Bond Futures Basis Analyzer
Price bond futures, identify the cheapest-to-deliver bond, and evaluate basis-trading opportunities.
The skill is scoped to planning and interpreting bond, curve, and historical data retrieval, with no stated trade execution or destructive action, so permission risk is relatively limited. It does not disclose data flows, sensitive-data handling, user confirmation, external-service isolation, or rollback, so points are deducted.
The tool chain and analysis sequence are broadly coherent and the happy path is understandable. However, tool parameters, response schemas, calculation formulas, abnormal-input handling, and failure feedback are unspecified; the workflow requests three months of history while the output includes six-month averages, so points are deducted.
The audience and scenarios—bond-futures basis, CTD, implied repo, and basis-trade analysis—are clear, and the trigger description is reasonably specific. Non-fit boundaries, input prerequisites, and Chinese-language support are absent; the core function depends on the LSEG MCP, which may have mainland-China network or subscription reachability constraints, so points are deducted.
The document has clear structure, naming, tool inventory, workflow, and output templates. The repository supplies an Apache-2.0 license and general CI context, but the skill lacks installation notes, versioning, changelog, maintenance ownership, FAQs, and explicit limitations, so points are deducted.
The workflow covers futures pricing, CTD selection, cash-bond analytics, basis, implied repo, curve context, and historical context, so it plausibly addresses the core task. Key calculations depend on undisclosed tool outputs and interpretation, with no verifiable examples; substantial human review remains necessary, so points are deducted.
Tool names, workflow steps, and expected fields provide limited traceability. There is no skill-specific test suite, real execution record, or third-party corroboration, and the repository CI does not cover the key analytical paths, so only limited static-review credit is justified.
- The skill does not itself validate tool availability, data timestamps, contract specifications, conversion factors, or basis-calculation conventions; these require human checking.
- The LSEG MCP may require a subscription, API key, or specific network access; mainland-China users should verify reachability first.
- The output uses trade-assessment language, but the repository states that outputs are not investment advice and require qualified professional review.
- The workflow and output template are inconsistent about three-month history versus six-month averages.
What does this skill do, and when should you use it?
This skill supports bond-futures and basis-trading analysis. It combines futures pricing, cash-bond analytics, yield-curve context, and historical pricing to identify the cheapest-to-deliver bond and calculate basis measures. The workflow covers gross basis, carry, net basis, implied repo, and comparison with a market short-term rate. It is a focused research aid for fixed-income users, but it depends on the listed MCP data tools and applicable data access.
Calls bond_future_price to price a futures contract and extract the CTD bond, conversion factor, delivery basket, contract DV01, and delivery dates; calls bond_price to analyze the CTD cash bond's clean and dirty prices, yield, duration, DV01, and convexity; calculates gross basis, carry, net basis, and implied repo from those outputs; calls interest_rate_curve to obtain government yield-curve data and use the short end as an approximate repo-rate proxy; calls tscc_historical_pricing_summaries to track historical futures and CTD-bond prices and basis behavior; and optionally calls credit_curve for sovereign-credit context. It presents a trade assessment followed by future, CTD, basis, and historical-context sections.
- A fixed-income trader evaluates a bond-futures basis trade by comparing implied repo with the market short-term rate.
- A rates researcher analyzes a futures contract and needs the CTD bond, delivery basket, and conversion factor.
- A risk team monitors basis evolution using three months of historical pricing to assess trend, volatility, and percentile.
- A sovereign-bond analyst investigates whether credit conditions may be distorting the futures basis.
What are this skill's strengths and limitations?
- Provides an end-to-end workflow from futures pricing and CTD identification to basis assessment.
- Explicitly combines yield-curve and historical context with current pricing.
- Uses a consistent output structure with a trade assessment and key basis metrics.
- Supports optional sovereign-credit analysis for explaining credit-driven distortions.
- Requires the listed MCP tools and LSEG data access; the source does not establish that access is free.
- The SKILL.md includes no formulas, test cases, or numerical examples.
- There is no evidence that it runs independently of the referenced MCP tools.
- The README states that outputs are drafts for professional review and are not investment advice.
How do you install this skill?
The README documents collection-level installation only: in Cowork, open Settings → Plugins → Add plugin, paste https://github.com/anthropics/financial-services, and select the relevant agents or verticals; alternatively upload a zip of a directory under plugins/. For Claude Code, run claude plugin marketplace add anthropics/financial-services and install the relevant collection or vertical plugin. No standalone installation command for bond-futures-basis is documented.
How do you use this skill?
Install a plugin containing the skill and submit a request such as: “Analyze the basis for this bond-futures contract, identify the CTD, calculate implied repo, and compare it with market repo and historical basis.” The analysis requires access to the specified bond-futures, bond-pricing, yield-curve, and historical-pricing MCP tools.