Chart: Implied Repo vs Interpolated OIS by Tenor

Chart: Implied Repo vs Interpolated OIS by Tenor#

Comparison of implied repo rates and interpolated OIS financing benchmark across tenors.

Chart#

Sources: Bloomberg Terminal

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

Dataframe Manifest#

Dataframe Name	Bloomberg Treasury Futures and OIS Data
Dataframe ID	bloomberg
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 Data as Excel	Excel
Linked Charts	TR:treasury_futures_prices TR:underlying_futures_prices TR:ois_input_rates TR:holding_period_days TR:implied_repo_vs_interpolated_ois

Pipeline Manifest#

Pipeline Name	Treasury Spot-Futures
Pipeline ID	TR
Lead Pipeline Developer	George Lord, Max Zhalilo
Contributors	George Lord, Max Zhalilo
Git Repo URL
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-10 15:41:21
OS Compatibility
Linked Dataframes	TR:bloomberg

Chart: Holding Period Days by Tenor Chart: OIS Input Rates

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