Treasury Conversion Factors

Updated U.S. Treasury Conversion Factors – 7-9 Jan 2020

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

  • 1-1/2s of Jan 2023 (a new 3-year note)
  • 1-3/4s of Nov 2029 (a reopened 10-year note)
  • 2-3/8s of Nov 2049 (a reopened 30-year bond)

The new 3-year note is eligible for delivery into:

  • 3-Year futures contract for Mar 2020
  • 2-Year futures contract for Mar 2021

The reopened 10-year note is eligible for delivery into:

  • 10-Year futures contract for Mar 2020 through March 2023
  • Ultra 10-Year futures contract for Mar 2020 through June 2020

The reopened 30-year bond is eligible for delivery into:

  • Ultra Bond futures contract for Mar 2020 through Sep 2024
  • U.S. Treasury Bond futures contract for Dec 2024 through Sep 2034

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