Treasury Futures Delivery Invoice Amount: Conversion Factors and Accrued Interest
Learn how a physically delivered Treasury futures invoice amount combines converted futures price and accrued interest, and why the exact contract, delivery month, security, settlement, and rounding matter.
Direct answer
When a physically delivered U.S. Treasury note or bond futures contract goes through delivery, CME describes the clearing-level invoice amount as the converted futures price plus accrued interest. The converted futures price uses the contract scale factor, the applicable settlement price, and the conversion factor for the particular eligible security being delivered. A futures quote by itself is not an invoice amount, a personal account allocation, or a promise that a particular CUSIP will be received.
An invoice amount starts with a named delivery contract and security
An invoice amount belongs to a named physically delivered Treasury note or bond futures contract that has reached its delivery process. Begin with the exact product and delivery month, then identify the eligible security in the delivery record. A broad phrase such as “Treasury future” leaves out the delivery grade, contract scale, settlement field, and security-specific inputs that make the invoice meaningful.
Cash-settled versus physically delivered futures is the first check: a cash-settled contract does not use this physical-delivery invoice structure. In particular, do not extend an invoice formula to a Micro Treasury or Yield futures contract just because its name includes Treasury.
The delivery process operates at clearing and clearing-firm levels under the contract's rules. A clearing notice can identify the delivered security and invoice amount, while how a clearing firm allocates or handles an account is a separate operational matter. Public education material cannot determine a particular customer's delivery outcome.
The converted futures price uses three contract-specific inputs
CME's delivery materials describe the converted futures price as the contract scale factor multiplied by the applicable futures settlement price and by the conversion factor for the security being delivered. In plain language, the exchange framework starts with a stated futures settlement field, scales it for the contract, and adjusts it with the delivery security's conversion factor.
The conversion factor is not a generic multiplier for “a 10-year Treasury.” It is assigned to an eligible note or bond for the relevant delivery month under the exchange's convention. The factor helps normalize securities with different coupons and maturity profiles inside a particular delivery framework. Cheapest to deliver Treasury futures explains why a conversion factor is an input to a delivery comparison rather than a standalone CTD result.
The settlement field is equally important. A displayed last trade and a daily settlement can be different records. Futures settlement price versus last trade explains why the applicable exchange-defined settlement field must be preserved rather than substituted with whichever quote is easiest to find.
Accrued interest is a separate delivery component
The delivery invoice is not complete after multiplying a futures settlement by a conversion factor. CME separates accrued interest from the converted futures price. The result reflects the delivered security's coupon accrual as specified for the delivery calculation, alongside the converted price component.
This distinction is useful because a price chart can show a clean-price-like futures value without showing the full cash component of a delivery invoice. Do not mix an accrued-interest amount from another security, another date, or an unverified calculation into the record. The actual delivered CUSIP, coupon, maturity, delivery date, and current rules matter.
For an explanation of the cash-security side, Treasury futures versus cash Treasuries separates an issued Treasury from a dated futures contract. The two are related through the delivery framework, but neither one is a substitute for the other.
Timing and rounding can change the delivery record
The correct settlement field, accrual period, and rounding treatment depend on the contract's current delivery and pricing rules. A sound record keeps the delivery month and relevant notice or intention date beside the pricing inputs. Do not make an evergreen calculation rely on a historical deadline, a generic rounding convention, or a number from a different Treasury futures product.
First notice day and last trading day introduces lifecycle dates that can affect when a futures holder needs to understand delivery mechanics. Those dates are not a substitute for the current exchange rulebook or clearing notice; they are fields to verify for the specific contract.
This timing discipline also limits false precision. A calculator can reproduce an arithmetic pattern while still using the wrong delivery month, security, settlement field, or rounding rule. Label an output as illustrative unless each current input and the governing rule have been verified.
Keep an invoice record another reader can verify
An auditable invoice record names the exchange product, delivery month, contract scale factor, eligible security identifier, coupon, maturity, conversion factor, settlement field and date, accrued-interest basis, relevant notice or delivery date, rounding rule, source, and timestamp. That record is more useful than one unlabeled invoice number because it lets a reader check whether the inputs belonged together.
The same fields are useful when comparing cash and futures delivery economics. Treasury futures basis explains why a conversion-factor-adjusted futures price and a named cash-security price are only the start of a time-specific relationship; carry and delivery assumptions need their own labels.
This guide explains a contract-delivery framework. It is not a direction to hold through notice, take delivery, finance a cash position, or calculate an account's actual obligation. Current exchange, clearing, broker, and account rules govern an actual transaction.
Common questions
Is the Treasury futures invoice amount the same as the displayed quote?
No. The displayed quote is only one possible input. The delivery invoice also uses the applicable settlement, contract scale, security-specific conversion factor, and accrued interest under the relevant delivery rules.
Why is settlement times conversion factor not the whole invoice?
It omits the contract scale and accrued interest, and it can use the wrong settlement field or conversion factor. The delivery record needs all of the applicable contract and security inputs.
Which futures settlement price applies to the delivery invoice?
Use the exchange-defined field required by the current contract and delivery rules for the relevant timing. A last trade is not automatically the settlement field used in the invoice calculation.
Do all Treasury-related futures use a delivery invoice amount?
No. This framework applies to a physically delivered Treasury note or bond futures contract going through delivery. Cash-settled products have their own final-settlement mechanisms.
Does a delivery invoice show which Treasury security a customer will receive?
Not by itself. Clearing delivery records and a clearing firm's account procedures are separate from a public description of the invoice formula. Check the applicable account and clearing materials for an actual position.