Swiss Index
Methodology Rulebook Governing the Swiss Reference Rates
17.06.2021
Swiss Index Methodology Rulebook Governing the Swiss Reference Rates 17.06.2021
Table of Content 1 Structure of Swiss Reference Rates ...... 4 1.1 Introduction ...... 4 1.2 General Principles...... 4 1.3 Index Family Overview ...... 5 1.4 Data Availability and Publication ...... 6 2 Calculation of Average Rates (for Example SARON) ...... 8 2.1 Trades ...... 8 2.2 Quotes ...... 8 2.2.1 Quote Filter ...... 8 2.2.2 Quote Rules ...... 8 2.2.3 Quote Volume ...... 8 2.2.4 Restrictions ...... 9 2.3 Formula ...... 9 2.4 Sample Calculation: Reference Price Rq ...... 10 2.5 Calculation Interval and Publication Times ...... 10 3 Calculation of Current Rates (for Example SCRON) ...... 11 3.1 Trades and Quotes ...... 11 3.2 Formula ...... 11 3.3 Sample Calculation ...... 11 3.4 Calculation Interval and Publication Times ...... 12 4 Calculation of Average and Current Indices (for Example SARON Index) ...... 13 4.1 Formula ...... 13 4.2 Sample Calculation ...... 13 4.3 Calculation Interval and Publication Times ...... 13 5 Calculation of SARON Compound Rates ...... 14 5.1 Formula ...... 14 5.2 Definition of Start and End Dates for SARON Compound Rates ...... 15 5.3 Definition of Start and End Dates for SARON IMM Compound Rates ...... 15 5.4 Examples to Determine Start Dates ...... 16 5.5 Calculation Example SARON 1 Month Compound Rate ...... 17 5.6 Calculation Interval and Publication Times ...... 17 6 Additional Information ...... 18 6.1 Formula for Compounded SARON on Non-Business Days ...... 18 6.2 Example for Non-Business Days ...... 19 7 Correction Policy ...... 20 7.1 Unavailable Data ...... 20 7.2 Wrong Data ...... 20 8 Governance ...... 20 9 External Communication ...... 21 9.1 Reports ...... 21 9.2 Vendor Code Sheet ...... 21 9.3 Newsletter Email Service ...... 22
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Swiss Index Methodology Rulebook Governing the Swiss Reference Rates 17.06.2021
10 Trademark, Protection, Use and Licensing ...... 22 11 Contact ...... 22 12 Static Data ...... 23 12.1 Average and Current Rate ...... 23 12.2 Indices on the Average, Current and Compound Rates ...... 24 12.3 SARON Compound Rates ...... 24 Appendix A: Formulas for Lookback Calculations 25 A.1 Option 1: Lookback Without Observation Shift (“Lag”) ...... 26 A.2 Option 2: Lookback with Observation Shift (“Shift”) ...... 26 A.3 Adjustment to the Compound Rate Formula ...... 27 A.4 Calculation of Interest Payments ...... 28 A.5 Calculation Compound Rate With No Lookback ...... 29 A.6 Calculation Compound Rate With Lookback and No Shift ...... 30 A.7 Calculation Compound Rate With Lookback and Shift (“Shift”) ...... 31
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Swiss Index Methodology Rulebook Governing the Swiss Reference Rates 17.06.2021
1 Structure of Swiss Reference Rates
1.1 Introduction
Repo transactions are an important instrument in day-to-day liquidity management. To serve the financial markets, SIX calculates and publishes Swiss Franc reference rates and indices for various terms (overnight to 12 months and compounding in arrears). The specifications for the reference rates have been drawn up in conjunction with the Swiss National Bank (SNB), the National Working Group on Swiss Reference Rates and the index commission.
The reference rates and indices are based on transaction data from SIX Repo Ltd's CHF repo interbank market. Repo transactions are an important tool in the banks' day-to-day liquidity management. The repo transaction has advanced to become a major money market instrument around the world. The SNB also uses the repo market to implement its monetary policy.
Only standardised, CHF-denominated GC contracts1 against fixed-income securities eligible for SNB repo transactions are used to calculate the reference rates and indices.
1.2 General Principles
In order to achieve the stated index objective, SIX defines the general principles that govern the index methodology. SIX publishes the index objective and rules for all indices.
– Representative: The development of the market is represented by the index. – Tradable: The index components are tradable in terms of company size and market. – Replicable: The development of the index can be replicated in practice with a portfolio. – Stable: High index continuity. – Rules-based: Index changes and calculations are rule-based. – Projectable: Changes in rules are with appropriate lead time (usually at least 2 trading days) – no retrospective rule changes. – Transparent: Decisions are based on public information.
1 GC contract: GC stands for General Collateral. In a repo transaction, the money that is loaned out is secured against securities of a defined quality that are drawn from a GC basket.
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1.3 Index Family Overview The Swiss Reference Rates comprise of reference rates and indices that cover a range of terms from overnight to 12 months, both in advance and compounded in arrears.
Terms Average Rates Current Rates Average Indices Current Indices
Overnight ON – in advance SARON SCRON SARON Index (SAION) SCION
SARON 1 week n/a SARON 1 week n/a 1 week – in arrears Compound Rate Compound Index
SARON 1 month n/a n/a n/a 1 month - in arrears Compound Rate
SARON 2 months n/a SAROn 2 months n/a 2 months - in arrears Compound Rate Compound Index
SARON 3 months n/a SARON 3 months n/a 3 months - in arrears Compound Rate Compound Index
SARON 6 months n/a n/a n/a 6 months - in arrears Compound Rate
SARON 9 months n/a SARON 9 months n/a 9 months - in arrears Compound Rate Compound Index
SARON 12 months n/a SARON 12 months n/a 12 months – in arrears Compound Rate Compound Index
SARON 1 IMM n/a n/a n/a 1 month IMM - in arrears Compound Rate
SARON 3 IMM n/a n/a n/a 3 months IMM - in arrears Compound Rate
Tom/Next TN – in advance SARTN SCRTN n/a n/a
Spot/Next SN – in advance SARSN SCRSN n/a n/a
1 Week 1W – in advance SAR1W SCR1W n/a n/a
2 Weeks 2W – in advance SAR2W SCR2W n/a n/a
3 Weeks 3W – in advance SAR3W SCR3W n/a n/a
1 Month 1M – in advance SAR1M SCR1M n/a n/a
2 Months 2M – in advance SAR2M SCR2M n/a n/a
3 Months 3M – in advance SAR3M SCR3M n/a n/a
6 Months 6M – in advance SAR6M SCR6M n/a n/a
9 Months 9M – in advance SAR9M SCR9M n/a n/a
12 Months 12M – in advance SAR12M SCR12M n/a n/a
The calculations for a compounded SARON are offered for pre-defined time periods in arrears beyond the overnight tenor. These SARON Compound Rates support the market for benchmarking and for the determination of the observation period of a compounded SARON in financial products like mortgages, deposits, bonds, floating rate notes, overnight indexed swaps and futures.
– The SARON 1 week Compound Rate reflects the aggregation of all daily SARON rates over the time period of one week and is calculated in arrears. The time period for the SARON 1 week Compound Rate ends on each business day of a given week and starts on a business day one week earlier.
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– The SARON 1 month Compound Rate reflects the aggregation of all daily SARON rates over the time period of one month and is calculated in arrears. The time period for the SARON 1 month Compound Rate ends on each business day of a given month and starts on a business day one month earlier.
