Funds, CVA Drive Quanto On Spain

09 Apr 2012

Hedge funds and credit valuation adjustment desks have been buying quanto credit default swaps, which are denominated in euros but pay out in U.S. dollars, on Spain as a basis play because of a larger payout in the greenback.

Hedge funds and credit valuation adjustment desks have been buying quanto credit default swaps, which are denominated in euros but pay out in U.S. dollars, on Spain as a basis play because of a larger payout in the greenback.

According to London trader, quanto CDS on Spain was ...

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