Generated banner for Bond Futures Basis
Generated logo for Bond Futures Basis

Bond Futures Basis

AnthropicOfficialCreated by LSEGDistributed by Anthropic

  • Skill
  • Research and analysis
  • Business and productivity
  • Apache-2.0
  • No issues found

From the author

Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.
— the description by LSEG

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill provides a structured analytical framework for evaluating bond futures basis trades. By integrating futures pricing, cash bond analytics, and yield curve data, it enables users to identify the cheapest-to-deliver (CTD) bond, calculate key basis metrics such as gross and net basis, and compare implied repo rates against market benchmarks. The skill follows a rigorous workflow to assess whether futures are rich or cheap, providing a clear assessment of delivery option value and historical context.

What it does

  • Prices bond futures to identify the delivery basket and CTD bond.
  • Calculates clean and dirty prices, duration, and DV01 for CTD bonds.
  • Computes gross, carry, and net basis metrics.
  • Determines implied repo rates and compares them to market repo rates.
  • Provides historical basis trends and volatility analysis.
  • Generates structured summaries for basis trade assessments.

When to use it

  • When evaluating the relative value between cash bonds and bond futures.
  • When identifying the cheapest-to-deliver bond for a specific futures contract.
  • When assessing the profitability of basis trading strategies.
  • When analyzing the impact of delivery options on futures pricing.
  • When monitoring historical basis trends to identify potential market distortions.

Advantages

  • Standardizes the complex workflow of basis analysis.
  • Integrates multiple data sources for a comprehensive view of the trade.
  • Enables objective comparison between implied and market repo rates.
  • Provides clear, tabular output for rapid decision-making.
  • Incorporates historical context to assess current market positioning.

Usage examples

“Analyze the current basis for the 10-year Treasury note futures contract.”
The agent will identify the CTD bond, calculate the net basis and implied repo rate, compare these against current market repo rates, and provide a rich/fair/cheap assessment.
“Is the current basis for the Bund future historically expensive?”
The agent will retrieve historical pricing data, calculate the current net basis percentile relative to the 3-month and 6-month averages, and summarize the findings.

Install

  1. Download the skill as a ZIP:

    https://mp-staging.autogineer.com/agent-skills/anthropics/bond-futures-basis/download
  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip bond-futures-basis.zip -d .agents/skills

Documentation by LSEG

Bond Futures Basis Analysis

You are an expert in bond futures and basis trading. Combine futures pricing, cash bond analytics, yield curve data, and historical tracking to assess basis trade opportunities. Focus on routing data from MCP tools into a coherent basis analysis — let the tools compute, you interpret and present.

Core Principles

The basis sits at the intersection of cash bond pricing, repo markets, and delivery mechanics. Always start by pricing the future to identify the CTD and delivery basket, then price the CTD bond separately, compute basis metrics from the two outputs, and overlay yield curve context. The net basis represents embedded delivery option value — compare implied repo to market repo to assess whether futures are rich or cheap.

Available MCP Tools

  • bond_future_price — Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01.

  • bond_price — Price individual cash bonds. Returns clean/dirty price, yield, duration, DV01, convexity.

  • interest_rate_curve — Government yield curves. Two-phase: list available curves, then calculate. Use short end as repo rate proxy.

  • tscc_historical_pricing_summaries — Historical OHLC data for futures and bonds. Use to track basis evolution over time.

  • credit_curve — Credit spread curves. Use for sovereign credit context when relevant.

Tool Chaining Workflow

  1. Price the Future: Call bond_future_price with the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates.

  2. Price the CTD Bond: Call bond_price for the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01.

  3. Compute Basis Metrics: From the two outputs, compute gross basis, carry, net basis (BNOC), and implied repo rate. Compare implied repo to market short-term rate.

  4. Yield Curve Context: Call interest_rate_curve — list then calculate for the future's currency. Use short-end rate as repo proxy for the implied repo comparison.

  5. Historical Context: Call tscc_historical_pricing_summaries for both the future and CTD bond (3M daily). Assess basis trend, volatility, and current percentile.

  6. Sovereign Credit (optional): Call credit_curve for the relevant sovereign to check for credit-driven basis distortions.

Output Format

Future Summary
FieldValue
Contract...
Fair Price...
CTD Bond...
Conversion Factor...
Contract DV01...
CTD Bond Analytics
FieldValue
Clean Price...
YTM...
Duration...
DV01...
Basis Calculation
MetricValue
Gross Basis... ticks
Carry... ticks
Net Basis... ticks
Implied Repo...%
Market Repo (approx)...%
AssessmentRich / Fair / Cheap
Historical Basis Context
MetricCurrent3M Avg6M AvgPercentile
Net Basis............th
Implied Repo............th

Lead with the basis trade assessment (long/short/neutral) and implied repo comparison. Follow with detailed analytics tables.

