
bond-futures-basis
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.
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Install
Works with every agent the skills CLI supports.
npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basis- 01
Install
Run the command in your project. The CLI asks which agents to install for.
- 02
Describe the task
Ask your agent for something this skill covers. It loads bond-futures-basis automatically when relevant.
- 03
Review the result
The agent follows the SKILL.md steps, scripts and references bundled with the skill.
SKILL.md
The instructions your agent reads when the skill is triggered.
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.
FAQ
What does the bond-futures-basis skill do?
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.
How do I install bond-futures-basis?
Run npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basis in your project. The skills CLI detects the agents you use and copies the skill into the right folder. For Claude Code you can also place the skill folder at ~/.claude/skills/bond-futures-basis/ (personal) or .claude/skills/bond-futures-basis/ (project).
Which AI agents can use bond-futures-basis?
Any agent that supports the open Agent Skills format (a folder with a SKILL.md file), including Claude Code, Codex, Cursor, GitHub Copilot, Gemini CLI, Windsurf, Cline, OpenCode and more.
Is bond-futures-basis safe to install?
No partner security audit is available yet. Skills can run commands and scripts, so read the SKILL.md and any bundled files before installing.
Who maintains bond-futures-basis?
It is published by anthropics in anthropics/financial-services, and it is an official skill from the maker of the technology it covers. It has 1,763 recorded installs.
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