CVA Desks Tap Croatia Quanto CDS

Apr 12, 2012 - Kevin Dugan

Read More: Croatian National Bank·

Credit valuation adjustment desks have been buying quanto credit default swaps on Croatia, the first such instruments traded on the underlying, according to traders.

The trades have emerged on expectations that the country’s upcoming U.S. dollar-denominated bond issuance will be swapped into euros after the country joins the European Union next year. The quanto CDS on Croatia are denominated in euros and pay out in U.S. dollars should....

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