Interpretation of CDS quotes TR DataStream
Hi. I am working on a research paper for school, which involves working with CDS quotes of sovereign issuers. I came across a quite straight forward definition for a CDS contract and its denomination: "The price of a CDS is expressed in basis points per annum per year with a basis point equaling $1,000 to insure $10 million of debt." Having pulled a time series of 5 YR SNR CDS spreads from Thomson Reuters for various EU countries, the data ranges between 9.68 and 14,904.36. For the maximum value the CDS premium would exceed the insured amount, which clearly can not be correct. Could someone please provide an economic interpretation or does someone know if the definition that I found maybe doesn’t apply to CDS quotes from TR DataStream? Unfortunately, I don’t have access to TR anymore, which is why I can not look up the info myself . Hope my headache will soon vanish. Many thanks in advance.
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