Treasury Note futures represent a loan made by the investor to the U.S. government and reflect the shorter end of the yield curve and are available from 2 years to 10 year maturities. Therefore, they are longer dated than Eurodollars and Treasury Bills but, shorter in maturity than the 30yr U.S. Bond futures.
Commonly referred to as the, "Long Bond," 30yr t-bonds represent the longest dated U.S. Government backed securities. The long bond is the most volatile commodity contract within the U.S. interest rate futures market sector. It is also the highest price in terms of tick value and daily volatility. The practical rule for traders is the shorter the time to maturity, the less uncertain the risk. The less uncertain the risk, the less price movement there is. The less price movement there is, the less account value there is at risk. The less account value there is at risk, the less margin the exchange requires to hold the contracts. Therefore, the smaller the trader, the shorter the expiration date of the securities they should hold.
Due to the length of maturity, the 30 yr. bond is the end of the line and the final data point on the yield curve. Therefore, all yield curves are based on a subtraction from the longest term security. Yield curve spread trades are created with this in mind by using the long bond as the end point then adding or subtracting Treasury Note and Eurodollar contracts against it.
General Trading Information
- Face value at maturity of all Treasury Note and bond futures is $100,000 with the sole exception of the 2 year Treasury Note futures that have a face value of $200,000
- All Treasury Note and U.S. Bond futures contracts are deliverable
- Tick size is 1/64. 100 basis point move equals $1000 in account value.
- The contracts trade quarterly. March, June, September and December.
- over 90% of the volume is traded electronically on the Globex platform.
For full market trading times and point values go to Futures Market Hours.
