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Bond Futures Basis

AnthropicOfficialCreated by LSEGDistributed by Anthropic

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

ATTRIBUTION.md

Attribution

This folder is an unmodified copy of the Agent Skill "bond-futures-basis", distributed by AutoGineer (https://autogineer.com/agent-skills).

The skill's own files are unmodified copies. AutoGineer is not affiliated with or endorsed by the author or the publisher.

Files added by AutoGineer

  • ATTRIBUTION.md: this file, written by AutoGineer

  • LICENSE: copied from 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