– The SARON 2 month Compound Rate reflects the aggregation of all daily SARON rates over the time period of two months and is calculated in arrears. The time period for the SARON 2 months Compound Rate ends on each business day of a given month and starts on a business day two months earlier.
– The SARON 3 months Compound Rate reflects the aggregation of all daily SARON rates over the time period of three months and is calculated in arrears. The time period for the SARON 3 months Compound Rate ends on each business day of a given month and starts on a business day three months earlier.
– The SARON 6 months Compound Rate reflects the aggregation of all daily SARON rates over the time period of six months and is calculated in arrears. The time period for the SARON 6 months Compound Rate ends on each business day of a given month and starts on a business day six months earlier.
– The SARON 9 months Compound Rate reflects the aggregation of all daily SARON rates over the time period of nine months and is calculated in arrears. The time period for the SARON 9 months Compound Rate ends on each business day of a given month and starts on a business day nine months earlier.
– The SARON 12 months Compound Rate reflects the aggregation of all daily SARON rates over the time period of twelve months and is calculated in arrears. The time period for the SARON 9 months Compound Rate ends on each business day of a given month and starts on a business day twelve months earlier.
– The SARON 1 IMM Compound Rate reflects the aggregation of all daily SARON rates over the time period of one month and is calculated in arrears. The time period for the SARON 1 IMM Compound Rate ends on the 3rd Wednesday of a given month and starts on the 3rd Wednesday one month earlier.
– The SARON 3 IMM Compound index reflects the aggregation of all daily SARON rates over the time period of three months and is calculated in arrears. The time period for the SARON 3 IMM Compound index ends on the 3rd Wednesday of a given month and starts on the 3rd Wednesday three months earlier.
Further SARON Compound Rates and indices for other periods or other calculations for a compounded SARON can be provided on request.
1.4 Data Availability and Publication
All Swiss Reference Rates, including SARON, the SARON Index and the SARON Compound Rates are calculated and published according to the CHF repo calendar of the SIX Repo trading platform (the CHF repo calendar is identical with the CHF currency or CHF money market calendars) and there is no publication on non-business days.2 SARON prior to any weekend or other holiday is based on market transactions that consider the upcoming overnight period including the weekend or currency holiday. The following table is giving examples for how many days SARON applies
specifically around weekends with ai being the number of calendar days in the period for which SARON applies.
2 https://www.six-group.com/en/products-services/the-swiss-stock-exchange/market-data/news-tools/trading-currency-holiday- calendar.html#/currencyCalendar
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Date Weekday ai Comment
SARON calculated on Monday applies for the upcoming overnight 08.10.2018 Monday 1 day period until Tuesday.
No SARON available. The SARON value from Friday already includes 07.10.2018 Sunday n/a the period over the weekend.
06.10.2018 Saturday n/a See above
SARON determined on Friday implicitly includes the longer 05.10.2018 Friday 3 days overnight period over the weekend and applies for the upcoming overnight period until Monday.
SARON calculated on Thursday applies for the upcoming overnight 04.10.2018 Thursday 1 day period until Friday.
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2 Calculation of Average Rates (for Example SARON)
The Average Rate is calculated on the basis of trades concluded (Tp), or on a reference price (Rq) that is based on quotes and rounded to six decimal places. The Average Rate is recalculated every time a trade is concluded or a new quote issued, providing they meet the following specifications.
2.1 Trades
The price of a trade and its volume (VT) are fed directly in to the index calculation, providing the price is within the
trade filter of 50 basis points (bp): Pn-1 - 50 bp ≤ Tp ≤ Pn-1 + 50 bp. Prices that correspond exactly to the marginal value are factored in to the calculation. There is no limit to trade volume. The Average Rate is not corrected if a trade is reversed.
2.2 Quotes
2.2.1 Quote Filter
The reference price (Rq) is calculated on the basis of the quotes available in the order book, providing they lie within the quote filter3. The starting point for the quote filter is the price which lies halfway between the bid and ask sides (mid price, m). It corresponds to the volume-weighted average of the best buy and sell quotes. Measured at the mid
price and rounded to five decimal places, the quote spread (qn) amounts to three basis points: m + 3 bp ≥ quote ≥ m - 3 bp. The calculation factors in both quotes that correspond exactly to the marginal value and those which are available to only a selection of participants.
2.2.2 Quote Rules
Any number of quotes may be used to calculate the reference price (Rq), providing the quotes concerned lie within
the quote spread (qn) and order book depth 10, i.e. a maximum of ten best buy and sell quotes are factored in to the calculation. Where quotes differ, one quote only from each bank will be included for each side of the order. Furthermore, it may be that the number of prices included from the ask side is greater than that from the bid side,
and vice versa. If no quotes are available within the quote spread (qn), the mid price (m) is used as the new reference
price (Rq).
2.2.3 Quote Volume
The volume of quotes is restricted to CHF 100 million. If there are several identical quotes on each side of the order, but their volumes differ, then the volumes of these quotes are aggregated for the purposes of calculating the mid price (m). The aggregated volume is capped at CHF 100 million.
The volumes of identical quotes that lie within the quote spread (qn) are cumulated and capped at CHF 100 million. The volumes given for the quotes that are to be factored in are also included in the calculation of average volume (no fractions), but the aggregated volume per quote is once again limited to CHF 100 million. This average volume is then fed into the recalculation of the Average Rate.
3 The use of a quote filter prevents quotes that diverge sharply from the current interest level distorting the Average Rate.
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2.2.4 Restrictions
In the cases described below, the Average Rate is not recalculated and the last reference price remains valid:
– The order book contains quotes for only one side of the transaction (buy or sell), or contains no quotes at all.
– New quotes are entered in the order book, but they do not change the reference price (Rq) compared with its
previous value, neither do they impact on the total volume for the reference price (Rq). – Changes in volume relating to quotes that are already in the order book do not trigger a recalculation. – The spread between the best buy and sell quotes exceeds 20 basis points.
2.3 Formula
Formula Legend
Average Rate (ARn) n−1 n−1 ⋅ + ⋅ AR(n−1) ∑v j pn vn ∑ v j = = j=1 j 1 ARn n = Past volume for reference prices and ∑v j = trades used in calculating the reference j 1 rate
Trade Filter Pn-1 – 50 BP ≤ Tp ≤ Pn-1 + 50 BP
Price (Pn) Pn = Relevant price for the calculation, based on a trade (Tp) or a reference price (Rq)
Volume (Vn) when Pn = Tp Vn = VT Tp = Price of a trade
when Pn = Rq Vn = Vq VT = Volume of a trade (unlimited)
Calculation of the Reference Price (Rq):
Mid Price (m): b = Best Buy vb = Volume b (max.100 M) b ⋅vb + s ⋅vs m = s = Best Sell vs = Volume s (max.100 M) v + v b s
If s=0 and/or b=0 -> no update
Quote Spread (qn) (m + 3 BP ≥ qn ≥ m - 3 BP) qn= Buy and sell price within the spread
Reference Price (Rq) n qj = Quotes in qn ∑q j ⋅v j vj = Volume of quote j j=1 j = 1, 2, 3, … Rq = n max. volume per quote = CHF 100 M ∑v j max. aggregated volume for identical quotes = j=1 CHF 100 M
Volume of Rq (Vq) n Vq = Average volume max. volume per quote = CHF 100 M ∑v j j=1 max. aggregated volume for identical quotes = Vq = CHF 100 M n
v + v vb = Volume b (max. 100 M) If qn = { } Rq = m and Vq = ( b s ) / 2 vs = Volume s (max. 100 M)
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2.4 Sample Calculation: Reference Price Rq
Market participants may enter the price of a trade, and quotes, at up to six decimal places. Prices that correspond exactly to the marginal value are factored in to the calculation. In the example given below, a new quote triggers recalculation.
