Are Constant Maturity Treasuries and Constant Maturity Treasury ARM Indexes the same thing?
Each Constant Maturity Treasury Index is based on the corresponding Treasury Yield Curve Rate* and is usually computed by averaging either the past week’s or the past month’s daily rates of the underlying Constant Maturity Treasury. For example, the most popular and commonly known index is the Monthly 1-Year CMT. This index is based on the 1-Year Constant Maturity Treasury and changes once a month. The current rate is calculated by averaging the past month’s daily rates of the 1-Year Constant Maturity Treasury. * A set of theoretical securities with ‘artificially constant’ maturity, all priced at par, is constructed daily by the U.S. Treasury based on the rates of existing, marketable securities issued by the U.S. government. These hypothetical ‘constant maturity’ securities are called ‘Constant Maturity Treasuries’, or CMTs. Yields on Treasury securities at ‘constant maturity’ are also known as Treasury Yield Curve Rates.
