Net Basis time series?

[Joy Pathak]

Anyone have any net basis (treasury bond/futures) time series lying around by any chance? Any maturity will do. Bloomberg is of no help.

 

[Yike Lu]

If you have the futures time series with all the different maturities, you can construct calendar spreads, which should approximate the forward basis.

 

[Joy Pathak]

If you have the futures time series with all the different maturities, you can construct calendar spreads, which should approximate the forward basis.

Can you explain this further? How would futures time series between a 10 year and 30 year for example help me find the net basis between the 10 yr current futures and the cash bond that is CTD... ? Also.. remember.. net basis... not gross basis.

 

[Yike Lu]

Calendar spread not between 10 and 30, but I mean 10 yr future 3 month vs 6 month to delivery.

If you regard the cash bond as a futures with 0 time to maturity, then calendar spread is an approx to a forward basis. Probably not good enough for your purposes I guess.