BrokerTec U.S. Treasury Benchmarks
Volume-Weighted Average Prices and Volume-Weighted Average Yields for on-the-run US Treasuries.
Transaction-based
Volume-weighted calculations of all trades executed during a 15-minute window leading up to the fixing time.
Based on a deep liquidity pool
The index uses data from BrokerTec, the leading central limit order book for cash US Treasury trading, to provide an accurate measure.
Published four times daily
Covers four key timestamps (11 a.m., 3 p.m., 4 p.m. and 5 p.m. EST) to coincide with key rate times.
BrokerTec US Treasury Indices
The BrokerTec US Treasury Benchmarks rates are registered under UK BMR and calculated four times a day (1100 EST, 1500 EST, 1600 EST and 1700 EST) focusing on the 2, 3, 5, 7, 10, 20 and 30 Year on-the-run US Treasury bonds. The published rates reflect actual transactions and executable orders during the 15-minute observation window on the BrokerTec US1 Central Limit Order Book (the BrokerTec CLOB).
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Resources
How to access
Bloomberg codes
Menu Page NEXD
BrokerTec US Treasury Benchmarks, 3 p.m. EST Fixing.
2 YEAR
BTEC32YP | BTEC32YY
3 YEAR
BTEC33YP | BTEC33YY
5 YEAR
BTEC35YP | BTEC35YY
7 Year
BTEC37YP | BTEC37YY
10 Year
BTEC310P | BTEC310Y
20 Year
BTEC320P | BTEC320Y
30 Year
BTEC330P | BTEC330Y
Direct from CME Group
The Daily 3 p.m. EST fixing is updated on this website in the data table above.
Refinitiv codes
Coming Soon.
The CME Benchmark Administration Oversight Committee
The oversight committee will provide independent governance, and challenge to the Administrator on all aspects of the benchmark determination process in accordance with the Oversight Committee Terms of Reference.
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