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SIX Has Licensed SARON Index To ICE Futures Europe

Date 31/07/2019

SIX, the leading index provider for the Swiss Market today announces that it has licensed the SARON (Swiss Average Rate Overnight) to the derivative exchange ICE Futures Europe („ICE“) as the underlying for futures contracts. On 29 July 2019, the SARON future from ICE, with a maturity of three months, has started trading. SARON represents the overnight interest rate of the secured money market in Switzerland and it is based on concluded transactions and binding quotes made on the regulated trading platform SIX Repo.

After the National Working Group (NWG) on Swiss Franc reference rates has recommended SARON as the alternative for CHF LIBOR, the Swiss National Bank (SNB) announced in June 2019 to use now the SARON for its monetary policy decisions. This makes SARON the benchmark for financial products in CHF. SIX as the benchmark administrator for SARON is responsible for the provision of the benchmark and its methodology.

„The launch of the new 3-month futures contract by ICE Futures Europe complements the existing SARON future from EUREX, which was first traded in October 2018. This is another milestone in the transition from CHF LIBOR towards SARON and increases the choice of financial instruments in the money market”, said Dr. Christian Bahr, Head Index & iNAV Services at SIX.

“The SARON index future joins our existing suite of alternative reference rates which includes one and three month SONIA and SOFR futures that are actively traded by an increasing range of financial institutions”, said Stuart Williams, President of ICE Futures Europe. “Together, these contracts provide a global offering to trade and hedge alternative risk-free rates.”

SARON was jointly developed by SIX and the SNB as part of the Swiss Reference Rates and launched 10 years ago as an alternative reference rate for the Swiss money market. The SARON is a volume weighted average reflecting both, concluded transactions and binding quotes of the underlying Swiss repo market, while its methodology ensures robustness and reliability. The market of SIX Repo is under the surveillance of SIX Exchange Regulation and is regulated under the Swiss Financial Market Infrastructure Act (FMIA) as a multilateral trading facility.

Further information about SARON: