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q1: What would be the Gross Basis (32nds)? 355.19 11.366 52.244 47.720 Hint: dont forget to multiply the calculated gross basis by 32. q2: What
q1: What would be the Gross Basis (32nds)?
355.19
11.366
52.244
47.720
Hint: dont forget to multiply the calculated gross basis by 32.
q2: What would be the Net Basis (32nds)?
0.016
0.524
0.339
0.360
Contract | 10-Year T-Note 6% 10/15/2027 |
Futures Price ($) | 137.19 |
Conversion Factor | 0.8006 |
UST cash price ($) | 110.1875 |
Coupon (%) | 2.25 |
Settlement Date | 1-Feb-21 |
Delivery Date | 31-Mar-21 |
Last Coupon Payment Date | 15-Nov-20 |
Actual Repo Rate | 0.122% |
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