- CME/CBOT’s Ultra 10-Year U.S. Treasury Note Futures (TN), launched in 2016, narrow the deliverable basket to 9y5m–10y notes to track the 10-year benchmark more precisely than classic TY.
- Ultra’s DV01 is about 44% higher than TY, increasing sensitivity to yield moves and making contract sizing more important.
- The 10-year Treasury yield is around 4.20% in early January 2026, shaped by Fed policy expectations, inflation dynamics, and macro uncertainty.
- Use cases include tighter hedges, cleaner curve trades, and relative-value spreads, with key watchpoints around liquidity, costs/margin, and macro-driven spread shifts versus TY.
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The Ultra 10-Year U.S. Treasury Note Futures contract was introduced to address longstanding demand for a futures product that more accurately tracks the 10-year benchmark point on the Treasury yield curve. Unlike the classic TY futures, which allow delivery of Notes with remaining maturity as short as approximately 6.5 years, Ultra TN contracts restrict deliverable grades to original-issue 10-year Treasury notes with 9 years 5 months to maturity. This tighter delivery basket reduces basis risk and improves alignment with the cash market 10-year benchmark.
Another critical design attribute is the contract’s higher DV01 relative to TY: about 44% greater DV01 for Ultra vs. TY. This increased sensitivity means that per basis-point move in yields, exposure through Ultra will have more pronounced P&L impact, which can be a benefit or a risk depending on directional view and risk tolerance.
As of early January 2026, the yield on the U.S. 10-year Treasury note stands near 4.20 %, having crept up in recent weeks. The drivers include modest upward pressure from inflation expectations, cautious positioning ahead of Federal Reserve decisions, and improving macro data. Yield volatility remains elevated due to uncertain economic indicators, including labor market strength and inflation persistence.
In practical trading and risk management applications, Ultra TN offers strategic advantages:
• As a hedge: those holding duration risk in 10-year treasuries or similar aggregate bond portfolios can use Ultra to more effectively offset exposure because of its precise maturity range and higher sensitivity.
• For curve trades: using Ultra vs TY vs longer bonds (or swaps) enables finer tilting of the yield curve, especially in “bullets” around the 10-year point.
• For relative value: comparing Ultra’s pricing or implied yields with those of 10-year sovereigns globally (Bunds, Gilts, Canadian bonds) may open arbitrage or cross-market spread opportunities.
However, some open questions and caveats remain:
- Liquidity: although the contract has matured since 2016 and seen robust launch participation, its trading volume and open interest need continuous monitoring relative to TY futures to ensure cost-efficiency and tight bid-asks in stressed markets.
- Cost and margin: while CME provides margin offsets with other interest rate futures and cleared OTC swaps, the higher DV01 implies larger capital at risk; traders must assess notional sizing carefully in Ultra vs TY counterparties.
- Macro policy risk: shifts in Fed policy, inflation surprise, or geopolitical disruptions could widen spreads and force recalibration of hedges involving Ultra vs cash or other futures.
- Global yield relationships: since one stated benefit is relative-value vis-à-vis other sovereign debt benchmarks, divergence in global rates (e.g., rising Bund yields) could affect these mechanics.
Supporting Notes
- The deliverable grade for Ultra 10-Year TN futures is limited to 10-year U.S. Treasury notes with remaining maturity between 9 years 5 months and 10 years, covering the three most recently issued on-the-run notes (on-the-run, old, double-old).
- Ultra’s DV01 is approximately 44% greater than TY futures, and its delivery basket is much tighter, reducing the maturity range vs the existing TY contract’s longer tail down to ~6½ years minimum.
- At launch, the supply of deliverable CUSIPs for Ultra contracts was estimated around US$177 billion face value, with CTD likely being the double-old issue due to lower yields.
- Launching made Ultra eligible for margin offsets with other interest rate products and for portfolio margining for cleared swaps and futures trades, enhancing capital efficiency.
- The U.S. 10-year Treasury yield stood at approximately 4.20 % on January 2, 2026, up slightly from recent sessions, marking a modest rise into early 2026.
- Recent analysis by market strategists (e.g. Deutsche Bank) expects the 10-year yield to continue rising, targeting ~4.45 % over the medium term, citing strong loan demand and resilient economy as under-appreciated by markets.