USD CMT 10Y - Rate Linked Note
USD Range Accrual
CMT 10Y
A 5-year USD structured note paying a quarterly coupon pro-rata of the days the USD CMT 10Y stays within [0% to 5.50%]. Over 12 full years of data, the CMT 10Y has never breached 5.50%, delivering full coupon every single quarter. Current rate: 4.63% - 115 bps below cap.
USD5Y MaturityQuarterly CouponRange 0% to 5.50%NC 12M Callable
Underlying
CMT 10Y
USD Constant Maturity
Active Range
0% to 5.50%
Daily business day obs.
CMT 10Y (Aug-26)
4.63%
In range - +115bps buffer
Historical (12Y)
100%
All months in range
5Y Treasury (ref.)
4.25%
Current yield p.a.
Why Now - Market Context
Rate Uncertainty
Is Your Ally
Broader range vs current spot
CMT 10Y at 4.63% (Aug 17, 2026) provides 87 bps of buffer to the 5.50% upper bound - the same barrier level as at end of July. Despite significant rate volatility over the past year, the cap has never been breached in 12+ years of recorded history.
High rate vol rewards this structure
The September 2026 FOMC meeting carries exceptional uncertainty - markets price near-equal odds of a cut, a hold, or a hawkish surprise. This elevated implied vol directly inflates the coupon. On the same range [0%-5.50%] and same CMT 10Y reference as end-July, the current quote is +0.70% p.a. higher.
Callable structure captures vol premium
The NC 12M callable feature allows the issuer to redeem early if rates drop sharply. This optionality is priced into the coupon, further enhancing the yield vs a plain vanilla bond. The investor is compensated for both range risk and call risk.
12 years: 0 breaches out of 152 months
Across every market cycle since 2014 (ZIRP, taper tantrum, hikes, COVID, post-COVID inflation, tariff shocks), the USD CMT 10Y has remained below 5.50% every single month. The range accrual structure has historically delivered its full coupon without interruption.
+0.70%
Pickup vs Jul-26
Coupon uplift from rate vol
The spike in implied rate volatility and uncertainty around the September Fed meeting has added approximately 70 basis points to the indicative coupon of this structure relative to end-of-July levels. The window to lock in this level may be short.
USD CMT 10Y - 12-Year History (2014-2026)
CMT 10Y vs Range [0% to 5.50%]
Monthly Federal Reserve H.15 data. The green band represents the accrual corridor. The CMT 10Y has never exceeded 5.50% over the entire 12-year period, delivering full coupon in every single observation.
Months in Range
152 / 152
100% of observations since Jan 2014
Breaches of 5.50%
0 / 152
Zero occurrences in 12 years of data
Current Buffer
+87 bps
CMT 10Y at 4.63% vs 5.50% cap
Interactive Return Simulator
Simulate your Effective Yield
Coupon fixed at 7.50% p.a. - adjust the % of time the CMT 10Y spends inside [0% to 5.50%] to see the effective annual yield vs the 5Y Treasury at 4.25%.
Fixed indicative coupon: 7.50% p.a.(+0.70% vs end-July - current vol premium)
% Time in Range100%
50% - Half coupon100% - 12Y historical base case
5-Year Cumulative Return
Outperformance vs Treasury
+3.25%
per year / +16.3% over 5 years
Effective Coupon
7.50%
5Y Treasury
4.25%
Total RA (5Y)
37.5%
Total TSY (5Y)
21.3%
Maturity Scenarios - 5-Year Horizon
4 Scenarios on the CMT 10Y
Even in a scenario of significant rate increases vs today, the structure continues to deliver above-Treasury returns. Only a historic breakout above 5.50% - never seen over 12 years of data - would substantially impair the coupon.
| Scenario | CMT 10Y Avg. | % in Range | Eff. Coupon | vs Treasury 4.25% | Outcome |
|---|---|---|---|---|---|
| Rates stable / decline | 3.50% to 4.35% | 100% | 7.50% p.a. | +3.25% | Full coupon every quarter |
| Moderate rise | 4.35% to 5.00% | 100% | 7.50% p.a. | +3.25% | Full coupon every quarter |
| Strong rise | 5.00% to 5.50% | 90% | 6.75% p.a. | +2.50% | Slightly reduced - still above Treasury |
| Extreme shock (rare) | > 5.50% | 60% | 4.50% p.a. | +0.25% | Significantly reduced - below Treasury |
Key risk: breach of 5.50% cap
In 12 years of data (Jan 2014 to Aug 2026), the USD CMT 10Y has never exceeded 5.50%. The all-time peak was 4.95% in October 2023 (55 bps below cap). Even during the 2025 tariff shock, the rate only reached 4.55%. A sustained breach of 5.50% would require a renewed and aggressive tightening cycle beyond the 2022-2023 episode - inconsistent with current Fed signals and consensus macro projections. Current CMT 10Y: 4.63%.
Contact your Orizen representative for further information