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Bond Futures Basis

Official
anthropics·vlatest·other·Apache-2.0

Calculates and analyzes the Bond Futures Basis, a key indicator for understanding relative yield differences between bonds and their future contracts – useful for hedging & trading strategies.

Repository

Install on your platform

Showing Claude Code. One command installs this skill into any of the agents below.

  1. 1

    Run this in your project

    terminal
    $ npx skills add anthropics/financial-services --skill bond-futures-basis -a claude-code

  2. Uses the open-source skills CLI and needs Node.js. Add -g to install it for your user instead of this project.

What we know about this skill

Publisher

anthropics

Matched to the vendor's own GitHub organisation.

Install target

Live repository

Not pinned. Installing fetches whatever the repository holds at the time you run the command.

No human has reviewed this code. The checks below are a static scan of the files at one commit — nobody has run this skill or judged whether it works. A skill runs with whatever access you give your agent, so read the source before you install it.

Automated safety checks

scanned

This skill passed all 6 checks. We read its files at one commit and looked for the things that make a skill dangerous to run — not for whether it works.

  • Declares what it does: passed

    SKILL.md parses and declares a name and a description.

    SKILL.md exists, its frontmatter parses, and it declares a name and a description.

  • No undeclared network calls: passed

    Makes no network calls.

    Every host the skill dials — from its scripts, its config endpoints or the commands it tells the agent to run — is either well-known package and API infrastructure or declared in its own frontmatter. Links in documentation are not counted.

  • No obfuscated payloads: passed

    No encoded or obfuscated payloads.

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  • No credential access: passed

    Reads no keys, tokens, keychains or credential files.

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  • Pinned to a commit: passed

    Scanned anthropics/financial-services-plugins at 574ed3624a.

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Commit
574ed3624a
Manifest
plugins/partner-built/lseg/skills/bond-futures-basis/SKILL.md
Scanned
1 file, 67 lines
This is a static scan, not a review. It reads the skill's files; it does not run them, and it cannot tell you whether the skill is any good or whether the code does what its description says. A skill runs with whatever access you give your agent.
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About this skill

What it does

This skill calculates the basis between bond futures and their underlying cash bonds. It determines the difference between the futures price and the spot price of the deliverable bond, adjusted for accrued interest and conversion factors.

When to use it

  • Arbitrage Analysis: Identify potential cash-and-carry or reverse cash-and-carry opportunities by spotting significant basis deviations from theoretical values.
  • Hedging Strategy: Adjust hedge ratios for portfolio managers holding physical bonds who need to offset price risk using futures contracts.
  • Delivery Optimization: Determine the cheapest-to-deliver (CTD) bond within a basket of eligible securities based on current basis calculations.
  • Market Sentiment: Gauge market expectations regarding interest rate movements and supply/demand imbalances in specific bond sectors.

Key capabilities

  • Computes real-time basis values for various bond futures contracts.
  • Accounts for accrued interest and conversion factors in pricing models.
  • Supports multiple exchange data feeds for accurate spot and futures pricing.
  • Provides historical basis trends to support technical analysis.

Example prompts

  • "Calculate the current basis for the 10-year Treasury note futures against its cheapest-to-deliver bond."
  • "Analyze the basis spread between the Eurodollar futures and the underlying LIBOR/SOFR rates over the last month."
  • "Identify bonds with a negative basis greater than 2% in the current market session for potential arbitrage."

Tips & gotchas

Ensure your data feed includes real-time or near-real-time pricing, as bond futures basis can shift rapidly during trading hours. Always verify the specific deliverable options and conversion factors provided by the exchange, as these are critical inputs for accurate basis calculation.