Major source for credit default swap data. Earliest data tends to be around 2001. Includes indices and constituents.
Notes: To obtain CDS sovereigns.
- Look up the Redcodes (the unique ID in Markit) for the country CDSs and add the variable REFERENCEENTITY
- Go to the “Entities” section and make “Reference Entity Type = Sov” note that it’s case sensitive. This will give you the country Redcodes. Upload the Redcodes to the “Credit Default Swap” section as a .txt file
- For sovereigns the most heavily used time series are “Spread10Y” and “Spread5Y”
- In the screening variables section,
- 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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||Data is supplied by Credit Market Analysis up to 9/30/10. After that data is from Refinitiv. To match on Datastream CMA CDSs (which end in Datastream on 9/30/10) to Thomson Reuters CDSs (which go past 9/30/10), see the DSS site. Also has credit default swap indexes too. However, these are not continuous (not "on the run") & only the CDS industry indexes are available after 9/30/10.
||Available on the workstations located near Firestone A-13-J & Stokes Library through Refinitiv Workspace.
||Type CDSD and hit [GO]. Also has many of the major credit default swap (CDS) indexes. These are continuous ( "on the run"). Type CDXI [GO]
||Available on the workstations located near Firestone A-13-J.
*Must be used for academic purposes only, that is, to support the teaching and research of Princeton