Answered By: Erin Wachowicz
Last Updated: Nov 22, 2016     Views: 76

Try the following resources:

  • Bloomberg - Terminal access only. Available at CSSSI and McNay Tech Center at SOM​.

CDSD <go> for CDS spread curves

CDSW <go> for CDS valuation 

  • Datastream - Terminal access only. Available at CSSSI. 

Data is provided by CMA through 9/30/2010. After that date, data is provided by Thomson Reuters CDS. 

In Datastream, select Bond indices & CDS as the Data Category. Then, using the Datastream Navigator, select Credit Default Swaps.

If using the Datastream for Office (DFO) navigator, select Credit Default Swaps as the series Category

"Markit CDS provides CDS composite and contributor level data on approximately 2,800 individual entities. Applying a data cleansing process, Markit aggregates marks from sell-side contributors to generate its composite price. The data are provided on a daily basis starting in 2001 (with 810 reference entities) and are available by entity, tier, currency and restructuring clause". 

Requires a WRDS account. Details are available here. 

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