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CMT Rate


An abbreviated form for constant maturity treasury rate; an interest rate benchmark that provides the yield of a synthetic security that is interpolated from the Treasury yield curve for a given maturity. The yield (on nominal Treasury rates) is adjusted to constant maturities. This rate represents the par yield for a treasury instrument that matures in a given maturity (1, 2, 3, 5, 7, 10, 20, or 30 years).

There are derivatives in which the underlying rate is CMT rate: these include CMT swaps, CMT options, CMS-CMT basis swaps, etc.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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