Designed to track the credit default swap market for sovereign entities, Standard & Poor’s has launched a series of CDS Sovereign Indices.
The index series is comprised of the S&P International Developed Nation Sovereign CDS Index and S&P Eurozone Developed Nation Sovereign CDS Index.
“The feedback that we have received from some market participants is that sovereign CDS indices should be more representative of the portfolio holdings and market weights,” says J.R. Rieger, vice president of fixed income indices at S&P. “The launch of the S&P CDS Sovereign Indices not only meets this market demand, but allows users of the Indices to directly make comparisons to the International bond market while offering a perspective on the cost of default protection based on those market weights.”
The S&P International Developed Nation Sovereign CDS Index has been constructed to have approximately the same country constituents and weightings as the S&P/Citigroup International Treasury Bond (ex US) Index.
Similarly, the construction of the S&P Eurozone Developed Nation Sovereign CDS Index provides approximately the same country constituents and weightings as the S&P Eurozone Government Bond Index.
The country constituents and weights for each index are set at the inception of each index series. On each rollover date, a new series will be launched with the current weights and constituents of the respective bond indices.