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10y yield and 10y t-note
- Thread starter Roxy
- Start date
I thought par for ZN was 6% not 3%. I'm far from an expert here.With a 3% coupon and a 10 year maturity the price will be exactly 100.00.
Otherwise, not enough information to answer the question.
You need to specify coupon and maturity date.
You can get a rough guide using the CME website Treasury Analytics tool. The number you want is the DV01 for the 10-yr future. If you divide that by the tick value of the t-notes you have a rough map of basis point changes to futures ticks. The number varies depending on which bond is selected as deliverable: the given 4 values for DV01 for each future (current contract, next contract) and CTD vs on-the-run shows this quite well (DV01 is in general not static from day-to-day but does not vary massively).
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Quote from contract specs: "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."
So you are not betting on 10 year yields, but a range of yields from 6 1/2 to 10 years. Be aware of that. If you want to bet on the 10y yields in particular, take a look at the Ultra 10 (TN). Their range is from 9 1/2 and 10 years time to maturity.
So you are not betting on 10 year yields, but a range of yields from 6 1/2 to 10 years. Be aware of that. If you want to bet on the 10y yields in particular, take a look at the Ultra 10 (TN). Their range is from 9 1/2 and 10 years time to maturity.
With the caveat noted by the other poster (the CTD for ZN, aka TY, is actually 7y maturity), the very rough rule of thumb, as I mentioned in another thread, is that a move of roughly a full point is equivalent to arnd 11bps. You can use this quick and dirty calc to get a sense.