Tradeweb and FTS Russell have expanded their fixed income pricing partnership with the launch of Tradeweb FTSE US Treasury Closing Prices.
The service provides closing prices based on trading activity from Tradeweb’s electronic platform. Bid and offer prices are calculated through what Tradeweb calls an “enhanced methodology”, with transaction costs based on executable pricing quotes seen on the platform and mid prices.
Tradeweb has stated its intention to incorporate this methodology into its UK Gilt and Euro Government closing prices in the near future.
The service’s data set provides comprehensive coverage of a range of security types including US Treasury notes, bills, bonds, strips and Treasury Inflation-Protected Securities (TIPS), the firms asserted. These use both a 3:00 and 4:00 PM (ET) snap time, they added.
Extending closing pricing in the US Treasury markets is part of a broader example of expanded benchmark pricing capabilities across fixed income securities, the firms stated, and will have a particular impact on USD-denominated credit securities – where prices are largely underpinned by US Treasury valuations.
Lisa Schirf, global head of data and analytics at Tradeweb, commented: “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 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.”
Scott Harman, head of fixed income, currencies and commodities indices at FTSE Russell, added: “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. 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.”
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