07.17.2020

Tradeweb And ICE Introduce Constant Maturity Treasury Rates

07.17.2020
Basel Committee Consults on Interest-Rate Risk

Tradeweb Markets Inc, a leading global operator of electronic marketplaces for rates, credit, equities and money markets, and Intercontinental Exchange, Inc., a leading operator of global exchanges and clearing houses and provider of data and listings services, announce that Tradeweb and ICE Benchmark Administration Limited (IBA) have published a paper introducing daily Tradeweb ICE Constant Maturity Treasury Rates (Tradeweb ICE CMT Rates) for review and comment by market participants.

The Tradeweb ICE CMT Rates have been designed to provide market participants with a daily overview of U.S. Treasury yields for standard maturities.

The Tradeweb ICE CMT Rates will be based on an interpolated U.S. Treasury yield curve from which standard maturity dates and associated U.S. Treasury yields will be published. The Tradeweb ICE CMT Rates will be published for maturities of 1, 2, 3 and 6 months, and 1, 2, 3, 5, 7, 10, 20 and 30 years, all of which relate to the maturities of frequently issued U.S. Treasury securities. The inputs used to generate the Tradeweb ICE CMT Rates will be based upon volume-weighted average prices, and associated yields, derived from transactions or quotes on the Tradeweb institutional global platform, over the course of a 7-hour window between 8:00AM Eastern and 3:00PM Eastern.

Tradeweb and IBA have conducted an 18-month period of testing on the Tradeweb ICE CMT Rates. The results are set out in the paper, alongside questions that Tradeweb and IBA would like stakeholder feedback on.

Tradeweb and IBA are now asking market participants and stakeholders to review and provide feedback on the Tradeweb ICE CMT Rates and the proposed calculation methodology by September 18, 2020. Tradeweb and IBA intend to consider and take account of this feedback before finalizing the methodology used to produce the Tradeweb ICE CMT Rates and before launching the rates for use by market participants in financial contracts.

Source: Tradeweb

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