CDS data: why is there no data after september 30, 2010?

When you request Credit Default Swaps-data from Datastream (Data category: Bond Indices & CDS) you can choose between two sources: CMA and Thomson Reuters CDS. The contract between Datastream and CMA changed in 2010: from october 1, 2010 clients need a CMA licence to be able to download this data. The EUR doesn’t have this licence, so we can’t access the data from this date. The history is still available, which means that the last available date is september 30, 2010.

The alternative for recent data is to restrict to data from Thomson Reuters CDS. You can check the source in the Datastream Navigator, it’s in the column ‘Source’. In the search criteria you can also limit by source.

Bloomberg is no alternative: we are not allowed to download data from CMA, because we don’t have a CMA licence.


9 thoughts on “CDS data: why is there no data after september 30, 2010?

  1. hi,

    i am a university student and i need to do my honor porject for my graduation, i have some questions about using datastream to search CDS data.

    i want to know is there any differences between SEN 5YR CDS and SNR CR 5Y CDS???

    Thank you very much

    • The difference is the source: CMA uses the notation SEN 5YR CDS; Thomson Reuters uses SNR 5Y CDS. To find more information about the background, you have to check Extranet of Datastream.

  2. Hello,
    We are no experts on CDS-data, but we sometimes help students download this data from Datastream, so in the blogpost we answer a frequently asked question.
    1. I don’t know an explanation, but gives one on page 3
    2. Do you mean if the data is padded (that’s the term Datastream uses to indicate that when there is no trading the previous known value is repeated)? You can try and add #t to your datatype (so for example P#T – that gives unpadded data). I’m not sure if that works already for CDS data.
    3. I don’t think we have another database with CDS data.
    Hope this helps you,
    Kind regards,
    The EDSC

  3. Hello,
    Have you tried requesting the datatype ‘time’ in a static request? That should give you the last date data is available in Datastream.
    We can’t answer your second question: you should ask Datastream why there are no CDS trades initiating from 2009 on – maybe they just stopped adding them. However, when we search for base date after 1/1/2009 we find a lot of CDS-series.

    Kind regards,
    The EDSC

  4. Hi
    I am also a university student and i need to do my honor porject for my graduation, i have a big questions about using CDS data in datastream.

    I need the method to merge CDS data and stock data by firm level.

    I try to use DS Mnemonic to merge. But the result is not good, For example, the cds data have 900 of firms, the merging result is only 500 of firms.

    I confuse in this problem.Could you help me to solve this problem.

    Thank you very much

    • Hello,
      I’ve checked the CDS data in Datastream and there is no way to match, all you can get is the name and the mnemonic of the CDS, and there is no link to the equities in Datastream (Futures and options have, there you can request the underlying mnemonic).
      Kind regards,
      The Datateam

  5. Hi I am wondering what the difference is between the following 3 sets of data. Essentially what does CR, XR and MM stand for? Thanks!


    • According to the ‘Thomson Reuters CDS – FAQ’ CR, XR and MM are restructuring types. We copied this from the FAQ:

      Full restructuring (CR)
      The full-restructuring clause was the standard contract term in the 1999 ISDA credit derivatives definitions. Under this contract option, any restructuring event qualifies as a credit event (and any bond of maturity up to 30 years is deliverable).

      Modified restructuring (MR, introduced in 2001)
      In 2001, to limit the scope of opportunistic behaviour by sellers in the event of restructuring agreements that did not cause loss, ISDA published a modified restructuring clause.

      Modified-modified restructuring (MM, introduced in 2003)
      In 2003, a further modification of the modified restructuring clause was introduced, in response to the perception on the part of some market participants (particularly in Europe) that the modified restructuring had been too severe in its limitation of deliverable obligations

      No restructuring (XR)
      Under this contract option, all restructuring events are excluded under the contract as “trigger events”. The advantage to this contract is that so-called “soft” credit events under restructuring that do not constitute a true loss for the protection buyers, but still might encourage opportunistic behaviour on their part, are ruled out

      You can find the complete FAQ in Datastream Extranet, under Credit Default Swaps.

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