The basis amount that results from the difference between the current clean price of a bond and the clean price at which the bond is purchased through taking a long position in a futures contract. The gross basis is thus calculated as follows:
Where Pc is the bond clean price, Pfut is the futures price, and CFbond is the conversion factor.
Put another way, the gross basis captures the difference between the running yield on the bond and the current repo rate (money market rate).
