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 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, 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.
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.
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.
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.
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.
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.
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.
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.