本文へ移動
cccskills
無料GitHub で公開

bond-futures-basis

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. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.

anthropics/financial-services
インストール方法を見る

含まれるファイル（1）

  • SKILL.md3.6 KB

SKILL.md（原文）

インストールする前に、エージェントに与えられる指示の中身を確認できます。

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.

Output Format

Future Summary

FieldValue
Contract...
Fair Price...
CTD Bond...
Conversion Factor...
Contract DV01...

CTD Bond Analytics

FieldValue
Clean Price...
YTM...
Duration...
DV01...

Basis Calculation

MetricValue
Gross Basis... ticks
Carry... ticks
Net Basis... ticks
Implied Repo...%
Market Repo (approx)...%
AssessmentRich / Fair / Cheap

Historical Basis Context

MetricCurrent3M Avg6M AvgPercentile
Net Basis............th
Implied Repo............th

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

レビュー

まだレビューはありません。使ってみた感想をお寄せください。

ログインしてレビューを書く

同じリポジトリのスキル

概要と使いどころ

3-statement-model

無料

Complete, populate and fill out 3-statement financial model templates (Income Statement, Balance Sheet, Cash Flow Statement) . Use when asked to fill out model templates, complete existing model frameworks, populate financial models with data, complete a partially filled IS/BS/CF framework, or link integrated financial statements within an existing template structure. Triggers include requests to fill in, complete, or populate a 3-statement model template

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

accrual-schedule

無料

Build the period-end accrual schedule — for each accrual, compute the entry, cite the support, and draft the JE. Use during month-end close; the JE is a draft for controller approval, not a posting.

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

ai-readiness

無料

Scan the portfolio for the highest-leverage AI opportunities and rank where to deploy operating-partner time. Ingests quarterly updates and financials across multiple portfolio companies, identifies quick wins at each, and stacks them into a single ranked action list. Use during quarterly portfolio reviews, annual planning, or when deciding which companies get AI investment first. Triggers on "AI readiness", "AI opportunity scan", "where should we deploy AI", "AI across the portfolio", "AI quick wins", or "which portcos are ready for AI".

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

audit-xls

無料

Audit a spreadsheet for formula accuracy, errors, and common mistakes. Scopes to a selected range, a single sheet, or the entire model (including financial-model integrity checks like BS balance, cash tie-out, and logic sanity). Triggers on "audit this sheet", "check my formulas", "find formula errors", "QA this spreadsheet", "sanity check this", "debug model", "model check", "model won't balance", "something's off in my model", "model review".

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

bond-relative-value

無料

Perform relative value analysis on bonds by combining pricing, yield curve context, credit spreads, and scenario stress testing. Use when analyzing bond richness/cheapness, computing spread decomposition, comparing bonds, assessing bond value vs curves, or running rate shock scenarios.

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

break-trace

無料

Root-cause a reconciliation break to its source transaction or posting — follow the audit trail from the break row back to the originating entry on each side and state what differs and why. Use after gl-recon has classified a break.

日本語の概要は準備中です。原文の説明を表示しています。

anthropics/financial-services4万2026年9月22日 更新

anthropics のスキルをすべて見る

このスキルの問題を報告する