Files

LICENSE


                                 Apache License
                           Version 2.0, January 2004
                        http://www.apache.org/licenses/

   TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION

   1. Definitions.

      "License" shall mean the terms and conditions for use, reproduction,
      and distribution as defined by Sections 1 through 9 of this document.

      "Licensor" shall mean the copyright owner or entity authorized by
      the copyright owner that is granting the License.

      "Legal Entity" shall mean the union of the acting entity and all
      other entities that control, are controlled by, or are under common
      control with that entity. For the purposes of this definition,
      "control" means (i) the power, direct or indirect, to cause the
      direction or management of such entity, whether by contract or
      otherwise, or (ii) ownership of fifty percent (50%) or more of the
      outstanding shares, or (iii) beneficial ownership of such entity.

      "You" (or "Your") shall mean an individual or Legal Entity
      exercising permissions granted by this License.

      "Source" form shall mean the preferred form for making modifications,
      including but not limited to software source code, documentation
      source, and configuration files.

      "Object" form shall mean any form resulting from mechanical
      transformation or translation of a Source form, including but
      not limited to compiled object code, generated documentation,
      and conversions to other media types.

      "Work" shall mean the work of authorship, whether in Source or
      Object form, made available under the License, as indicated by a
      copyright notice that is included in or attached to the work
      (an example is provided in the Appendix below).

      "Derivative Works" shall mean any work, whether in Source or Object
      form, that is based on (or derived from) the Work and for which the
      editorial revisions, annotations, elaborations, or other modifications
      represent, as a whole, an original work of authorship. For the purposes
      of this License, Derivative Works shall not include works that remain
      separable from, or merely link (or bind by name) to the interfaces of,
      the Work and Derivative Works thereof.

      "Contribution" shall mean any work of authorship, including
      the original version of the Work and any modifications or additions
      to that Work or Derivative Works thereof, that is intentionally
      submitted to Licensor for inclusion in the Work by the copyright owner
      or by an individual or Legal Entity authorized to submit on behalf of
      the copyright owner. For the purposes of this definition, "submitted"
      means any form of electronic, verbal, or written communication sent
      to the Licensor or its representatives, including but not limited to
      communication on electronic mailing lists, source code control systems,
      and issue tracking systems that are managed by, or on behalf of, the
      Licensor for the purpose of discussing and improving the Work, but
      excluding communication that is conspicuously marked or otherwise
      designated in writing by the copyright owner as "Not a Contribution."

      "Contributor" shall mean Licensor and any individual or Legal Entity
      on behalf of whom a Contribution has been received by Licensor and
      subsequently incorporated within the Work.

   2. Grant of Copyright License. Subject to the terms and conditions of
      this License, each Contributor hereby grants to You a perpetual,
      worldwide, non-exclusive, no-charge, royalty-free, irrevocable
      copyright license to reproduce, prepare Derivative Works of,
      publicly display, publicly perform, sublicense, and distribute the
      Work and such Derivative Works in Source or Object form.

   3. Grant of Patent License. Subject to the terms and conditions of
      this License, each Contributor hereby grants to You a perpetual,
      worldwide, non-exclusive, no-charge, royalty-free, irrevocable
      (except as stated in this section) patent license to make, have made,
      use, offer to sell, sell, import, and otherwise transfer the Work,
      where such license applies only to those patent claims licensable
      by such Contributor that are necessarily infringed by their
      Contribution(s) alone or by combination of their Contribution(s)
      with the Work to which such Contribution(s) was submitted. If You
      institute patent litigation against any entity (including a
      cross-claim or counterclaim in a lawsuit) alleging that the Work
      or a Contribution incorporated within the Work constitutes direct
      or contributory patent infringement, then any patent licenses
      granted to You under this License for that Work shall terminate
      as of the date such litigation is filed.

   4. Redistribution. You may reproduce and distribute copies of the
      Work or Derivative Works thereof in any medium, with or without
      modifications, and in Source or Object form, provided that You
      meet the following conditions:

      (a) You must give any other recipients of the Work or
          Derivative Works a copy of this License; and

      (b) You must cause any modified files to carry prominent notices
          stating that You changed the files; and

      (c) You must retain, in the Source form of any Derivative Works
          that You distribute, all copyright, patent, trademark, and
          attribution notices from the Source form of the Work,
          excluding those notices that do not pertain to any part of
          the Derivative Works; and

      (d) If the Work includes a "NOTICE" text file as part of its
          distribution, then any Derivative Works that You distribute must
          include a readable copy of the attribution notices contained
          within such NOTICE file, excluding those notices that do not
          pertain to any part of the Derivative Works, in at least one
          of the following places: within a NOTICE text file distributed
          as part of the Derivative Works; within the Source form or
          documentation, if provided along with the Derivative Works; or,
          within a display generated by the Derivative Works, if and
          wherever such third-party notices normally appear. The contents
          of the NOTICE file are for informational purposes only and
          do not modify the License. You may add Your own attribution
          notices within Derivative Works that You distribute, alongside
          or as an addendum to the NOTICE text from the Work, provided
          that such additional attribution notices cannot be construed
          as modifying the License.

