BrokerTec US Treasury Benchmarks

Designed to bring transparency to the treasury market and utilises methodology from historical trading volumes on the BrokerTec platform, the BrokerTec US Treasury Benchmarks are transaction-based VWAPs for on the run US Treasuries published at four different fixing times.

• Calculated as a VWAP of all the trades executed during the 15 minute window running up to the fixing time.
• Utilises data from BrokerTec’s leading Central Limit Order book for US Treasury trading.
• Covers the key timestamps (11am, 3pm, 4pm and 5pm EST) to coincide with key rate times.

During periods of relatively lower liquidity, the UST Benchmark methodology will incorporate the order book into the calculation at which point an ‘order volume’ number will be disclosed.

11am EST

This table will populate at 11am EST and clear down at 5am EST.

3pm EST

This table will populate at 3pm EST and clear down at 5am EST.

4pm EST

This table will populate at 4pm EST and clear down at 5am EST.

5pm EST

This table will populate at 5pm EST and clear down at 5am EST.

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ARCHIVE FILES

For archive US Treasury Benchmarks data please contact indices@nexdata.com or call us on +44 (0)20 7818 9601.