Treasury Futures DV01: CTD and Factor
See how a deliverable Treasury futures DV01 relates to CTD and conversion factors, why it changes, and why it differs from tick value.
Direct answer
For a standard price-quoted, physically deliverable U.S. Treasury note or bond future, an implied DV01 belongs to a named product and delivery month. CME's Treasury education relates the contract's implied BPV to its current cheapest-to-deliver (CTD) security and that security's conversion factor: BPV of the contract equals BPV of the CTD divided by the CTD conversion factor. It is not a permanent number for every Treasury future or a direct statement of account profit and loss.
Start with the exact Treasury futures product and month
“Treasury futures DV01” is incomplete without the exact standard price-quoted, physically deliverable note or bond contract and its delivery month. This guide does not use the same relationship for every Treasury-related future. Cash- settled Yield futures, Micro products, and another product's contract design need their own specifications and should not inherit a delivery-basket formula.
Record the product, month-year, quote field, valuation time, and whether the calculation is based on an exchange settlement, a live market field, or a separate analytics source. What Treasury futures are explains why a Treasury future is a dated exchange contract rather than one undated cash-security exposure.
A delivery basket makes the CTD security relevant
A standard deliverable Treasury future can have a basket of eligible cash securities. The short's delivery economics, not a generic maturity label, connect the contract with a currently relevant cheapest-to-deliver security. The CTD must be identified within the named product, delivery month, and eligible basket.
That is why a statement such as “the 10-year futures DV01” cannot safely use a stale CUSIP or a broad Treasury yield. Cheapest-to-deliver Treasury futures explains the delivery-basket context and why the CTD label does not name the cheapest Treasury in every market.
Use the conversion factor in the implied BPV relationship
CME's Treasury education gives the relationship for a standard Treasury futures contract's implied basis point value as CTD BPV divided by the CTD conversion factor. The conversion factor is a delivery-month-specific input assigned to an eligible cash note or bond. It standardizes part of the delivery invoice calculation; it is not a stand-alone measure of interest-rate risk.
The relationship can be written as:
Implied BPV of the contract = BPV of the CTD security ÷ conversion factor of the CTD security
Keep the formula attached to its scope. It does not establish a fixed DV01 for all delivery months, choose the current CTD, or calculate an account result. Treasury futures delivery invoice amount separates the conversion-factor and accrued-interest inputs used in delivery from a general sensitivity label.
The measurement can change with its inputs and observation time
CME's Treasury Analytics guide describes yield and DV01 values based on futures settlement prices and current CTD data, and notes that yield and DV01 can change for larger movements away from the settlement price. The current deliverable basket, CTD selection, conversion factor, cash-price record, futures-price field, yield curve, and delivery month can therefore matter to a specific result.
Do not copy a historical example's CUSIP, conversion factor, DV01, or contract count into a current report. Use the current product documentation and identified measurement record instead. Treasury futures price versus yield explains why a price-quoted futures record is not the yield of one permanent cash security.
Keep DV01 separate from quote increments and position results
A quoted Treasury-futures tick is a contract specification about a minimum price increment. DV01 is a yield-scenario sensitivity for a valuation record. Neither one replaces the other, and neither by itself gives the correct position quantity for a cash exposure.
DV01 and BPV gives the general measurement record to preserve. Futures tick value and contract multipliers keeps the price-increment side of a futures contract separate. If the next question is how two normalized sensitivities are compared, use Treasury futures hedge ratio by DV01.
This guide describes a contract-sensitivity framework. It does not identify a current CTD, publish a current DV01, recommend a Treasury futures position, or recommend a hedge. Exchange rules, current market data, valuation methodology, and account requirements govern an actual position.
Common questions
Is Treasury futures DV01 the same as a fixed tick value?
No. Tick value is tied to a minimum price increment in the contract specification. DV01 is a yield-scenario sensitivity that uses a valuation record and, for this scope, delivery inputs.
Does every Treasury-related future use CTD divided by conversion factor?
No. This relationship is scoped to standard price-quoted, physically deliverable U.S. Treasury note or bond futures. Other product designs need their own contract specifications and calculation rules.
Why does the conversion factor matter?
For a standard deliverable Treasury future, CME uses the CTD conversion factor in the implied BPV relationship. The factor is attached to an eligible security and delivery month rather than serving as a universal duration label.
Can the CTD security change?
The relevant CTD assessment belongs to the named contract, delivery month, and eligible basket. A current calculation should use a current identified record, not assume that a historical example remains applicable.
Does an implied Treasury futures DV01 predict my account result?
No. It is a sensitivity measure under stated inputs. Position direction, quantity, changing prices, margin, execution, financing, and other conditions can affect an account result.