Glossary

The Base Date is the date when the Base Value is set. Usually this happens at the launch of the index.

The Base Value of an index is the value it is standardized to. It is common to set a Base Value to 100 or 1000.

The bearer share is an equity instrument with which the holder of the share owns a stake in the issuing company. The issuer of bearer shares does not maintain a register of shareholders, nor is he informed when the shares are transferred. The rights of the share are transferred when the ownership of the share passes from the seller to the buyer.

Indices with a fixed number of components use a selection list to decide whether to include a candidate in the index or exclude a component from it. Some indices use a buffer in this selection process to limit the fluctuation of index components. If an existing index component ranks within the buffer in the selection list, the index component remains in the index. Candidates that are not yet part of the index are included in the index as soon as they rank above the buffer in the selection list. Detailed information on the buffers can be found in the corresponding sections of the indices.

The calculation method defines how the index value of an index is calculated. For each index, the method used to calculate the index value is defined in the section “Index Calculation”. In most cases this is the Laspeyres formula, which is described in more detail in section 3.1. 

Bonds that can be redeemed early are callable bonds. They can be redeemed at the issuer’s discretion at a predefined call date.

A candidate is an instrument from the universe of an index. An index is selected from its universe. For indices with a fixed number of components the selectable candidates are on a selection list.

Companies use a capital event to adjust their capital structure. Capital events include among others dividends, share splits or rights issues. For the calculation of the index values, capital events are considered which have an effect on the parameters of the index calculation.

A capping factor is used to limit the weight of an index component in the index. If an index foresees a predefined weighting of its components it is described in the “Component Weighting” section of the corresponding index.

A corporation uses a corporate action to amend its shareholder capital. Corporate actions may be but are not limited to increase of nominal amount or the calling of a bond. Corporate actions which have an effect on index calculation parameters are considered within the index calculation process.

Bonds which yield the same interest on a yearly basis are called fixed coupon or straight bonds. Other coupon structures may be zero coupon bonds which do not pay interest or floating rate notes where the interest varies depending on an agreed reference rate. Bonds can change from a fixed to a floating coupon structure.

The information on the selection of the index components from the index universe is fixed on the cut-off date. Changes after the close of trading on the cut-off date are considered in the subsequent index review. Cut-off dates for indices that do not follow the standard SPI process are described in the corresponding index description.

Each bond has a domicile. Bonds with a domicile in Switzerland and in the principality of Liechtenstein are categorized as ‘Domestic’ and bonds with a different domicile are categorized as ‘Foreign’.

Ordinary and extraordinary index adjustments are considered in the index calculation from the effective date onward.

The ex-date is the first trading date from which a share is traded without entitlement to a dividend or a capital event. The holder of a share is entitled to a capital event immediately before the ex-date.

Filters are applied to the SBI index in order to create sub-indices. The available filters are ‘Classification’, ‘Nominal Amount’, ‘Domicile’, ‘Residual Term’, ‘SBI Composite Rating’, and “ESG eligibility”. For each filter predefined options are available. The filters are described in detail in section 7. 

Each index consists of either a fixed or variable number of components. For indices with a fixed number of components, the number is constant. For indices with a variable composition number of components, the number is not predefined and may vary at each regular index review or at each extraordinary index adjustment. The “Overview” section indicates for each index-specific subsection whether the index has a fixed or variable number of components.

The free float factor is the relative proportion of the number of shares that are not in fixed ownership and are therefore freely tradable. As a rule, only freely tradable shares are taken into account when calculating market capitalization. The free float factor puts the freely tradable shares in relation to the number of shares in a share line. The rules for determining the free float factor are described in section 4.1. 

The free float market capitalization is calculated by multiplying the share price by the number of shares and the free float factor. This expresses the size of an instrument

The term “Government Curve” is used for a Yield Curve that depicts yields of government bonds on the vertical axis and the maturites of these bonds on the horizontal axis. 

An index measures the performance of a defined market. In each index-specific section the “Overview” section describes which market is measured by the index. 

An index candidate is an instrument of the index universe which can be selected for the index. All candidates of an index form the universe.

The index components are instruments that together form the index composition.

The index composition consists of the index components. During the selection process, candidates are selected from the index universe based on the selection criteria of the index. Selected candidates are index components. 

Each index has a currency. Index components listed in another currency are converted into the index currency for the index calculation.

In principle, indices are standardized to a meaningful value (mostly 100 or 1’000) at their base date. From the base date, the index is continuously updated to reflect market changes and index adjustments.  

The index level is standardized to a base value at the base date. From this date on, the index level is constantly updated by incorporating market movements and corporate actions into the index level.

SIX basically offers three types of equity indices. In contrast to the price return type, the gross return type assumes that dividend income is reinvested. The net return type takes into account dividend income after deduction of withholding tax.

