Answered By: Bobray Bordelon
Last Updated: Aug 15, 2017     Views: 24

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.
  2. In Step 4, add the variable REFERENCEENTITY
  3. Return to step 3, go to the “Entities” section and make “Reference Entity Type = Sov” note that it’s case sensitive.
  4. This will give you the country Redcodes.
  5. Take the Redcodes to the “Credit Default Swap” section and upload them as a .txt file
  6. For sovereigns the most heavily used time series are “Spread10Y” and “Spread5Y”
  7. 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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