Forums - Question on the nature of 10Y Note futs

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Posted by dakoo on 05-14-12 10:09 AM:

Question on the nature of 10Y Note futs

Hi. I am mostly into energy and fx futures and had a few questions regarding note futures.

1.Which benchmark note is the 10Y note future based on. I checked the IB cash bond database and there is no note trading at 133'140 right now. a guide into which issue and the coupon it pays would be nice.

2. Suppose the benchmark is a 5% coupon paying note. That means that the daily interest from a note is 5000/365 =$13.7 . But notes often move $150 to $300 per contract in a single intraday session. That price change is not based on the coupon because that is fixed at $13.7. So as i understand it the price change is based on the demand for the principal backed by the US Treasury. Am I correct in saying this?

Thanks for your help

Posted by dumb_mother on 05-14-12 10:57 AM:

futures our a deal to buy/sell something at a future date, the ty future is no different.

it is a contract to buy/sell a 10y note at some agreed upon time in the future- the current bench mark is the june contract. so it is a price for a 10y that will be issued in june.

price changes are based upon interest rate changes.

Posted by Frank Thomas on 05-15-12 04:11 PM:

Dakoo,

Ignore everything in the previous post!!!

This link should help:

http://www.cmegroup.com/trading/int...ifications.html

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