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