Fsi Command Analyze Bond Basis

FSI Command: /analyze-bond-basis

Overview

This is the Hermes profile equivalent of the original Cowork slash command /analyze-bond-basis from lseg. Invoke it explicitly with /skill fsi-command-analyze-bond-basis or ask in natural language for this workflow.

When to Use

• Use when the user asks for /analyze-bond-basis or a analyze bond basis financial-services workflow.
• Use when the user wants the command procedure rather than a free-form answer.

Command Procedure

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.

Hermes Invocation

• Explicit: /skill fsi-command-analyze-bond-basis
• Natural language: “Use the analyze-bond-basis command workflow for ...”

Verification Checklist

• The command intent, inputs, and output format are confirmed.
• The output cites sources or clearly labels assumptions.
• The final artifact is marked draft / for human review when appropriate.