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Managing Risk at CME Group - How it All Works
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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 May 2016 (i.e., a new 3-year note);
2.) 1-3/4s of May 2023 (i.e., a new 10-year note); and
3.) 2-7/8s of May 2043 (i.e., a new 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 2013 expiry only. It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the June 2014 expiry only.
The new 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the June 2013 through September 2016 expiries only.
The new 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the June 2013 through March 2018 expiries only. It is also eligible for delivery into the U.S. Treasury Bond futures contract for the June 2018 through March 2028 expiries only.
Please refer to the Treasury Department’s Tentative Auction Schedule at the link below for the next Treasury auction.
http://www.treasury.gov/resource-center/data-chart-center/quarterly-refunding/Documents/auctions.pdf
May 7, 8, and 9, 2013 Treasury Conversion Factors XLS
May 7, 8, and 9, 2013 Treasury Conversion Factors CSV
