Multiple CDS Series & Datastream

A standard subscription to Datastream includes data from CDS series. In a previous blog item I mentioned that there are two default providers of CDS data available:

 – CDS data from CMA (from 2004 – September 2010)

 – CDS data from Thomson Reuters (from 2007 – now).

There are, of course more suppliers / providers of CDS time series data. In 2010 Mayordomo, Peña and Schwartz did some research and wrote an article where they compare some of these providers: “Are all Credit Default Swap Databases Equal?“. The authors concluded that the provider CMA was the best source of reliable CDS data and is less prone to causing deviations (like fat tails: see also the definition and background).
If your research covers a time period that makes it possible to use just one source, that is also preferable as you do not run the risk of additional deviations because of differing methodologies of the providers in gathering the data.

If the research at your organisation leaves you no way out, and you have to use the standard two Datastream sources with CDS data, you can combine the data from these two providers. In the earlier blog post I mentioned the SPLC function/formula which can be used to combine series. The SPLC formula can also be used to look up several series at once.

1) First you need to identify (or searc for) relevant CDS CMA or Thomson Reuters (TR) series.

2) Next the Excel function VLOOKUP (= Vertikaal zoeken) can be used to match CMA and TR series. You have to be careful here as there seem to be more different TR series (with different currencies) that match CMA series. It may be an idea to select the series of the same currencies before matchen them by Mnemonics (= Datastream codes). See example with a small selection of 5 Year CDS series using the Excel file that matches all series (see original blog item):

3) As the next step you can combine the matched series in Excel with the SPLC formula using the Concatenate function (= tekst samenvoegen). See example:

4) The final step is doing a Request Table search to lookup all combined series in one go. You have to copy the formulas in the series column and Paste them as values! As the SPLC formula includes the datatypes SM it is also not necessary to put a datatype in the column for Datatypes! An example Request table can be downloaded here and would look as follows:

N.B.: The example Request Table spreadsheet (above) has the American date-notation: mm-dd-yy. On your own computer you may have to change this the date-notation to the European version: dd-mm-yy (or dd-mm-jj).

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