Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 11 – 13 September 2017

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:

  • 1-3/8s of September 2020 (i.e., a new 3-year note);
  • 2-1/4s of August 2027 (i.e., a reopened 10-year note); and
  • 2-3/4s of August 2047 (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 2017 and December 2017 expiries only. It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the September 2018 and December 2018 expiries only.

The reopened 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the September 2017 through December 2020 expiries only. It is also eligible for delivery into the Ultra 10-Year U.S. Treasury Note futures contract for the September 2017 through March 2018 expiries only.

The reopened 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the September 2017 through June 2022 expiries only. It is also eligible for delivery into the U.S. Treasury Bond futures contract for the September 2022 through June 2032 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