Chart: Arbitrage Spreads by Tenor

Chart: Arbitrage Spreads by Tenor#

Time series of Treasury spot-futures arbitrage spreads for 2Y, 5Y, 10Y, 20Y, and 30Y tenors.

Chart#

Sources: Bloomberg Terminal

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

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

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