Sources: Bloomberg Terminal
``` [Full Screen Chart](../download_chart/TR/holding_period_days.html) **Description:** This chart shows holding period days by tenor, where holding period is determined by the delivery date (first vs last delivery window) that maximizes implied repo. **Relevance for Financial Markets:** Holding period length determines which point of the OIS curve is relevant for financing and therefore directly affects spread measurement. **Direction of Risk:** Longer holding periods typically map to longer-tenor OIS inputs; spread sensitivity can shift as holding periods change through time. **Formulas Used:** Holding period days are computed from settlement (T+1 business day) to the selected delivery date. **Data Cleaning Information:** Tenor-level series come from the implied repo computation step and are plotted after date alignment. **Relation to a chart in an OFR public monitor:** N/A **What does this add that other charts might not?** It explains a key mechanical channel behind spread movements that is not visible in price-only charts. ## Chart Specs | Chart Name | Holding Period Days by Tenor | |------------------------|------------------------------------------------------------| | Chart ID | holding_period_days | | Topic Tags | Treasury Futures, Arbitrage, Holding Period | | Data Series Start Date | 2010-01-01 | | Data Frequency | Daily | | Observation Period | Weekday | | Lag in Data Release | One day | | Data Release Timing | | | Seasonal Adjustment | None | | Units | Days | | Data Series | 2, Y, ,, , 5, Y, ,, , 1, 0, Y, ,, , 2, 0, Y, ,, , 3, 0, Y, , h, o, l, d, i, n, g, , p, e, r, i, o, d, , d, a, y, s | | HTML Chart | [HTML](../download_chart/TR/holding_period_days.html) | ## Dataframe Manifest | Dataframe Name | Bloomberg Treasury Futures and OIS Data | |--------------------------------|--------------------------------------------------------------------------------------| | Dataframe ID | [bloomberg](../dataframes/TR/bloomberg.md) | | Data Sources | Bloomberg Terminal | | Data Providers | Bloomberg L.P. | | Links to Providers | https://www.bloomberg.com/professional/solution/bloomberg-terminal/ | | Topic Tags | Treasury Futures, Interest Rate Swaps, Ois, Fixed Income | | Type of Data Access | P,r,o,p,r,i,e,t,a,r,y | | How is data pulled? | Bloomberg Terminal API via Python (xbbg package) | | Data available up to (min) | | | Data available up to (max) | | | Dataframe Path | /Users/maxzhalilo/Finm/Finm-329/p10_Siriwardane_et_al_2026/_data/bloomberg.parquet | | Download Data as Parquet | [Parquet](../../download_dataframe/TR/bloomberg.parquet) | | Download Data as Excel | [Excel](../../download_dataframe/TR/bloomberg.xlsx) | | Linked Charts | [TR:treasury_futures_prices](../../charts/TR.treasury_futures_prices.md)