Sources: Bloomberg Terminal
``` [Full Screen Chart](../download_chart/TR/implied_repo_vs_interpolated_ois.html) **Description:** This chart compares implied repo and interpolated OIS financing benchmarks by tenor over time. **Relevance for Financial Markets:** It displays the two legs that define the arbitrage spread and helps identify whether spread moves are driven by futures/bond implied repo changes or by financing-rate moves. **Direction of Risk:** A widening gap between implied repo and interpolated OIS indicates richer basis opportunities; narrowing gaps indicate reduced dislocation. **Formulas Used:** Interpolated OIS is matched to tenor-specific holding period and compared directly with implied repo in bps. **Data Cleaning Information:** Both series are aligned to common dates and computed from staged Bloomberg/CRSP-derived outputs. **Relation to a chart in an OFR public monitor:** N/A **What does this add that other charts might not?** It provides decomposition-level transparency for the spread rather than only the net result. ## Chart Specs | Chart Name | Implied Repo vs Interpolated OIS by Tenor | |------------------------|------------------------------------------------------------| | Chart ID | implied_repo_vs_interpolated_ois | | Topic Tags | Treasury Futures, Arbitrage, Ois, Implied Repo | | 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 | Basis Points | | Data Series | I, m, p, l, i, e, d, , r, e, p, o, , a, n, d, , i, n, t, e, r, p, o, l, a, t, e, d, , O, I, S, , b, y, , t, e, n, o, r | | HTML Chart | [HTML](../download_chart/TR/implied_repo_vs_interpolated_ois.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)