On March 18, Standard & Poor’s Ratings Services lowered its fund credit quality rating on SPDR Barclays Capital International Treasury Bond ETF (BWX) to Af from A+f. The fund’s volatility rating continued unchanged at S4.
S&P said in a statement that it had lowered the rating because of exposure of about 11% of the ETF’s total assets to BBB-rated bonds that remain eligible investments for the Global Treasury Ex-US Capped Index, the benchmark the fund tracks. An S&P analyst declined to reveal any of the fund’s specific country exposures. However, the SPDR Web site showed that as of March 29, 2010, BWX included a 4.3% country weighting in Greece. It also had weightings of 4.6% in Spain and 11.6% in Italy.
The Global Treasury Ex-US Capped Index includes government bonds issued by non-U.S. investment-grade countries in local currencies that have a remaining maturity of at least one year and are rated investment grade or above using the middle rating of S&P, Moody’s and Fitch. The index is market-cap weighted, and the securities in the index are updated on the last business day of each month.