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Quanto Spread

The difference between the CDS quotes in one currency and another. This spread could trade as a standalone product. For example, a quanto spread could be created using a dollar-denominated credit default swap (CDS) and a euro-denominated one. Typically, the former is more expensive than the latter, i.e. the dollar CDS have wider spreads.

The quanto spread reflects the relationship between two CDS spreads, i.e., creditworthiness of CDS sellers in a specific country/ region and the value of the its currency one the one hand and the creditworthiness of CDS sellers in another country/ region and the value of its currency on the other.


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