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Home / Education / Markets / Interest Rate Futures Overview / T-Note Futures

T-Note Futures

T-Note Futures Treasury notes, or t-notes, are purchased at a price below the denomination of $1,000 and mature, via accumulated interest, to the designated amount in either 1, 5, or 10 years. Every month a coupon payment is made for the t-notes until the maturity year is reached. Of the three t-note types, the most commonly quoted and discussed is the 10-year t-note because it articulates long-term expectations of the market.

10-Year U.S. Treasury Note Contract Specifications
Underlying Unit One U.S. Treasury note having a face value at maturity of $100,000.
Deliverable Grades U.S. Treasury notes with a remaining term to maturity of at least six and a half years, but not more than 10 years, from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent.
Price Quote Points ($1,000) and halves of 1/32 of a point. For example, 126-16 represents 126 16/32 and 126-165 represents 126 16.5/32. Par is on the basis of 100 points.
Tick Size
(minimum fluctuation)
One-half of one thirty-second (1/32) of one point ($15.625, rounded up to the nearest cent per contract), except for intermonth spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 per contract).
Contract Months The first five consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at 12:01pm on the last trading day.
Last Delivery Day Last business day of the delivery month.
Delivery Method Federal Reserve book-entry wire-transfer system.
Stellement Procedure Daily Treasury Settlement Procedures
Final Treasury Settlement Procedures
Position Limits Current Position Limits
Block Minimum Block Trade Minimum
All or None Minimum All or None Minimums
Trading Hours Open Outcry: MON – FRI: 7:20am – 2:00pm CT
CME Globex: SUN – FRI: 5:00pm – 4:00pm CT
Ticker Symbol Open Outcry: TY
CME Globex: ZN
Exchange Rules These contracts are listed with, and subject to, the rules and regulations of CBOT.
Source: CME
5-Year U.S. Treasury Note Contract Specifications
Underlying Unit One U.S. Treasury note having a face value at maturity of $100,000.
Deliverable Grades U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than four years and two months as of the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent.
Price Quote Points ($1,000) and quarters of 1/32 of a point. For example, 119-16 represents 119 16/32, 119-162 represents 119 16.25/32, 119-165 represents 119 16.5/32, and 119-167 represents 119 16.75/32. Par is on the basis of 100 points.
Tick Size
(minimum fluctuation)
One-quarter of one thirty-second (1/32) of one point ($7.8125, rounded up to the nearest cent per contract), including intermonth spreads.
Contract Months The first five consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day Last business day of the calendar month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
Last Delivery Day Third business day following the last trading day.
Delivery Method Federal Reserve book-entry wire-transfer system.
Stellement Procedure Daily Treasury Settlement Procedures
Final Treasury Settlement Procedures
Position Limits Current Position Limits
Block Minimum Block Trade Minimum
All or None Minimum All or None Minimums
Trading Hours Open Outcry: MON – FRI: 7:20am – 2:00pm CT
CME Globex: SUN – FRI: 5:00pm – 4:00pm CT
Ticker Symbol Open Outcry: FV
CME Globex: ZF
Exchange Rules These contracts are listed with, and subject to, the rules and regulations of CBOT.
Source: CME
2-Year U.S. Treasury Note Contract Specifications
Underlying Unit One U.S. Treasury note having a face value at maturity of $200,000.
Deliverable Grades U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent.
Price Quote Points ($2,000) and quarters of 1/32 of a point. For example, 109-16 represents 109 16/32, 109-162 represents 109 16.25/32, 109-165 represents 109 16.5/32, and 109-167 represents 109 16.75/32. Par is on the basis of 100 points.
Tick Size
(minimum fluctuation)
One-quarter of one thirty-second (1/32) of one point ($15.625, rounded up to the nearest cent per contract), including intermonth spreads.
Contract Months The first five consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day Last business day of the calendar month. Trading in expiring contracts closes at 12:01pm on the last trading day.
Last Delivery Day Third business day following the last trading day.
Delivery Method Federal Reserve book-entry wire-transfer system.
Stellement Procedure Daily Treasury Settlement Procedures
Final Treasury Settlement Procedures
Position Limits Current Position Limits
Block Minimum Block Trade Minimum
All or None Minimum All or None Minimums
Trading Hours Open Outcry: MON – FRI: 7:20am – 2:00pm CT
CME Globex: SUN – FRI: 5:00pm – 4:00pm CT
Ticker Symbol Open Outcry: TU
CME Globex: ZT
Exchange Rules These contracts are listed with, and subject to, the rules and regulations of CBOT.
Source: CME

T-Note Facts

Participating in 10 year T-Note futures allows a trader to assess directionality of interest rates as well the ability to hedge risk at the end of a yield curve. Participating in 10 year T-Note futures can also allow one to use a variety of trading strategies like spread trading and trading against different Treasury futures.

Source: CME

Participating in 5 year T-Note futures allows a trader to assess directionality of interest rates as well the ability to hedge risk at the midpoint of a yield curve. Participating in 5 year T-Note futures can also allow one to use a variety of trading strategies like spread trading and trading against different Treasury futures.

Source: CME

Participating in 2 year T-Note futures allows a trader to assess directionality of interest rates as well the ability to hedge risk at the short end of a yield curve. Participating in 2 year T-Note futures can also allow one to use a variety of trading strategies like spread trading and trading against different Treasury futures.

Source: CME

Last updated May 2013

Additional Info

Recent Posts on T-Notes

  • Trade Spotlight: Futures – Weekly Summary: Currencies, Wheat, Notes (2/12/2021) - Stopped out of the Currency positions, initiated a position in the Ten-Year Notes, and trailed the stop loss lower to reduce the risk on the Chicago Wheat position.
  • Beyond the Spotlight: February 8, 2021 (Notes, Cattle) (2/8/2021) - Beyond the Spotlight is a weekly video released on Mondays that spotlights two or three markets that may become trading opportunities for the week ahead. This enables you as a subscriber of the Trade Spotlight advisory service to look ahead with us, while potentially creating additional trading opportunities for yourself. The week’s video linked below… Read more.
  • Beyond the Spotlight: February 1, 2021 (Euro, Wheat, Notes) (2/1/2021) - Beyond the Spotlight is a weekly video released on Mondays that spotlights two or three markets that may become trading opportunities for the week ahead. This enables you as a subscriber of the Trade Spotlight advisory service to look ahead with us, while potentially creating additional trading opportunities for yourself. The week’s video linked below… Read more.

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