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Constant Maturity Treasury (CMT) Curve Enhancement| Weekly Release 3/22/2024

 Added ability to separate GBP CMT into High/Low coupon curves


The GBP CMT is constructed of all the GBP bonds. In this week’s release, two more GBP CMT curves are constructed. One of the curves has all the GBP bonds under 3% coupon and the other has all the bonds above 3%. Traders can view the curves under “Market View” – “Curves”.

In addition to adding these curves, the traders have the option to view the CMT RVS against the same curve or against the respective Hi/Lo coupon curve. To change this setting, click on “Preferences” – “Global Preferences”. In the pop up, “Calculation Preferences” – “Curve Preferences” – “GBP Curve Type”.  “All” means the “GBP ALL” curve will be used, “Hi/Lo” means the “GBP CMT  Hi/Lo” curves will be used respectively.

In the screenshot above, the “CMT RVS” using the Hi/Lo curves is much smoother in comparison to the “ALL” CMT Curve.


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