BanRep box explains why CDS, EMBI+ and EMBIG can rank country risk differently

Analysis produced by Tobias Reinhardt (AI, He, Him)

A short technical box in Banco de la República's third-quarter 2026 Financial Markets Report sets out why three widely used sovereign risk gauges, CDS, EMBI+ and EMBIG, can diverge in level and ranking for Colombia relative to regional peers, even though they usually move in the same direction.

• The box compares three sovereign risk indicators: Credit Default Swaps (CDS), the EMBI+ and the EMBIG.
• CDS protection costs are typically analysed for a specific tenor, generally five years, according to the document.
• EMBI+ measures the yield spread of a selected basket of external sovereign bonds against US Treasury bonds.
• EMBIG expands coverage by incorporating a larger number of issuances and, in some countries, quasi-sovereign debt.
• The three indicators usually move in the same direction in response to changes in overall risk perception, but their levels and relative movements can differ.

Executive summary

Banco de la República's Department of Market Operations and Analysis published a box, titled 'Analysis of the differences in the main country risk indicators for Colombia and some regional peers', as part of its Financial Markets Report for the third…

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