Swiss Reference Rates
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Interbank Offered Rates (Ibors) and Alternative Reference Rates (Arrs)
VERSION: 24 SEPTEMBER 2020 Interbank Offered Rates (IBORs) and Alternative Reference Rates (ARRs) The following table has been compiled on the basis of publicly available information. Whilst reasonable care has been taken to ensure that the information in the table is accurate as at the date that the table was last revised, no warranty or representation is given as to the information in the table. The information in the table is a summary, is not exhaustive and is subject to change. Key Multiple-rate approach (IBOR + RFR) Moving to RFR only IBOR only Basis on Development of Expected/ Expected fall which forward-looking likely fall- back rate to IBOR is Expected ARR? back rate to the ARR (if 3 Expected being Date from date by the IBOR2 applicable) discontinu continued which which ation date (if Alternative ARR will replaceme for IBOR applicable Reference be nt of IBOR Currency IBOR (if any) )1 Rate published is needed ARS BAIBAR TBC TBC TBC TBC TBC TBC TBC (Argentina) 1 Information in this column is taken from Financial Stability Board “Reforming major interest rate benchmarks” progress reports and other publicly available English language sources. 2 This column sets out current expectations based on publicly available information but in many cases no formal decisions have been taken or announcements made. This column will be revisited and revised following publication of the ISDA 2020 IBOR Fallbacks Protocol. References in this column to a rate being “Adjusted” are to such rate with adjustments being made (i) to reflect the fact that the applicable ARR may be an overnight rate while the IBOR rate will be a term rate and (ii) to add a spread. -
LCH Clears First Swaps Referencing SARON
LCH clears first swaps referencing SARON Migration to new Swiss reference rate comes ahead of discontinuation of TOIS on 29 December 2017 SwapClear has cleared circa CHF 30 trillion in Swiss Franc-denominated interest rate derivatives since the service’s inception Basler Kantonalbank, Credit Suisse and Zürcher Kantonalbank among the first members to clear using the new rate 18 October 2017 LCH, a leading global clearing house, today announced that it is now clearing Swiss Franc (CHF) interest rate swaps referencing SARON, the Swiss average overnight rate. The move comes ahead of the migration of CHF reference interest rates from TOIS to SARON, scheduled for 29 December 2017. Basler Kantonalbank, Credit Suisse and Zürcher Kantonalbank were among the first market participants to begin clearing using the rate. SARON is the new rate to be used for CHF overnight indexed swaps (OIS) and has recently been recommended as the alternative to Swiss Franc LIBOR and TOIS*. LCH has cleared approximately CHF 30 trillion in Swiss Franc-denominated interest rate derivatives since SwapClear started clearing the currency in June 2002. Michael Davie, Global Head of Rates, LCH, said: “The Swiss market is in the vanguard of a global move to new risk-free reference rates, attracting special attention given the Swiss Franc’s reserve currency status. LCH is delighted to have worked closely with our members, their clients and the regulators to effect a smooth and timely transition from TOIS to SARON. As well as clearing OTC derivatives referencing SARON, LCH has adopted this new preferred rate for cash flow discounting and investment benchmarking. -
Why Switzerland?
Why Switzerland? Marwan Naja, AS Investment Management January, 2010 I. Executive Summary Swiss Equities Have Outperformed: Here is a fact you probably did not know: The Swiss equity market has arguably been the best performing developed world market over the past 20, 10, 5 and 2 years. The SPI Index, which incorporates over 200 Swiss stocks, is the best performing index in Swiss Franc (“CHF”), US Dollars (“USD”), Euro (“EUR”) and British Pounds (“GBP”) over the past 20 years1,10 years, 5 years, and 2 years when compared to similar broad-based total return indices in the United States (S&P 500 Total Return), the United Kingdom (FTSE 350 Total Return), Germany (CDAX), France (SBF 120 Total Return) and Japan (TOPIX Total Return)2. For most of these periods the magnitude of the outperformance is significant. Furthermore, the Swiss market has exhibited attractive risk characteristics including lower volatility than comparable markets. Figure 1: SPI 20 Year Performance (red) Compared to Major Developed Indices in CHF3 1 The 20 year comparable excludes the EUR which has not existed for that duration and the French SBF 120 TR which was established in 1990 and has underperformed the SPI over the 19 year period. 2 The Swiss market is the best performer in our local currency comparison (stripping out the foreign exchange effects) over 20 years and marginally trails the FTSE 350 for the 10 year, 5 year and 2 year comparisons. 3 Source of all graphs is Bloomberg unless otherwise indicated. Why Switzerland? AS Investment Management Contents I. Executive Summary ............................................................................................................ 1 Swiss Equities Have Outperformed ................................................................................... -
LIBOR Transition - Impacts to Corporate Treasury
