BrokerTec US 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).

In accessing this proprietary data from this website, you acknowledge you have read and agree to all CME Data Terms of Use. To discuss licensing options, please contact CME Data Sales.


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

BTEC220P | BTEC220Y

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.


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.

Sean Hogson (Chair)

BrokerTec

Ted Carey

CME Group Interest Rates

Bobby Timberlake

CME Group Research & Product Development

Vincenzo Albano

CME Group Benchmark Administration

Vanessa Walsh

CME Group Data Services

Graham Stride

CME Group Benchmark Administration

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