Interest Rates - Frequently Asked Questions

Are the CMT rates the same as the yields on actual Treasury securities?

CMT yields are read directly from the Treasury's daily par yield curve, which is derived from indicative closing bid market price quotations on Treasury securities.  However, CMT rates are read from fixed, constant maturity points on the curve and may not match the exact yield on any one specific security.  For more information on the daily Treasury yield curve, see the link to our Treasury Yield Curve Methodology page.

Are the CMT yields annual yields?

CMT yields are read directly from the Treasury's daily par yield curve and represent "bond equivalent yields" for securities that pay semiannual interest, which are expressed on a simple annualized basis.  This is consistent with market practices for quoting bond yields in the market and makes the CMT yields directly comparable to quotations on other bond market yields.  As such, these yields are not effective annualized yields or Annualized Percentage Yields (APY), which include the effect of compounding.  To convert a CMT yield to an APY you need to apply the standard financial formula:

APY = (1 + I/2)2-1

Where ”I” is the CMT rate expressed in decimals.  For example, if the 5-year CMT rate was 8.00%, then the annualized effective yield, or APY, would be:

APY = (1 + .0800/2)2-1
APY = 1.081600 -1
APY = 0.081600

And, expressed as a percent:

APY = 8.16%

Are the CMT rates used to set Adjustable Rate Mortgage (ARM) rates?

Treasury does not make the determination as to which, if any, CMT rate index is used to set an ARM rate.  ARM rates are set by the financial institution that made or holds the mortgage.  If you have an ARM, you should ask your lender if a Treasury CMT index rate is used to adjust your ARM.  ARM holders can find an abundant source of information on how these rates are adjusted by searching the internet for "ARM Indexes and CMT rates".


What is the difference between the "Daily Treasury Long-Term Rates" and the "Daily Treasury Par Yield Curve Rates"?

The "Daily Treasury Long-Term Rates" are simply the arithmetic average of the daily closing bid yields on all outstanding fixed coupon bonds (i.e., inflation-indexed bonds are excluded) that are neither due nor callable for at least 10 years as of the date calculated. "The Daily Treasury Par Yield Curve Rates" are specific rates read from the daily Treasury par yield curve at the specific "constant maturity" indicated.  Thus, a yield curve rate is the single yield at a specific point on the yield curve.  For example, the 20-year daily yield curve rate (i.e., the 20-year CMT) represents the par yield for a new theoretical 20-year bond as of that date.


These tables only show daily yields, how do I get the weekly, monthly, and/or annual averages?

Treasury does not publish the weekly, monthly, or annual averages of these yields.  However, the Board of Governors of the Federal Reserve System also publishes these rates in their Statistical Release H.15.  The web site for the H.15 includes links that have the weekly, monthly, and annual averages for the CMT indexes.  Please see the  Federal Reserve website for the current daily rates and the Board’s Data Download Program for the weekly, monthly and annual averages.


Why do longer CMT maturities sometimes have yields lower than the shorter maturities (i.e., "inverted yield curve rates")?

The par yield curve and CMT yields reflect actual bond market activity and current economic conditions.  Market conditions can be highly volatile and include investors' beliefs as to the direction of future interest rates as well as monetary policy that may be actively pursued by the Federal Reserve.  Because of this, short term rates can sometimes exceed longer term rates. 

Are the par yield curve and the CMT rates an indicator of future rates?

The par yield curve and the CMT rates merely indicate what rates were in the past and what they are now.  Treasury recognizes that many researchers use the CMT rates to develop complex yield analyses and attempt to project these rates into the future.  However, future economic and monetary policies that impact the par yield curve cannot be accurately forecast, and thus attempts to forecast future CMT rates must be considered risky, at best.  Treasury does not project future interest rates and neither endorses nor discourages work by other researchers in their attempts to project rates.


Does the par yield curve use a day count based on actual days in a year or a 30/360 year basis?

Yields on all Treasury securities are based on actual day counts on a 365- or 366-day year basis, not a 30/360 basis, and the yield curve is based on securities that pay semiannual interest.  All yield curve rates are considered "bond-equivalent" yields. 

Does the par yield curve assume semiannual interest payments or is it a zero-coupon curve?

The par yield curve is based on securities that pay interest on a semiannual basis and the yields are "bond-equivalent" yields.  Treasury does not create or publish daily zero-coupon curve rates.

Does the par yield curve only assume semiannual interest payment from 2-years out (i.e., since that is the shortest maturity coupon Treasury issue)?

No.  All yields on the par yield curve are on a bond-equivalent basis.  Therefore, the yields at any point on the par yield curve are consistent with a semiannual coupon security with that amount of time remaining to maturity.


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