SBI Spread Indices Overview and Calculation Methodology

This document is a technical report that outlines the SBI Spread Indices, which measure the risk premium of the Swiss Bond Index family relative to low-risk assets such as Swiss government bonds and CHF SARON-based swaps. It explains the concept of risk premium, defined as the additional yield provided by fixed income instruments compared to risk-free assets. The report details the two versions of the SBI Spread Indices: 'Spread to Government' and 'Spread to Swap', and describes the methodology for calculating the spread measure for individual bonds. It also discusses the governance of the indices, including the advisory role of the Bond Index Commission and compliance with EU Benchmark Regulation and IOSCO Principles. The document emphasizes the availability of SBI Spread Indices data through various vendors and the advantages of using these indices for analyzing the Swiss franc bond market and investment opportunities.