The conversion coefficient of medium and long-term treasury bonds futures plays a role in converting the delivery quantity of futures contracts with the actual face value of treasury bonds. Through the conversion coefficient, the delivery quantity of futures contracts can be guaranteed to correspond to the value of actual national debt, and the problem of value mismatch during delivery can be avoided.
The calculation basis of conversion coefficient is the relevant characteristics of national debt and market demand. Common calculation methods include face value ratio, weighted average of remaining term, etc. The exchange will regularly adjust the conversion coefficient to reflect the changes in the market and the characteristics of national debt.