# How do I calculate yield from a bond futures contract?

I would like to know how I can calculate the yield of a bond futures contract(say the 5 yr treasury "FVM05" is trading at 108.2)? I am not sure how to go about calculating the yield of the futures contract?

Need some guidance in doing so.

• Futures implied yield: You can also calculate the so called futures implied yield. This is computed by assuming that the forward price of the CTD is the futures price multiplied by the conversion factor. In this case, the futures price is 121.46875, while the conversion factor for the 1.625s of 11/30/2020 is 0.8408, so you would assume that the CTD's forward price is $121.46875 \times 0.8408 = 102.130925$. Then you simply calculate the yield to maturity, assuming that the settlement date is the delivery date (10/5/2016), which nets you a yield of 1.099%.
• @CashCow it's the FUT_CTD Field on Bloomberg. It will tell you which Bond (Treasury) in the case of US Government is the Cheapest to Deliver for the given Bond Future. – bombayquant Dec 27 '19 at 15:57