A difference of opinion

CMS spread options have been just about everywhere this year, with investors keen to take a view on the shape of the yield curve. But a wide variation in pricing has sparked speculation that some banks may not be modelling these products accurately. By Nick Sawyer

pg2-cover-gif

These days, most derivatives structures seem to have a shelf life of only a few weeks before a fresh twist has investors moving on to the next new product. It's been the same story with constant maturity swap (CMS) structures. A wide variety of CMS and CMS spread option products have emerged over the course of the year, each with some new novelty, feature or payout. But the underlying theme has been the same – investors are keen to take a view that the yield curve is too flat on a forward basis

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

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 individual account here