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 November 8-10 by the U.S. Treasury Department:
- 3s of November 2007 (i.e., a re-opened 5-year note);
- 3-1/2s of November 2009 (i.e., a new 5-year note); and
- 4-1/4s of November 2014 (i.e., a new 10-year note).
The re-opened 3-year note will be eligible for delivery into the CBOT 2-Year U.S. Treasury Note futures contract for the December 2005 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, beginning with the December 2004 expiry.
The information in this document, although taken from sources believed to be reliable, does not constitute investment advice and is not guaranteed by the Chicago Board of Trade as to its accuracy or completeness, nor any trading result, and is intended for purposes of information and education only. The Rules and Regulations of the Chicago Board of Trade should be consulted as the authoritative source of all current contract specifications and regulations.
Related Documents
CBOT U.S. Treasury Conversion Factors for November 8-10, 2004
