Skip to main content

​
What is Bond Futures Basis Trading?

Bond futures are standardized contracts to buy or sell government bonds at a future date. They are among the most liquid instruments in fixed income markets. The basis is the difference between a cash bond’s price and the equivalent futures contract price (adjusted by a conversion factor). Basis trading exploits mispricings between these two markets. The cheapest-to-deliver (CTD) bond is the specific bond from the deliverable basket that is most economical for the futures seller to deliver at expiration. The CTD drives the futures price. The implied repo rate is the return you would earn from buying the cash bond, selling the future, and delivering at expiration — if the implied repo rate exceeds the market repo rate, the basis is cheap (futures are rich relative to cash); if below, the basis is rich (futures are cheap).

​
Command

/analyze-bond-basis <bond future RIC e.g. FGBLc1>
Analyzes the basis by pricing the future, identifying the CTD, computing gross and net basis, and assessing basis trade opportunities.

​
Common Futures RICs

ContractRIC
Euro BundFGBLc1
US 10Y Treasury NoteTYc1
UK GiltFFIc1

​
Workflow

1

Price the Future

Calls bond_future_price to identify CTD, delivery basket, and contract DV01.
2

Price the CTD Bond

Calls bond_price for clean/dirty price, yield, duration, and DV01. Computes gross basis and net basis.
3

Compute Implied Repo

Calls interest_rate_curve for short-end rate as repo proxy. Compares implied repo to market repo.
4

Historical Context

Calls tscc_historical_pricing_summaries for 3M daily data on both future and CTD. Assesses basis trend and range.
5

Synthesize

Presents basis trade assessment (long/short/neutral), implied repo comparison, and detailed analytics.

​
Output

Lead with basis trade assessment and implied repo comparison. Follow with future summary, CTD analytics, basis calculation table, and historical context. See the Bond Futures Basis skill for domain knowledge on basis mechanics and trading strategies.