Bond Futures Basis
AnthropicOfficialCreated by LSEGDistributed by Anthropic
- Skill
- Research and analysis
- Business and productivity
- Apache-2.0
- No issues found
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
Download the skill as a ZIP:
https://mp-staging.autogineer.com/agent-skills/anthropics/bond-futures-basis/downloadUnzip 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
Price the Future: Call
bond_future_pricewith the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates.Price the CTD Bond: Call
bond_pricefor the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01.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.
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.Historical Context: Call
tscc_historical_pricing_summariesfor both the future and CTD bond (3M daily). Assess basis trend, volatility, and current percentile.Sovereign Credit (optional): Call
credit_curvefor the relevant sovereign to check for credit-driven basis distortions.
Output Format
Future Summary
| Field | Value |
|---|---|
| Contract | ... |
| Fair Price | ... |
| CTD Bond | ... |
| Conversion Factor | ... |
| Contract DV01 | ... |
CTD Bond Analytics
| Field | Value |
|---|---|
| Clean Price | ... |
| YTM | ... |
| Duration | ... |
| DV01 | ... |
Basis Calculation
| Metric | Value |
|---|---|
| Gross Basis | ... ticks |
| Carry | ... ticks |
| Net Basis | ... ticks |
| Implied Repo | ...% |
| Market Repo (approx) | ...% |
| Assessment | Rich / Fair / Cheap |
Historical Basis Context
| Metric | Current | 3M Avg | 6M Avg | Percentile |
|---|---|---|---|---|
| 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
- ATTRIBUTION.mdAdded by AutoGineer1.0 KiB
- LICENSELicence file added by AutoGineer11.1 KiB
- SKILL.md3.6 KiB
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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.
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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
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