Treasury Conversion Factors

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

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

  • 1/8s of July 2023 (a new 3-year note)
    • Please note that we have added & highlighted aged 7-year CUSIPs which will be eligible for 3-year futures delivery as of this weekend’s re-launch
  • 5/8s of May 2030 (a reopened 10-year note)
  • 1-1/4s of May 2050 (a reopened 30-year bond)

The 3-year note is eligible for delivery into:

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

The 10-year note is eligible for delivery into:

  • 10-Year futures contract for Sep 2020 through Sep 2023
  • Ultra 10-Year futures contract for Sep 2020 through Dec 2020

The 30-year bond is eligible for delivery into:

  • Ultra Bond futures contract for Sep 2020 through Mar 2025
  • U.S. Treasury Bond futures contract for Jun 2025 through Mar 2035

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