LIBOR Transition - Impacts to Corporate Treasury April 2019 What is happening to LIBOR? London Interbank Offered Rate (LIBOR) is a benchmark rate that some of the world’s leading banks charge each other for unsecured loans of varying tenors. In 2017, Financial Conduct Authority stated that it will no longer compel banks to submit LIBOR data to the rate administrator post 2021 resulting in a clear impetus and need to implement alternative risk-free rates (RFR) benchmarks globally. End of LIBOR LIBOR transition 2019 - 2021 Post 2021 Risk-free rates SOFR (U.S.) LIBOR (RFR) Phase-out RFRs • an unsecured rate at which banks and SONIA (U.K.) • rates based on secured or unsecured ostensibly borrow from one another transactions replace ESTER (E.U.) • a rate of multiple maturities with… • overnight rates • a single rate Other RFRs… • different rates across jurisdictions How about HIBOR? Unlike LIBOR, the HKMA currently has no plan to discontinue HIBOR. The Treasury Market Association (TMA) has proposed to adopt the HKD Overnight Index Average (HONIA) as RFR for a contingent fallback and will consult industry stakeholders later in 2019. © 2019 KPMG Advisory (Hong Kong) Limited, a Hong Kong limited liability company and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative ("KPMG International"), a Swiss entity. All rights reserved. Printed in Hong Kong. 2 How do I know who is impacted? Do you have any floating rate Do you have any derivative loans, bonds, or other similar contracts (e.g. interest rate Do you need to calculate financialEnsure they instruments have difficult with swap) with an interest leg market value of financial an interestconversations rate referenced to referenced to LIBOR? positions (e.g. -
Aktienmarkt Schweiz Lukrative Klettertour Zu Neuen Kursgipfeln
all about investment products #8 August 2017 14. Jahrgang CHF 12.50 www.payoff.ch AKTIENMARKT SCHWEIZ LUKRATIVE KLETTERTOUR ZU NEUEN KURSGIPFELN Interview Marc Possa, Geschäftsführer & Partner bei [vv] vermögensverwaltung ag Seite 10 Learning Curve VSTOXX: Der Puls der europäischen Aktienmärkte Seite 15 IN EINER WELT IM WANDEL KÖNNEN KLEINE EINSÄTZE GROSSE WIRKUNG ZEIGEN MINI-FUTURE ZERTIFIKATE Mit Mini-Future Zerti katen lassen sich kurzfristige Markttrends bereits mit geringem Einsatz ausnutzen, und das sowohl bei steigenden als auch fallenden Kursen. Zudem bieten Mini-Future Zerti kate eine einfache und kostengünstige Möglichkeit, ein beste- hendes Portfolio gegen sinkende Kurse abzusichern. www.bnpparibasmarkets.ch Mitglied bei: [email protected] +41 (0)58 212 68 50 Wir machen Sie darauf aufmerksam, dass die Gespräche auf der angegebenen Telefonnummer aufgezeichnet werden. Bei Ihrem Anruf erklären Sie sich mit dieser Geschäftspraxis einverstanden. Risikohinweis: Dieses Werbeinserat stellt keinen vereinfachten Prospekt im Sinne von Art. 5 des Bundesgesetzes über die kollektiven Kapitalanlagen oder Emissionsprospekt im Sinne der Art. 652a und 1156 des Schweizerischen Obligationenrechts dar. Es handelt sich zudem weder um eine Aufforderung, noch um eine Empfehlung zum Kauf. Die in diesem Werbeinserat beschriebenen Produkte werden von BNP ParibasIssuance B.V. ausgegeben und sind derivative Finanzinstrumente. Der alleinverbindliche Prospekt in englischer Sprache kann direkt bei BNP Paribas Securities Services, Paris, Zweigniederlassung Zürich, Selnaustrasse 16, Postfach, 8022 Zürich, oder unter der Tel. +41 58 212 63 35 bezogen werden. Die Produkte qualifi zieren nicht als Anteile einer kollektiven Kapitalanlage im Sinne des Bundesgesetzes über die kollektiven Kapitalanlagen und sind daher auch nicht der Aufsicht der Eidgenössischen Finanzmarktaufsicht (FINMA) unterstellt. -
A Quick Guide to the Transition to Risk-Free Rates in the International Bond Market
A quick guide to the transition to risk-free rates in the international bond market 27 February 2020 A quick guide to the transition to risk-free rates in the international bond market February 2020 1 Disclaimer This paper is provided for information purposes only and should not be relied upon as legal, financial, or other professional advice. While the information contained herein is taken from sources believed to be reliable, ICMA does not represent or warrant that it is accurate or complete and neither ICMA, nor its employees, shall have any liability arising from or relating to the use of this publication or its contents. © International Capital Market Association (ICMA), Zurich, 2020. All rights reserved. No part of this publication may be reproduced or transmitted in any form or by any means without permission from ICMA. A quick guide to the transition to risk-free rates in the international bond market February 2020 2 Introduction This Quick Guide is intended to highlight the key issues on which ICMA is focused in the transition from IBORs to alternative near risk-free reference rates (“RFRs”) in the international bond market (including floating rate notes (“FRNs”), covered bonds, capital securities, securitisations and structured products, together, “bonds”); and provide links to relevant resources. More information is available on the ICMA benchmark reform and transition to RFRs webpage and from the ICMA contacts listed below. This Quick Guide reflects the position as at its date, but market participants should note that there -
Minutes, Please See Page 4 Ff.)
