Tradeweb ICE U.S. Treasury Closing Prices

The Tradeweb ICE U.S. Treasury Closing Prices benchmark is a 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.

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

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About IBA

Licensing & Data

Market Status

Governance & Oversight

Historical Data

Holiday Calendar

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.

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 UK Benchmarks Regulation (UK 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 (see under Documentation below).

Licensing

Please contact Tradeweb to access, use or redistribute Tradeweb ICE U.S. Treasury Closing Prices.

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, The calculation uses bid and offer quotes for the relevant security from dealers on Tradeweb’s institutional platform. The quotes are 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.

Key Features of the Calculation

Multiple, Random Snapshots

Tradeweb uses fifteen, randomised, 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 15:00 and 16:00 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.

Multiple, Random Snapshots

Outlier Exclusion

Random Dealer Quote Removal

Special Cases

Please see the Documentation section below for the full Calculation Methodology.

Governance

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.

The U.S. Treasury Closing Prices Oversight Committee is responsible for monitoring the administration of the U.S. Treasury Closing Prices, including:

Regular reviews of the definition, methodology and setting of the benchmark
Assessing the underlying market and usage of the benchmark
Overseeing adherence to the calculation methodology and IBA policies

Oversight Committee Composition and Disclosures of Conflicts of Interest

Oversight Committee Terms of Reference

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

Publication Dates & 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 are published follow the U.S. holiday schedule recommended by SIFMA.
The Tradeweb Platform is 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 times for the Tradeweb ICE U.S. Treasury Closing Prices on a Publication Day are:

as soon as the prices are available for publication after 15:00 and 16:00 ET and not later than 15:15 and 16:15, where the Publication Day is not an Early Closing Day; or
as soon as the prices are available for publication after 13:00 and 14:00 ET and not later than 13:15 and 14:15 ET, where the Publication Day is an Early Closing Day.