I need data of interest rate swaps; my understanding is that this market is deep so I wouldn't have no problem finding data in Bloomberg. But, how to get the information of the clearinghouse where a particular interest rate swap is being traded. If you provide some command or feature that I need to look at bloomberg screen would be appreciated.
Freddy - In general (and historically), the market for plain vanilla IRS's is (was) very deep and because of the DFA most swaps are now cleared. However, I am not certain that you can get the identity of the clearinghouse as an attribute along with other characteristics of the contracts needed for your analysis from a Bloomberg data set. The good news is that the number of clearinghouses is few. I suggest you start with the CME to determine whether you can get the needed data and proceed to others. Unfortunately, you might have to do a bit of normalizing, which is something Bloomberg is generally good at doing. - Tony
Thanks Anthony. I really appreciate your post. I will start with CME as you suggest. Since I am familiar with downloading data from Bloomberg I was a little concerned about what clearinghouse (CCP) is related to an specific IRS. I could not see anything on the screen and I thought maybe I am missing something. Thanks a lot.
- Badges
- Science topic
- Similar topics
- Econ
- Business Economics