MM Market-Implied Sovereign Credit Index

The MM Market-Implied Sovereign Credit Index translates sovereign CDS spreads into the same 0 to 100 scale as the SCI, allowing direct comparison between agency assessments and market pricing of credit risk. Using a panel fixed-effects regression across all covered countries, the model estimates how CDS spreads historically co-move with SCI levels within each country, then applies those relationships to derive a market-implied credit score in real time. A positive spread between the SCI and the Market-Implied SCI indicates that rating agencies are more optimistic than the market, a potential signal of lagging downgrades or elevated stress. A negative spread indicates the market is pricing in improvement ahead of any agency action.