IHS Markit CDS: single-name credit default swap spreads (licensed)

Licensed: not exercised here

Markit CDS is a licensed commercial dataset (IHS Markit, now S&P Global Market Intelligence), so it carries no provenance badge: the access path below was not run in this session (no Markit credentials were available). The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

Markit CDS is a daily composite single-name credit-default-swap spread product, built from marks contributed by dealer banks and aggregated by IHS Markit (now S&P Global Market Intelligence). It covers individual corporate and sovereign reference entities as well as CDS indices (CDX, iTraxx), across maturities (the five-year tenor is the common reference point), currencies, seniority tiers, and restructuring clauses (for example, modified restructuring “MR” and no-restructuring “XR”). Note: this is the Markit single-name CDS spread product; Markit bond pricing and Markit Securities Finance are separate products under their own slugs. It is a common source in credit-risk and fixed-income research: used in, for example Siriwardane, Sunderam & Wallen (CDS pricing in the CDS-bond basis construction), and Copeland & Martin (five-year modified-restructuring USD CDS spreads as a proxy for dealer counterparty credit risk, matched to 13 of 18 dealers).

• Cost: licensed, subscription. No free tier.
• Vendor: IHS Markit / S&P Global Market Intelligence.
• Coverage: single-name corporate and sovereign reference entities plus CDS indices (CDX, iTraxx), daily composite spreads, from the mid-2000s.

Access (when licensed)

• Direct from IHS Markit / S&P Global. Data is delivered as a feed keyed on the Markit RED code (Reference Entity Database) per reference entity and seniority tier. Credentials and a subscription are required.
• Pulls are parameterized by: RED code, maturity tenor, currency, seniority (e.g. SNRFOR), and document clause / restructuring convention.
• Keep credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• You must pin all contract dimensions. Maturity tenor (5y), currency (USD vs EUR), seniority (SNRFOR vs SUBLT2), and restructuring clause (MR vs XR vs CR) are distinct series; mixing them silently produces non-comparable spreads. State all four dimensions in every pull.
• Spreads are composite dealer marks, not executed trades. Thin or infrequently-traded names have stale or interpolated marks; treat them with caution and check the number of contributing dealers per observation.
• The RED code is the linking key and is not an equity or bond identifier. Matching to CUSIP, ISIN, or ticker requires a separate crosswalk. Entity successions from mergers, spin-offs, or defaults can reassign RED codes; verify entity continuity when working across long panels.
• The 2009 CDS Big Bang changed contract conventions. Standardized fixed coupons (100 bps or 500 bps), upfront points-in-lieu, and restructuring standardization took effect in April 2009 for North American names. Pre- and post-2009 quoted spreads are not directly comparable; document how your pipeline handles this break (par spread conversion, separate pre/post samples, or exclusion of the transition window).
• Index and single-name data are separate files. CDX/iTraxx index spreads live in a different feed from single-name spreads; they require separate pulls and should not be mixed without explicit justification.
• Coverage thins for high-yield and sovereign names. Investment-grade US corporates have the densest coverage; high-yield names and many sovereign entities have fewer contributing dealers and more gaps.

Citation

Cite the product, vendor, and the full contract specification: IHS Markit CDS single-name spread data, S&P Global Market Intelligence, accessed YYYY-MM-DD; maturity [e.g. 5y], currency [USD], seniority [SNRFOR], restructuring clause [MR/XR/CR], RED-code vintage [date]. Also state how the April 2009 Big Bang convention change was handled in the sample construction.