This paper examines the influence of a set of theoretical determinants and the effects of the two most predominant referential instruments on the daily changes of the Euro credit spread indices over the period of March 2000 to February 2008. The study reveals that the iBoxx Euro Sovereign Indices alone are able to capture to a large extent the credit spread variability when compared to interest rate swaps while the remainder variability can be explained by determinants other than equity, volatility, inflation or commodities. These findings are in accordance with Dunne et al. (2002) who suggested that the benchmark yield curve should consist of a basket of bonds rather than a single instrument. The examination of the Markov regime switching model revealed that the level is positively significant and itsinfluence is greater in the low volatility regime while the slope is positively significant. However, for the iBoxx Indices the slope influences credit spreads more in the high volatility regime.