Conversion Factors

What is Conversion Factors?

Conversion Factors meaning Numbers published by a futures exchange to determine invoice prices for debt instruments deliverable against bond or note futures contracts. A separate conversion factor is published for each deliverable instrument. Invoice price = Contract Size X Futures Settlement Price X Conversion Factor + Accrued Interest.

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary

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