WRDS subscribers can access a Trial of the new Markit Securities Finance and Credit Indices data.
Markit Securities Finance Data
A valuable tool for understanding market efficiency and limits to arbitrage.
• More than $15 trillion of global securities in the lending programs of 20,000+ institutional funds
• 3 million intraday transactions with 8+ years of daily history
• Data is sourced directly from leading industry practitioners — prime brokers, custodians, asset managers and hedge funds
Why Markit Securities Finance (MSF) Data?
Wider cross sectional coverage: MSF data is not from a single proprietary data source, which guarantees a much wider cross-sectional coverage. This broad market representation can largely eliminate biases caused by coverage niche by the data provider (e.g., small cap stocks, or certain economic sectors).
Global reach: MSF provides security financing data for major mature markets, including GBR, DEU, FRA, JPN, HKG etc.
Understanding the fixed income market: On top of traditional equity security lending data, MSF carries a suite of data on security lending activity in the global bond market.
Research with Securities Finance Data
Many publications have used Markit Securities Finance data for research due to its considerable coverage. Publications include, In Short Supply: Equity Overvaluation and Short Selling (Beneish, Lee, and Nichols), Deleveraging Risk (Richardson, Saffi, and Sigurdsson), and The Shorting Premium and Asset Pricing Anomalies (Drechsler and Drechsler).
Markit Credit Indices
Global credit default swap indices covering loans, corporate, municipal and sovereign debt across Europe, Asia, North America and Emerging Markets
• Enhancement of liquidity in the single-name CDS market
• Identify sentiments on credit as an asset class
• 4 types of debt referenced by various index families
North America: CDX, LCDX, MCDX.
Europe: iTraxx and LevX
Asia Pacific: iTraxx
Globally: CDX EM and SovX
Emerging Markets: CDX LatAm Corp and iTraxx CEEMEA
Markit Credit Default Swaps data
Markit provides users accurate, transparent data coverage on credit default swaps (CDS) and features timely information analysis to reduce uncertainty and manage risk.
Click here to learn more about Markit CDS on WRDS