Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 10- 12 April 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:

  • 2-3/8s of April 2021 (i.e., a new 3-year note);
  • 2-3/4s of February 2028 (i.e., a reopened 10-year note);
  • 3-0s of February 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 expiry only.  It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the June 2019 expiry 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 June 2021 expiries only.  It is also eligible for delivery into the Ultra 10-Year U.S. Treasury Note futures contract for the June 2018 and September 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 December 2022 expiries only.   It is also eligible for delivery into the U.S. Treasury Bond futures contract for the March 2023 through December 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