Treasury Futures — Cheapest to Deliver
Conversion factors, gross & net basis and implied repo for any US Treasury futures contract — computed from free public data.
Assembling deliverable basket
Implied Repo Across Deliverable Basket (% · by maturity)
The cheapest-to-deliver bond is the one a short can finance most cheaply — the highest implied repo / lowest net basis.
Deliverable Basket — Ranked by Implied Repo
| ISIN | Maturity | Coupon | Yield % |
Mod Dur | DV01/100 | Conv Factor | Clean Px |
Gross (32s) | Net Basis | Impl Repo % |