Bond Futures Basis Analysis

Core Principles

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

CTD Bond Analytics

Basis Calculation

Historical Basis Context