First wave of CMS calling activity hits US market

Constant maturity swap (CMS) range accrual notes, one of the most popular fixed-income structured products of recent years, have begun to hit their cancellation boundaries and are now being called by dealers. The first wave of calling activity kicked in during March as the CMS curve steepened.

"We called some of our 10s/2s and 30s/2s structures in early and then late March," says one New York-based interest rate exotics dealer. "These are not necessarily the most visible of products, but we've