Sources: Bloomberg Terminal
``` [Full Screen Chart](../download_chart/TR/treasury_futures_prices.html) **Description:** This chart shows the replicated Treasury spot-futures arbitrage spread in basis points for the 2Y, 5Y, 10Y, 20Y, and 30Y tenors. The spread is defined as implied repo minus interpolated OIS at the tenor-specific holding period. **Relevance for Financial Markets:** The spread measures relative-value dislocations between Treasury cash and futures markets. It is useful for: - Tracking arbitrage pressure across maturities - Comparing mispricing intensity across tenors - Studying market segmentation and funding stress - Monitoring how financing conditions map into futures basis **Direction of Risk:** A higher spread means implied repo is richer than the matched OIS financing benchmark; a lower or negative spread indicates less attractive (or reversed) basis opportunities. **Formulas Used:** Spread \(=\) Implied Repo \(-\) Interpolated OIS (both in bps). **Data Cleaning Information:** Input rows require positive futures volume and non-missing futures/CTD fields. Delivery windows are inferred from contract month, implied repo is computed for first and last delivery, and the maximum is retained before subtracting interpolated OIS. **Relation to a chart in an OFR public monitor:** N/A **What does this add that other charts might not?** It is the final replication deliverable and directly summarizes the arbitrage signal across the full tenor curve in one panel. ## Chart Specs | Chart Name | Arbitrage Spreads by Tenor | |------------------------|------------------------------------------------------------| | Chart ID | treasury_futures_prices | | Topic Tags | Treasury Futures, Arbitrage, Fixed Income, Spreads | | 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 | 2, Y, ,, , 5, Y, ,, , 1, 0, Y, ,, , 2, 0, Y, ,, , 3, 0, Y, , a, r, b, i, t, r, a, g, e, , s, p, r, e, a, d, s | | HTML Chart | [HTML](../download_chart/TR/treasury_futures_prices.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)