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

Upcoming Webinar: Evolution of data management for the buy-side 2021

Date: 27 May 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes The buy-side faced a barrage of regulation in 2020 and is now under pressure to make post-Brexit adjustments and complete LIBOR transition by the end of 2021. To ensure compliance and ease the burden of in-house data management, many...

BLOG

GLEIF Calls Global Industries to Join Development of Cryptographically Verifiable LEI

The Global Legal Entity Identifier Foundation (GLEIF) has set out grand plans to create a digitised LEI service based on a digitally verifiable credential containing the LEI – the vLEI – and able to provide automated identity verification between counterparties. The ambition is for all industry sectors globally, including financial services, to embed new and...

EVENT

RegTech Summit APAC

RegTech Summit APAC will explore the current regulatory environment in Asia Pacific, the impact of COVID on the RegTech industry and the extent to which the pandemic has acted a catalyst for RegTech adoption in financial markets.

GUIDE

Regulatory Data Handbook 2019/2020 – Seventh Edition

Welcome to A-Team Group’s best read handbook, the Regulatory Data Handbook, which is now in its seventh edition and continues to grow in terms of the number of regulations covered, the detail of each regulation and the impact that all the rules and regulations will have on data and data management at your institution. This...