Linking Markit Securities Finance with CRSP

Markit RED (RED) is the market standard for reference data in the credit markets. RED provides a unique 6-digit identifier, redcode, for each entity in the database. In addition, it also carries several other common entity identifiers, such as 6-digit entity_cusip, ticker as well as company name strings.

Researchers can use these identifiers to link the CDS data with other data sources, such as CRSP and TRACE for equity and fixed income respectively.

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MSF data does not carry separate table containing security description information. Instead, all identifying information are reported daily together with the time series data.

MSF Analytics

For the case of MSF Analytics data, the identifiers are

• DXLID- MSF unique identifier, known as DataExplorer ID as MSF was previously an independent data company DataExplorer
• ISIN
• SEDOL
• CUSIP - 9 digit historical CUSIP
• QUICK - Instrument identifier used in Japan, empty for all non-Japanese securities
• InstrumentName - Security description
• MarketArea - Market classification of security defining the country or currency of trading, security type

Below is a sample security description field from MSF Analytics American Equity 2022 data.

MSF Institutional

MFS Institutional carries very similar identifier information:

• DXLID - MSF unique identifier
• ISIN
• SEDOL
• CUSIP - 9 digit historical CUSIP
• Quick - Instrument identifier used in Japan, empty for all non-Japanese securities
• StockDesc - Stock Description
• MarketArea - Market Area (Country level)
• BBGID - Bloomberg Global Identifier (FIGI), available starting in 2017
• BB_TICKER - Bloomberg Ticker, available starting in 2017

Below is a sample security description field from MSF Institutional American Equity 2022 data.

Notice that though both MSF Analytics and Intuitional data carry MSF unique identifier DXLID at instrument level, but the format of the variable in respective database is slight different.

Take the security Zimmer Biomet Holdings Inc for instance, in MSF Analytics its DXLID = DX00000021, while in MSF Institutional its DXLID = 21. It appears the two identifier systems follow the same internal ordering system, but has different representation. We just want to point this out in this section of discussion in case users would like to link across these two MSF databases.

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We illustrate below using the new CIZ format of CRSP data. The logic is the same for the legacy SIZ format of CRSP data, just with different database syntax. And since CRSP is for North American trading equities , we focus on linking with the portion of the MSF data that is for American equities, and the primary linking key is through historical CUSIP that is common in both databases.

Extract MSF Identifiers

As MSF doesn't carry a separate identifier table, researchers need to extract the relevant information from the actual time series datasets. We illustrate below how to quickly extract the information from both the MSF Analytics and Institutional data.

Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.

Jupyter Notebook: ResearchApps/LinkMSFCRSP.ipynb View Larger Download

In the SQL code above,

• We first create a crspid table that contains the CRSP identifiers permno, permco, cusip as well as the start and end date range of such combination in the database
• We then join this crspid table with the MSF identifiers through the common historical CUSIP link
• Lastly, we add the header CRSP company name to the linked database in case researchers would like to compare

The linking logic of MSF Institutional is the same as MSF Analytics, so we are not repeating the code here.

Note: the new CIZ CRSP has different name convention from the legacy SIZ, and in the new format, historical cusip's syntax is CUSIP, not NCUSIP.

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