Constant maturity swap spread note

Derivative with a payoff based on the difference of two swap rates of specific maturities. For example, a CMS spread note might pay quarterly coupons based on the difference between quarterly fixings of the 10-year and 5-year semi-annual swap rates. The coupons of such a structure depend on the slope of the yield curve; the Note would therefore be traded by parties who wish to take a view on future relative changes in different parts of the yield curve. The steeper the yield curve, the greater the coupon - giving rise to the term "steepener" for certain CMS spread instruments.