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? Copyright 2020 ICE Benchmark Administration Limited & Tradeweb Markets LLC Tradeweb ICE CMT Rates 1
Executive Summary 3
The Value of Constant Maturity Rates and the Associated
Yield Curve 4
Testing Results 7
Comparison of Tradeweb ICE CMT Rates and the Daily
Yield Curve Rates Produced by the U.S. Treasury 10
Governance and Controls 11
Request for Feedback 13
? Copyright 2020 ICE Benchmark Administration Limited & Tradeweb Markets LLC Tradeweb ICE CMT Rates 2
Tradeweb Markets LLC (Tradeweb), a leading global operator of electronic marketplaces for rates, credit, equities
and money markets, and ICE Benchmark Administration Limited (IBA), a leading provider of global benchmarks,
are introducing the daily Tradeweb ICE Constant Maturity Treasury Rates (the Tradeweb ICE CMT Rates or TWI-
The Tradeweb ICE CMT Rates have been designed to provide market participants with a daily overview of U.S.
Treasury yields for standard maturities, and are based on transactions executed by institutional investors in U.S.
Treasuries (and/or quotes provided for U.S. Treasuries) on Tradeweb's electronic trading platform for U.S.
Treasury securities (the Tradeweb Platform). Tradeweb and IBA are providing the Tradeweb ICE CMT Rates to
help market participants meet their valuation, risk management and potential benchmarking needs.
The Tradeweb ICE CMT Rates will be based on an interpolated U.S. Treasury yield curve from which standard
maturity dates and associated U.S. Treasury yields will be published. The Tradeweb ICE CMT Rates will be
published for maturities of 1, 2, 3 and 6 months, and 1, 2, 3, 5, 7, 10, 20 and 30 years, all of which relate to the
maturities of frequently issued U.S. Treasury securities.
The Tradeweb ICE CMT Rates will be sourced from a constant maturity yield curve (the Tradeweb ICE CMT Yield
Curve) that will be constructed using a curve-smoothing quasi-cubic Hermite spline model. The inputs used to
generate the Tradeweb ICE CMT Yield Curve and associated Tradeweb ICE CMT Rates will be based upon
volume-weighted average prices, and associated yields, for transactions in on-the-run Treasury securities (i.e. the
most recently auctioned U.S. Treasury securities) that took place on the Tradeweb Platform over the course of a 7-
hour window between 8:00AM Eastern and 3:00PM Eastern. If there is insufficient trading activity in a particular
on-the-run U.S. Treasury security on the Tradeweb Platform, then dealer bid - offer quotes displayed electronically
to institutional clients on the Tradeweb Platform sourced between approximately 8:00AM Eastern and 3:00PM
Eastern time will be used as input data to build the Tradeweb ICE CMT Yield Curve.
Tradeweb and IBA have conducted an 18-month period of testing on the Tradeweb ICE CMT Rates. The results
are set out in the Testing Results section of this paper.
Tradeweb and IBA are now asking market participants and stakeholders to review and provide feedback on the
Tradeweb ICE CMT Rates and the proposed calculation methodology by September 18, 2020. Tradeweb and IBA
intend to consider and take account of this feedback before finalizing the methodology used to produce the
Tradeweb ICE CMT Rates and before launching the rates for use by market participants in financial contracts. The
questions that Tradeweb and IBA would like stakeholder feedback on are laid out in the Request for Feedback
section of this paper.
? Copyright 2020 ICE Benchmark Administration Limited & Tradeweb Markets LLC Tradeweb ICE CMT Rates 3
Author: Rebecca Mitchell
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