Does anyone know where I can download from historical data for sovereign bond CDS (credit default swaps) rates?
RiskVar (former Asset Macro) https://riskvar.com/credit-default-swaps/ has some free quotes (some sovereigns, many corporates). (It looks like it wants registration, but is still free.)
Bloomberg Terminal has some CDS quotes (free if you already have a Bloomberg), but I found them to be too far from MarkIt to believe.
The most authoritative source of consensus CDS quotes is IHS Markit: https://ihsmarkit.com/products/pricing-data-cds.html (look for "end of day CDS pricing") . It is not free... very far from it... also it is not available on Bloomberg Terminal.
S&P market Intelligence ( https://www.spglobal.com/marketintelligence/en/solutions/sp-capital-iq-platform ) bought CMA Datavision a few years ago. I'm not sure whether they still pubish their own CDS quotes, but they used to.