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 ?
The system is counterparty to one fixed payor swap and one constant maturity swap, converting approximately 13% of total debt to synthetic fixed rates.
The annual coupon payments are linked to the number of calendar days qualifying dual conditions, under which USD 30Y constant maturity swap (CMS) is equal to or greater than USD 2Y CMS, and USD 10Y CMS fixing ranges 0% to 6%.
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