The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

CMA Launches CDS Pricing that Factor in Quanto Risk

CMA, the leading provider for intraday CDS data and OTC market solutions, has announced the launch of a new product that takes into account the CDS ‘Quanto’ spread of key Euro-zone Sovereigns.

Given European sovereign CDS are typically traded in USD and not the domestic currency (Euros), in order to accurately mark-to-market, holders of Sovereign and large Corporate CDS need to understand the impact on domestic spreads from the implied change in the FX rate in the event of a default. Quanto spreads in Euro-zone Sovereigns suggest that the EUR/USD FX rate is likely to reduce in value, introducing a devaluation risk. The CDS Quanto spread therefore reflects how the market adjusts prices to factor in this risk.

CMA Datavision CDS Quanto data provides clients with access to full CDS currency curves that factor in market implied FX devaluation factors based on Quanto spreads observed in the market. Additionally, the following information is made available:

? Underlying currency curves
? Par spreads, quote spreads, percent-of-par and Upfront price formats
? Implied devaluation factor

Jav Bose, product owner for the CMA Datavision product line explains: “Full term non-standard term structures can be created from a single 5 year observed Quanto spread by determining the market implied devaluation factor. The results produce curve differentials which are not constant across the term structure and essential for accurately pricing non standard CDS currency exposure.”

CMA Datavision CDS services, which include single name CDS, indices, tranches, sovereigns, LCDs and Quantos are available directly from CMA and key channel partners.

Related content

WEBINAR

Recorded Webinar: A new way of collaborating with data

Digital transformation in the financial services sector has raised many questions around data, including the cost and volume of reference data required by each financial institution. Firms want to pick and choose the reference data they need to fulfil their requirements. Emerging solutions with the potential to decrease the cost of data and increase flexibility...

BLOG

Alveo Adds FactSet ESG Data Sets to Data Management Platform

Alveo has extended its commitment to ESG solutions with the integration of FactSet’s ESG data sets into its data management platform. It is also responding to buy-side firms’ requests to access, manipulate and analyse ESG data as part of broader efforts to achieve straight-through-processing for all reference data and deliver better data access to business...

EVENT

TradingTech Summit Virtual

TradingTech Summit (TTS) Virtual will look at how trading technology operations can capitalise on recent disruption and leverage technology to find efficiencies in the new normal environment. The crisis has highlighted that the future is digital and cloud based, and the ability to innovate faster and at scale has become critical. As we move into recovery and ‘business as usual’, what changes and technology innovations should the industry adopt to simplify operations and to support speed, agility and flexibility in trading operations.

GUIDE

Risk & Compliance

The current financial climate has meant that risk management and compliance requirements are never far from the minds of the boards of financial institutions. In order to meet the slew of regulations on the horizon, firms are being compelled to invest in their systems in order to cope with the new requirements. Data management is...