This release extends calibration capabilities where IR models can be calibrated to IR Caps and Floors and the Libor Market Model (LMM) can be calibrated to Constant Maturity Swap
Instruments in the most sophisticated multi-curve framework possible.
In addition, he has pioneered new structures in public finance by completing Texas' first constant maturity swap
transaction for voted bonds, the first issuance of Qualified School Construction Bonds in Texas, the first variable rate refunding for a school district and the first tax credit financing for a charter school.
Constant Maturity Swap
(CMS) Analytics (Swaps, Spread Options and Caps/Floors)
Reduced risk from swaps and liquidity facilities: BATA terminated $515 million of constant maturity swap
options, decreased total swap portfolio by $337 million and replaced about $1.
In addition, management recently decided to unwind the outstanding constant maturity swap
(CMS), which was not tied to any debt instrument.
Smith has extensive experience in implementing alternative structured financial products, including interest rate swaps, swaptions and rate-locks, and was the first to execute a structure such as the non-integrated swaption on a debt service reserve fund and the Index Floater structure and the Constant Maturity Swap