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Marché
Rapport
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COT US 10Y Note (ZN)

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Rates · Treasuries · CBOT

What is the US 10Y Note (ZN) futures contract?

10-Year T-Note (ZN)

A long means…

Exposure to a rise in the 10-Year T-Note futures price. When the contract rises, deliverable-basket yields fall.

What is this?

The 10-year T-Note is the reference Treasury point: mortgages, swaps and duration hedges all look to it. The CBOT future that bears that name does not deliver a cash 10-year. Eligible notes have remaining maturity of at least six years and six months and less than eight years; the price tracks the cheapest-to-deliver. When the contract rises, those yields fall. Asset managers use it to adjust duration; dealers to hedge note inventory; mortgage managers to cover housing-credit risk. The Ultra 10-Year sits closer to the actual 10-year point.

At expiry, Treasury notes are delivered by book-entry transfer. Most positions are closed or rolled beforehand.

Pitfalls

  • Not the 30-year T-Bond (ZB, 020601).
  • Not the Ultra 10Y (TN, 043607): different basket, longer duration.
  • Current deliverable: 6y6m to less than 8y — not the pre-2023 6½–10y window.
  • Long the price is not “yields are going up”: price rises as yields fall.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.