Constant Maturity Swap

This Issue in United States

Constant Maturity Swap (cms)

Concept of Constant Maturity Swap (cms) in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): An interest rate derivative (i.e. an instrument that transfers risk from one party to the other) in which one leg periodically fixes against a certain maturity on the swap curve, for example the 5 year fixed swap rate. The other leg is typically a vanilla floating leg based on LIBOR.

Resources

See Also

• Derivatives Contract