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Topic Title: CDS Spread Market Quotes
Created On Mon Apr 03, 06 08:35 AM

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allenishands
Member

Posts: 26
Joined: Jun 2003

Mon Apr 03, 06 08:35 AM

I need some market data of CDS spread in my dissertation. I know there have been lots of question of this kind in the forum, but it seems that no concrete answer has come out yet.
Does anybody know where free CDS market data is accessible?
Any reply will be appreciated.

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神不是真理, 真理才是神

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Wibble
Senior Member

Posts: 422
Joined: Jan 2004

Mon Apr 03, 06 08:47 AM

I don't know of any free source, we charge for our data. I'd contact mark-it partners, tell them you're a student and offer them a copy of your thesis if they'll help you.

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jamesnowak
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Posts: 54
Joined: Oct 2005

Mon Apr 03, 06 11:52 AM

Speak to Lombard Risk, they have some free data called "Valuespread", thats is what i used for my dissertation

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"The reports of my death have been greatly exaggerated"
Mark Twain

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Wibble
Senior Member

Posts: 422
Joined: Jan 2004

Mon Apr 03, 06 12:11 PM

valuspread was bought by fitch last year

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butyip
Junior Member

Posts: 8
Joined: Jul 2005

Tue Apr 04, 06 01:14 AM

Check this out, if you just need a few.

http://www.markit.com/marketing/data_cds.php

If you need 100 names or so, I remember iBoxx official website provides data of composition of the index; but you need to register though. Not so sure

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Posts: 92
Joined: Aug 2002

Tue Apr 04, 06 03:04 PM

you can download it from bloomberg if you have in yr business library

Posts: 31
Joined: Mar 2004

Tue Apr 04, 06 03:35 PM

Bloomberg is far from being accurate on CDS.
Mark-it is good but expensive and even at this price, you get bad quotes as for some illiquid cds the marks are crap.
And even if you get 4 quotes sometimes the spread is far from being reflecting the market. (Mark-it just take the quotes from market participants, remove the highest/lowest ones and average the remaining numbers)

A very good tool I've been using from few weeks now is called "quotevision". Not cheap but the best market monitor.
Basically what it does is quite good... It reads all your bloomberg/emails from brokers, parses them, extract the bid/offer quotes (whatever the format...) and generates a credit curve based on that (+ the same done with all the other people using this service). The result is very good and matches very well the market.

As I know it is very difficult to find quotes and even worst for curves, for thoses interrested, I can generate a snapshot in Excel (as of now, Tuesday 4th April) of the curves from the cds composing the Itraxx Xover... (the most traded one).

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"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

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Wibble
Senior Member

Posts: 422
Joined: Jan 2004

Wed Apr 05, 06 09:35 AM

as i understand it, quotevision can only take information from participants that agree to it's service, bloomberg already have the ability to do this.

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jamesnowak
Member

Posts: 54
Joined: Oct 2005

Wed Apr 05, 06 09:55 AM

Billou,

I'd be interested in seeing what the output looks like..sounds an interesting tool.

-------------------------
"The reports of my death have been greatly exaggerated"
Mark Twain

Posts: 31
Joined: Mar 2004

Wed Apr 05, 06 03:56 PM

First, I would like to say that I don't have any shares in the company....

Wibble, the tool does read all your bloomberg, whatever brokers you have... (and it does the same with other people who use quotevision).
Bloomberg works more like Mark-it actually, but this Quotevision tool is different...
From my experience, working on CB and high Yield bonds, this tool is more accurate then mark-it, especially for illiquid cds and high yield bonds.

I know that mark-it is becoming a reference (and a good one, it is a good thing !) in term of marking instruments but mainly for liquid and investment grade instruments.

Please find enclosed the quotes for the 5y Itraxx serie 5

-------------------------
"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

Itraxx serie5 5Y quotes.zip (8 KB)

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HPBarone
Junior Member

Posts: 9
Joined: Jul 2002

Wed Apr 05, 06 11:27 PM

Hello there,

I can't add anything about data source as I only know about Bloom and Mark-it... But may I ask you what your thesis is about ?
By the way, I can just stress the fact that quotes from bloomberg are often very far away from what counterparties give to trade, does anybody know anything about Sector Itraxx liquidity ?
What I mean is everywhere you can read that Credit Derivatives index (mainly single name cds, it's true...) are very more liquid than cash. The more I am involve in the market the more I think It's bulls...t.
I can find only prices from people who don't want to trades if you see what I mean.
Any comments ?

Thanks.

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Wibble
Senior Member

Posts: 422
Joined: Jan 2004

Thu Apr 06, 06 09:25 AM

my point about quotevision is if 5% of the market use quotevision in isolation of the major players, their prices are rubbish

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NoelWatson
Member

Posts: 90
Joined: Sep 2005

Thu Apr 06, 06 01:39 PM

I used to work for QuoteVision. Obviously the data out is only as good as the data in, so the more sell side institutions that are sending you spreads the better.

With my current client, we use Markit data to compare our curves. Obviously Markit is end of day whereas QuoteVision (and others) are real time.

Bloomberg comes a distant 3rd.

It depends on whether you are buy or sell side as to what options are available for sourcing data

I have started a list (incomplete)

http://www.noelwatson.com/blog/PermaLink,guid,bea9fea4-3044-477a-99ab-2aec0ed4aceb.aspx

Posts: 31
Joined: Mar 2004

Fri Apr 07, 06 09:14 AM

Wibble, as NoelWatson mentionned, it reads all the quotes you recive.
So if you receive quotes from all the big players, you get a top curve.
It is not a question of having 5% of the market using quotevision.

As I receive a lot of marks from the sell side, my quote are in general very good indeed.
But obviously, it depends of the quotes you receive...

-------------------------
"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

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allenishands
Member

Posts: 26
Joined: Jun 2003

Fri Apr 07, 06 01:50 PM

Thank you for your precious opinions, and your discussion is very helpful.
But Billou may I ask you what is the date on which your CDS spread data are quoted?

-------------------------
神不是真理, 真理才是神

Posts: 31
Joined: Mar 2004

Tue Apr 11, 06 04:07 PM

actually, allenishands, I extracted them 3 minutes before publishing them in this thread... so "relatively" fresh... (5th April 2006, 03.52pm)

Hope it wil help...

-------------------------
"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

Posts: 31
Joined: Mar 2004

Tue Apr 11, 06 04:41 PM

And let me add some quotes for those interrested, as I know it is not easy for students to find recent data...
Here are some CDS indices quotes... (with all the tranche split...)
Hope it will help...

Obviously those data are only a snapshot of the market as of today (10th April 2006) and "might" contain some misprices... as nobody's perfect... ;-)

-------------------------
"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

CreditSpread Quotes.zip (19 KB)

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NoelWatson
Member

Posts: 90
Joined: Sep 2005

Tue Apr 11, 06 07:29 PM

Billou,

Was this data from QuoteVision?

Regards

Noel

Posts: 31
Joined: Mar 2004

Wed Apr 12, 06 01:58 AM

yep...

-------------------------
"Life must be understood backwards; but it must be lived forwards"-Soren Kierkegaard (philosopher)
"Life is like geometry; we view it from our own angle"-George Naoumis (mathematician/writer)

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allenishands
Member

Posts: 26
Joined: Jun 2003

Wed Apr 12, 06 10:40 AM

Thank you Billou,
your "fresh" data will do a lot of help to my dissertation.

-------------------------
神不是真理, 真理才是神

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