Interest rate futures
What is the 5-Year Treasury Note (ZF) futures contract and what part of the yield curve does it capture?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
The ZF futures contract tracks a hypothetical 6% coupon 5-year US Treasury note with deliverable notes maturing between 4 years 2 months and 5 years 3 months, capturing the belly of the yield curve.
How it works
ZF is used for hedging medium-term rate exposure and is a key leg in curve trades alongside ZT (short end) and ZN/ZB (long end) futures.
An example
A portfolio manager uses ZF futures to hedge a 5-year corporate bond holding against rising intermediate interest rates.
Risk & limitations
Its moderate duration means ZF is less volatile than ZN/ZB but still carries meaningful rate risk compared to short-duration ZT contracts.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.