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Products July 2, 2010
S&P Unveils CDS Indexes
Standard & Poor's has launched a series of credit default swap sector indexes.
Reported by Fred Schneyer
A news release said the S&P CDS Sector Indices seek to track the credit default swap market for a select number of corporate credits in distinct Global Industry Classification Standard (GICS) sectors and sub industries.
The S&P CDS Sector Indices are designed to reflect the credit default swap market for a sector of corporate credits, increasing transparency for market participants. The Indices may be country specific or global in nature and will cover a distinct industry segment. They offer the independence of the S&P CDS Index Committee and third-party pricing, the news release said.
Each index is designed with a focus on liquidity with the goal of supporting investment products such as index funds, index portfolios, and index futures and options. Each series of the S&P CDS Sector Indices has a 5 1/4 year maturity as measured from its effective date.
The S&P CDS U.S. Sector Indices are equal weighted, with a given number of reference entities and a fixed coupon. Index levels and average CDS spreads for each index are published daily.
More information is at www.fixedincomeindices.standardandpoors.com.