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I trust market-driven CDS more than credit ratings. Where can one get the CDS of corporate bonds of major companies? Are there any good internet links? If charts on the historical end-of-day prices can be shown, it will be nice. Even better if the data can be downloaded.

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  • $\begingroup$ It is not in the interest of the CDS dealers to have too much transparency on price. $\endgroup$ – noob2 Jan 19 '16 at 20:25
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Markit Pricing Data is a prime source for cds data (not free).

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Better than Markit, you can have a look at https://www.datagrapple.com/ (subscription is free). About 1000 CDS are covered. Daily end-of-day prices (mid of a best bid/offer order book) from Jan 2006 and continues on an ongoing basis. There are the charts you want starting 2006. I think you may also be able to subscribe to an intra-day livefeed if you want.

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Because CDS theoretically represent a credit risk to the dealer (i.e. the dealer accepts the credit risk of a borrower in exchange for premium payments), a CDS is essentially priced by assuming that the dealer of the CDS is compensated for this credit risk through a credit spread over a risk-free security. In other words, assuming perfectly efficient markets, CDS are priced based on premiums that are equal to the difference between the underlying debt obligation and a risk-free security of the same term to maturity.

TL;DR: You should be able to solve for the price of a CDS using the yield on the underlying and the yield on a U.S. treasury of the same maturity.

In case you're interested: this is how synthetic CDO's and other synthetic debt obligations are created (which you probably know about thanks to the recent Financial Crisis). Basically, if you run out of securities to give to investors (e.g., mortgages, corporate bonds, etc.), you can make a synthetic version of these bonds by issuing a CDS on the underlying security with an attached treasury security of the same maturity.

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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.

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