Tradeweb and FTSE Russell have launched Tradeweb FTSE US Treasury closing prices, extending their combined offering of fixed income pricing which can be used in index trading products.
Lisa Schirf
As seen with existing Tradeweb FTSE closing prices for UK gilts and European government bonds, the new US Treasury closing prices will incorporate trading activity from Tradeweb’s electronic platform, which the firm claims to result in more robust benchmark pricing.
The new closing prices facilitate the calculation of bid and offer prices, capturing transaction costs based on executable pricing quotes collected via the Tradeweb platform. This builds on top of mid prices, which are produced for all asset classes.
The pricing data set features coverage of various of security types including US Treasury notes and bonds, bills, strips and Treasury Inflation-Protected Securities (TIPS), with both a 15:00 and 16:00 New York snap time.
“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,” said Lisa Schirf, global head of data and analytics at Tradeweb.
“We believe the Tradeweb FTSE US 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.”
The extension of closing pricing to the US Treasury market will help expand benchmark pricing capabilities across a range of fixed income securities. Namely, USB-denominated credit securities will be included, which are largely underpinned by US Treasury valuations.
The new methodology is expected to be incorporation into UK gilt and Euro government closing prices, including the addition of bid and offer prices.
“The launch of Tradeweb FTSE benchmark pricing for the US Treasury markets, represents significant progress in realising our ambition to offer the financial markets a better, more representative solution for valuing fixed income securities,” said Scott Harman, head of FICC indices at FTSE Russell.
“We recognise the criticality of the US Treasury markets to the investment ecosystem, and the need to continue to offer innovative benchmark solutions to our clients for this important asset class.”