All quotes that lie within the quote spread (qn) are used to calculate the reference price (Rq). They are weighted according to their volume, added together and finally divided by the total volume (the sum of all volumes for the quotes to be factored in to the calculation). The average volume must be taken into account in calculating the Average Rate.
2.5 Calculation Interval and Publication Times
The Average Rate is calculated for the first time when the first constellation arises in the order book. It is published for the first time at 08.30 and for the last time at the end of the trading day. The Average Rates for different durations may have different cut-off times. The cut-off time determines the end of the trading day, and the rates for different durations may have different cut-off times. Since the cut-off time is not necessarily the same as the publication time for the Average Rate, the publication of the last Average Rate figure may fall outside the defined publication interval of ten minutes.
The market value of the Average Rate is published every day at 12.00, 16.00 and at the end of the trading at 18.00. These figures are referred to as fixed rates4.
Average Rates are calculated in real time but are published every ten minutes.
Reference rates and indices are calculated and published on all official trading days on the Swiss franc repo market.
In case the fixing of the Average Rates (except for SARON) is not available, the last published rate from the previous business day remains valid and no new value will be published.
In case the fixing of the overnight rate SARON is not available the last published rate from the previous business day will be re-published.
All data is distributed by SIX Exfeed Ltd, a subsidiary of SIX Group Ltd.
4 Given the different trading hours, it may be that individual durations or interest rates have only two fixed rates (12:00 and 18:00) rather than the usual three average fixed rates (12.00, 16.00 and 18:00), or that the 16.00 fixed rate corresponds to that at 18:00.
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3 Calculation of Current Rates (for Example SCRON)
The Current Rate shows the progress of trading during the day and reflects the current market price. The Current Rate gives an indication of the direction in which the market is moving. It may thus also serve as an indicator of short-term shifts.
3.1 Trades and Quotes
Rather than in real time, the Current Rate is calculated and published every three minutes and rounded to six decimal places. It gives the last trade observed during the publication interval. In the absence of a trade during this period, the mid price is calculated and published as the Current Rate. Trades take precedence over the mid price, however. If no new trades have been concluded within the three-minute period, or no new quotes have been entered in the order book, the previous Current Rate is published again. This also applies if no trade has taken place and the spread between the best buy and sell quotes exceeds 20 basis points.
3.2 Formula
Formel Legend
Current Rate (CRt) If T exists in the interval prior to publication: T = Trade CR = T M = Mid Price t Otherwise: CR = M t b + s If s = 0 and/or b = 0 b = Best Buy Mid Price (M) M = last available mid price s = Best Sell 2
3.3 Sample Calculation
Times at which the current rate is published: The intervals are:
– V1 = 8:30:00 – bis 8:29:59 = V1 – V2 = 8:33:00 – 8:30:00 - 8:32:59 = V2 – V3 = 8:36:00 – 8:33:00 - 8:35:59 = V3 – V4 = 8:39:00 – 8:36:00 - 8:38:59 = V4
Timing 8.29 8.31 8.32 8.37
Bester Sell 0.59 0.60 0.65
Bester Buy 0.61 0.62 0.75
Trade 0.63
M or T M T M M
Publication:
V1 (8:30) No trade so far CRV1 = (0.59 + 0.61) / 2 = 0.60
V2 (8:33) Trade at 8:31 within the interval CRV2 = 0.63
V3 (8:36) No changes to quotes or trades CRV3 = CRV2 = 0.63
V4 (8:39) No trade within the interval CRV4 = (0.65 + 0.75) / 2 = 0.70
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3.4 Calculation Interval and Publication Times
The Current Rate is published for the first time at 08.30 and for the last time at the end of the trading day. The Current Rates for different durations may have different cut-off times. The cut-off time determines the end of the trading day, and the rates for different durations may have different cut-off times. Since the cut-off time is not necessarily the same as the publication time for the Current Rate, the publication of the last Current Rate figure may fall outside the defined publication interval of three minutes.
The Current Rate is calculated immediately prior to publication in each case. This takes place every three minutes.
Reference rates and indices are calculated and published on all official trading days on the Swiss franc repo market.
In case the Current Rates (except SCRON) are not available, the last published rate from the previous business day remains valid and no new value will be published.In case the fixing of the current rate SCRON is not available, the last published rate from the previous business day will be re-published.
All data is distributed by SIX Exfeed Ltd, a subsidiary of SIX Group Ltd.
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4 Calculation of Average and Current Indices (for Example SARON Index)
For the “overnight” duration, SIX calculates and publishes two indices on the basis of the Average and Current Rates respectively. These give the performance generated by daily overnight transactions. Further indices are available based on the SARON Compound Rates.
4.1 Formula
Index It
Legend: = 1 + , I: Index 360𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆 t: Current trading day 𝐼𝐼𝑡𝑡 𝐼𝐼𝑇𝑇 � 𝐷𝐷𝑇𝑇 𝑡𝑡� T: Last trading day prior to t
SRR Swiss Reference Rate (as a percentage) for the corresponding duration and price type
D: Number of calendar days between t and T
Interest Convention: Current/360
Publication at time t with date stamp t (no time stamp)
4.2 Sample Calculation
Index at time T 100
Swiss Reference Rate (overnight) at time T 0.15
Number of calendar days between t and T 1 Index at time t 0.15 100 It = 1001+ 1 = 100.000417 360
4.3 Calculation Interval and Publication Times
The indices are calculated and published once a day at the end of the trading day (rounded to six decimal places).
Reference rates and indices are calculated and published on all official trading days on the Swiss franc repo market.
All data is distributed by SIX Exfeed Ltd, a subsidiary of SIX Group Ltd. and published on the website in the Index Data Center.
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5 Calculation of SARON Compound Rates
5.1 Formula
The SARON Compound Rates are calculated in arrears for pre-defined time periods using the following formula.
360 = 1 + 1 𝑏𝑏𝑏𝑏 360 𝑟𝑟𝑖𝑖𝑎𝑎𝑖𝑖 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 �� � � − � 𝑖𝑖=1 𝑛𝑛 bd Number of business days in the observation period from (and including) the start date to (but excluding) the end date. E.g. bd equals one for an observation period from Monday to Tuesday
i Index from one to bd
n Number of calendar days of the observation period from (and including) the start date to (but excluding) the end date. E.g. n equals one for an observation period from Monday to Tuesday
ri SARON on business day i
ai Number of calendar days for which SARON ri applies
As an alternative method to calculate a compounded SARON, the SARON Index (SAION) can be used as input source. The SARON Index is described in section 4 and represents the performance generated by a daily compounding of SARON.
360 = 1
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐸𝐸 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 � 𝑆𝑆 − � n Number of calendar days of the observation period from (and𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 including)𝐼𝐼 the𝐼𝐼𝐼𝐼𝐼𝐼 start𝐼𝐼 date S to (but𝑛𝑛 excluding) the end date E
SARON IndexS and SARON IndexE - SARON Index value at the start date S and end date E
The advantage of using the SARON Index is that for any given time period only two data points are needed to obtain a compounded SARON while the standard formula requires the collection of every daily SARON value. Both formulas can be applied to calculate a compounded SARON for any combination of business days.
