(15)In 2017, the Swiss NWG recommended the Swiss Average Rate Overnight (SARON) administered by SIX Swiss Exchange Financial Information AG (SIX) as the replacement rate for CHF LIBOR 4 . In September 2020, after acknowledging the impossibility to create a forward looking term rate based on SARON, the Swiss NWG recommended that compounded SARON should be used as the basis for a fall-back rate for references to CHF LIBOR for cash products. A designated replacement for the relevant tenors of CHF LIBOR in legacy cash contracts should therefore be calculated as a compounded rate of SARON.
Recital 15
- 4 SARON is published at the relevant webpage of its administrator: https://www.six-group.com/exchanges/indices/data_centre/swiss_reference_rates/compound_rates_en.html ↩