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CVA exposure to 30y
The only time I ever hear CVA desks mentioned in market comments, is in conjunction with the phrase 'receiving heavily in EUR 30y swaps'. I assume there is some technical reasons why CVA desks are so exposed to the 30y part of the curve, and why they are always the same way. Can anyone explain this?
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- Martinghoul
- Posts: 188
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CVA exposure to 30y
I think there's a thread on this already, started by freddiemac, if memory serves.
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- Martinghoul
- Posts: 188
- Joined:
CVA exposure to 30y
D-OH! Sorry, I was thinking of yet another thread.