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One-Year Constant Maturity Treasury

One-Year Constant Maturity Treasury

What Is the One-Year Constant Maturity Treasury (CMT)?

The one-year constant maturity Treasury (CMT) is the interpolated one-year yield of the most recently auctioned 4-, 13-, and 26-week U.S. Treasury bills (T-bills); the most recently auctioned 2-, 3-, 5-, and 10-year U.S. Treasury notes (T-notes); the most recently auctioned U.S. Treasury 30-year bond (T-bond); and the off-the-run Treasuries in the 20-year maturity range.

Understanding the One-Year CMT

At the point when the average yields of Treasury securities are adjusted to the equivalent of a one-year security, the term structure of interest rates results in an index known as the one-year constant maturity Treasury.

The U.S. Treasury distributes the one-year CMT value daily, along with the respective week by week, monthly, and annual one-year CMT values. Constant maturity yields are utilized as a reference for pricing debt security issued by entities like corporations and institutions.

Tied to the Yield Curve

The yield curve โ€” critical in determining a benchmark for pricing bonds โ€” gives investors a quick look at the yields offered by short-, medium-, and long-term bonds. Otherwise called the "term structure of interest rates," the yield curve is a graph that plots the yields of comparative quality bonds against their time to maturity, going from 90 days to 30 years.

The yield curve incorporates 11 maturities, which are 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. The yields of these maturities on the curve are the CMT rates.

An Interpolated Curve

The one-year CMT is tied to a interpolated yield curve (I-curve). The U.S. Treasury interpolates the constant maturity yields from the daily yield curve, in light of the closing market bid yields of the actively traded Treasury securities in the over-the-counter (OTC) market and calculated from the composites of quotations obtained by the Federal Reserve Bank of New York.

Constant maturity, in this context, means that this interpolation method gives a yield to a particular maturity even assuming no outstanding security has exactly that fixed maturity. In other words, investment experts can determine the yield on a one-year security even though no existing debt security has exactly one year to mature.

CMTs and Mortgage Interest Rates

The monthly one-year CMT value is a well known mortgage index to which many fixed-period or hybrid adjustable-rate mortgages (ARMs) are tied. As economic conditions change, lenders utilize this index โ€” which shifts โ€” to adjust interest rates by adding a certain number of percentage points called a margin โ€” which doesn't fluctuate โ€” to the index to establish the interest rate a borrower must pay. At the point when this index goes up, interest rates on any loans tied to it likewise go up.

A few mortgages, like payment option ARMs, offer the borrower a selection of indexes with which to determine an interest rate. In any case, borrowers ought to consider this decision carefully with the assistance of an investment analyst, as different indexes have relative values that historically are quite constant within a certain reach.

For instance, the one-year CMT index used to be set lower than the one-month London Interbank Offered Rate (LIBOR) index (LIBOR, notwithstanding, is being phased out for rate setting). In this way, while thinking about which index is most economical, don't forget about the margin, or spread between the CMT and some benchmark rate or index. The lower an index relative to another index, the higher the margin probably would be.


  • The one-year constant maturity Treasury (CMT) represents the one-year yield of the most recently auctioned Treasury securities.
  • The monthly one-year CMT value is a famous mortgage index to which numerous adjustable-rate mortgages (ARMs) are tied.
  • The one-year CMT is linked to an interpolated yield curve (I-curve), which can give a yield to a one-year security although no existing debt security matures in exactly one year.