First Ever CDS Indices to Be Based Upon an Equity Index

NEW YORK, Jan. 21 /PRNewswire/ -- Continuing to provide index solutions that better meet the changing needs of the investing public, Standard & Poor's Index Services today announced the launch of the S&P CDS U.S. Indices. The Indices are designed to measure the performance of the approximately $29 trillion(1) (notional) Credit Derivatives Market.

"With the launch of the S&P CDS U.S. Indices, Standard & Poor's is responding to the market's need for transparent and objectively run credit default swap indices," says James Rieger, Vice President of Fixed Income Indices at Standard & Poor's Index Services. "Working closely with market participants, Standard & Poor's designed the Indices to track the most liquid credit default swaps and be efficient enough to support investment products such as index funds, index portfolios, and derivatives."

Standard & Poor's is launching three U.S. based CDS indices:


    --  The S&P 100 CDS Index initially consists of the 80-90 members of the
        S&P 100(2) that have CDS with sufficient liquidity. The weight of
        each constituent in the S&P 100 CDS Index is based upon its weight
        in the S&P 100.
    --  The S&P CDS U.S. Investment Grade (IG) Index consists of 100 equally
        weighted investment grade U.S. corporate credits which meet certain
        liquidity criteria
    --  The S&P CDS U.S. High Yield (HY) Index consists of 80 equally
        weighted high yield U.S. corporate credits which meet certain liquidity
        criteria

Each CDS Index will offer three calculations that reflect the performance of a basket of single name credit default swaps. The first type of calculation, consistent with industry standards, removes a reference obligation from the index upon a credit event. The second type (S&P CDS Event Inclusive Indices) will augment its calculation of the performance of the CDS indices by incorporating the effect of credit events and corporate actions on the affected issues. The third type (S&P CDS Rolling Indices) will calculate the performance of each CDS basket on a continuous basis.

"The S&P 100 CDS Index is the first index to track the performance of the reference entities of an equity index," continues Rieger. "With this first-of-its-type index, Standard & Poor's is providing market participants with a view of the relationship between the equity market and the CDS market for the S&P 100 constituents."

Standard & Poor's is using CMA DataVision, the credit information specialist, as its primary source of pricing for the Indices. Software from SuperDerivatives(R) has been chosen to calculate the Indices.

The complete methodology for the S&P U.S. CDS Indices can be found by going to www.fixedincomeindices.standardandpoors.com.

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 $1.5 trillion invested and $4.85 trillion benchmarked, and the S&P Global 1200, a composite index comprised of seven regional and country headline indices. For more information, please visit www.standardandpoors.com/indices.

About Standard & Poor's

Standard & Poor's, a division of The McGraw-Hill Companies (NYSE: MHP), 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 23 countries and markets, 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.



    (1) Source: DTCC Deriv/SERVE
    (2) The S&P 100 is an equity index that measures large-cap company
        performance, and is comprised of 100 major, blue chip companies
        across diverse industry groups.

SOURCE Standard & Poor's