Sources: Bloomberg Terminal
``` [Full Screen Chart](../download_chart/TR/underlying_futures_prices.html) **Description:** This chart shows the underlying second-deferred Treasury futures prices used in implied repo construction for 2Y, 5Y, 10Y, 20Y, and 30Y tenors. **Relevance for Financial Markets:** These series are the direct futures-leg inputs to the arbitrage spread calculation and provide context for cross-tenor market behavior. **Direction of Risk:** This is an input-level chart; it is mainly descriptive and does not by itself indicate arbitrage sign. **Formulas Used:** N/A. Direct Bloomberg futures prices (`PX_LAST`) by tenor. **Data Cleaning Information:** Series are extracted from the Bloomberg parquet and plotted on a common date index. **Relation to a chart in an OFR public monitor:** N/A **What does this add that other charts might not?** It shows the exact futures price inputs underlying the spread and helps verify data coverage and continuity by tenor. ## Chart Specs | Chart Name | Underlying Treasury Futures Prices by Tenor | |------------------------|------------------------------------------------------------| | Chart ID | underlying_futures_prices | | Topic Tags | Treasury Futures, Fixed Income, Prices | | 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 | Price | | Data Series | 2, Y, ,, , 5, Y, ,, , 1, 0, Y, ,, , 2, 0, Y, ,, , 3, 0, Y, , f, u, t, u, r, e, s, , p, r, i, c, e, s | | HTML Chart | [HTML](../download_chart/TR/underlying_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)