Constant Maturity Swap


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Constant Maturity Swap

An interest rate swap where the buyer is permitted to pick the maturities of the interest rates swapped. For example, the buyer may choose to receive the six month interest rate (calculated over some notional amount) while paying a one-year rate. One buys a CMS when one believes he/she knows the direction of future rates.
References in periodicals archive ?
Smith has extensive experience in implementing alternative structured financial products, including interest rate swaps, swaptions and rate-locks, and was the first to execute a structure such as the non-integrated swaption on a debt service reserve fund and the Index Floater structure and the Constant Maturity Swap.
The other swap, a constant maturity swap (basis swap) executed in 2008, is not tied to any debt instrument and will remain outstanding with counterparty Fifth-Third Bank (rated 'A-').
Memorial recently entered into forward constant maturity swap agreements with Morgan Stanley and Citibank.
While 100% of this exposure is hedged with a standard LIBOR-based swap and constant maturity swap, the district is now increasingly vulnerable to the inherent risks of derivative securities and auction-rate products.
CHP has approximately $832 million in swap contracts with $582 million in fixed payor swaps and $250 million in constant maturity swaps.
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