Press release (For meeting minutes, please see page 4 ff.) National Working Group on Swiss Franc Reference Rates [email protected] Zurich, 2 July 2021 Executive summary of the 1 July 2021 meeting of the National Working Group on Swiss Franc Reference Rates The National Working Group on Swiss Franc Reference Rates (NWG) met on 1 July 2021 to discuss the progress of the LIBOR transition in Switzerland and relevant international developments. The key items and main recommendations of yesterday’s meeting were: (i) Members reviewed important milestones regarding the transition from LIBOR. First, ICE Benchmark Administration (IBA) and the UK Financial Conduct Authority (FCA) released on 5 March 2021 their statements confirming that all Swiss franc (CHF) LIBOR settings will cease immediately after the LIBOR publication on 31 December 2021. Second, with the publication of the IBA statement, ISDA adjustment spreads for all LIBOR settings were fixed. There will be no synthetic rate for CHF LIBOR. (ii) FINMA provided an update on their self-assessment survey, according to which a large fraction of the cash market already transitioned to SARON but some market participants still need to accelerate their reduction of legacy LIBOR contracts. Furthermore, FINMA emphasized that it is important to timely meet the deadlines of the FINMA Guidance 10/2020 (LIBOR transition roadmap). After 30 June 2021, new contracts should in general be based on alternative reference rates (e.g. SARON and SOFR). FINMA reminded members that full operational readiness is required by 31 December 2021. (iii) Regarding options for using compounded SARON, members reviewed the guidance given so far. -
Product Specific Contract Terms and Eligibility Criteria Manual
PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA MANUAL CONTENTS Page SCHEDULE 1 REPOCLEAR ................................................................................................... 3 Part A Repoclear Contract Terms: Repoclear Contracts arising from Repoclear Transactions, Repo Trades or Bond Trades .......................................................... 3 Part B Product Eligibility Criteria for Registration of a RepoClear Contract ................... 9 Part C Repoclear Term £GC Contract Terms: Repoclear term £GC Contracts Arising From Repoclear Term £GC Transactions Or Term £GC Trades ........................ 12 Part D Product Eligibility Criteria for Registration of a RepoClear Term £GC Contract ............................................................................................................................. 19 SCHEDULE 2 SWAPCLEAR ................................................................................................ 21 Part A Swapclear Contract Terms ................................................................................... 21 Part B Product Eligibility Criteria for Registration of a SwapClear Contract ................ 36 SCHEDULE 3 EQUITYCLEAR ............................................................................................. 46 Part A EquityClear (Equities) Contract Terms ................................................................ 46 Part B EquityClear Eligible (Equities) ............................................................................ 48 Part C EquityClear -
Methodology Rulebook Governing the Swiss Reference Rates
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 -
Swiss Performance Index SPI 20 Price
Swiss Performance Index SPI 20 Price Index Description The Swiss Performance Index SPI 20 Price measures the development of the Swiss Blue Chip equity market. The 20 largest and most liquid equity instruments traded at SIX are selected as components. The index composition is fixed to 20 shares which are weighted by their freefloat market capitalisation. Compared to the SMI no capping is applied. On June 30, 1988, the Swiss Performance Index SPI 20 Price was standardised at 1500 points. As of today the index represents more than 78% of the freefloat market capitalization of the entire Swiss equity market. Its benchmark Swiss Performance Index SPI® Price covers 99% of that market. Index Performance Annual Index Return¹ 500 Year SPI 20 PR SPI 450 2021 23.96% 25.98% 400 2020 -0.55% 0.61% 350 2019 26.35% 26.51% 300 250 2018 -9.44% -11.43% 200 2017 14.02% 16.37% 150 2016 -6.78% -4.67% 100 2015 -1.84% -0.25% 50 2014 9.51% 9.73% 0 1996 1999 2002 2005 2008 2011 2014 2017 2020 Swiss Performance Index SPI 20 Price Swiss Performance Index SPI® Price Risk and Return Profile Dividend Yield & Turnover YTD 3 Mths 1 Yr¹ 3 Yrs¹ 7 Yrs¹ 15 Yrs¹ SPI 20 PR SPI Return Div. Yield SPI 20 PR 15.40% 8.94% 20.26% 11.16% 5.17% 2.78% 2021 2.80% 2.58% SPI 16.65% 8.68% 22.59% 10.78% 6.01% 3.23% 2020 3.36% 3.19% Volatility 2019 3.24% 3.10% SPI 20 PR 0.63% 0.53% 0.74% 0.59% 0.38% 0.29% 2018 3.45% 3.20% SPI 0.61% 0.50% 0.72% 0.58% 0.36% 0.28% 2017 3.29% 3.09% Tracking Err. -
Welcome to the Transfer Pricing Webinar!
