Aktien in diesem Artikel
indizes in diesem Artikel
NEW YORK, Nov. 29 /PRNewswire/ -- Standard & Poor's, the world's leading index provider, announced today that it is set to launch three U.S. based Credit Default Swap (CDS) indices focused in the $28.8 trillion(1) 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 will be launched during the first quarter of 2008. A credit default swap is an agreement between two parties to exchange the credit risk of an issuer.
Standard & Poor's will offer two forms of CDS indices that reflect the performance of a basket of single name credit default swaps. The first type of index will incorporate all credit events that have occurred into its pricing, while the other will effectively remove the relevant credit from a given index when a credit event occurs.
New series of indices will be generated every six months to maintain sufficient liquidity and to accurately reflect changes in the credit market. Standard & Poor's is using CMA datavision, the credit information specialist, as its primary source of pricing for the indices.
"The S&P U.S. CDS Indices are designed to be liquid and efficient enough to support investment products such as index funds, index portfolios and derivatives," says David Blitzer, Managing Director and Chairman of the Index Committee at Standard & Poor's. "We expect a good amount of interest in these indices by both institutional investors and dealers alike."
Standard & Poor's will launch three U.S. based CDS indices:
-- 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 100 CDS Index will correspond to its weight in
the 100 Equity Index (based on float adjusted equity market
The complete methodology for the S&P U.S. CDS Indices will be made available on http://www.standardandpoors.com/indices when the indices are launched during the first quarter of 2008.
About Credit Default Swaps
Credit Default Swaps (CDS) are over-the-counter, tradable, credit derivative contracts that are similar to insurance policies. The CDS is a bilateral contract in which one party (usually known as the protection buyer) pays a fee or premium to another party (generally referred to as the protection seller) to protect against a financial loss they may incur if a credit event (usually a default) occurs with respect to the underlying bond issuer (reference entity). If a credit event occurs, the seller of protection will make a prearranged payment to the buyer of the contract in exchange for the underlying bond (reference obligation).
About Standard & Poor's Index Services
Standard & Poor's Index Services, the world's leading index provider, maintains a wide variety of investable and benchmark indices to meet an array of investor needs. Its family of indices includes the S&P 500, an index with $1.32 trillion invested and $4.91 trillion benchmarked, and the S&P Global 1200, a composite index comprised of seven regional and country headline indices. For more information, please visit http://www.standardandpoors.com/indices.
About Standard & Poor's
Standard & Poor's, a division of The McGraw-Hill Companies , is the world's foremost provider of financial market intelligence, including independent credit ratings, indices, risk evaluation, investment research and data. With approximately 8,500 employees, including wholly owned affiliates, located in 21 countries, Standard & Poor's is an essential part of the world's financial infrastructure and has played a leading role for more than 140 years in providing investors with the independent benchmarks they need to feel more confident about their investment and financial decisions. For more information, visit http://www.standardandpoors.com/.
The S&P US CDS Indices are the intellectual property of Standard & Poor's Index Services, which is separate from Standard & Poor's Credit Market Services.
(1) Source: The Bank of International Settlement, as of year-end 2006