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So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the relationship between Sovereign and Banking CDS using some standard regressions.

Through Markit, I can get the Par Spread, the ConvSpread and the Upfront Payment. I am wondering which of these to use for my analysis as for example, some sovereign bonds do not exhibit any ConvSpread for the years 2005-2007 but for me the Par Spread wouldnt make too much sense. Or should I be using the Upfront Payment to analyse this relationship?

Thanks

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The par spread is retained just for compatibility with legacy quoting conventions - pre April 2009 ISDA Big Bang. In my opinion, it's best ignored. Some people may disagree. it's close to the market standard quote spread anyway.

The msq spread and the upfront really convey exactly the same information. If you use the same standard running spread (usually 100 bps, but sometimes 500 bps or some other running spread), and the same interest rate curve, and the same recovery assumption, then you can convert from either one to the other.

A problem arises if you are looking at pre-Big Bang historical data, and some name has only par spreads, and no msq spread. My siggestion is to convert to msq spread using the earliest available running spread and recovery assumption for that name; and the the historical IR curve, although that is less material. It's more work than just concatenating time series of par spread before big bang and msq spread after, but a little more accurate.

Both before the big bang and today, financial institutions CDS is a very weird market and I'm skeptical of any information extracted from it.

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