IRS swaps

Discussion in 'Data Sets and Feeds' started by Bazman, Oct 4, 2012.

  1. 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!


  2. CT10Gov


    Try JPM's DataQuery or Barclay POINT. I'm pretty sure it's in the latter.

  3. Bazman


    Thanks but that's not it, seems to be their own rate indices.
  4. CT10Gov


    It's from their dealing desks; Bloomberg's data is compiled from dealing desks too. Am I missing something?

  5. Bazman


    This is what is shown on the barclays website:

    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
  6. CT10Gov


    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.

  7. CT10Gov


    P.S. what are trying to do? Maybe you can recreate the curve using eurodollar futures?

  8. Bazman


    I feared as much!