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Tradeweb FTSE Gilt Closing Prices

FTSE Russell and Tradeweb are delighted to have been jointly selected as the future providers of Gilt and Treasury Bill end-of-day reference prices succeeding the current provision by the UK Debt Management Office (DMO). This follows the DMO’s announcement of its intention to withdraw from Gilt reference price provision in January 2015, the subsequent establishment of an Independent Reference Price Review (IRPR) led by Professor David Miles CBE, and the acceptance on 11 October 2016 by the Economic Secretary to the UK Treasury of the recommendation made by the IRPR.

Tradeweb and FTSE Russell will produce end-of-day gilt reference prices in a manner consistent with IOSCO principles.  Tradeweb will calculate the reference prices based on input data from the Tradeweb dealer-to-client UK Gilt trading platform. FTSE Russell will operate as the administrator of the reference prices and will use these prices in the calculation of the FTSE Actuaries UK Gilts Index Series. The Statement of Principles with respect to the Calculation of the Tradeweb FTSE Gilt Closing Prices is available here.

Transition overview

The UK DMO has announced that it intends to cease publishing end-of-day reference prices for gilts, strips and Treasury bills and intraday prices for gilts with effect from Monday 24 July 2017.  From this date, FTSE Russell and Tradeweb will be the providers of end-of-day reference prices for gilts, strips and Treasury bills. Information about the transition and changes to the reference price methodology is included in our FAQ Document which can be downloaded here. The FAQ includes information about the transition timeline, how users can access the reference prices, information about commercial and contractual arrangements, an overview of the changes to the reference price methodology and the new methodology for bonds, and further information about the governance and oversight process. Further information is also provided in the client information video which can be viewed below.

Changes to the reference price methodology

The transition reflects a move away from indicative end-of-day prices to executable prices published Gilt-Edged Market Makers (GEMMs) on Tradeweb's electronic trading system in a two-minute window around 4:15pm. Bill prices will be based on sell trades executed through the Tradeweb system. A Guide to the Calculation of the Tradeweb FTSE Gilt Closing Prices is available here.

Client information video – overview of transition plans

Watch the following video for further information about the transition and changes to the pricing methodology. You may need to login or sign up to BrightTALK to play this video.

 

About Tradeweb Markets

Tradeweb Markets builds and operates many of the world’s most efficient financial marketplaces, providing market participants with greater transparency and efficiency in fixed income, derivatives and ETFs. Focused on applying technology to enhance efficiency throughout the trade lifecycle, Tradeweb pioneered straight-through-processing in fixed income and now supports marketplaces for more than 20 asset classes with electronic execution, processing, post-trade analysis and market data in an integrated workflow.

Tradeweb Markets serves the dealer-to-customer markets through the Tradeweb institutional platform, inter-dealer trading through Dealerweb, and the US-based retail fixed income community on Tradeweb Direct. Customers rely on Tradeweb to drive the evolution of fixed income and derivatives through flexible trading architecture and more efficient, transparent markets.

For more information, visit www.tradeweb.com.