It stands for constant maturity treasury swap. A yield curve swap in which one leg is referenced to constant maturity treasury (CMT) rates. One counterparty to the swap pays the CMT rate at a particular part of the yield curve (e.g., one-year rate, two-year rate, ..) and receives that rate at a different part of the curve (e.g., 10-year, 11-year,..).
December 16, 2024
