Breaking the fall

Cover story: CMS spreads

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Constant maturity swap (CMS) spread options products were hugely popular across Asia between late 2003 and mid-2005. Yield-hungry investors in the region snapped up a wide range of CMS spread products - steepeners, digitals, range accruals and target-redemption notes - that were usually capital-guaranteed at maturity and denominated either in US dollars or quantoed into local currencies. Globally, brokers estimate that more than $50 billion of such trades have taken place in the past 18 mont