bond-futures-basis
anthropics/financial-services
Analyze bond futures basis, identify CTD bonds, and evaluate basis trading opportunities.
What is bond-futures-basis?
This skill analyzes bond futures basis by pricing futures contracts, identifying the cheapest-to-deliver bond, and comparing with yield curves to assess delivery option value. Use it when evaluating basis trades, computing implied repo rates, or analyzing bond futures market opportunities.
- Price bond futures and identify the cheapest-to-deliver (CTD) bond and delivery basket
- Price individual cash bonds and extract yield, duration, and DV01 metrics
- Compute gross basis, carry, net basis (BNOC), and implied repo rates
- Compare implied repo rates to market repo rates to assess if futures are rich or cheap
- Track basis evolution over time using 3-month historical OHLC data
- Overlay yield curve and credit spread context for basis distortion analysis
How to install bond-futures-basis
npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basisHow to use bond-futures-basis
- 1.Call bond_future_price with the contract RIC to extract CTD bond, conversion factors, and contract DV01
- 2.Call bond_price for the identified CTD bond to get clean/dirty price, yield, duration, and DV01
- 3.Compute basis metrics: gross basis, carry, net basis (BNOC), and implied repo rate from the two outputs
- 4.Call interest_rate_curve to retrieve the government yield curve and use short-end rate as repo proxy
- 5.Call tscc_historical_pricing_summaries for both the future and CTD bond (3-month daily data) to assess basis trend and percentile
- 6.Optionally call credit_curve for the relevant sovereign to check for credit-driven basis distortions
- 7.Present results in structured tables: Future Summary, CTD Bond Analytics, Basis Calculation, and Historical Basis Context
Use cases
- Evaluate whether to enter a long or short basis trade on a specific bond futures contract
- Identify the CTD bond and assess how conversion factors affect delivery economics
- Compare implied repo rates to market short-term rates to detect mispricing
- Track basis trends and volatility over 3–6 months to time entry/exit points
- Analyze sovereign credit impacts on basis when credit spreads widen or tighten
- Fixed-income traders evaluating basis trades
- Portfolio managers hedging bond positions with futures
- Quantitative analysts modeling bond futures pricing and delivery mechanics
- Risk managers assessing delivery option value in futures contracts
bond-futures-basis FAQ
The CTD is the specific bond in the delivery basket that minimizes the cost to deliver against the futures contract, accounting for conversion factors and accrued interest. The skill identifies it automatically via bond_future_price.
Gross basis is futures price minus cash bond price. Net basis (BNOC) subtracts carry (accrued interest and financing costs) to show the true embedded delivery option value.
Implied repo is the financing rate locked in by the basis trade. If implied repo exceeds market repo, the futures are cheap; if lower, they are rich.
Compare the current net basis and implied repo to their 3-month and 6-month averages and percentiles. Extreme percentiles (e.g., 5th or 95th) often signal mean-reversion opportunities.
Check the credit curve when the sovereign's credit spreads are volatile or when basis moves seem disconnected from repo rates, as credit distortions can widen or tighten the basis.
Full instructions (SKILL.md)
Source of truth, from anthropics/financial-services.
name: bond-futures-basis description: 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.
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.
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