Bond Futures Basis

anthropics/financial-services-pluginsOfficial

This tackles bond futures basis analysis by chaining together futures pricing, cash bond analytics, and yield curve data to identify cheapest-to-deliver bonds and compute gross basis, net basis, and implied repo rates. You get a structured workflow that prices the future, prices the CTD bond separately, calculates basis metrics from both outputs, then compares implied repo to market rates to assess whether the future is rich or cheap. It pulls historical data to show where the current basis sits relative to recent ranges. The skill is pretty comprehensive about the mechanics, walking through conversion factors and delivery baskets, but you'll need access to the underlying MCP tools for bond and futures pricing to make it work.

skills.sh installs: 882
GitHub stars: 33.5K
last updated: Jul 14, 2026

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Install

$ npx -y skills add anthropics/financial-services-plugins --skill bond-futures-basis --agent claude-code

Installs into .claude/skills of the current project.

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.