T-Note Futures Feed

The T-note futures feed we provide tracks daily CME settlements and real-time intra-day benchmarks that reflect actual delivery mechanics. For a loan packager or trader, timing the hedge matters—especially near expiration cycles when basis shifts tighten. This feed includes the front-month contract and on-the-run ten-year notes, which serve as the primary proxy for benchmark rates used across agency and private-label pricing sheets. When delivery week approaches, daily settlement differences can move pricing bands by 3/32nds or more, and this feed captures those shifts without lag.

Institutional hedgers use this feed to validate the alignment of their internal pricing models with actual futures behavior. The data reflects not just closing prices but also volume-weighted averages during key delivery windows, helping teams assess execution timing and opportunity cost during high-volatility sessions. It also maps the spread relationship between the 10-year note and 2-year note futures, which is critical for curve steepener/flattener strategies embedded in portfolio immunization. Those tracking GSE repricing cycles often tie hedge initiations to this feed’s delivery-aligned timestamps.

The feed is updated continuously during CME trading hours, synchronized with CBOT settlement cycles and adjusted for last-day-of-month roll conventions. This ensures that internal risk engines referencing T-note futures can match external valuations without manual reconciliation. Back-office teams use it to cross-check trade tickets against published settlement values before confirming loan sale agreements. For analysts building yield curve scenarios, it offers a consistent reference point for forward rate expectations drawn from real market handshakes.