First wave of CMS calling activity hits US market

risk-0507-01-gif

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'v

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: