Bond Futures Basis

Name: Bond Futures Basis
Author: anthropics

anthropics/financial-services

1 installs
34k repo stars
Updated August 4, 2026
anthropics/financial-services

Bond-futures-basis is a Claude skill that analyzes the bond futures basis, identifies the cheapest-to-deliver bond, and assesses basis trade opportunities.

About

Bond-futures-basis analyzes the bond futures basis by pricing the future, identifying the cheapest-to-deliver bond, and comparing against yield curves. It chains dedicated fixed-income MCP tools to compute gross basis, carry, net basis, and implied repo, then overlays historical context. The output leads with a rich/fair/cheap basis-trade assessment for traders evaluating delivery-option value.

Analyzes the bond futures basis: prices the future, identifies the cheapest-to-deliver, and computes gross/net basis and
Chains MCP tools (bond_future_price, bond_price, interest_rate_curve, historical pricing) into a coherent basis analysis
Leads with a rich/fair/cheap basis-trade assessment plus historical percentile context

Bond Futures Basis by the numbers

1 all-time installs (skills.sh)
Ranked #909 of 1,106 Finance & Trading skills by installs in the Skillselion catalog
Data as of Aug 5, 2026 (Skillselion catalog sync)

At a glance

bond-futures-basis capabilities & compatibility

Capabilities: bond relative value · catalyst calendar
Use cases: trading · data analysis

From the docs

What bond-futures-basis says it does

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.

SKILL.md

Lead with the basis trade assessment (long/short/neutral) and implied repo comparison.

SKILL.md

npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basis

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Installs	1
repo stars	★ 34k
Last updated	August 4, 2026
Repository	anthropics/financial-services ↗

What it does

Assess bond futures basis trades by pricing futures, finding the CTD, and comparing implied to market repo.

Who is it for?

Fixed-income traders analyzing bond futures, computing basis, and evaluating implied-repo richness or cheapness

Skip if: Computing prices itself; it routes data through MCP pricing tools and interprets

When should I use this skill?

When analyzing bond futures, computing the basis, identifying CTD bonds, or evaluating basis trades

What you get

Basis-trade assessment (long/short/neutral) with future summary, CTD analytics, basis calculation, and historical context tables.

Future summary table
CTD bond analytics table
Basis calculation table

By the numbers

5 MCP tools chained
6-step tool-chaining workflow

Files

SKILL.mdMarkdownGitHub ↗

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.