Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 23-25 August 2016

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:

  • 0-3/4s of August 2018 (i.e., a new 2-year note);
  • 1-1/8s of August 2021 (i.e., a new 5-year note); and
  • 1-3/8s of August 2023 (i.e., a new 7-year note).

The new 2-year note is eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the September 2016 expiry only.

The new 5-year note is eligible for delivery into the 5-Year U.S. Treasury Note futures contract for the September 2016 through June 2017 expiries only.

The new 7-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the September 2016 and December 2016 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