Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 12-14 January 2015

Conversion factor tables for Treasury Note and Bond futures have been updated to include conversion factors for the following securities recently issued by the U.S. Treasury Department:

  • 1.) 0-7/8s of January 2018 (i.e., a new 3-year note);
  • 2.) 2-1/4s of November 2024 (i.e., a reopened 10-year note); and
  • 3.) 3-0s of November 2044 (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 March 2015 expiry only.  It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the March 2016 expiry only. 

The reopened 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the March 2015 through March 2018 expiries only.

The reopened 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the March 2015 through September 2019 expiries only.   It is also eligible for delivery into the U.S. Treasury Bond futures contract for the December 2019 through September 2029 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