Chart: Holding Period Days by Tenor#
Tenor-specific holding period in days implied by winning delivery choice in IRR construction.
Chart#
Sources: Bloomberg Terminal
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 |
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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 |
Dataframe Manifest#
Dataframe Name |
Bloomberg Treasury Futures and OIS Data |
|---|---|
Dataframe ID |
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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) |
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Data available up to (max) |
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Dataframe Path |
/Users/maxzhalilo/Finm/Finm-329/p10_Siriwardane_et_al_2026/_data/bloomberg.parquet |
Download Data as Parquet |
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Download Data as Excel |
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Linked Charts |
TR:treasury_futures_prices |
Pipeline Manifest#
Pipeline Name |
Treasury Spot-Futures |
|---|---|
Pipeline ID |
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Lead Pipeline Developer |
George Lord, Max Zhalilo |
Contributors |
George Lord, Max Zhalilo |
Git Repo URL |
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Pipeline Web Page |
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Date of Last Code Update |
2026-03-10 15:41:21 |
OS Compatibility |
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Linked Dataframes |