Downloading CDS Spread

Ruiqing

Hi, I'm trying to compute the CDS-bond basis for each company (reference entity or issuer). The data I have now is the companies' names (e.g., 'VOLKSBANK WIEN AG') and their corporate bonds (with ISINs). To compute the CDS-bond basis, I first need to download CDS spread and bond yield for each company. For the former, I use ld.get_data(some_bond_isin, fields=['TR.CDSPrimaryCDSRic']), which gives me the primary 5-year CDS RIC for the issuer of the bond (given its ISIN), I guess. Then, I need to use this RIC to fetch a time series of CDS spread (or price) using ld.get_history(), but I'm not sure which fields to use. When I look for variables in DIB, there seems to be so many relevant fields. Could you inform me the best choice for CDS spread, and also for bond yield, or how should I find the ones I need, since I find the descriptions of the variables in DIB incomplete. Lastly, could you also check if my procedure described above for computing CDS-bond basis is suitable with lseg.data API? Thanks so much for your attention!

Jirapongse

@Ruiqing

Thank you for reaching out to us.

This forum is dedicated to software developers using LSEG APIs. The moderators on this forum do not have deep expertise in every bit of content available through LSEG products, which is required to answer content questions such as this one.

The best resource for content questions is the Helpdesk support team, which can be reached by submitting queries through LSEG Support. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

You need to ask for the Excel formula, such as =RDP.Data or =RDP.HistoricalPricing, that can be used to retrieve the required data. Then, we can help you converting that formula to Python code.

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