The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. A model illustrates how global shocks determine spread changes when the slope is positive, while a negative slope indicates that domestic shocks are relatively more important. These theoretically motivated results are empirically validated using a geographically dispersed panel of 44 countries. Overall, the results suggest that both global risk factors and country-specific fundamentals are important sources of sovereign credit risk. They simply matter at different times.