CME Group » Interest Rates » Treasury Conversion Factors
Treasury Conversion Factors
Updated U.S. Treasury Conversion Factors – February 7, 8, and 9, 2012

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.) 1/4s of February 2015 (i.e., a new 3-year note);
2.) 2s of February 2022 (i.e., a new 10-year note); and
3.) 3-1/8s of February 2042 (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 March 2012 expiry only.  It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the March 2013 expiry only.

 

The new 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the March 2012 through June 2015 expiries only.

 

The new 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the March 2012 through December 2016 expiries only.  It is also eligible for delivery into the U.S. Treasury Bond futures contract for the March 2017 through December 2026 expiries only.

 

Please refer to the Treasury Department’s Tentative Auction Schedule at the link below for the next Treasury auction.

Treasury Department's Tentative Auction Schedule

  

February 7, 8, and 9, 2012 Treasury Conversion Factors