Duration is an index to measure the sensitivity of interest rate derivatives to the change of yield. From the definition of Maxwell duration, it is the weighted average of cash flow, while treasury bond futures are futures contracts, and there is no debt service behavior. The weighted average of cash flow is meaningless to treasury bond futures. Does that mean that treasury bonds futures have no duration?

From the perspective of weighted average of cash flow, it seems difficult to understand, but we need to pay attention to the following two points: first, the sensitivity between yield and bond price is duration; Secondly, bond futures and bond prices basically run synchronously (otherwise the basis will expand and form arbitrage space). Based on these two points, we can think that there is a relatively stable relationship between bond futures and yield, and bond futures also have the concept of duration. Generally speaking, the yield rises, the bond price falls and the bond futures price also falls, so the yield rises and the bond futures price falls; On the other hand, if the yield falls, the bond price will rise, and the bond futures price will also rise.

Because the sensitivity between bond price and yield is duration, and bond futures and bond prices change synchronously, we can think that the duration of bond futures is also the duration of bonds, and of course it has to be divided by the corresponding conversion factor. From the perspective of treasury bond futures, it is the duration of CTD divided by the conversion coefficient of CDT:

Term of treasury bond futures = term of CTD/conversion coefficient of CTD

Treasury futures are margin transactions, and it is not appropriate to measure its interest rate risk by duration, so the concept of duration is not used much, but the sensitivity of treasury futures to interest rate changes is measured by basis points.