[1] Addressing CMCDS typically requires prior understanding of credit default swaps.
[1] Differently from a standard CDS, the premium leg of a CMCDS does not pay a fixed and pre-agreed amount but a floating spread, using a traded CDS as a reference index.
More precisely, given a pre-assigned time-to-maturity, at any payment instant of the premium leg the rate that is offered is indexed at a traded CDS spread on the same reference credit existing in that moment for the pre-assigned time-to-maturity (hence the name "constant maturity" CDS).
The participation rate may be defined as the ratio between the present value of the premium leg of a standard CDS with the same final maturity and the present value of the premium leg of the constant maturity CDS.
Valuation of CMCDS has been explored by Damiano Brigo in 2004[2] and Anlong Li in 2006.