The attached conversion factor tables for the CBOT U.S. Treasury Bond and Note futures complex have been revised to include conversion factors for the following government securities that were auctioned on May 10-12 by the U.S. Treasury Department:
1.) 3-3/4s of May 2008 (i.e., a new 3-year note);
2.) 3-7/8s of May 2010 (i.e., a new 5-year note); and
3.) 4-1/8s of May 2015 (i.e., a new 10-year note).
The 3-year note will be eligible for delivery into the CBOT 2-Year U.S. Treasury Note futures contract for the June 2006 expiry only. The 5-year and 10-year notes will be eligible for delivery into the CBOT 5-Year and 10-Year U.S. Treasury Note futures contracts, respectively, starting with the June 2005 expiry.
FTSE Mondo Visione Exchanges Index:
CBOT May 12, 2005 Treasury Conversion Factors
Date 12/05/2005
