Sheet 1: Conversion Factor Formula



Sheet 2: 2-Year Notes

	
	
	
	
	

		
2-YEAR U.S. TREASURY NOTE FUTURES CONVERSION FACTOR CALCULATOR
		


		


		


		


	
	

		


		


		


		


		


	
	

		

		DGRO50:
Enter as decimal.
		1.)  Select Coupon
		

 
		
		
Remaining Maturity from First Day of Delivery Month (Unrounded)
		


	
	

		
Year
		
1
	
	

		


		


		


		
Month
		
11
	
	

		

		DGRO50:
Insert.
		2.)  Select Maturity Date
		


		


		
Day
		
29
	
	

		


		


		


		


		


	
	

		
       Month
		

 
		
		
n
		
1
	
	

		
z
		
11
	
	

		


		


		


		
v
		
5
	
	

		
       Day
		

 
		
		


		


	
	

		
a
		
0.975669
	
	

		


		


		


		
b
		
0.000625
	
	

		
       Year
		

 
		
		
c
		
0.915142
	
	

		
d
		
0.010607
	
	

		


		


		


		


		


	
	

		

		DGRO50:
Insert.
		3.)  Select First Day of Delivery Month
		


		


		
Futures Expiry Month
		
December 2009
	
	

		


		


		


		
Conversion Factor (6 Decimals)
		
0.906258
	
	

		
       Month
		

 
		
		
Conversion Factor (4 Decimals)
		
0.9063
	
	

		


		


	
	

		


		


		


		


		


	
	

		
       Day
		

 
		
		


		


	
	

		


		


	
	

		


		


		


		


		


	
	

		
       Year
		

 
		
		


		


	
	

		


		


	
	

		


		


		


		


		


	



Sheet 3: 3-Year Notes

	
	
	
	
	

		
3-YEAR U.S. TREASURY NOTE FUTURES CONVERSION FACTOR CALCULATOR
		


		


		


		


	
	

		


		


		


		


		


	
	

		

		DGRO50:
Enter as decimal.
		1.)  Select Coupon
		

 
		
		
Remaining Maturity from First Day of Delivery Month (Unrounded)
		


	
	

		
Year
		
3
	
	

		


		


		


		
Month
		
0
	
	

		

		DGRO50:
Insert.
		2.)  Select Maturity Date
		


		


		
Day
		
14
	
	

		


		


		


		


		


	
	

		
       Month
		

 
		
		
n
		
3
	
	

		
z
		
0
	
	

		


		


		


		
v
		
0
	
	

		
       Day
		

 
		
		


		


	
	

		
a
		
1.000000
	
	

		


		


		


		
b
		
0.005625
	
	

		
       Year
		

 
		
		
c
		
0.837484
	
	

		
d
		
0.030472
	
	

		


		


		


		


		


	
	

		

		DGRO50:
Insert.
		3.)  Select First Day of Delivery Month
		


		


		
Futures Expiry Month
		
December 2009
	
	

		


		


		


		
Conversion Factor (6 Decimals)
		
0.867956
	
	

		
       Month
		

 
		
		
Conversion Factor (4 Decimals)
		
0.8680
	
	

		


		


	
	

		


		


		


		


		


	
	

		
       Day
		

 
		
		


		


	
	

		


		


	
	

		


		


		


		


		


	
	

		
       Year