Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 11 - 13 July 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 July 2019 (i.e., a new 3-year note);
  • 1-5/8s of May 2026 (i.e., a reopened 10-year note); and
  • 2-1/2s of May 2046 (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 2016 expiry only. It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the September 2017 expiry only.

The reopened 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the September 2016 through September 2019 expiries only. It is also eligible for delivery into the Ultra 10-Year U.S. Treasury Note futures contract for the September 2016 through December 2016 expiries only.

The reopened 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the September 2016 through March 2021 expiries only. It is also eligible for delivery into the U.S. Treasury Bond futures contract for the June 2021 through March 2031 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