Analyze Bond Futures Basis

This command uses LSEG bond future pricing, bond pricing, yield curves, and historical data tools. See CONNECTORS.md for available tools.

Analyze the bond futures basis by pricing the future, identifying the cheapest-to-deliver bond, computing gross and net basis, and assessing basis trade opportunities.

See the bond-futures-basis skill for domain knowledge on basis mechanics and trading strategies.

Workflow

1. Gather Input

Ask the user for:

• Bond future RIC (required) — e.g., FGBLc1 (Euro Bund), TYc1 (US 10Y Note), FFIc1 (UK Gilt)
• Market data date (optional, defaults to today)

2. Price the Bond Future

Call

bond_future_price

with the future RIC.

Extract: fair price, CTD bond identifier, delivery basket with conversion factors, contract DV01, delivery dates.

3. Price the CTD Bond

Call

bond_price

for the CTD identifier from Step 2.

Extract: clean/dirty price, yield, duration, DV01, accrued interest, coupon.

Compute: gross basis, invoice price, carry, net basis.

4. Compute Implied Repo Rate

Call

interest_rate_curve

(list then calculate) for the future's currency. Use short-end rate as repo proxy.

Compute implied repo rate and compare to market repo.

5. Track Historical Basis

Call

tscc_historical_pricing_summaries

for both the future and CTD bond with

tenor: "3M"

,

interval: "P1D"

.

Assess: basis trend, volatility, and historical range.

6. Sovereign Credit Context

Call

credit_curve

for the relevant sovereign (e.g., "DE" for Bund, "US" for Treasury).

7. Synthesize the Report

Present: future summary table, CTD bond analytics, basis calculation table (gross/net basis, implied repo vs market repo), historical context, and trade recommendation (long basis / short basis / neutral).

Output Format

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