I'm looking to understand the P&L implications of holding 2YR treasury futures. Assuming no movement in interest rates through to maturity (i.e., no capital gains or losses due to interest rate moves), if I purchase a 2 YR treasury future today and hold it until expiration, what will my P&L impact be.
I have attached today's futures and CTD chart from the CME website. Using these figures, should I take:
a) The futures yield of 1.718% or the CTD yield to maturity of 1.89%,
and from this subtract...
b) The implied repo rate of 2.69% or look up an actual repo rate for the same tenor?
And once I have this number (I'm calling it cost of carry, but from other entries I know there are pure and broader definitions), if I have USD 1,000 of futures and the cost of carry is say -0.80% then my P&L at maturity will be -$8. Is this math correct?
Thanks so much in advance.