Tradeweb ICE U.S. Treasury Closing Prices
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’s platforms listed in the methodology, the leading platforms for U.S. Treasury trading globally.
The Tradeweb ICE U.S. Treasury Closing Prices have been designed to represent the market mid-prices for U.S. Treasury Securities at 3:00pm and 4:00pm ET on days when the U.S. Treasury Securities market is open for trading in the United States.
Published each weekday as soon as they are available after 3:00pm and 4:00pm ET, the Tradeweb ICE U.S. Treasury Closing Prices provide the market with the reference prices for the U.S. Treasury market.
| 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 Strip | Mid-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 for the Tradeweb ICE U.S. Treasury Closing Prices, providing governance, oversight and surveillance, whilst Tradeweb Markets LLC (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 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.
IBA is authorised and regulated by the Financial Conduct Authority for the regulated activity of administering a benchmark, and is authorised as a benchmark administrator under the Benchmarks Regulation (BMR).
Please read IBA’s benchmark and other information notice and disclaimer.
Methodology
Each Tradeweb ICE U.S. Treasury Closing Price for a U.S. Treasury Security is calculated in accordance with the Methodology, based upon bid and offer quotes for the relevant security from dealers on Tradeweb’s institutional platform subject to certain special cases, as described in the Methodology. On the Tradeweb Platform, the quotes are attributable to specific dealers and are executable by the receiving institutional client, subject to the dealer accepting the trade.
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 and 4:00pm Eastern Time (or 1:00pm and 2:00pm 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 fifteen, randomized, 2-second 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 thirty-second collection window immediately before 3:00pm ET. 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 may be 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 may be randomly eliminated from the calculation.
Special Cases
There are certain special cases where the published price for a U.S. Treasury Security is not derived using bid and offer quotes from Tradeweb’s institutional platform. For example, U.S. Treasury Securities that have fewer than 3 days to maturity are priced at par, and STRIPS with fewer than 7 market snapshots with at least 4 quoting dealers are priced using a zero-coupon curve.
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 its 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.
Licensing
Clients wishing to access, use or redistribute Tradeweb ICE U.S. Treasury Closing Prices should contact Tradeweb.
Publications 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 Prices 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 publication time (“Publication Time”) for the Tradeweb ICE U.S. Treasury Closing Prices on a Publication Day will be:
- as soon as the prices are available for publication after 3:00pm and 4:00pm ET and not later than 3:15pm and 4:15pm ET, where the Publication Day is not an Early Closing Day; or
- as soon as the prices are available for publication after 1:00pm and 2:00pm ET and not later than 1:15pm and 2:15pm ET, where the Publication Day is an Early Closing Day.
Consultations
Changes to the methodology are governed by IBA's consultation policy. Current and previous consultations are available below: