Retrieve single name probability of default curve or CDS quotes (RDP)

pcarrizosa
pcarrizosa Newcomer
in Refinitiv Data Platform

Hi,

I would like to know if it is possible to retrieve bootstrapped probability of default curves from CDS of single names through Refinitiv Data Platform. Failing this, I would like to retrieve directly the CDS quotes. This data is available in the Eikon Desktop Application, but I am wondering if it can be obtained programming.

Thanks in advance.

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Best Answer

  • Shadab Hussain
    Shadab Hussain LSEG
    Answer ✓

    Hi @pcarrizosa,

    Thanks for sharing the above information, I checked with the product team, this option is currently not available. They're working on it and should hopefully be a Q1 / Q2 deliverable for API access. For more details you can follow up on this case id 10890478 with the support team directly via MyRefiniv.

Answers

  • Shadab Hussain
    Shadab Hussain LSEG

    Hi @pcarrizosa,

    Would you share a sample and screenshot of the data along with the item name that you are looking for which is available on Eikon so I can check how this can be retrieved on RDP?

  • pcarrizosa
    pcarrizosa Newcomer

    The aim is to obtain curves of CDS for companies which are listed:

    For instance, in the EIKON platform we can see the CDS yield curve for BBVA with the RIC 0#BBVAEUAMRBMK=:

    fig1.png

    Also, we would like to obtain probabilities curves given the sector/subsector, ranting and currency. Taking for instance, the RIC 0#AAEURBNKBMK=, which represents the curve for Banks with rating AA in euro:

    fig3.png

    Is there any datapoint where it would be possible to obtain this data?

    Thank you!

  • jcastellano
    jcastellano Newcomer

    Dear @Shadab Hussain ,

    Has there been any update on the API endpoint? Do you know when it will become available?

    Best regards.

  • Shadab Hussain
    Shadab Hussain LSEG
    https://community.developers.refinitiv.com/discussion/comment/92970#Comment_92970

    Hi @pcarrizosa,

    I checked with the support team and the focus currently is on the FX asset class. Unfortunately, they do not have the timeline yet for the availability of Credit Curves from CDS.

  • vvidal1
    vvidal1 Newcomer

    Hi @Shadab Hussain,

    Is there any update on this?

    Kind regards.

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