I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures contract (as of 3.12.13) I get a YTM of about 2.53, however the current GENERIC 10 Year yield or TNX is only 2.03 or so.
I understand that the 10 year future is referenced off a 6% bond and that the Generic yield is from the current on the run bond. But I am trying to understand why there is such a large difference between the implied futures price yield and the generic yield.
Also, is there cost of carry holding futures contracts? I believe there is, equal to the current yield but I am not sure