Welcome to the Transfer Pricing webinar! We are waiting for all the participants to join and we will get started shortly… Transfer Pricing webinar: (L)IBOR Transition and Intra-Group Financing – Transfer Pricing Aspects of an Unprecedented Transformation 25 August 2020 Introduction to Zoom How can you interact? Webinar support Eleonora Zelger Optimising your Zoom Master view • To optimize your view, you can toggle between Chat for technical difficulties speakers and slides by clicking on the button in the right top corner • If you have any technical difficulties or require assistance with Zoom, please write to Eleonora Zelger in the Chat box and she will try to help you as soon as possible On sound • Everyone is on mute by default in the beginning of the webinar • During the Q&A session at the end of the webinar, you can click on the Raise Hand icon on the bottom to let us know you would like to unmute yourself to comment/ ask questions Ask questions • You can use the “Q&A box” to ask your questions 3 Greetings and introductions 4 With you today T H O M A S H U G SALIM DAMJI Deputy Head Group Tax, Partner, Transfer Pricing Julius Bär Group and Value Chain Alignment at Deloitte Switzerland GEORGY GALUMOV P E T E R N O B S XAVIER TINGUELY Director, Treasury & Debt Director, Transfer Pricing Manager, Transfer Pricing Advisory at Deloitte and Value Chain Alignment and Value Chain Alignment Switzerland 5 at Deloitte Switzerland at Deloitte Switzerland Agenda 1 Greetings and introductions 4 2 Main aspects of the (L)IBOR transition 7 3 Overview -
Swiss Performance Index SPI 20 Total Return
Swiss Performance Index SPI 20 Total Return Index Description The Swiss Performance Index SPI 20 Total Return measures the development of the Swiss Blue Chip equity market. The 20 largest and most liquid equity instruments traded at SIX are selected as components. The index composition is fixed to 20 shares which are weighted by their freefloat market capitalisation. Compared to the SMI no capping is applied. On June 30, 1988, the Swiss Performance Index SPI 20 Total Return was standardised at 1500 points. As of today the index represents more than 78% of the freefloat market capitalization of the entire Swiss equity market. Its benchmark Swiss Performance Index SPI® Total Return covers 99% of that market. Index Performance Annual Index Return¹ 900 Year SPI 20 TR SPI 810 2021 29.20% 30.89% 720 630 2020 2.79% 3.82% 540 2019 30.43% 30.40% 450 2018 -6.31% -8.59% 360 270 2017 17.79% 19.98% 180 2016 -3.38% -1.41% 90 2015 1.15% 2.68% 0 1996 1999 2002 2005 2008 2011 2014 2017 2020 2014 12.94% 13.00% Swiss Performance Index SPI 20 Total Return Swiss Performance Index SPI® Total Return Risk and Return Profile Dividend Yield & Turnover YTD 3 Mths 1 Yr¹ 3 Yrs¹ 7 Yrs¹ 15 Yrs¹ SPI 20 TR SPI Return Div. Yield SPI 20 TR 18.63% 8.94% 23.83% 14.68% 8.61% 6.03% 2021 2.80% 2.58% SPI 19.66% 8.72% 25.98% 14.08% 9.28% 6.32% 2020 3.36% 3.19% Volatility 2019 3.24% 3.10% SPI 20 TR 0.63% 0.53% 0.74% 0.60% 0.38% 0.29% 2018 3.45% 3.20% SPI 0.61% 0.50% 0.72% 0.58% 0.36% 0.28% 2017 3.29% 3.09% Tracking Err.