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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.) 0-1/4s of November 2015 (i.e., a new 2-year note);
2.) 1-1/4s of November 2018 (i.e., a new 5-year note); and
3.) 2s of November 2020 (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 December 2013 expiry only.
The new 5-year note is eligible for delivery into the 5-Year U.S. Treasury Note futures contract for the December 2013 through September 2014 expiries only.
The new 7-year note is eligible for delivery into the 10-Year Treasury futures contract for the December 2013 and March 2014 expiries only.
Please refer to the Treasury Department’s Tentative Auction Schedule at the link below for the next Treasury auction.
November 25, 26, and 27, 2013 Treasury Conversion Factors XLS