Internationally, overnight interest rates play a significant role in determining the yield curve. Therefore, Repo transactions have become a key pillar of the money markets – even the Swiss National Bank (SNB) uses repo transactions as a means of implementing its monetary policy.
This instrument allows market participants to better manage their short-term refinancing needs and therefore represents an important instrument for their daily liquidity management activities. Hence, through the Swiss Reference Rates an additional instrument was created which complements the Swiss franc Libor and TOIS Fixing and, furthermore, is calculated in Switzerland.
Overnight interest rates play a significant role in determining the yield curve. Going forward, the point of departure for Switzerland’s yield curve is SARON, an overnight reference rate based on data from the Swiss franc repo market. Repo transactions represent an important instrument for banks in their daily liquidity management activities. Repo transactions have become a key pillar of the money markets – and the Swiss National Bank (SNB) uses repo transactions as a means of implementing its monetary policy.
The reference rate SARON, which stands for Swiss Average Rate Overnight, represents the overnight interest rate of the secured money market for Swiss francs (CHF). It is based on transactions and quotes posted in the Swiss repo market, a pivotal part of the Swiss Value Chain
For this data source, RIMES hosts 32 reference rates, including the Swiss Average Rate and Swiss Current Indices.
Some of the data items available include:
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