Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 22-24 Sep 2020

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

  • 0-1/8s of Sep 2022 (a new 2-year note)
  • 0-1/4s of Sep 2025 (a new 5-year note)
  • 0-3/8s of Sep 2027 (a new 7-year note)

The new 2-year note is eligible for delivery into:

  • 2-Year futures contract for Sep & Dec 2020

The new 5-year note is eligible for delivery into:

  • 5-Year futures contract for Sep 2020 through Jun 2021

The new 7-year note is eligible for delivery into:

  • 10-year futures contract for Dec 2020 & Mar 2021

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