Fixed income market operator Tradeweb has published a paper along with Intercontinental Exchange (ICE) Benchmark Administration (IBA) introducing the 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 US Treasury yields for standard maturities.
The Tradeweb ICE CMT Rates will be based on an interpolated US Treasury yield curve from which standard maturity dates and associated US Treasury yields will be published. The Tradeweb ICE CMT Rates will be published for maturities of one, two, three and six months, and one, two, three, five, seven, 10, 20 and 30 years, all of which relate to the maturities of frequently issued US 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 08:00 and 15:00 Eastern time.
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 18 September, 2020. Tradeweb and IBA report that they intend to consider and take account of this feedback before finalising the methodology used to produce the Tradeweb ICE CMT Rates and before launching the rates for use by market participants in financial contracts.
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