Standard & Poor’s will launch three U.S. based Credit Default Swap (CDS) Indices focused in the US$ 28.8 trillion Credit Derivatives Market – the S&P U.S. Investment Grade CDS Index, the S&P U.S. High Yield CDS Index and the S&P 100 CDS Index.
The S&P U.S. Investment Grade CDS Index will consist of 100 equally weighted investment grade U.S. corporate credits.
The S&P U.S. High Yield CDS Index will consist of 80 equally weighted high yield U.S. corporate credits.
The S&P 100 CDS Index will consist of the 80-90 members of the S&P 100 Equity Index that have CDS with sufficient liquidity. The weight of each constituent in the S&P 100 CDS Index will correspond to its weight in the S&P 100 Equity Index (based on float adjusted equity market capitalization).
S&P will offer two forms of CDS indices. The first type of index will incorporate all credit events that have occurred into its pricing, and the second will effectively remove the relevant credit from a given index when a credit event occurs. Index levels will be reported as a spread and as a price.
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