February 17th, 2016, 5:23 pm
No, the fixing is the ISDA fixing which is based on traded standard swaps Annual fixed 30/360 vs 6m Euribor Act360 (for the 1y swap it is 3m Euribor). Still the CMS leg payments are decoupled from these conventions. Why not, the CMS rate is not related to the period of the structured payment in the CMS swap anyway.