Swiss Bond Index
The Swiss Bond Index (abbreviation: SBI) is the best-known bond index in Switzerland . It is calculated and published by SIX Swiss Exchange . The SBI the price movements in the Swiss franc -denominated (CHF) bonds , which on the SIX listed and satisfy the criteria for inclusion. The index provides various data on the Swiss bond market, such as:
- the current interest rate level and the expected future interest rates ,
- the origin and creditworthiness of the issuer,
- the average remaining term of the listed bonds
- as well as the total capitalization as an indication of the stress on the capital market .
Significance of the Swiss Bond Index
The SBI is used by numerous institutional investors as a benchmark (reference value) for their own portfolio of CHF bonds. There is also an exchange-traded fund (ETF) which enables direct investment in the sub-index SBI® Domestic Swiss Government (as of February 2007).
In contrast, the SBI® serves less as a macroeconomic indicator for the interest rate level in Switzerland. The money market and spot interest rates of the Swiss National Bank (SNB) are usually used for this .
SBI admission criteria
To be admitted to the SBI, a bond must meet the following admission criteria cumulatively:
- Every bond must have a rating of “BBB” or higher.
- The remaining term must be at least one year.
- The issue volume must be at least CHF 100 million.
- Only bonds with a fixed interest rate ("Fixed Rate Securities") and without special clauses are considered.
The ratings from the international agencies Standard & Poor's and Moody's are used as rating sources. For Swiss bonds, the ratings of the major Swiss banks UBS , Credit Suisse and Zürcher Kantonalbank are used as a subsidiary . The SWX uses the individual ratings to determine what is known as a “composite rating”, with the worst rating available.
Index structure
The SBI total index (“SBI® Total”) currently contains around 900 bonds (as of February 2007). It is broken down into numerous sub-indices according to segments, rating categories and remaining terms. Together, these indices form the “SBI® family”. See the graphic on this page.
Index types
Four types of index are calculated from the SBI® Total and all sub-indices:
- Total return index, price development including coupon payments
- Price index, price development without coupon payments
- Yield index (yield-to-worst), weighted average yield to maturity or first termination date
- Duration index (Macaulay duration), weighted average remaining time to maturity in years
History of the SBI
- August 3, 1992: Start of real-time calculation of the first SBI Domestic and SBI Foreign sub-indices.
- January 1, 1996: The index levels are set to 100 again.
- October 1, 1998: The SBI® Total is calculated for the first time.
- July 1, 2003: Launch of new maturity sub-indices for the SBI Domestic Swiss Government.
- January 1, 2007: The structure of the SBI family is fundamentally revised; the rating categories are newly introduced.
Web links
- Official website of SWX Indices ( Memento of September 27, 2007 in the Internet Archive )
- SBI® index regulations (PDF file; 282 kB)