The conversion factor is the price at which a deliverable bond would yield the same as the notional bond, expressed as a ratio to a face value of 100 yen. The notional bond of 10-year JGB Futures has a 6% coupon, so bonds with coupons below 6% have conversion factors below 1. Consider a hypothetical example in which the settlement price is 140.00 yen and the seller delivers 1 billion yen face value of a bond with a conversion factor of 0.70. The delivery settlement amount is 1 billion yen × 140.00 × 0.70 ÷ 100, or 980 million yen (excluding accrued interest).
Conversion factor
- Japanese
- 交換比率
- Last reviewed
- September 25, 2026
This is a draft, shown for review before publication.
A conversion factor is the multiplier applied in the delivery settlement of JGB futures to convert the price of the notional bond into a price for each deliverable bond. It is set for each bond and contract month, and the delivery settlement amount is found by multiplying the settlement price by the conversion factor.