Answered By: Erin Wachowicz Last Updated: Nov 22, 2016 Views: 695
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 (via WRDS)
"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.