specific knowledge gaps
Produce a condensed one-page memory sheet of formulas, conventions, and regulatory references
Your checkpoint
A scored mock exam with a written remediation plan for the three lowest-scoring areas and a final one-page reference sheet
Milestones
Week 2: Can independently reproduce a SARON fixing calculation and a compounded interest accrual without notes, explaining each step aloud in under 10 minutes
Week 4: Can describe the SIX trading day, order types, and matching rules from memory and correctly price a 2-year SARON OIS given a discount curve
Week 6: Scores at least 70% on a self-made 30-question quiz spanning domains 1-5, with the regulatory responsibility matrix and risk-control register completed
Week 8: Scores at least 75% on the full timed mock exam, with all domain scores above 60% and a remediation plan in place for any remaining gaps