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.
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).
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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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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.
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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AssetMacro.com covers credit default swaps historical data for approximately 4000 major companies and countries. Visit AssetMacro Credit Default Swaps to search through the database's contents. I think limited data are freely available.
