LCH clears for new Swiss overnight rate

LCH has begun clearing Swiss Franc interest rate swaps referencing the Swiss Average Overnight Rate (Saron), with Basler Kantonalbank, Credit Suisse and Zürcher Kantonalbank among the first to clear using the new benchmark.

  • By GlobalCapital
  • 18 Oct 2017

Saron will be the new rate for Swiss Franc overnight indexed swaps (OIS). The Swiss National Bank has recommended the benchmark as an alternative to the Swiss Franc Libor and Tois rates.

Saron, like other global Libor replacement benchmarks, is derived from actual market trades and quotes ...

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