Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 07- 09 February 2017

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:

  • 1-3/8s of February 2020 (i.e., a new 3-year note);
  • 2-1/4s of February 2027 (i.e., a new 10-year note); and
  • 3-0s of February 2047 (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 2017 expiry only. It is also eligible for delivery into the 2-Year U.S. Treasury Note futures contract for the March 2018 expiry only.

The new 10-year note is eligible for delivery into the 10-Year U.S. Treasury Note futures contract for the March 2017 through June 2020 expiries only. It is also eligible for delivery into the Ultra 10-Year U.S. Treasury Note futures contract for the March 2017 through September 2017 expiries only.

The new 30-year bond is eligible for delivery into the Ultra U.S. Treasury Bond futures contract for the March 2017 through December 2021 expiries only. It is also eligible for delivery into the U.S. Treasury Bond futures contract for the March 2022 through December 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