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.
In addition to the comprehensive variance and inflation swap coverage, F3 has expanded coverage to include Constant Maturity Swaps
(CMS) pricing capabilities and has made enhancements to its volatility cube.
CHP has approximately $832 million in swap contracts with $582 million in fixed payor swaps and $250 million in constant maturity swaps
2 includes Constant Maturity Swaps
(CMS) and Index Amortizing (IA) Swaps.