Change to the Tradeweb FTSE US Treasury Benchmark Closing Price Methodology

Tradeweb FTSE US Treasury Benchmark Closing Prices are intended to be a transparent representation of daily US Treasury trading dynamics, and to provide a modernized solution that supports the evolution in the global rates market towards electronic trading. Tradeweb FTSE US Treasury Benchmark Closing Prices are also intended to offer index users more executable input prices within FTSE fixed income indices, such as the FTSE World Government Bond Index.

After a comprehensive review and due diligence incorporating technical feedback on US Treasury market structure dynamics, FTSE Russell announces a methodology change for the Tradeweb FTSE US Treasury Benchmark Closing Prices that FTSE Russell, as benchmark administrator, and Tradeweb, as calculation agent, produce for the US Treasury market. Effective 17 October 2025, the price quote collection window for US Treasury Notes, Bonds, Bills, TIPS and STRIPS will be set as the one second interval immediately prior to the benchmark closing price valuation time, 4:00 p.m. (New York). This change is intended to more properly reflect pricing quotes that are observed immediately prior to risk clearing at 4:00 p.m. (New York) in the Tradeweb FTSE US Treasury Benchmark Closing Prices and standardize the collection window for all US Treasury security types. The change will also be reflected in the 3:00 p.m. (New York) valuation and on dates when the US bond market closes early.

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