Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors - 26-28 May 2015

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:

  • 0-5/8s of May 2017 (i.e., a reopened 5-year note due to a 2-year note auction);
  • 1-1/2s of May 2020 (i.e., a new 5-year note); and
  • 1-7/8s of May 2022 (i.e., a new 7-year note).

The reopened 5-year note is eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the June 2015 expiry only.

The new 5-year note is eligible for delivery into the 5-Year U.S. Treasury Note futures contract for the June 2015 through March 2016 expiries only.

The new 7-year note is eligible for delivery into the 10-Year U.S. Treasury Notes futures contract for the June 2015 and September 2015 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