Credit Default Swaps

I am looking for reliable sources of Credit Default Swaps data on the US stock market. Does anyone know something? Thanks in advance.

 

bloomberg has decent data I think. They get it from markit I believe. As its OTC the data is proprietary

 

IHS Markit used to post indications on their site but not since S&P bought them.

 

Its very basic but price is right, free:-

https://www.worldgovernmentbonds.com/cds-historical-data/united-states/5-years/

 

The 5Y chart has to be wrong. March 2020 COVID peak was a lot higher.

 

For free? There are a lot of sources if you are willing to pay up, like BBG, Reuters (now Refinitiv LSEG), and so on. There are also a lot of places to get the Sovereign CDS indicatives like WGB, Datagrapple, Investing.com..., but not the single name quotes.

Investing.com does have a subset of names though, including history charts and tables. Symbol for GS 5yr, for example is GS5YUSAX=R (just the RIC). Other names and tenors follow the same symbology.

https://www.investing.com/rates-bonds/goldman-sachs-cds-5-year-usd

If you are ok with only trades and not indicative quotes, then the DTCC SDRs have extensive data, including Canadian names as well.

Interestingly, left tail options in names with quoted CDS incorporate less risk premia than left tail options in names without quoted CDS. Apparently large investors preferentially hedge their tail risks in the CDS markets.