Chart: Underlying Treasury Futures Prices by Tenor

Chart: Underlying Treasury Futures Prices by Tenor#

Second-deferred Treasury futures prices for 2Y, 5Y, 10Y, 20Y, and 30Y contracts.

Chart#

Sources: Bloomberg Terminal

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

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: OIS Input Rates

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