From BR Bullpen

A hold is an unofficial statistic that measures the effectiveness of middle relievers. A hold is granted to a relief pitcher who enters a game with his team in the lead in a save situation, and hands over that lead to another reliever without the score having been tied in the interim. A pitcher cannot get credit for a hold in a game in which he is credited with either a win or a save (except in the very exceptional situation where a pitcher moves to another position and later resumes pitching); nor can he get a hold if charged with a loss.

A pitcher who comes into a game and is eligible for a hold and fails in his mission is charges with a blown save; there is no such thing as a blown hold.

As the hold is not an official statistic, there is no consensus whether a pitcher needs to record an out or pitch effectively to get credit for a hold. Some compilers consider that the mere fact of not surrendering the lead is sufficient, while most observers consider that the other two criteria should also apply. The lack of consensus on this issue means that hold totals vary from source to source.

The hold statistic was designed to be a more effective measure of the role of middle relievers. As it stands, they are charged with a blown save when they fail in their mission, but usually have no chance or registering the save if they are successful, as that is the closer's prerogative. Given this, ignorant commentators will say that a certain middle reliever is not cut out to succeed as a closer as his save percentage (saves divided by saves + blown saves) is very low, which is ridiculous when one thinks about it. Save percentage for a middle reliever should in fact be calculated by dividing saves + holds by saves + holds + blown saves.

Baseball-reference.com does not list holds among its statistics for pitchers. However, its Pitching Game Finder does allow "Hold" to be selected.