Given that the SARON Index reflects the same arithmetic as a compounded SARON and the SARON Compound Rates, rates calculated using the SARON Index with the same start and end dates should effectively produce equivalent results. However, because the SARON Index is rounded, its values do not maintain the same precision as the compounded SARON. As a result, minor differences may occasionally occur at the fourth decimal place.
The SARON Compound Rates are calculated with four decimals and rounded to half away from zero.
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5.2 Definition of Start and End Dates for SARON Compound Rates
The SARON Compound Rates are provided for pre-defined time periods. The end date for each period is the current business day on which the underlying rate, SARON, is being calculated. The start date for each daily SARON Compound Rates is the business day the respective number of weeks/months before the end date. The determination of the start date is aligned with the CHF money market calendar.5 If a determined start date falls on a non-business day like a weekend or a currency holiday the start date will be adjusted.
In the CHF money market calendar the end date is defined in advance based on the start date and non-business days are adjusted using the Modified Following Business Day Convention. There are three scenarios:
– If the start date is the last business day of a month, the end date must also be the last business day of a month
– The time period is extended by moving the end date to the next business day if it falls on a non-business day, except if this leads to a new month.
– The time period is shortened by moving the end date to the previous business day, if otherwise moving the date forward would result in a new month.
Note: For the SARON Compound Rates with a tenor of below one month (e.g. weekly) the scenarios no longer apply, as the month-end restrictions are obsolete in such a case.
The SARON Compound Rates are calculated in arrears therefore the Modified Following Business Day Convention cannot be applied directly, but to align and be as close as possible with the CHF money market calendar and the Business Day Convention the start date determination applies the following sequence:
– If the start date is unique according to the CHF money market calendar, this start date is used.
– If the end date is the last business day of a month, the start date must also be the last business day of a month.
– For each end date with multiple start date possibilities according to the CHF money market calendar – unless the end date is the last business day of a month – the following steps are taken:
– the middle date is selected as the start date, if there is an uneven number of possible start dates
– the preceding of the two dates surrounding the mid-point is chosen, if there is an even number of possible start dates
– Otherwise, if the initially determined start date falls on a non-business day or non-existing date (e.g. 30th of February), the business day that precedes the calculated start date will be the used start date, unless this new start date would fall within a different month. In such cases not the preceding business day, but the following business day will be used as the final start date.
Generally, for SARON Compound Rates with a tenor of below one month (e.g. weekly) the procedure to identify start- and end dates simplifies, as the month-end restrictions are redundant. However, everything else should be treated in the same way.
5.3 Definition of Start and End Dates for SARON IMM Compound Rates
SIX provides the SARON IMM Compound Rates for pre-defined time periods. The end date of such time periods is the 3rd Wednesday of the month according to IMM (International Money Market Calendar) and is by definition always a business day. The start date is the 3rd Wednesday the respective number of months before the end date.
5 https://www.six-group.com/en/products-services/the-swiss-stock-exchange/market-data/news-tools/trading-currency-holiday- calendar.html#/currencyCalendar
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5.4 Examples to Determine Start Dates
The following table is giving examples on how the end and start dates are defined for the SARON Compound Rates.
Time Period End Date Start Date Comment
Last business day of the month. The start date is moved to the 1 month 30.04.2018 29.03.2018 last business day of a month
1 month 15.06.2018 15.05.2018 One option in the money market calendar
06.09.2018 or Two options in the money market calendar that lead to the end 1 month 08.10.2018 07.09.2018 date 08.10.2018. The earlier date 06.09.2018 is selected
21.03.2018 or Three options in the money market calendar that lead to the 1 month 23.04.2018 22.03.2018 or end date 23.04.2018. The middle date 22.03.2018 is selected 23.03.2018
The previous business day is used because 10.11.2019 is a non- 1 month 10.12.2019 08.11.2019 business day
A compounding in arrears and the money market calendar lead to the same dates for the time periods at month end. Around currency holidays like Easter and Christmas or within a month there may be differences. The impact on the calculations is low, especially for longer tenors. Around such currency holidays typically one data point is added to a time series of 30, 90 or 180 calendar days.
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5.5 Calculation Example SARON 1 Month Compound Rate
end_date 08.10.2018
start_date (two options in the money market calendar that lead to the end date 08.10.2018. The 06.09.2018 earlier date 06.09.2018 is selected)
day_count 32
SARON Compound Rate: (product (multiplier) -1) *360 / day_count) -0.7451
SARON Compound Rate: (SARON Index (end) / SARON Index(start) -1)* (360/ day_count) -0.7451
Date SARON multiplier (1+ SARON x day_count / 360) day_count SARON Index
06.09.2018 -0.739773 0.999979 1 11048.90141
07.09.2018 -0.737137 0.999938572 3
10.09.2018 -0.73405 0.99997961 1
11.09.2018 -0.742549 0.999979374 1
12.09.2018 -0.744533 0.999979319 1
13.09.2018 -0.739139 0.999979468 1
14.09.2018 -0.734535 0.999938789 3
17.09.2018 -0.732281 0.999979659 1
18.09.2018 -0.739414 0.999979461 1
19.09.2018 -0.741015 0.999979416 1
20.09.2018 -0.740611 0.999979427 1
21.09.2018 -0.743656 0.999938029 3
24.09.2018 -0.736047 0.999979554 1
25.09.2018 -0.745040 0.999979304 1
26.09.2018 -0.760342 0.999978879 1
27.09.2018 -0.753971 0.999979056 1
28.09.2018 -0.785767 0.999934519 3
01.10.2018 -0.738704 0.99997948 1
02.10.2018 -0.734949 0.999979585 1
03.10.2018 -0.743903 0.999979336 1
04.10.2018 -0.742927 0.999979363 1
05.10.2018 -0.746194 0.999937817 3
08.10.2018 11041.58344
5.6 Calculation Interval and Publication Times
The SARON Compound Rates are published in a report produced end of day after the SARON is published.
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6 Additional Information
To support customers to determine a compounded SARON outside of the standard 1, 3 and 6 month periods, SIX is providing the “SARON Compound calculation matrix”. This file contains the compounded SARON value for all date combinations including weekends and non-business days of the last 12 months. Further, a web-based calculator for a compounded SARON is available for ad-hoc calculations.
6.1 Formula for Compounded SARON on Non-Business Days
For instances when a compounded SARON is required for a non-business day (e.g. starting or ending on a weekend) the National Working Group on Swiss Franc Reference Rates has developed the following approximation to cover non-business days.
360 = 1 + 1 𝑏𝑏𝑏𝑏 360 𝑟𝑟𝑖𝑖𝑎𝑎𝑖𝑖 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 �� � � − � bd Number of business days in the observation period from (and𝑖𝑖= including)1 the first calendar 𝑛𝑛date (start date) to, but excluding the last calendar date (end date), except if, the start date is not a business day, then “bd” is increased by one. E.g. bd equals one for an observation period from Monday to Tuesday, two for an observation period from Sunday to a Tuesday and one for an observation period from Friday to Sunday.
i Index from one to bd
n Number of calendar days in the observation period from (and including) the start date to (but excluding) the end date. E.g. n equals one for an observation period from Monday to Tuesday
ri SARON for business day i. In case the start date is not a business day, SARON from the preceding business day is used.
ai number of calendar days for which SARON ri applies. If the observation period ends on a Sunday, ai equals two. If the observation period starts on a Sunday, ai equals one and SARON from the preceding business day is used.
