Thomson Reuters CDS – FAQ
Due to the recent release of the Thomson Reuters CDS data to Datastream we have
put together a FAQ sheet
1. What does the Restructuring Type represent?
Full restructuring (CR)
The full-restructuring clause was the standard contract term in the 1999 ISDA
credit derivatives definitions. Under this contract option, any restructuring event
qualifies as a credit event (and any bond of maturity up to 30 years is
deliverable).
Modified restructuring (MR, introduced in 2001)
In 2001, to limit the scope of opportunistic behaviour by sellers in the event of
restructuring agreements that did not cause loss, ISDA published a modified
restructuring clause.
Modified-modified restructuring (MM, introduced in 2003)
In 2003, a further modification of the modified restructuring clause was
introduced, in response to the perception on the part of some market
participants (particularly in Europe) that the modified restructuring had been
too severe in its limitation of deliverable obligations
No restructuring (XR)
Under this contract option, all restructuring events are excluded under the
contract as “trigger events”. The advantage to this contract is that so-called
“soft” credit events under restructuring that do not constitute a true loss for the
protection buyers, but still might encourage opportunistic behaviour on their
part, are ruled out
2. How do you choose between different restructuring types
The restructuring type choice is based on regional preference. In general the
following types should be used for these 3 regions
Asia – CR (fully restructured)
Europe – MM (Modified Modified restructuring)
US – XR (No restructuring)
3. How many entities are available?
We currently have over 1500 entities with histories going back to 2007
4. What tenors are available?
The tenors represent the maturity bands available on the curve. For this content set
we calculate the 6M, 1, 2, 3, 4, 5, 7, 10, 20 & 30 Years
5. Are there any lists available to download?
Yes, the list are broken down alphabetically and are in the format LRTCDSxL,
where x = letter of the alphabet required
6. Are there any sector indices based on this data?
Yes, the sector indices have been created for 4 regions – US, UK, Europe and
Asia. The series and constituent lists are available via the navigator. To find them,
search for name begins DS and name contains CDS
7. How do the currency differences affect the spread values?
The effect of currency varies depending on the entity. For example, while
corporate cds spread levels are generally unaffected by currency, sovereign
spreads can vary depending on the currency in question.. For example, cds spread
levels for Germany vary depending on whether its denominated in the USD vs
EUR currency. The idea here is that if Germany were to default, the value of the
cds contract would vary depending on whether you are getting paid in USD or
EUR (as the euro would take a hit from this default).
8. Can I splice together histories?
Yes, on the extranet is a list of CMA entity mnemonics against the Thomson
Reuters CDS mnemonics. See graph using splice function
Graph 1 shows the individual series
Thomson Reuters Series - IMT5$AM – Start Date 14/12/07
CMA Series - IMT..S5 – Start Date 01/01/05
Graph 2 shows the results of the splice function
SPLC#(IMT..S5(SM),IMT5$AM(SM),14/12/07)
F R O M 3 1 /1 2 /0 4 T O 2 8 /9 /1 0 W E E K L Y
500
450
400
350
300
250
200
150
100
50
0
2004
2005
2006
2007
2008
2009
2010
IM P E R IA L T O B A C C O G P . P L C S E N 5 Y R C D S - C D S P R E M . M ID
IM P E R IA L T O B A C C O G P S N R M M 5 Y $ - C D S P R E M . M ID
S o u rc e : D A T A S T R E A M
S PLC #(IM T..S5(S M ),IM T5$A M (SM ),14/12/07)
F R O M 3 1 /1 2 /0 4 T O 2 8 /9 /1 0 W E E K L Y
500
450
400
350
300
250
200
150
100
50
0
2004
2005
2006
2007
2008
2009
2010
H IG H 4 7 5 .0 0 0 0 0 2 4 /1 0 /0 8 L O W 2 8 .2 0 0 0 0 2
/0e7: D
LA
9T
9R
.0E
0A
99
S3o/u2rc
AS
TT
AS
M9