Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 21 - 23 November 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:

  • 1-0s of November 2018 (i.e., a new 2-year note);
  • 1-3/4s of November 2021 (i.e., a new 5-year note); and
  • 2-1/8s of November 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 December 2016 expiry only.

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

The new 7-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the December 2016 and March 2017 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