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6.2 Example for Non-Business Days
The following overview shows the day count depending on whether the observation period is starting or ending on non-business days.
Number of Business Number of TH FR SA SU MO TU WE TH FR SA SU Days Calendar Days
Example SARON Compound Rates -0.72 -0.75 -0.78 -0.74 -0.75 -0.76 -0.71 (Monday to Monday)
applicable days 1 3 1 1 1 1 1 bd = 5 n = 7
Example Non-Business Days (Monday to -0.72 -0.75 -0.78 -0.74 -0.75 -0.76 -0.71 Sunday)
applicable days 1 1 1 1 2 bd = 5 n = 6
Example non-business -0.72 -0.75 -0.75 -0.78 -0.74 -0.75 -0.76 -0.71 days (Sunday to Sunday)
applicable days 1 1 1 1 1 2 bd = 5 +1 n = 7
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7 Correction Policy
An index-related correction is to be made due to two causes. Either because the necessary data is not available or because it is wrong.
7.1 Unavailable Data
If data which is necessary to determine the price or weight of an index component is not available to SIX due to trade suspensions or market distortions the latest available data is used. Such cases may lead to a deviation from the general principles of the indices defined in the respective rulebooks. These changes may be related to review schedules, ordinary reviews as well as component and weighting changes outside of ordinary index reviews and are publicly announced with a notification period of at least 2 trading days.
7.2 Wrong Data
Errors in the necessary data can be caused by calculation errors or by incorrect input data.
Calculation errors which are detected within a trading day are immediately corrected. Intraday tick data is not corrected retrospectively. Calculation errors that are older than a trading day and incorrect input data are only corrected if technically possible and economically viable. If the correction leads to a significant difference in the index levels those can be corrected retrospectively.
8 Governance
The indices are internally managed by the index team of SIX. The team ensures that the rules of the indices are applied and the indices fulfil the required quality standards. The index team works against structured processes to ensure compliance with a regulatory framework. Further documentation on regulation and processes can be found on the SIX website. Based on the general principles outlined in section 1.2, SIX reserves the right to adjust index compositions, component weightings or notification periods.
Index Commission
– SIX is supported by the Index Commission Swiss Reference Rates. The Index Commission provides inputs on index-related matters, notably in connection with changes to the index rules and adjustments, additions and exclusions outside of the established review and acceptance period.
– The Commission convenes at least twice a year and provides valuable input on how existing products can be improved and new ones created.
Review of Index Concepts
– The validity of the index concepts and rules is reviewed on a regular basis by SIX. For significant changes a broad market consultation is conducted. The changes to the index rules are publicly announced with appropriate lead time (usually 3 months).
Termination of Indices
– A decision to discontinue an index will be publicly announced with appropriate lead time.
– In case of existing financial products linked to the index of which SIX is aware a market consultation is conducted in advance and a transition period is introduced before the definitive termination. Otherwise no market consultation will be carried out.
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Controls and Rules for the Exercise of Expert Judgement
The rules for each of the indices have been designed to eliminate discretion or expert judgement for the index calculation to the greatest extent possible. However, potential limitations of the methodology can materialize in situations including:
– unexpected events, such as complex corporate actions
– technical reasons, for example the inability of a stock exchange to provide a close price due to a computer outage
– where a rule allows for several interpretations (“unclear rule”)
– the absence of a rule in the methodology which potentially leads to a benchmark value which does not properly reflect the nature of the index (“insufficient rule”)
– determination of materiality of changes to the index methodology
In such unexpected cases, a pre-defined incident and escalation process has been established. SIX will evaluate and document the use of discretion as part of the incident management process. To the extent possible, this rulebook will be updated to capture such unexpected cases with a new transparent rule.
In addition, any feedback from market participants about the use of discretion will usually be discussed in the upcoming Index Commission meeting.
9 External Communication
SIX uses the following tools in order to inform the market about index changes. Index changes are changes in index compositions, component weights as well as ordinary and extraordinary index adjustments.
9.1 Reports
SIX creates and maintains reports containing index compositions, component weights, corporate action forecasts and other index-relevant information. SIX publishes the reports on its website, the majority of the reports is only made available to license holders. However, since the information of some reports is index-specific, the number of reports which are relevant for an index varies from index to index. Depending on the recency of their information, the reports are updated with different frequencies ranging from daily to annual.
For the Swiss Reference Rates the following reports are provided:
– historical value reports for all rates and indices
– an end of day report with the latest SARON and SARON Index values
– the SARON Compound calculation matrix with all compounded SARON values of the last 12 months
9.2 Vendor Code Sheet
Information on the actual ticker symbols, index standardizations, launch dates and calculation parameters of the indices can be found in the Vendor Code Sheet which is published under ‘Current list of all indices calculated by SIX Swiss Exchange’ on the website of SIX.
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9.3 Newsletter Email Service
SIX provides the Index Service Swiss Reference Rates to inform in depth on corrections of historical index values, corporate actions, and information regarding the index composition. Interested parties may subscribe to the newsletter e-mail service on the website6. SIX distributes all notifications regarding indices over this channel. This may include but is not limited to
– Changes in corporate actions and dividends
– Updates to the periodic index reviews
– Problems and error in the index calculation
– The launch or discontinuation of indices
– Market consultations
– Issuer surveys
Index Messages
The messages from the newsletter email service with regards to index adjustments are uploaded on the SIX website7. Those index messages are publicly available and do neither need a subscription nor a licensing agreement.
Media Release
If an index message is of broad public interest, SIX can decide to publish a media release in order to inform the public about the index adjustment. Furthermore, media releases can be made for marketing purposes which do not refer to index adjustments.
10 Trademark, Protection, Use and Licensing
The Indices Trademarks are the intellectual property (including registered trademarks) of SIX Swiss Exchange, Zurich, Switzerland. SIX Swiss Exchange does not give any warranty, and excludes any liability (whether in negligence or otherwise) with respect to their usage. The use of SIX Swiss Exchange Indices and their registered trademarks (®) as well as the access to restrictive index data are governed by a licensing agreement. Information about licensing and the format of the disclaimer can be found on the SIX website8.
