Using sovereign credit default swap (CDS) data, we show that U.S. monetary policy shocks have a significant and persistent effect on sovereign credit risk. A 25 basis point surprise in the two-year interest rate is associated with a 6.7 b.p. increase in sdropbpreads, lasting over 30 days on average. The mean estimate masks significant heterogeneity in the cross section and variation in response over time. A one standard deviation increase in a country's ex-ante risk, measured by its prior CDS level, CDS beta with respect to a world index, or political risk, increases the sovereign spread response to a U.S. interest rate shock by an additional 4.5 to 7.3 b.p. The magnitudes are further affected by the health of large financial institutions. A one standard deviation drop in the net worth of global intermediaries, particularly broker-dealers, doubles interest rate pass through. We develop an economic model of foreign investors, global intermediaries, and heterogeneous sovereigns to rationalize these findings. The model suggests that the degree of intermediary constraints directly impacts equilibrium, sovereign credit spreads and the monetary pass through.