Answered By: Bobray Bordelon
Last Updated: Feb 06, 2017     Views: 17

See the Credit default swap section of the Finance guide for sources.

Steps for getting Sovereign CDS prices in Markit:

  1. You need the Redcodes (the unique ID in Markit) for the country CDSs. Go to the “Entities” section and in Step 3 make “Reference Entity Type = Sov” note that it’s case sensitive.
  2. This will give you the country Redcodes.
  3. Take the Redcodes to the “Credit Default Swap” section and upload them as a .txt file
  4. For sovereigns the most heavily used time series are “Spread10Y” and “Spread5Y”
  5. In the screening variables section, uncheck some of the boxes
    1. Currency: Only check  USD for every CDS. Note that the United States CDS is not priced in USD so you have to get that in a different currency
    2. Document clause: You can buy CDSs that will default based on different criteria.  Generally use “MR”.
      1. See - Per Chodorow-Reich, p 14, the most liquid contracts are contracts with the MR (modified restructuring) clause. "Effects of Unconventional Monetary Policy on Financial Institutions."

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