Answered By: Barbara Coffey Last Updated: Sep 30, 2019 Views: 46
See the Credit default swap section of the Finance guide for sources.
Steps for getting Sovereign CDS prices in Markit:
- You need the Redcodes (the unique ID in Markit) for the country CDSs.
- In Step 4, add the variable REFERENCEENTITY
- Return to step 3, go to the “Entities” section and make “Reference Entity Type = Sov” note that it’s case sensitive.
- This will give you the country Redcodes.
- Take the Redcodes to the “Credit Default Swap” section and upload them as a .txt file
- For sovereigns the most heavily used time series are “Spread10Y” and “Spread5Y”
- In the screening variables section, uncheck some of the boxes
- 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
- Document clause: You can buy CDSs that will default based on different criteria. Generally use “MR”.
- 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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