11 Contact
Any requests with respect to the indices may be directed to one of the following addresses:
Swiss Index Business Support Index Sales, Licensing and Data T +41 58 399 26 00 [email protected]
Swiss Index Technical Support Index Operations T +41 58 399 22 29 [email protected]
6 www.six-group.com/indices > Market Data > Indices > Request account
7 www.six-group.com/indices > Market Data > Indices > Index messages
8 www.six-group.com/indices > Market Data > Indices > Licensing
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12 Static Data
12.1 Average and Current Rate
Name Short Name Symbol ISIN
SAR Swiss Average Rate ON SAR® ON SARON CH0049613687
SAR Swiss Average Rate TN SAR® TN SARTN CH0049613703
SAR Swiss Average Rate SN SAR® SN SARSN CH0049613711
SAR Swiss Average Rate 1W SAR® 1W SAR1W CH0049613737
SAR Swiss Average Rate 2W SAR® 2W SAR2W CH0049613745
SAR Swiss Average Rate 3W SAR® 3W SAR3W CH0049613752
SAR Swiss Average Rate 1M SAR® 1M SAR1M CH0049613760
SAR Swiss Average Rate 2M SAR® 2M SAR2M CH0049613778
SAR Swiss Average Rate 3M SAR® 3M SAR3M CH0049613786
SAR Swiss Average Rate 6M SAR® 6M SAR6M CH0049613802
SAR Swiss Average Rate 9M SAR® 9M SAR9M CH0049613810
SAR Swiss Average Rate 12M SAR® 12M SAR12M CH0049613828
SCR Swiss Current Rate ON SCR® ON SCRON CH0049613901
SCR Swiss Current Rate TN SCR® TN SCRTN CH0049613919
SCR Swiss Current Rate SN SCR® SN SCRSN CH0049613927
SCR Swiss Current Rate 1W SCR® 1W SCR1W CH0049613935
SCR Swiss Current Rate 2W SCR® 2W SCR2W CH0049613950
SCR Swiss Current Rate 3W SCR® 3W SCR3W CH0049613968
SCR Swiss Current Rate 1M SCR® 1M SCR1M CH0049613976
SCR Swiss Current Rate 2M SCR® 2M SCR2M CH0049613984
SCR Swiss Current Rate 3M SCR® 3M SCR3M CH0049613992
SCR Swiss Current Rate 6M SCR® 6M SCR6M CH0049614008
SCR Swiss Current Rate 9M SCR® 9M SCR9M CH0049614016
SCR Swiss Current Rate 12M SCR® 12M SCR12M CH0049614024
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12.2 Indices on the Average, Current and Compound Rates
Name Short Name Symbol ISIN
SARON Index SAION® SAION CH0100517157
Swiss Current Index ON SCION® SCION CH0100484986
SARON 1 week Compound Index SARON1WC Index SARO1WI CH0599147359
SARON 1 month Compound Index SARON1MC Index SARO1MI CH0599147292
SARON 2 months Compound Index SARON2MC Index SARO2MI CH0599147300
SARON 3 months Compound Index SARON3MC Index SARO3MI CH0572109855
SARON 6 months Compound Index SARON6MC Index SARO6MI CH0599147318
SARON 9 months Compound Index SARON9MC Index SARO9MI CH0599147326
SARON 12 months Compound Index SARON12MC Index SARO12MI CH0599147334
12.3 SARON Compound Rates
Name Short Name Symbol ISIN
SARON 1 week Compound Rate SARON1W Comp SAR1WC CH0599147342
SARON 1 month Compound Rate SARON1M Comp SAR1MC CH0477123886
SARON 2 months Compound Rate SARON2M Comp SAR2MC CH0477123894
SARON 3 months Compound Rate SARON3M Comp SAR3MC CH0477123902
SARON 6 months Compound Rate SARON6M Comp SAR6MC CH0477123910
SARON 9 months Compound Rate SARON9M Comp SAR9MC CH0477123928
SARON 12 months Compound Rate SARON12M Comp SAR12MC CH0477123936
SARON 1 IMM Compound Rate SARON1IMM Comp SAR1IMMC CH0477123860
SARON 3 IMM Compound Rate SARON3IMM Comp SAR3IMMC CH0477123878
A current list of all indices calculated by SIX is accessible at the SIX website: https://www.six-group.com/exchanges/downloads/indexinfo/online/calculated_indices.xls
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Appendix A: Formulas for Lookback Calculations
To support the transition away from LIBOR and to further increase the acceptance of the Swiss Reference Rates, SIX would like to highlight the established convention of “Lookbacks”. These calculation methods provide the lender and borrower with sufficient notice for the final payment under an “in-arrears” framework. The most common Lookback methods are the following:
– Option 1: Loockback without observation Shift (“Lag”)
– Option 2: Lookback with observation Shift (“Shift”)
Currently, SIX does not provide Compound Indices and Rates based on Lookback conventions. However, should the market need arise for such a rate/index provided as a benchmark, SIX would certainly provide these calculations.
The underlying principle behind Lookbacks is the separation of the observation date and the interest date. The former refers to the date the interest rate has been observed on the market, the latter refers to the date that this interest rate is applied. With no Lookback (i.e. “Plain”), the date the rate is pulled from equals the date that the rate is applied for (i.e. Interest date = Observation date).
SARON with no Lookback (“Plain”)
Interest Observation Applied Weekday SARON With no Lookback, the date that SARON is date date days taken from (observation date) is equal to 26.03.2021 26.03.2021 Friday -0.726038 3 the date that the interest is applied to 29.03.2021 29.03.2021 Monday -0.725177 1 (interest date) and applies until the next business day. 30.03.2021 30.03.2021 Tuesday -0.725230 1 Example: The rate for April 9th is applied on 31.03.2021 31.03.2021 Wednesday -0.723340 1 April 9th for three days, while the rate on April 01.04.2021 01.04.2021 Thursday -0.724835 5 12th is applied on April 12th for one day. 06.04.2021 06.04.2021 Tuesday -0.725452 1
07.04.2021 07.04.2021 Wednesday -0.725747 1
08.04.2021 08.04.2021 Thursday -0.726112 1
09.04.2021 09.04.2021 Friday -0.725439 3
12.04.2021 12.04.2021 Monday -0.726107 1
13.04.2021 13.04.2021 Tuesday -0.726084 1
14.04.2021 14.04.2021 Wednesday -0.725833 1
15.04.2021 15.04.2021 Thursday -0.726011 1
16.04.2021 16.04.2021 Friday -0.726723 3
However, when creating a Compounded SARON in arrears based on daily rates, the final payment is only known at the end of a period. As mentioned initially, this makes the timely settlement of SARON Compound based payments difficult, as not all involved parties have the logistics for that.
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A.1 Option 1: Lookback Without Observation Shift (“Lag”)
Counterparties get more flexibility by applying a SARON rate from some fixed number of business days prior to the given interest date (i.e. the date the interest is applied). If the lookback is for L days, then the observation date of the rate is L business days prior to the interest date. All other elements of the calculation remain the same and the reference to a previous SARON rate is the only change.
SARON with five days Lookback (“Lag”)
Interest Observation Applied Weekday SARON With a five day Lookback without Date Date days observation shift, the date that SARON is 26.03.2021 26.03.2021 Friday -0.726038 3 taken from (observation date) is five
29.03.2021 29.03.2021 Monday -0.725177 1 business days before the date that interest is applied (interest date) and will be 30.03.2021 30.03.2021 Tuesday -0.725230 1 applied until the next business day. 31.03.2021 31.03.2021 Wednesday -0.723340 1 Example: The rate from March 31st is applied 01.04.2021 01.04.2021 Thursday -0.724835 5 on April 9th for three days, while the rate st th 06.04.2021 06.04.2021 Tuesday -0.725452 1 observed on April 1 is applied on April 12 for one day. 07.04.2021 07.04.2021 Wednesday -0.725747 1
08.04.2021 08.04.2021 Thursday -0.726112 1
09.04.2021 09.04.2021 Friday -0.725439 3
12.04.2021 12.04.2021 Monday -0.726107 1
13.04.2021 13.04.2021 Tuesday -0.726084 1
14.04.2021 14.04.2021 Wednesday -0.725833 1
15.04.2021 15.04.2021 Thursday -0.726011 1
16.04.2021 16.04.2021 Friday -0.726723 3
A.2 Option 2: Lookback with Observation Shift (“Shift”)
A Lookback with observation shift also applies a SARON rate from some fixed number of business days prior to the given interest date (i.e. the date the interest is applied). However, in contrast to a Lookback without an observation shift, it applies not only the prior rates but also the prior day count for these rates. So not only do the SARON rates stem from an earlier observation date but also the number of calendar days for which these rates apply.
