BrokerTec US Treasury Benchmarks Methodology

This document is a technical report detailing the methodology for the BrokerTec US Treasury Benchmarks. It outlines the structure and processes involved in calculating volume weighted average prices (VWAP) and yields (VWAY) for on-the-run US Treasuries. The benchmarks are administered by CME Group Benchmark Administration Limited and are designed to comply with regulatory standards and IOSCO principles. The report describes the input data sources, including trades executed on the BrokerTec Central Limit Order Book (CLOB) and the use of expert judgment in exceptional circumstances. It explains the calculation methodology, including the determination of target volumes and the procedures for calculating prices and yields based on transaction data. The report also covers governance aspects, including oversight committees, consultation processes, and auditing procedures. The methodology aims to ensure the integrity and reliability of the benchmarks while providing transparency in the calculation process.