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Constant Maturity Swap - CMS

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Constant Maturity Swap - CMS
A variation of the regular interest rate swap, whereby the floating interest portion is reset periodically according to a fixed maturity market rate of a product with a duration extending beyond that of the swap's reset period.

Notes:
Constant maturity swaps are exposed to changes in longer-term interest rate movements as they are initially priced to reflect fixed-rate products with maturities between 2-5 years in duration, but adjust with each reset period.


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