how can I get historical cds spread for a list of tickers? I am interested in 5 years maturity an...

how can I get historical cds spread for a list of tickers? I am interested in 5 years maturity and monthly (or quarterly) prices

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Accepted answers

haykaz.aramyan

Hi @paolo.piantadosi ,

you can first get the list of CDS for a given RIC, eg for Microsoft.

data, err = ek.get_data(['MSFT.OQ'],'TR.CDSPrimaryCDSRic')
data

And then (or If you have them already) you can use CDS RIC(s) and request spread prices. Example below shows PARMIDSPREAD for MSFT5YUSAX=R:

data, err = ek.get_data(['MSFT5YUSAX=R'],['TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2016-01-01', 'EDate': '2021-12-31'})
data

For more fields you can look at Data Item Browser(DIB) section of Workspace. See below a screenshot for available spreads:

Hope this helps!

All comments

haykaz.aramyan

Hi @paolo.piantadosi ,

you can first get the list of CDS for a given RIC, eg for Microsoft.

data, err = ek.get_data(['MSFT.OQ'],'TR.CDSPrimaryCDSRic')
data

And then (or If you have them already) you can use CDS RIC(s) and request spread prices. Example below shows PARMIDSPREAD for MSFT5YUSAX=R:

data, err = ek.get_data(['MSFT5YUSAX=R'],['TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2016-01-01', 'EDate': '2021-12-31'})
data

For more fields you can look at Data Item Browser(DIB) section of Workspace. See below a screenshot for available spreads:

Hope this helps!

paolo.piantadosi

@haykaz.aramyan thanks a lot for your help. I don’t know if I am in the wrong forum but I hoped that I can do those steps on the excel add-in because i am not a phyton user actually.

I really will appreciate if you know ho to do this in excel. Thanks.

haykaz.aramyan

@paolo.piantadosi, unfortunately, I can't assist re excel addin, this is a support forum for accessing Refinitiv data through APIs. For excel related questions I would advice opening a query via Helpdesk.

sahin.yigit

Hey @haykaz.aramyan,

I just had the same question and your answer seems pretty helpful. There is just one thing I do not understand. Where am I supposed to copy this lines of codes in ? In the example codes that are already provided by Refinitiv or do I have to start a new page ? I was looking for something like that. You can see my question in my profil maybe you could help me out with my problem as well. Because I am not looking for the historical data of a certain RIC I am rather looking for all the CDS´s that were traded during a specific time range.

Thanks in advance

student1.student

Hi @haykaz.aramyan, this is super helpful! I am trying to do something similar for sovereign bonds but have the problem that the RICs seem to change overtime. Do you know how I can identify the time series of RICs for a given country's sovereign CDS and then use that to get the spreads? Thanks!

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