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Derivatives

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  • October 3, 2021
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CMT Swap

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,..).


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