Swiss Bond Index

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Structure of the SBI® family. Status: February 2007.

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:

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.

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