The case for constant maturity default swaps

Rachel Wolcott
01 Mar 2005

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The credit derivatives business is a seemingly inexhaustible developer of new ideas. And constant maturity credit default swaps (CMDSs) are held up by the major players as a shining example of their market’s progress.

Credit derivatives notionals grew by 44% in the first half of 2004 to $5.44 trillion, according to the International Swaps and Derivatives Association. This growth owes a lot to product innovation and the industry’s constant search for new applications for credit

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