Answered By: Bobray Bordelon Last Updated: Jan 18, 2017 Views: 181
- Use Bloomberg, available in Firestone (A Floor - RIS Suite). CSDR. Bloomberg data appear to go back to 1992 for S&P and 1999 for Moody's. Provides ratings. By typing in SECF in Bloomberg one can get a list of all securities and then filter. SOVM allows one to look specifically at sovereign debt but may not go back as far. Also try DDIS for listings of government debt.
- Two WRDS databases have sovereign debt credit ratings. Credit Ratings (in Capital IQ) appears to have ratings back to around 1992. Mergent FISD database also has country credit ratings. However, these sources provide credit ratings for individual sovereign bonds, not the underlying country rating.
- Moody's/Mergent International Manual began including information on sovereign debt issues, but not their ratings, from 1981-1992. Ratings were added from 1993-2003; ratings were again removed from 2004-2005. Starting in 2006, sovereign debt is no longer included. Volumes are located in (RECAP) HG4009 .M66. The electronic version is Mergent Webreports
- The online journal, Institutional Investor, has a biannual report on country credit ratings.
- For amounts see Bank for International Settlements Data in Haver Analytics (located on the restricted workstations in Firestone (A Floor; RIS Suite); Stokes Library, and Engineering Library). Downloading Instructions.
- OECD Sovereign Borrowing Outlook (2009, 2012+) looks at trends and developments associated with sovereign borrowing requirements and debt levels from the perspective of public debt managers. The Outlook provides data and information on borrowing needs and funding policies for the OECD area and other country groupings. Includes gross borrowing requirements, net borrowing requirements, central government marketable debt, funding strategies and instruments, and distribution channels.
- International Debt Statistics focuses on financial flows, trends in external debt, and other major financial indicators for developing and advanced economies (data from Quarterly External Debt Statistics and Quarterly Public Sector Debt databases). Includes over 200 time series indicators from 1970 to 2015, for most reporting countries, and pipeline data for scheduled debt service payments on existing commitments to 2023.
- Data on country debt restructurings from 1950 to 2010 from the IMF working paper "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts" by Das, Papaioannou and Trebesch has information on country debt restructurings from 1950 to 2010 are posted on Trebesch's website, The site also has an update through 2013.
- Bruegel includes sovereign bond holdings for 12 countries (Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, UK and US). Data go back for most of the countries to the late 1990s and are mostly at a quarterly frequency.
- For holdings, also useful to check central bank websites. As an example, Japan provides holdings data over time.
For Latin American debt, 1980-2006, see HIDD: Historical IDB Debt Dataset (2008), Inter-American Development Bank, Washington DC.
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