CMA Bows Quanto Spread CDS Pricing Curves

Credit Market Analysis, the over-the-counter credit data subsidiary of CME Group, has introduced a new product to its CMA Datavision CDS instrument pricing service that incorporates the credit default swap “Quanto” spread of key eurozone Sovereigns to help investors incorporate the impact of foreign exchange rate differences into CDS pricing models.

CMA rolled out the product, dubbed CMA Datavision CDS Quanto, on Sept. 7, aimed at investors who trade CDSs on European sovereign debt and large

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