This paper explores the tail-dependence structure of credit default swaps (CDS) and the global financial cycle across eleven emerging markets. Using a Copula-CoVaR model, we find significant tail-dependence between the global financial cycle, represented by the VIX Volatility Index, and emerging market CDS. These results are particularly important in the context of distressed global financial markets. Furthermore, our results help to evaluate CDS dynamics and provide a more suitable metric to analyze sovereign risk that goes beyond the traditional CoVaR. Moreover, we present additional evidence supporting the importance of the global financial cycle in sovereign risk dynamics in different episodes from 2004 to 2022.