Tradeweb and FTSE Russell today announced that they have launched Tradeweb FTSE US Treasury closing prices, expanding their combined offering of next-generation fixed income pricing that can be used in exchange-traded products.
Similar to the existing Tradeweb FTSE closing prices for UK Gilts and European Treasuries, these US Treasury closing prices incorporate trading activity from Tradeweb’s online platform, which results in more robust reference pricing.
Tradeweb FTSE US Treasury Closing Prices use an improved methodology, which facilitates the calculation of bid and offer prices by capturing trading costs based on executable prices collected through the Tradeweb platform. This is in addition to median prices, which are produced for all asset classes. The pricing data set includes comprehensive coverage for a range of security types, including US Treasury bills and bonds, bills, strips and Treasury Inflation-Protected Securities (TIPS), with spot time at 3:00 and 4 :00 p.m. (New York). .
The extension of closing pricing to the US Treasury markets is an important step in further expanding benchmark pricing capabilities across a wide range of fixed income securities, including US dollar credit securities, for which prices are heavily underpinned by US Treasury valuations.
The improved methodology used for Tradeweb FTSE US Treasury closing prices has been thoroughly tested to achieve the optimal approach to provide robust, algorithmic and reliable prices. In the short term we intend to incorporate this methodology into UK Gilt and Euro Government closing prices, including the addition of bid and offer prices.
Reliable reference price data is vital for financial firms to manage investment portfolios, assess the fair value of securities, perform compliance and meet general accounting standards. Tradeweb and FTSE Russell are committed to continuously expanding their benchmark price coverage and integrating these prices throughout the investment process.
Lisa Schirf, Global Head of Data & Analytics at Tradeweb, said:
“As we continue to expand Tradeweb’s partnership with FTSE Russell, our clients gain access to a wider set of benchmarks to use as reliable closing prices in their investment process and end-of-day trading strategies and other purposes. We believe the US Treasury Tradeweb FTSE closing prices will serve as a unique foundation for the global fixed income markets, and their launch further demonstrates our commitment to electrifying the markets.”
Scott Harman, head of fixed income, currencies and commodities at FTSE Russell, said:
“The launch of the Tradeweb FTSE benchmark pricing for the US Treasury markets represents significant progress in realizing our ambition to offer financial markets a better, more representative solution for valuing fixed income securities. We recognize the criticality of US Treasury markets to the investment ecosystem and the need to continue to offer innovative reporting solutions to our clients for this important asset class.”
These benchmarks are managed in accordance with EU and UK benchmarking regulation and the IOSCO Principles for Financial Benchmarks and can be used in the construction of indices as well as benchmark rates for a wide range of use cases, including near term trading distance and derivatives contracts.