Designed to track the credit default swap market for sovereign entities, Standard & Poor’s – the world’s leading index provider – announced today that it 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….
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Credit Default Swaps are over-the-counter, tradable, credit derivative contracts that have generally been viewed as similar to insurance policies.
“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 U.S.) Index. Similarly, the construction of the S&P Eurozone Developed Nation Sovereign CDS Index provides approximately the same country constituents and On each Rollover date, a new series will be launched with the current weights and constituents of the respective bond indices. Both of these indices have a 5 ¼ year maturity as measured from the effective date.
Source: ETFWorld – Standard & Poor’s
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