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Old Oct 4th, 2012, 11:40 AM   #1
Bazman
 
 
Join Date: Mar 2008
Posts: 16
Hi there,

Does anyone know where I can get either benchmark USD or EUR IRS closing swap rates for every maturity up to ideally 60y?

Ideally I'd like these going back to 1990.

On bloomberg I can get up to 55y but for most rates that aren't a multiple of 10 after 30y it only goes back to 2005!

Thanks

Baz
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Old Oct 4th, 2012, 12:00 PM   #2
CT10Gov
 
 
Join Date: Sep 2012
Posts: 438
Try JPM's DataQuery or Barclay POINT. I'm pretty sure it's in the latter.

Quote:
Quote from Bazman:

Hi there,

Does anyone know where I can get either benchmark USD or EUR IRS closing swap rates for every maturity up to ideally 60y?

Ideally I'd like these going back to 1990.

On bloomberg I can get up to 55y but for most rates that aren't a multiple of 10 after 30y it only goes back to 2005!

Thanks

Baz
    Quote
Old Oct 4th, 2012, 12:07 PM   #3
Bazman
 
 
Join Date: Mar 2008
Posts: 16
Thanks but that's not it, seems to be their own rate indices.
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Old Oct 4th, 2012, 12:09 PM   #4
CT10Gov
 
 
Join Date: Sep 2012
Posts: 438
It's from their dealing desks; Bloomberg's data is compiled from dealing desks too. Am I missing something?

Quote:
Quote from Bazman:

Thanks but that's not it, seems to be their own rate indices.
    Quote
Old Oct 4th, 2012, 12:17 PM   #5
Bazman
 
 
Join Date: Mar 2008
Posts: 16
This is what is shown on the barclays website:

https://ecommerce.barcap.com/indices/index.dxml

It seems they group the curve into buckets + that's for treasuries not swap rates. (quite possibly its me that's missing something).

I assume that to gain access to this service you have to pay a fee/open account with suiably hefty depost?

I'm sure they would have the data if I asked but I was hoping to get the data
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Old Oct 4th, 2012, 12:24 PM   #6
CT10Gov
 
 
Join Date: Sep 2012
Posts: 438
These are just the agg indices. Barclays POINT gives you access the underlying data, which includes a whole set of data for IRS by tenor points, currency, etc.

Unfortunately, you are also right; and it's not fee/open/deposit either. POINT is an extra entitlement for their big institutional clients.

OTC data is never cheap or easy to get.

Quote:
Quote from Bazman:

This is what is shown on the barclays website:

https://ecommerce.barcap.com/indices/index.dxml

It seems they group the curve into buckets + that's for treasuries not swap rates. (quite possibly its me that's missing something).

I assume that to gain access to this service you have to pay a fee/open account with suiably hefty depost?

I'm sure they would have the data if I asked but I was hoping to get the data
    Quote
 
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