Where can I get historical data for subprime RMBS credit spreads (going back 5-7 years if possible)? I'm talking about US RMBS

The problem with RMBS is that actual reliable quotes aren't that easy to find, in an aggregated format. If you have Bloomberg you can try to look at individual issues, but most likely the pricing comes from BVAL and does not neccesarily represent actual market pricing.Of course you could try to get data from focused RMBS shops (hedge funds or brokers) but this is probably not something they share easily.You best bet in the end might to look at the ABX Indices as the quotes are both reliable (actual tradable prices) and show the overall market pricing for different vintages and different parts of the capital structure. The indices go back to 2006 I believeYou will find full history of ABX indicies on Bloomberg and also the most recent history (past 6 months) on the Markit Partners website. You could also contact markit partners directly and see how you can get access to the full dataset.http://www.markit.com/en/products/data/ ... rices.page?