      You may add Your own copyright statement to Your modifications and
      may provide additional or different license terms and conditions
      for use, reproduction, or distribution of Your modifications, or
      for any such Derivative Works as a whole, provided Your use,
      reproduction, and distribution of the Work otherwise complies with
      the conditions stated in this License.

   5. Submission of Contributions. Unless You explicitly state otherwise,
      any Contribution intentionally submitted for inclusion in the Work
      by You to the Licensor shall be under the terms and conditions of
      this License, without any additional terms or conditions.
      Notwithstanding the above, nothing herein shall supersede or modify
      the terms of any separate license agreement you may have executed
      with Licensor regarding such Contributions.

   6. Trademarks. This License does not grant permission to use the trade
      names, trademarks, service marks, or product names of the Licensor,
      except as required for reasonable and customary use in describing the
      origin of the Work and reproducing the content of the NOTICE file.

   7. Disclaimer of Warranty. Unless required by applicable law or
      agreed to in writing, Licensor provides the Work (and each
      Contributor provides its Contributions) on an "AS IS" BASIS,
      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or
      implied, including, without limitation, any warranties or conditions
      of TITLE, NON-INFRINGEMENT, MERCHANTABILITY, or FITNESS FOR A
      PARTICULAR PURPOSE. You are solely responsible for determining the
      appropriateness of using or redistributing the Work and assume any
      risks associated with Your exercise of permissions under this License.

   8. Limitation of Liability. In no event and under no legal theory,
      whether in tort (including negligence), contract, or otherwise,
      unless required by applicable law (such as deliberate and grossly
      negligent acts) or agreed to in writing, shall any Contributor be
      liable to You for damages, including any direct, indirect, special,
      incidental, or consequential damages of any character arising as a
      result of this License or out of the use or inability to use the
      Work (including but not limited to damages for loss of goodwill,
      work stoppage, computer failure or malfunction, or any and all
      other commercial damages or losses), even if such Contributor
      has been advised of the possibility of such damages.

   9. Accepting Warranty or Additional Liability. While redistributing
      the Work or Derivative Works thereof, You may choose to offer,
      and charge a fee for, acceptance of support, warranty, indemnity,
      or other liability obligations and/or rights consistent with this
      License. However, in accepting such obligations, You may act only
      on Your own behalf and on Your sole responsibility, not on behalf
      of any other Contributor, and only if You agree to indemnify,
      defend, and hold each Contributor harmless for any liability
      incurred by, or claims asserted against, such Contributor by reason
      of your accepting any such warranty or additional liability.

   END OF TERMS AND CONDITIONS

   APPENDIX: How to apply the Apache License to your work.

      To apply the Apache License to your work, attach the following
      boilerplate notice, with the fields enclosed by brackets "[]"
      replaced with your own identifying information. (Don't include
      the brackets!)  The text should be enclosed in the appropriate
      comment syntax for the file format. We also recommend that a
      file or class name and description of purpose be included on the
      same "printed page" as the copyright notice for easier
      identification within third-party archives.

   Copyright [yyyy] [name of copyright owner]

   Licensed under the Apache License, Version 2.0 (the "License");
   you may not use this file except in compliance with the License.
   You may obtain a copy of the License at

       http://www.apache.org/licenses/LICENSE-2.0

   Unless required by applicable law or agreed to in writing, software
   distributed under the License is distributed on an "AS IS" BASIS,
   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
   See the License for the specific language governing permissions and
   limitations under the License.

Requirements and compatibility

Written for: Claude Code, Claude apps

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Security

No issues found by our static scan· No issues found

A static scan is not a guarantee. Skills are third-party content: review a skill before you let an agent use it.

Attribution and licence

Created by
LSEG
Publisher
Anthropic (Official)
Distributed by
Anthropic
Source
anthropics/financial-services · plugins/partner-built/lseg/skills/bond-futures-basis · commit 6056506
Licence
Apache License 2.0 (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE)
  • ATTRIBUTION.md (written by AutoGineer)
Synced

AutoGineer is not affiliated with or endorsed by LSEG or Anthropic.

Download ZIP

The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download bond-futures-basis.zip