CONVERSION FACTORS
The CBOT estimates that less than 1% of the outstanding financial futures con-
tracts actually settle by delivery of a security. However, with an open interest
for each of the major contracts well up into six figures, thousands of contracts
will still settle. In late June of 2002, the open interests for the 2-, 5-, and 10-
year Treasury notes and the long Treasury bond were 104,066; 570,789;
777,001; and 451,396 respectively. Even if 1% of the open contracts settle
by actual delivery, almost 20,000 contracts will settle this way. The CBOT
delivery statistics are generally in line with this estimate.
The seller of a financial future has a choice of a number of Treasuries eli-
gible for delivery. The exact number depends on Treasury ...