For instance, at a futures price of 100.09, following the price factor conversion the equivalent bond price would be below the market price of the 8% Treasury Multiplicator used to neutralize differences in the characteristics in terms of coupon rate and maturity of the deliverable bonds for a futures contract. US Treasury bond with notional value of $100,000 and a coupon will announce the conversion factor for each bond before trading in a contract begins; the. Compared with treasury notes or treasury bonds, t-bonds take the longest time The invoice price equals the futures settlement price times a conversion factor,
conversion factor, while Australian Treasury Bond Futures are cash settled against the average price of a pre-determined basket of Commonwealth Government Every cash note or bond that is eligible for delivery into a Treasury futures contract has a conversion factor that reflects its coupon and remaining time to maturity as of a specific delivery month. A conversion factor is the approximate decimal price at which $1 par of a security would trade if it had a six percent yield-to-maturity. 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 Oct 2021 (a new 2-year note). 1-1/2s of Oct 2024 (a new 5-year note). 1-5/8s of Oct 2026 (a new 7-year note).
Since futures on Treasury bonds and 10- and 5-year notes are all contracts with a $100,000 face value, the value of a full point is $1,000 for each of these contracts. A one-point move on a $200,000 face value 2-year T-note futures contract has a value of $2,000. Hull defines the conversion factor for a bond as the "quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the interest rate for all maturities equals 6% per annum.". My understanding is that the hypothetical bond underlying the futures contract has The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent." that's the commodity (it's just another derivative with an underlying commodity).
Conversion factor tables for U.S. Treasury Bond and Note futures have been updated to include conversion factors for the following securities: 1/2s of Mar 2023
Every cash note or bond that is eligible for delivery into a Treasury futures contract has a conversion factor that reflects its coupon and remaining time to maturity as of a specific delivery month. A conversion factor is the approximate decimal price at which $1 par of a security would trade if it had a six percent yield-to-maturity. 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 Oct 2021 (a new 2-year note). 1-1/2s of Oct 2024 (a new 5-year note). 1-5/8s of Oct 2026 (a new 7-year note). The conversion factor is the price of the delivered bond/note ($1 par value) to yield a fixed rate. The conversion factor is used to calculate a final delivery price. The yield on which the conversion factor is based varies: for example, for the CBOT U.S.T bond/note it is 6%, and for the LIFFE long gilt it is 7%.