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 Public Page 2 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”) ..................................................................................