For each index there is a defined index universe. The index universe is a group of instruments that share common characteristics and from which the index components are selected. The universe consists of index candidates and is explained in the section “Index Composition” of the respective index.

An instrument is issued by the issuer to raise capital. There are different types of instruments such as equities, bonds or funds. In this rulebook the term “instrument” refers only to equities and real estate funds.

Each instrument is traded in a currency in which shares are bought and sold. The majority of the index components are traded in Swiss Francs (CHF). However, it is possible that an index component is traded in a foreign currency. This case will be explained in more detail in section 4.2. 

An organization that borrows money by selling bonds. There are various types of issuers, such as governments, supranational entities, regions or cities, as well as corporations. 

On the issue date, the nominal amount equals the capital raised by the issuer. During the term, the nominal amount can be reduced or increased. In the case of bonds issued by the Swiss Confederation, any own tranches not yet placed are also included in the nominal amount. For SDX Listed Bonds the aggregate amount of both instruments is taken into account.

The number of shares is the number of shares in circulation. They constitute the total share capital, which is fully subscribed and fully or partially paid in and registered in the Commercial Register. The capital in circulation does not include conditional or authorized capital. The number of shares is used to calculate the free float market capitalization. The number of shares is regularly reviewed to ensure that it is up to date and the reviewed values are included in the review list, which is described in section 4.1. 

The order book turnover is the total traded volume in trading currency of an index component over a defined period of time.

The participation certificate is an equity instrument that gives the holder the right to a dividend, but no voting rights. An issuer can use participation certificates to raise additional capital without changing the ownership structure.

Bonds are traded as a relative fraction of their face value in ‘percent‘. Due to the less liquid nature of bond markets the price of the instrument is based on the order book of SIX Swiss Exchange. Bid and ask quotes or mid-prices are used in the index calculation process. All prices are clean prices without accrued interest. SDX Listed Bonds will use the same pricing source. 

The primary listing is the main exchange on which an issuer’s instruments are admitted for trading. It is possible for an issuer to have multiple primary listings.

The registered share is an equity instrument in which the owner of the shares is registered in the share register of the issuer. The issuer knows its shareholders structure and is informed in the event of transfers.

In this rulebook the shorter term of Time to First Call and Time to Maturity is the Residual Term of the bond.

List with which number of shares and free float factor are communicated.

SIX assigns to each bond a SBI Composite Rating from AAA to BBB which states the creditworthiness of a bond. The rating used in the indices is rule-based and taking into consideration several external ratings. The classification process of the SBI Composite Rating is further described in Appendix A. 

The eligibility criteria are a set of conditions which a bond needs to fulfil to be selected for the SBI index. The conditions are outlined in section 6.

The index universe is a group of instruments which share common characteristics. The index universe is the basis to select the Index Composition.

With the introduction of Swiss Digital Exchange (SDX) it is possible to list digital bonds in Switzerland. A bond which is listed at SDX (digital bond), and is also listed at SIX Swiss Exchange (traditional bond) under the same bond prospectus, and is therefore exchangeable between the two trading venues is referred to as “SDX Listed Bond” in this rulebook. SDX Listed Bonds will only appear once in the Swiss Bond Index with the ISIN of the traditional bond but with the aggregate nominal amount of the digital and the traditional bond. The pricing source for the ISIN in the Swiss Bond Index will be SIX Swiss Exchange.

Each issuer is assigned to an industry sector. SIX uses the ‘Industry Classification Benchmark’ (ICB) standard which assigns a four-digit code for classification. In this code, the first digit designates the industry and the second the supersector. The remaining two digits are not relevant for SIX.

Every bond is assigned a sector code which is based on the FTSE Russel ICB Fixed Income International Classification (ICB FI). The aim of ICB FI is to have a centrally valid definition in place of how bonds are to be grouped based on the business activity of the issuer. A general overview of ICB FI can be found in Appendix D.

A selection list is created on the basis of the index universe to determine which candidates will make up the index composition. The rules for creating the selection list are explained in the section “Index Composition” of the respective index section.

The term “Swap Curve” is used for a Yield Curve that depicts yields of swaps on the vertical axis and the maturities of these swaps on the horizontal axis.

The Time to First Call of a bond is the time period between now and the first possible call date of the bond.

The Time to Maturity of a bond is the time period between now and the expiration date of the bond.

Instruments traded on the following trading segment are eligible: SIX Swiss

Exchange: equity market

SIX Swiss Exchange: investment funds

SIX Swiss Exchange: SPARKS

Each index component has a weight. In most cases, the weight is based on the free float market capitalization. If an index has a deviating rule for weight determination, this is listed in the section “Component Weighting” of the respective index section. 

For the purpose of this rulebook, a Yield Curve means a graphical representation of the yield of an interest-bearing financial instrument on the vertical axis and the maturities of these instruments on the horizontal axis.