S&P Launches Three CDS Indexes

Now you can compare (most of) the S&P 100 equity index with a corresponding index based on CDS market prices. From the WSJ:

Ratings agency Standard & Poor's Wednesday launched a new index to help investors compare the performance of the US equity- and credit derivatives markets.

In fact, the agency has created three new indexes that will add to the benchmark CDX indexes already widely used in this $29 trillion market for insurance against default.

The S&P US Investment Grade Index lists the 100 most liquid names in the CDS markets with top-shelf credit ratings. And the S&P CDS US High Yield Index references 80 companies with lower ratings. Each of these names will have equal weighting.

But in a first for the credit default swaps market, S&P will also publish an index tracking credit risk premiums for companies listed on an equity index benchmark.

The S&P 100 CDS Index tracks 80-90 of the most liquid names in the corresponding equity index, with matching weighting. They comprise the names with the most heavily traded credit default swaps.
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The S&P 100 CDS Index is the first tool that allows investors to directly compare risk premiums in the credit markets with stocks. That means investors now have a standard for comparing two markets that have attracted much controversy during this financial crisis, since they're heavily used to express negative views on companies.
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The indexes will be calculated at the end of each day, using CMA datavision as primary source of pricing.

I'm not sure how the S&P US Investment Grade and High Yield indexes will distinguish themselves from the CDX Investment Grade and High Yield indexes (CDX.NA.IG and CDX.NA.HY). I'll have to look into that more.