CDS Price Data Sources and a Yield-Spread Pricing Intuition
Summary
The discussion identifies sources for corporate credit default swap data, including a commercial pricing provider and a subscription service said to offer daily end-of-day prices and historical charts. It also gives a simplified pricing intuition: a CDS premium compensates for credit risk and can be related to the yield difference between the underlying debt and a comparable risk-free security.
The replies disagree about whether named online services are trustworthy, and the document does not resolve that dispute. The yield-spread explanation is only a broad intuition; it does not specify a full CDS valuation framework, contract terms, recovery assumptions, or other market conventions. The data descriptions are user-provided claims, not independently verified evidence, so availability and quality should be checked before relying on them.
Key ideas
- The thread names commercial and subscription-based sources for CDS prices and historical charts.
- One reply describes CDS premiums intuitively as compensation for credit risk relative to a risk-free yield.
- The suggested yield comparison is not a complete CDS pricing model.
- Replies conflict over the reliability of the named data services.
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Full text
# Where to get price data on Credit Default Swaps? # Where to get price data on Credit Default Swaps? 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. ## Answer by Nicholas (score 11, accepted) https://quant.stackexchange.com/a/22820 Markit Pricing Data is a prime source for cds data (not free). ## Answer by mic (score 7) https://quant.stackexchange.com/a/27501 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. ## Answer by Brandon (score 3) https://quant.stackexchange.com/a/33294 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. ## Answer by Sucker (score 3) https://quant.stackexchange.com/a/53773 Both datagrapple and assetmacro are fake sites that collect your email address and password. Don't be fooled, CDS data isn't free.
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