Constant maturity swap

Time series of swap rates: the 10 and 2 year swap rates and the spread between the two

The constant maturity swap , short CMS ( German as "exchange constant maturity") is a form of interest rate swaps , in which the interest payment for a swap partner at regular intervals to a (long-term) the reference rate (. As the current 10-year -Swap sentence) is adjusted. The interest payment from the other swap partner is usually based on a short-term interest rate (e.g. 3-month Euribor ).

As with a normal interest rate swap, a short-term interest rate is exchanged for a longer-term one, whereby in contrast to this, the long-term interest rate is not constant over the term, but is regularly adjusted.

However, since this would be an "unfair" swap, with a normal yield curve the constant maturity swap with a premium to z. B. EURIBOR or LIBOR or quoted as a discount on the regularly adjusted capital market rate .