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Financial Databases and Research - Matching CDS data in Datastream
Financial Databases and Research

Matching CDS data in Datastream

Posted in Datastream


CDS are Credit Default Swaps. A credit default swap is a form of insurance that protects the buyer of the CDS when the borrower defaults (fails to repay the loan). The significant difference between a traditional insurance policy and a CDS is that anyone can purchase one, even those who do not hold the loan instrument and may have no direct "insurable interest" in the loan.

Datastream has two main sources of data on Credit Default Swaps:
- CMA Datavision CDS series
- Thomson Reuters CDS series

The CMA series usually offer historical information going back to 2004. The CMA series, however, are no longer offered through Datastream and all series end with the data from the 3rd quarter of 2010. For now, the historical data remains available through Datastream. Example:



The Thomson Reuters series are relatively newer series and very often start in 2007. They were introduced as an alternative to the CMA data. Example:



If you are doing research into CDS data and want a reliable continuous series of CDS data it is possible to combine matching series from both sources. To get trustworthy series it is imperative that you use the file that matches the series from both sources on the Datastream Extranet website. You can also download it here.

The function you need to use to combine two series is the Splice function.

CMA series 1
mnemonic: IMT..S5
Thomson Reuters series 2
mnemonic: IMT5$AM
Data type: SM

Description: Mid Rate – datatype (SM) shows the mid rate spread between the entity and the relevant benchmark curve. The rate is expressed in basis points. This is the default datatype.

Splice formula example: SPLC#(IMT..S5(SM),IMT5$AM(SM),14/12/07)

Example Search screen with a graph as the result:



Do not forget to mark the Display Data as MSChart option if you want the graph instead of the raw data! Example download (Graph):



Author information: LinkedIn

04:51 PM - 1 September 2011


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