I have tried to understand conversion rate and the reasoning behind discounting by 6% YTM for standardization.
When I found US treasury futures price from CME group for different maturities(2,3,5,10 and 30) they are all trading above par.
I have used bond pricing/valuation calculation with FV = 100, Y=y/2 from the treasury yield curve, maturities = 2*n, and c=3 to calculate PV which matched quite closely with CME group’s futures price.
My guess and conclusion was US treasuries are priced with 6% coupon and 100 FV discounted by the treasury yield curve.
If anyone could advise, I would appreciate it!