20 сент. 2019 г. · The basis is the cost of funding the position. Of course one would need to account for the coupon and the accrued interest to the maturity date of the future.

24 мая 2018 г. · Net basis is the difference between the two prices measured at settlement, so the forward net basis does not equal the forward gross basis ...

16 февр. 2019 г. · Put differently, if we assume last delivery date then gross basis = net basis + carry. The gross basis should converge to net basis by the last ...

6 апр. 2019 г. · In the most simple form the total exposure will be the size of the position, e.g. if you purchase 100mm bonds at par and repo them for 3months ...

26 нояб. 2018 г. · The net basis the value of holding the bond into delivery, adjusted for the effects of implied repo.

1 авг. 2023 г. · A net basis position is a forward contract on a bond versus a futures contract for the same date. Therefore forward vs forward. The only ...

17 февр. 2018 г. · The CTD is determined by the lowest net basis, which is your cost adjusted for carry. The bond with the highest implied repo and the lowest net basis is your ...

3 сент. 2023 г. · ... calculated simply by estimating the carry improvement prior to futures expiration. Equivalently , the net basis of this bond may also increase.

26 авг. 2024 г. · Dividing each bond's price net of carry by the conversion factor. For each scenario, the bond with the lowest converted price will be the CTD ...

1 авг. 2024 г. · ... net basis equation. The net basis is a simple calculation, it is the forward price of the bond at delivery minus the invoice price of the ...