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Jericho
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Posts: 23
Joined: August 22nd, 2007, 3:14 pm

Marking bonds to futures basis

December 6th, 2022, 1:38 pm

Hi 

We have a relative value strategy on the desk and they would like to mark the Bonds to the futures basis but Im not clear what this means - are there any examples which anyone could share?  Futures are marked to exchange and the Bonds to Reuters (Traders arent happy with Reuters pricing) and want to mark to basis 

Also are there any issues with this?

Thanks

J.