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Credit default swaps (CDS) tickers or daily/weekly data
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Credit default swaps (CDS) tickers or daily/weekly data

  #1 (permalink)
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Credit default swaps (CDS) tickers or daily/weekly data

Does anyone know of a good source for CDS tickers that is downloadable, or better yet, is there a ticker for IQFeed?

Bloomberg has some:

CJPM1U5 Quote - JPMorgan Chase & Co Index - Bloomberg
CBAC1U5 Quote - Bank of America Corp Index - Bloomberg
CWFC1U5 Quote - Wells Fargo & Co Index - Bloomberg
CCGI1U5 Quote - Citigroup Inc Index - Bloomberg
CMWD1U5 Quote - Morgan Stanley Index - Bloomberg

But none of them are downloadable, so I can't do analysis with them.

Mike

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  #3 (permalink)
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Hi Mike,

IQFeed doesn't provide CDS info. Since they aren't exchange traded, I'm not sure there is going to be anywhere you could get it other than an institutional platform like Bloomberg.

Thanks and good trading!

Robert

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Was hoping maybe @tigertrader or @Private Banker would have recommendations, or that maybe @bijeremiad would know of a way to download the data since he uses Bloomberg.

Mike

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Big Mike View Post
Does anyone know of a good source for CDS tickers that is downloadable, or better yet, is there a ticker for IQFeed?

Bloomberg has some:

CJPM1U5 Quote - JPMorgan Chase & Co Index - Bloomberg
CBAC1U5 Quote - Bank of America Corp Index - Bloomberg
CWFC1U5 Quote - Wells Fargo & Co Index - Bloomberg
CCGI1U5 Quote - Citigroup Inc Index - Bloomberg
CMWD1U5 Quote - Morgan Stanley Index - Bloomberg

But none of them are downloadable, so I can't do analysis with them.

Mike


Haven't checked in details but have a look here CMA | Products & Solutions | CMA Datavision CDS If you are knowledgable for registering I think you can get free historical intraday and EOD CDS data.

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Data Sources for CDS

Prices come from the 14 dealers who deal in single-name CDS: BofA, Barclays, BNP, Citi, CS, DB, GS, HSBC, JPM, MS, Nomura, SocGen, RBS, UBS. These prices are disseminated primarily through Bloomberg messages/distro lists.

Two services attempt to centralize the prices from those dealers: CMA and Markit.

CMA also provides a tool to aggregate the Bloomberg message quotes from dealers, Quotevision. Bloomberg also has a tool that takes quotes from messages and puts them into data series that can be downloaded via excel.

Three sources for gross and net outstanding CDS contracts and volume (not price) are International Swaps and Derivatives Association (ISDA), the Bank for International Settlements (BIS), and the Depository Trust & Clearing Corporation (DTCC).


Last edited by bijeremiad; August 10th, 2012 at 10:32 AM. Reason: clarify sources
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Big Mike View Post
Was hoping maybe @tigertrader or @Private Banker would have recommendations, or that maybe @bijeremiad would know of a way to download the data since he uses Bloomberg.

Mike

Mike,

I used Bloomberg in the past to track CDS pricing. The best way to track CDS pricing is through Bloomberg or Reuters Eikon because they're a catch all. Markit offers a desktop platform as well which provides CDS pricing but I believe they're geared towards institutional desks, not sure.

CDS pricing can be tricky though. I wouldn't encourage anyone to make a decision solely based on the CDS price.

Cheers,
PB

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Private Banker View Post

CDS pricing can be tricky though. I wouldn't encourage anyone to make a decision solely based on the CDS price.

Cheers,
PB

I wanted to start by simply overlaying CDS against price, and then go from there. Which is why I need to be able to download the data. Looks like more of a challenge than anticipated.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
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The Bloomberg tickers for CDS are sufficiently unintuitive that I have not tried to aggregate them. But even if you had the list for the top 1000 CDS, my understanding is that you still need a data source: CMA or Markit, which you can port through Bloomberg into Excel. Otherwise, you need the dealer messages, which they probably won't send to you unless you have ISDA agreements with them.

Even once you get your most liquid CDS (which are far from liquid by any equity standards, weeks can pass without trades), you still have to wrestle with several nuances such as reference entity, reference obligation, maturity/tenor, strike price, doc clauses, senior vs subordinate, and currency.

My guess is you are tens of thousands of dollars of data and a couple of custom database views/processes before you have something usable. Getting CDS will take a little more than copy/paste and vlookups in excel.

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Use the XLTP function in Bloomberg .... then look for CDS ...there are several spreadsheets that allow to track CDS moves in real -time.

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