Overview

The Tradeweb ICE U.S. Treasury Closing Prices benchmark is the source of comprehensive, high quality reference prices for the U.S. Treasury market, based on data from Tradeweb, the leading platform for U.S. Treasury trading globally. Published each weekday at 3:45pm ET, the Tradeweb ICE U.S. Treasury Closing Prices provides the market with the single reference price for the U.S. Treasury market.

The Tradeweb ICE U.S. Treasury Closing Prices are calculated and published in respect of the following types of U.S. Treasury Security, as described in the table below.

U.S. Treasury Security Type Description Quoting Convention
REGNOTE U.S. Treasury Note/Bond Mid-Price
REGTIPS U.S. Treasury Inflation Protected Note/Bond
WIANOTE When Issued After Auction U.S. Treasury Note/Bond
WIATIPS When Issued After Auction U.S. Treasury Inflation Protected Note/Bond
REGBILL U.S. Treasury Bill Mid-Rate
WIABILL When Issued After Auction U.S. Treasury Bill
WIBBILL When Issued Before Auction U.S. Treasury Bill
STRIPINT U.S. Treasury Interest Strip
STRIPPRIN U.S. Treasury Principal StripMid-Yield
WIBNOTE When Issued Before Auction U.S. Treasury Note/Bond
WIBTIPS When Issued Before Auction U.S. Treasury Inflation Protected Note/Bond

ICE Benchmark Administration (IBA) is the benchmark administrator, providing governance, oversight, surveillance and regulatory compliance, whilst Tradeweb acts as the Calculation Agent, Publication Agent and Licensing Agent.

The Tradeweb ICE U.S. Treasury Closing Prices benchmark has been assessed by IBA as being compliant with the IOSCO Principles for financial benchmarks. IBA is authorised under the EU Benchmarks Regulation (BMR).

IBA has published a statement of compliance with the IOSCO Principles for Financial Benchmarks in respect of the Tradeweb ICE U.S. Treasury Closing Prices, and Ernst & Young LLP has externally reviewed and provided assurance in respect of this statement.

Please read IBA’s benchmark and other information notice and disclaimer here.

Methodology

The Tradeweb ICE U.S. Treasury Closing Prices have been designed to represent the market mid-price for U.S. Treasury Securities around 3:00pm Eastern Time (or 1:00pm on an early close) on days when the U.S. Treasury Securities market is open for trading in the United States.

Each Tradeweb ICE U.S. Treasury Closing Price for a U.S. Treasury Security is calculated in accordance with the Methodology and is based upon executable bid and offer quotes for the relevant security from dealers on Tradeweb’s institutional platform.

Key Features of the Calculation

Multiple, Random Snapshots

Tradeweb uses multiple, randomized market snapshots of bid and offer quotes for a given U.S. Treasury Security from dealers on the Tradeweb’s institutional platform taken during a short window before the calculation at or around market close. This enhances the benchmark’s robustness and reliability by protecting against attempted manipulation and temporary aberrations in the underlying market.

Outlier Exclusion

To protect against unrepresentative dealer quotes within a market snapshot influencing the benchmark, dealer mid-prices that are more than one standard deviation from the mean are excluded from the calculation.

Random Dealer Quote Removal

To protect against the possibility of predicting the impact that a particular quote (or quotes) may have on the benchmark calculation, a number of dealer mid-prices are randomly eliminated from the calculation.

Special Cases

There are certain special cases where the published price for a U.S. Treasury Securities is not derived using bid and offer quotes from the Tradeweb’s institutional platform. For example, U.S. Treasury Securities that are close to maturity will be priced at par.

Governance & Oversight

IBA is responsible for ensuring that there is appropriate governance over Tradeweb ICE U.S. Treasury Closing Prices, and that the appropriate standards of conduct are met.

A designated Oversight Committee comprising industry experts will be tasked with regularly reviewing the definition and methodology of the benchmark, to include assessment of its underlying market and usage, and overseeing IBA’s control framework insofar as it affects the Tradeweb ICE U.S.Treasury Closing Prices and IBA’s adherence to its Published Methodologies for the benchmark.

The Oversight Committee operates in accordance with it's Terms of Reference. Stakeholders are consulted on material changes to the benchmark methodology in accordance with IBA’s Consultation Policy.

Further details on IBA’s general governance structure, including IBA’s independent Board of Directors, whistleblowing policy and other policies are available on IBA’s Governance page.

Overview

Licensing

Clients wishing to access, use or redistribute Tradeweb ICE U.S. Treasury Closing Prices should contact Tradeweb.

Publication Times, Days & Holidays

  • The days when the U.S. Treasury Securities market is open for trading in the United States and on which the Tradeweb ICE U.S. Treasury Closing Prices will be published (“Publication Days“) follow the U.S. holiday schedule recommended by SIFMA.
  • The Tradeweb Platform will be closed on U.S. holidays, so the Tradeweb ICE U.S. Treasury Closing Price will not be calculated and published on these days.
  • For certain U.S. holidays, as recommended by SIFMA, the Tradeweb Platform closes early on the preceding Publication Day (“Early Closing Days”). Users should check the holiday schedule listed above to confirm the Early Closing Days.
  • The time of publication (“Publication Time”) for the Tradeweb ICE U.S. Treasury Closing Prices on a Publication Day is:
    • 3:45pm ET, where the Publication Day is not an Early Closing Day; or
    • 1:45pm ET, where the Publication Day is an Early Closing Day.