Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 11-12 June 2018

Conversion factor tables for U.S. Treasury Bond and Note futures have been updated to include conversion factors for the following government securities that were auctioned by the U.S. Treasury Department:

  • 2-5/8s of June 2021 (i.e., a new 3-year note);
  • 2-7/8s of May 2028 (i.e., a reopened 10-year note); and
  • 3-1/8s of May 2048 (i.e., a reopened 30-year bond).

The new 3-year note is eligible for delivery into the +3-Year U.S. Treasury Note futures+ contract for the June 2018 and September 2018 expiries only.  It is also eligible for delivery into the +2-Year U.S. Treasury Note futures+ contract for the June 2019 and September 2019 expiries only. 

The reopened 10-year note is eligible for delivery into the +10-Year U.S. Treasury Note futures+ contract for the June 2018 through September 2021 expiries only.  It is also eligible for delivery into the +Ultra 10-Year U.S. Treasury Note futures+ contract for the June 2018 through December 2018 expiries only.

The reopened 30-year bond is eligible for delivery into the +Ultra U.S. Treasury Bond futures+ contract for the June 2018 through March 2023 expiries only.   It is also eligible for delivery into the +U.S. Treasury Bond futures+ contract for the June 2023 through March 2033 expiries only.

For information about future auctions and issuances of Treasury notes and bonds, please visit the U.S. Treasury Department’s Tentative Auction Schedule at:

https://www.treasury.gov/resource-center/data-chart-center/quarterly-refunding/Documents/auctions.pdf