SARON with five days Lookback (“Shift”)
Interest Observation Applied Weekday SARON With a five day Lookback and an Date Date days observation shift, not only the date that 26.03.2021 26.03.2021 Friday -0.726038 3 SARON is taken from (observation date) is
29.03.2021 29.03.2021 Monday -0.725177 1 five business days before the date that interest is applied (interest date) but also 30.03.2021 30.03.2021 Tuesday -0.725230 1 the respective day count is taken five days 31.03.2021 31.03.2021 Wednesday -0.723340 1 prior to the interest date.
01.04.2021 01.04.2021 Thursday -0.724835 5 Example: The rate from March 31st is applied 06.04.2021 06.04.2021 Tuesday -0.725452 1 on April 9th for one day, while the rate observed on April 1st is applied on April 12th 07.04.2021 07.04.2021 Wednesday -0.725747 1 for five days. 08.04.2021 08.04.2021 Thursday -0.726112 1
09.04.2021 09.04.2021 Friday -0.725439 3
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Interest Observation Applied Weekday SARON Date Date days
12.04.2021 12.04.2021 Monday -0.726107 1
13.04.2021 13.04.2021 Tuesday -0.726084 1
14.04.2021 14.04.2021 Wednesday -0.725833 1
15.04.2021 15.04.2021 Thursday -0.726011 1
16.04.2021 16.04.2021 Friday -0.726723 3
A.3 Adjustment to the Compound Rate Formula
The Lookback methodology has also implications on the compounding of these rates. The respective formulas need to be slightly amended. In case of a Lookback with a five-business day lag without observation shift (“Lag”), only the
rate (ri-5) is adjusted in comparison to the formula under section 5.1:
360 = 𝑏𝑏𝑏𝑏 1 + 1 ( " ") 360 𝑟𝑟𝑖𝑖−5 𝑎𝑎𝑖𝑖 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐿𝐿𝐿𝐿5 𝐿𝐿𝐿𝐿𝐿𝐿 �� � � − � 𝑖𝑖=1 𝑛𝑛 = 𝑏𝑏𝑏𝑏
𝑛𝑛 � 𝑎𝑎𝑖𝑖 𝑖𝑖=1 In case of a Lookback with observation shift not only the rate (ri-5) but also the number of calendar days (ai-5) for which the rate applies needs to be set back by five days:
360 = 𝑏𝑏𝑏𝑏 1 + 1 ( " ") 360 𝑟𝑟𝑖𝑖−5 𝑎𝑎𝑖𝑖−5 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐿𝐿𝐿𝐿5 𝑠𝑠ℎ𝑖𝑖𝑖𝑖𝑖𝑖 �� � � − � 𝑖𝑖=1 𝑛𝑛 = 𝑏𝑏𝑏𝑏
𝑛𝑛 � 𝑎𝑎𝑖𝑖−5 Where: 𝑖𝑖=1
bd Number of business days in the observation period from the start date (including) to the end date (excluding). E.g. bd equals one for an observation period from Monday to Tuesday
i Index from one to bd
n Number of calendar days in the observation period from the start date (including) to the end date (excluding). E.g. n equals one for an observation period from Monday to Tuesday.
ri SARON for business day i. In case the start date is not a business day, SARON from the preceding business day is used.
ai Number of calendar days for which SARON ri applies. If the observation period ends on a Sunday, ai usually equals two. If the observation period starts on a Sunday, ai equals one and SARON from the preceeding business day is used. If the Friday before and/or Monday after is a holiday, ai increases by the number of holidays in the observation period.
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A.4 Calculation of Interest Payments
Once borrower and lender have agreed on the interest and observation period (i.e. start and end date), the calculation of the interest payment consists of two steps:
Calculation of the compounded (annualized) rate under the respective Lookback (“Lag” or “Shift”)
Application of the compounded (annualized) rate on the interest period to determine the payment
Plain Lookback (no Lookback) «Lag» «Shift»
SARON SARON SARON 1. Calculate compounded annual rate ∑a calendar ∑a calendar days ∑a calendar days i-5 i i days
SARON p.a. SARON p.a. SARON p.a. 2. Calculate interest rate (compounded) (compounded) (compounded) payment ∑ai calendar days ∑ai calendar days ∑ai calendar days
Payment Payment Payment
observation period Difference between calculated rate under the two = interest period methods is marginal (less than 1bp in average)
Under the “Plain” (no Lookback) method, SARON is not shifted and the standard formula applies (paragraph 5.1). Intuitively, this is the easiest method for calculating a compounded rate, however it is rarely practically feasible as few market participants, corporates and households are set up for a same day settlement of an in-arrears interest payment that only can be determined at 18:00 in the evening of the second last business day of the interest period.
Lookbacks alleviate this problem and a time lag of 3 to 5 days should be sufficient to deal with operational matters. However, whereas the Lookback with the “Lag” option only shifts the rate values, the “Shift” variant also moves the number of calendar days for which each rate value applies. The consequence is that the number of calendar days for which an individual SARON applies might change under the “Shift” method, and therefore the compounded annualized SARON might be different under the respective Lookback.
However, this difference among the different SARON Compound Rates is rather small and is alleviated by the fact that for the calculation of the payment the number of days in the interest period is used in all cases. As an example, the one-month compound rate from 4th of January to the 1st of February 2021 looks as follows under the different Lookbacks:
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Start Date 04.01.2021
End Date 01.02.2021
Loan Size (CHF) 1’000’000.00
Rate SARON 1 month Compound Rate
Annual Rate
# Calendar Days Compound Rate (%) ∆ "Plain" (bp)
No Lookback (“Plain”) 28 -0.7247
Lookback (“Lag”) 28 -0.7243 0.04
Lookback (“Shift”) 32 -0.7241 0.06
Payment
# Calendar Days Payment ∆ "Plain" (CHF)
No Lookback (“Plain”) 28 -563.69
Lookback (“Lag”) 28 -563.37 0.32
Lookback (“Shift”) 28 -563.22 0.47
The “Shift” version of the Lookback only uses the extended number of calendar days (reaching back into the previous month) to calculate the compounded rate. For the calculation of the payment, however, the number of calendar days is the same as with the other methods.
