Tradeweb and FTSE Russell today announced that they have launched Tradeweb FTSE U.S. Treasury Closing Prices, extending their combined offering of next generation fixed income pricing, which can be used in index trading products.
Similar to the existing Tradeweb FTSE closing prices for UK Gilts and European Government Bonds, these U.S. Treasury closing prices incorporate trading activity from Tradeweb’s electronic platform, which results in more robust benchmark pricing.
Tradeweb FTSE U.S. Treasury Closing Prices utilize an enhanced methodology, which facilitates the calculation of bid and offer prices, capturing transaction costs based on executable pricing quotes collected through the Tradeweb platform. This is in addition to mid prices, which are produced for all asset classes. The pricing data set features comprehensive coverage for a range of security types including U.S. Treasury notes and bonds, bills, strips and Treasury Inflation-Protected Securities (TIPS), with both a 3:00 and 4:00 p.m. (New York) snap time.
The extension of closing pricing to the U.S. Treasury markets is an important step in further expanding benchmark pricing capabilities across a comprehensive range of fixed income securities, importantly including USD-denominated credit securities, for which prices are largely underpinned by U.S. Treasury valuations.
The enhanced methodology used for Tradeweb FTSE U.S. Treasury Closing Prices has been thoroughly tested to arrive at an optimal approach to delivering robust, algorithmic and reliable pricing. In the near term we plan to incorporate this methodology into our UK Gilt and Euro Government closing prices, including the addition of bid and offer prices.
Trusted reference price data is critical for financial firms to manage investment portfolios, evaluate the fair value of securities, perform compliance, and satisfy general accounting standards. Tradeweb and FTSE Russell are committed to the continued expansion of their benchmark pricing coverage, and the incorporation of these prices throughout the investment process.
Lisa Schirf, Global Head of Data & Analytics at Tradeweb, said:
“As we continue to expand Tradeweb’s collaboration with FTSE Russell, our clients gain access to a broader set of benchmarks for use as reliable closing prices in their investment process and end-of-day trading strategies and other purposes. We believe the Tradeweb FTSE U.S. Treasury Closing Prices will serve as a unique foundation for the global fixed income markets and their launch further demonstrates our commitment to the electronification of the markets.”
Scott Harman, Head of Fixed Income, Currencies and Commodities Indices at FTSE Russell, said:
“The launch of Tradeweb FTSE benchmark pricing for the U.S. Treasury markets, represents significant progress in realizing our ambition to offer the financial markets a better, more representative solution for valuing fixed income securities. We recognize the criticality of the U.S. Treasury markets to the investment ecosystem, and the need to continue to offer innovative benchmark solutions to our clients for this important asset class.”
These benchmark prices are administered in accordance with the EU and UK Benchmark Regulation and the IOSCO Principles for Financial Benchmarks and can be used in index construction, as well as reference rates for a broad range of use cases, including trade-at-close transactions and derivatives contracts.
