Bond Futures Basis
- 925 installs
- 33.8k repo stars
- Updated July 22, 2026
- anthropics/financial-services-plugins
bond-futures-basis analyzes bond futures basis, CTD, and delivery option value.
About
The bond-futures-basis skill analyzes bond futures basis by pricing futures, identifying cheapest-to-deliver bonds, and comparing results with yield curves to assess delivery option value and basis trading opportunities. Agents route MCP tools for futures pricing, cash bond analytics, and curve data before synthesizing basis trade recommendations. Workflows emphasize CTD dynamics and historical basis tracking for rates desks. The skill triggers when users evaluate bond futures basis trades or delivery optionality. Bond futures basis and cheapest-to-deliver analysis. Futures pricing compared with yield curve data. Delivery option value and basis trade opportunity framing. MCP routing for futures, cash bonds, and curves. Rates desk basis trade research workflows. Analyze bond futures basis, cheapest-to-deliver, and yield curve delivery option value.
- Bond futures basis and cheapest-to-deliver analysis.
- Futures pricing compared with yield curve data.
- Delivery option value and basis trade opportunity framing.
- MCP routing for futures, cash bonds, and curves.
- Rates desk basis trade research workflows.
Bond Futures Basis by the numbers
- 925 all-time installs (skills.sh)
- +26 installs in the week ending Jul 28, 2026 (Skillselion tracking)
- Ranked #155 of 1,136 Finance & Trading skills by installs in the Skillselion catalog
- Security screen: LOW risk (skills.sh audit)
- Data as of Jul 28, 2026 (Skillselion catalog sync)
What bond-futures-basis says it does
Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver
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| Installs | 925 |
|---|---|
| repo stars | ★ 33.8k |
| Security audit | 3 / 3 scanners passed |
| Last updated | July 22, 2026 |
| Repository | anthropics/financial-services-plugins ↗ |
What is the basis trade opportunity on this bond future?
Analyze bond futures basis, cheapest-to-deliver, and yield curve delivery option value.
Who is it for?
Rates traders analyzing bond futures basis and CTD switches.
Skip if: Skip for equity derivatives without bond futures exposure.
When should I use this skill?
User analyzes bond futures basis, CTD, or delivery option value.
What you get
Basis assessment with CTD, curve comparison, and delivery option context.
- Basis analysis report
- CTD identification
- Implied repo calculation
Files
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
| 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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Use bond-futures-basis for CTD and repo-aware futures analysis; generic finance skills lack delivery-option and basis-specific workflows.
FAQ
What is CTD?
Cheapest-to-deliver bond identified during futures pricing analysis.
What data is combined?
Futures prices, cash bond analytics, and yield curve comparisons.
What trades does it support?
Basis trading opportunities and delivery option value assessment.
Is Bond Futures Basis safe to install?
skills.sh reports 3 of 3 security scanners passed. Review the Security Audits panel on this page before installing in production.