The Yield Curve Swap – (originally published Q3-2006)
Overview Since late March, the tax exempt market has been inundated with a strategy designed to increase the cash flow from a LIBOR based swap. The transaction goes by the several different names including: Constant Maturity Swap (“CMS”) Basis Swap Overlay Yield Curve Swap (“YCS”) Increased Tenor Swap We will refer to the swap in … Continued