Bond Futures Basis Analysis
OfficialFreeAssess bond futures trading opportunities with precision.
Free · Opens the source repo
What Bond Futures Basis Analysis does
The Bond Futures Basis Analysis skill is designed for finance professionals who need to evaluate bond futures and basis trading opportunities. This skill integrates various financial metrics and tools to provide a comprehensive analysis of the bond futures market. By combining futures pricing with cash bond analytics and yield curve data, users can make informed decisions about basis trades and delivery options.
At its core, the skill focuses on the relationship between cash bond pricing and futures contracts. It starts by pricing the futures contract to identify the cheapest-to-deliver (CTD) bond and its associated delivery basket. Once the CTD is determined, the skill computes key basis metrics, such as gross basis and implied repo rates, which are essential for assessing the value of delivery options. Users can overlay yield curve context to further refine their analysis, comparing implied repo rates with market rates to determine whether the futures are rich or cheap.
The skill also provides historical context through tracking basis evolution over time, allowing users to assess trends and volatility. With the ability to analyze sovereign credit curves, users can identify any credit-driven distortions affecting the basis. This makes the skill particularly valuable for traders and analysts looking to optimize their strategies in the bond futures market.
In summary, Bond Futures Basis Analysis is a powerful tool for anyone involved in bond trading, providing a structured approach to analyzing and interpreting complex financial data. By leveraging the integrated MCP tools, users can automate calculations and focus on strategic decision-making based on comprehensive analytics.
When to use it
Use this skill when you need to analyze bond futures, compute the basis, or evaluate basis trading opportunities.
When not to use it
This skill may not be suitable for users who require a simple overview of bond markets without in-depth analysis.
What you can build with it
Evaluating Basis Trading Opportunities
Use this skill to identify and assess potential basis trading opportunities based on current market conditions and historical data.
Analyzing Cheapest-to-Deliver Bonds
Quickly determine the CTD bond for a specific futures contract and analyze its pricing metrics using the integrated tools.
Monitoring Historical Basis Trends
Leverage historical pricing summaries to track the evolution of basis metrics and make informed trading decisions.
How to install Bond Futures Basis Analysis
View source1. Install with the skills CLI
npx skills add anthropics/financial-services/bond-futures-basis --agent claude-code2. Or install it manually
Download the skill folder and drop it into ~/.claude/skills/ for all projects, or .claude/skills/ to scope it to one repo. Restart Claude Code so it picks up the new skill.
Anthropic's agentic coding CLI, and the reference implementation of Agent Skills. Drop a skill folder into ~/.claude/skills and Claude Code loads it automatically whenever a task matches the skill's description. Claude Code docs
Inside SKILL.md
Written by anthropicsBond 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.
Frequently asked questions about Bond Futures Basis Analysis
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