The return of steepeners

Constant maturity swaps

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Enthusiasm for constant maturity swap steepeners (see box page 22) waned following the losses incurred last year, when the US dollar yield curve flattened to the point of inversion. On closer inspection, however, in addition to tranches of constant maturity swap (CMS) spread range-accrural notes, estimates suggest that between $2 billion and $3 billion of highly leveraged structures linked to CMS spreads were sold in Asia during the past nine months, particularly to retail distributors and c