A.5 Calculation Compound Rate With No Lookback
No Lookback ("Plain")
Interest Observation Applied Cum. Compound Weekday SARON Cum. Multiplier Date Date days Days Rate
24.12.2020 24.12.2020 Thursday -0.722182 4
28.12.2020 28.12.2020 Monday -0.722135 1
29.12.2020 29.12.2020 Tuesday -0.721350 1
30.12.2020 30.12.2020 Wednesday -0.719763 1
31.12.2020 31.12.2020 Thursday -0.726264 4
04.01.2021 04.01.2021 Monday -0.725865 1 0.9999798371 1 -0.7259
05.01.2021 05.01.2021 Tuesday -0.724515 1 0.9999597121 2 -0.7252
06.01.2021 06.01.2021 Wednesday -0.725798 1 0.9999395518 3 -0.7254
07.01.2021 07.01.2021 Thursday -0.723893 1 0.9999194449 4 -0.7250
08.01.2021 08.01.2021 Friday -0.723406 3 0.9998591659 7 -0.7243
11.01.2021 11.01.2021 Monday -0.723857 1 0.9998390616 8 -0.7242
12.01.2021 12.01.2021 Tuesday -0.725365 1 0.9998189158 9 -0.7243
13.01.2021 13.01.2021 Wednesday -0.724834 1 0.9997987852 10 -0.7244
14.01.2021 14.01.2021 Thursday -0.725108 1 0.9997786474 11 -0.7244
15.01.2021 15.01.2021 Friday -0.724917 3 0.9997182510 14 -0.7245
18.01.2021 18.01.2021 Monday -0.725357 1 0.9996981079 15 -0.7245
Public Page 29
Swiss Index Methodology Rulebook Governing the Swiss Reference Rates 17.06.2021
Interest Observation Applied Cum. Compound Weekday SARON Cum. Multiplier Date Date days Days Rate
19.01.2021 19.01.2021 Tuesday -0.724997 1 0.9996779751 16 -0.7246
20.01.2021 20.01.2021 Wednesday -0.725047 1 0.9996578414 17 -0.7246
21.01.2021 21.01.2021 Thursday -0.725562 1 0.9996376938 18 -0.7246
22.01.2021 22.01.2021 Friday -0.725711 3 0.9995772398 21 -0.7247
25.01.2021 25.01.2021 Monday -0.725137 1 0.9995571056 22 -0.7247
26.01.2021 26.01.2021 Tuesday -0.724880 1 0.9995369790 23 -0.7247
27.01.2021 27.01.2021 Wednesday -0.725359 1 0.9995168395 24 -0.7247
28.01.2021 28.01.2021 Thursday -0.725297 1 0.9994967021 25 -0.7247
29.01.2021 29.01.2021 Friday -0.725018 3 0.9994363143 28 -0.7247
01.02.2021 01.02.2021 Monday
A.6 Calculation Compound Rate With Lookback and No Shift
Lookback without observation shift ("Lag")
Interest Observation Applied Days Compound Weekday SARON Cum. Multiplier Date Date days Cum. Rate
24.12.2020 24.12.2020 Thursday -0.722182
28.12.2020 28.12.2020 Monday -0.722135
29.12.2020 29.12.2020 Tuesday -0.721350
30.12.2020 30.12.2020 Wednesday -0.719763
31.12.2020 31.12.2020 Thursday -0.726264
04.01.2021 04.01.2021 Monday -0.725865 1 0.9999799394 1 -0.7222
05.01.2021 05.01.2021 Tuesday -0.724515 1 0.9999598805 2 -0.7222
06.01.2021 06.01.2021 Wednesday -0.725798 1 0.9999398438 3 -0.7219
07.01.2021 07.01.2021 Thursday -0.723893 1 0.9999198516 4 -0.7213
08.01.2021 08.01.2021 Friday -0.723406 3 0.9998593344 7 -0.7234
11.01.2021 11.01.2021 Monday -0.723857 1 0.9998391743 8 -0.7237
12.01.2021 12.01.2021 Tuesday -0.725365 1 0.9998190522 9 -0.7238
13.01.2021 13.01.2021 Wednesday -0.724834 1 0.9997988948 10 -0.7240
14.01.2021 14.01.2021 Thursday -0.725108 1 0.9997787907 11 -0.7240
15.01.2021 15.01.2021 Friday -0.724917 3 0.9997185202 14 -0.7238
18.01.2021 18.01.2021 Monday -0.725357 1 0.9996984187 15 -0.7238
19.01.2021 19.01.2021 Tuesday -0.724997 1 0.9996782757 16 -0.7239
20.01.2021 20.01.2021 Wednesday -0.725047 1 0.9996581479 17 -0.7239
21.01.2021 21.01.2021 Thursday -0.725562 1 0.9996380129 18 -0.7240
22.01.2021 22.01.2021 Friday -0.725711 3 0.9995776250 21 -0.7241
25.01.2021 25.01.2021 Monday -0.725137 1 0.9995574848 22 -0.7241
26.01.2021 26.01.2021 Tuesday -0.724880 1 0.9995373549 23 -0.7241
27.01.2021 27.01.2021 Wednesday -0.725359 1 0.9995172240 24 -0.7242
Public Page 30
Swiss Index Methodology Rulebook Governing the Swiss Reference Rates 17.06.2021
Interest Observation Applied Days Compound Weekday SARON Cum. Multiplier Date Date days Cum. Rate
28.01.2021 28.01.2021 Thursday -0.725297 1 0.9994970792 25 -0.7242
29.01.2021 29.01.2021 Friday -0.725018 3 0.9994366337 28 -0.7243
01.02.2021 01.02.2021 Monday
A.7 Calculation Compound Rate With Lookback and Shift (“Shift”)
Lookback with observation shift ("Shift")
Interest Observation Applied Days Compound Weekday SARON Cum. Multiplier Date Date days Cum. Rate
24.12.2020 24.12.2020 Thursday -0.722182 4
28.12.2020 28.12.2020 Monday -0.722135 1
29.12.2020 29.12.2020 Tuesday -0.72135 1
30.12.2020 30.12.2020 Wednesday -0.719763 1
31.12.2020 31.12.2020 Thursday -0.726264 4
04.01.2021 04.01.2021 Monday -0.725865 1 0.9999197576 4 -0.7222
05.01.2021 05.01.2021 Tuesday -0.724515 1 0.9998996999 5 -0.7222
06.01.2021 06.01.2021 Wednesday -0.725798 1 0.9998796644 6 -0.7220
07.01.2021 07.01.2021 Thursday -0.723893 1 0.9998596734 7 -0.7217
08.01.2021 08.01.2021 Friday -0.723406 3 0.9997789887 11 -0.7233
11.01.2021 11.01.2021 Monday -0.723857 1 0.9997588302 12 -0.7235
12.01.2021 12.01.2021 Tuesday -0.725365 1 0.9997387097 13 -0.7236
13.01.2021 13.01.2021 Wednesday -0.724834 1 0.9997185539 14 -0.7237
14.01.2021 14.01.2021 Thursday -0.725108 1 0.9996984514 15 -0.7237
15.01.2021 15.01.2021 Friday -0.724917 3 0.9996381857 18 -0.7236
18.01.2021 18.01.2021 Monday -0.725357 1 0.9996180859 19 -0.7236
19.01.2021 19.01.2021 Tuesday -0.724997 1 0.9995979445 20 -0.7237
20.01.2021 20.01.2021 Wednesday -0.725047 1 0.9995778184 21 -0.7237
21.01.2021 21.01.2021 Thursday -0.725562 1 0.9995576850 22 -0.7238
22.01.2021 22.01.2021 Friday -0.725711 3 0.9994973019 25 -0.7239
25.01.2021 25.01.2021 Monday -0.725137 1 0.9994771633 26 -0.7239
26.01.2021 26.01.2021 Tuesday -0.72488 1 0.9994570350 27 -0.7240
27.01.2021 27.01.2021 Wednesday -0.725359 1 0.9994369057 28 -0.7240
28.01.2021 28.01.2021 Thursday -0.725297 1 0.9994167626 29 -0.7240
29.01.2021 29.01.2021 Friday -0.725018 3 0.9993563219 32 -0.7241
01.02.2021 01.02.2021 Monday
Public Page 31
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