Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors: 07-09 July 2015

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:

  • 0-7/8s of July 2018 (i.e., a new 3-year note);
  • 2-1/8s of May 2025 (i.e., a reopened 10-year note); and
  • 3-0s of May 2045 (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 September 2015 expiry only. It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the September 2016 expiry only.

The reopened 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the September 2015 through September 2018 expiries only.

The reopened 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the September 2015 through March 2020 expiries only. It is also eligible for delivery into the U.S. Treasury Bond futures contract for the June 2020 through March 2030 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:

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