# Basis Desk

> A US Treasury futures basis sheet that runs in the browser - conversion factors, gross and net
> basis, carry, implied repo, the cheapest-to-deliver and where it switches - followed by a paid
> review that says whether the future is rich, fair or cheap to cash and what the basis trade would
> be. Every number the review writes is checked against the sheet. https://basis-desk.skillsafe.ai/

Basis Desk is a web app on SkillSafe derived from the agent skill @anthropics/bond-futures-basis
(anthropics/financial-services-plugins, Apache-2.0). It runs on gpt-terra and is metered per review;
the sheet itself is free and needs no account.

## Input

One contract: TU, Z3N, FV, TY, TN, US or UB; the delivery month; the futures price (32nds such as
112-06+ or 112-062, or a decimal); the settlement date (default: the next weekday; the delivery month defaults to the front
quarterly contract); an optional delivery date (default: the
last business day of the delivery month); the term repo rate to delivery. Then the deliverable
basket, one bond per line: coupon, maturity and clean price, optionally a bond-specific repo
("repo 3.20") and the exchange's conversion factor ("cf 0.8870"). Bloomberg-style lines
("T 4 1/8 11/15/32 99-16+"), CSV, tab-separated and header rows are read.

## What the free sheet computes

- Conversion factors by the CME formula (price at a 6% yield, months to maturity from the first day
  of the delivery month cut to whole months, then to a quarter for TY, TN, US and UB).
- Accrued interest at settlement and delivery (actual/actual), futures x CF and the invoice price.
- Gross basis, carry to delivery (coupon income less repo financing at actual/360, interim coupons
  credited from their payment date), net basis and implied repo for every bond; yield, modified
  duration and DV01.
- The cheapest-to-deliver: the deliverable bond with the highest implied repo. Bonds outside the
  contract's remaining-maturity window are shown struck through and never chosen.
- A carry-only fair futures price (lowest forward price / CF) and the gap to the market price.
- Parallel-shift scenarios from -100 to +100 bp, and the nearest shifts (5 bp steps to 150 bp) at
  which the CTD changes.
- Futures DV01 (CTD DV01 / CTD CF) and hedge ratios per $10m face, CF- and DV01-weighted.
- The assessment: rich if the CTD's implied repo is more than 5 bp above its repo, cheap if more
  than 30 bp below, otherwise fair.
- Flags: negative net basis, futures rich or cheap, a CTD switch within 25 or 50 bp, CTD rankings
  that disagree, negative carry on the CTD, bonds outside the delivery window, special repo, yield
  outliers against the other bonds, conversion factor mismatches, a short horizon, and a delivery date
  outside the month.
- Day over day: the page keeps one sheet per contract, delivery month and settlement date in your
  browser (per signed-in person; cleared on sign-out) and, when you mark the same contract on a later
  settlement date, says what moved: CTD change, implied repo vs repo, CTD net basis, futures vs fair,
  the nearest switch and rank changes.

## What the review returns

One JSON object: `assessment` (copied from the sheet), `stance` (long_basis, short_basis,
no_trade), `headline`, `basis_read`, `ctd` (id, why), `delivery_option`, `trade` (construction,
hedge_ratio, carry, exit), `risks` (risk, severity, bonds, watch), `flag_responses` (one per flag),
`checks`, `summary`.

## Limits

It does not know market prices, repo quotes, historical basis levels or volatility, and it does not
value the delivery options in money. It does not check original-maturity eligibility. It is
analysis, not investment advice.

## Links

- App: https://basis-desk.skillsafe.ai/
- API tutorial: https://basis-desk.skillsafe.ai/api.html
- Source skill: https://skillsafe.ai/skill/@anthropics/bond-futures-basis