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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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