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Measuring what matters: A new lens on liquidity in U.S. Rates. March 24, 2026 | Rates Data Analysis by: Mihir Chinai, Steve Qiu, Gabriel Zanuttini-Frank, Rene Ulloa, U.S. Institutional Rates Data Science Liquidity is the foundation of well-functioning markets, and one of those market truths everyone talks about but few can measure directly. In U.S. institutional rates markets - where trillions of dollars change hands daily - liquidity influences not just execution costs but how efficiently markets absorb information and adjust pricing. Traditionally, investors have relied on bid-ask spreads, implied volatility or dealer commentary to gauge liquidity. While useful, these measures often reflect expectations or snapshots rather than what participants experienced when trading. That gap between perception and reality can widen quickly during periods of stress. For example, during the week following "Liberation Day" in April 2025, the S&P 500 fell by more than 10.5% and the VIX moved above 65 - a level previously reached only during the global financial crisis of '08 and the 2020 pandemic. But actual transaction cost (T-Cost) data told a more measured story - liquidity conditions were far less strained than what the market experienced during the COVID crisis of March 2020. Without a standardized way to compare those episodes side by side, however, that distinction wasn't immediately obvious. Tradeweb Markets Inc. believed the market needed something clearer - and grounded in what is actually happening on any given day. Moving from implied signals to realized conditions. To bring greater clarity around liquidity during volatile market conditions, Tradeweb Markets Inc. introduced the Tradeweb Liquidity Cost Index - a new framework built on aggregated transaction data from its institutional rates trading platform. Rather than relying on models or forward-looking indicators, the index captures realized execution costs and actual intraday price movement across U.S. interest rate products. At its core is T-Cost, which is expressed in the same units traders use every day - basis points (bps). By measuring the realized cost of trading benchmark size during principal market hours, the index answers a simple but essential question: What did it really cost to trade today compared to history? In volatile environments, that distinction matters. Markets may feel stressed, but execution data can reveal whether liquidity has meaningfully deteriorated or simply adjusted. Complementing T-Cost are measures of intraday volatility and composite pricing width. The Volatility Index captures realized intraday movements for each product, normalized to basis points per day. Unlike forward-looking indicators based on market expectations or option-implied volumes, this index reflects what the market actually realized - making it especially useful during volatile trading sessions. Tradeweb Markets Inc. also analyze composite width, which measures liquidity by tracking how narrow or wide Tradeweb's composite pricing is. Together, these measures provide a multidimensional view of liquidity - spanning U.S. Treasuries and U.S. swaps, as well as mortgage-backed securities (MBS) To-Be-Announced (TBA) securities and credit default swap index investment grade (CDX IG) securities - within a single, consistent framework. Context across market cycles. One of the strengths of Tradeweb's Liquidity Cost Index is historical perspective. With data stretching back several years, investors can compare current conditions with prior stress episodes - from the dislocations of early 2020 to more recent tariff-driven volatility. By anchoring today's liquidity against a broad historical baseline, the index allows participants to assess whether execution costs are elevated in absolute terms or simply in line with past periods of heightened activity. The framework also highlights how liquidity can diverge across asset classes. In early January 2026, for example, execution costs in MBS rose sharply as markets anticipated large agency purchases, while U.S. Treasury liquidity remained comparatively stable. Without a standardized lens, such differences can be difficult to quantify in real time. Viewing them side by side helps investors better interpret cross-market dynamics and adjust accordingly. Consider January 9 this year, following the Trump administration's order for Fannie Mae and Freddie Mac to purchase $200 billion in MBS. On that day, MBS T-Cost rose nearly 500% relative to its one-year median, while U.S. Treasury T-Cost remained stable, just below its one-year median. MBS tightened more than 20 basis points versus Treasuries as markets prepared for increased demand. The indices made the divergence immediately visible: volatility and execution costs in MBS spiked meaningfully, while Treasuries remained orderly. Without a consistent cross-asset liquidity framework, that contrast would have been far harder to quantify in real time. A more practical benchmark for market participants. For institutional investors, standardized liquidity measures are increasingly important. Execution strategies, risk management decisions and performance benchmarking all depend on understanding the true cost of trading. By grounding its indices in realized transaction data and expressing them in intuitive trading terms, Tradeweb Markets Inc. aim to provide a practical reference point - one that reflects what markets delivered, not just what they implied. As liquidity ecosystems evolve, so too will this framework. Tradeweb Markets Inc. plan to expand the coverage and provide access to live intraday time series in the future, giving market participants even greater transparency into trading conditions as they unfold. Liquidity may be difficult to define in words. But by measuring it in basis points and ticks - consistently, historically and across products - Tradeweb Markets Inc. can help investors better understand what it truly means in practice. For media inquiries:

Tradeweb expands US Treasuries offering with Citi and RBC dealer algorithms. The additions are expected to enhance the firm's current algorithmic execution offering for US Treasuries, launched in October 2025. Tradeweb has added Citi and RBC Capital Markets' dealer algorithms to its institutional platform for US Treasuries. The expansion of Tradeweb's offering is expected to allow institutional investors trading US Treasuries to execute orders with key dealer liquidity providers within specified time periods, and deepen the firm's current multi-dealer ecosystem. Moreover, the build out also follows the firm's US launch of its dealer algorithmic execution capabilities in October 2025, with the aim of enhancing institutional access to liquidity pools, execution styles and trading tools in fixed income markets. "The addition of Citi and RBC dealer algorithms to our institutional platform further strengthens the depth and breadth of our multi-dealer ecosystem, providing institutional investors with access to an expanded range of bank-sourced quantitative strategies," said Bhas Nalabothula, managing director, head of US institutional rates at Tradeweb. "The continued growth of our dealer algorithmic capabilities reflects our commitment to equipping clients with advanced tools to enhance liquidity access and optimise execution." The expanded offering also complements Tradeweb's broader electronic trading suite, spanning cash and futures spread execution, designed to provide clients with a diverse array of execution strategies. Jamie Mortimore, global head rates e-trading at Citi, said: "As electronic trading in US Treasuries continues to evolve, clients are looking for smarter tools that help them navigate the market with consistency and precision. "We're also streaming firm, multilevel prices on the platform. That gives clients clearer market depth and the ability to execute against firm liquidity with confidence, which is especially valuable in fastmoving markets." The news marks a further development for Tradeweb, which has been expanding its offering significantly over the last few months. In February 2026, the marketplace operator announced that it had partnered with Kalshi in a bid to expand institutional access to prediction market data and analytics and develop institutional trading infrastructure for event contracts. Elsewhere, Tradeweb launched a new multi-asset package functionality in January 2026, with the aim of enhancing institutional trading of USD-denominated swaps. The TRADE > News > Asset Classes > Digital Assets > Investec joins BPX's digital securities marketplace as first institutional member Investec joins BPX's digital securities marketplace as first institutional member. More institutions are expected to join the venue as live market operations progress; news follows FCA authorisation of BPX in June 2025 to operate a regulated marketplace for traditional and tokenised securities. Investec has joined BPX's digital securities marketplace as its first member, marking the beginning of institutional participation on the venue. Specifically, Investec will enable its connection to BPX through its electronic trading platform ZebrA-X, with the aim of providing clients with streamlined access to BPX's securities marketplace. The integration is also expected to contribute to wider efforts across the industry to bridge the gap between traditional financial markets and the growing digital landscape. Ali Celiker, founder and chief executive of BPX, said: "BPX was created to reimagine how capital markets operate by enabling the creation, issuance, settlement and trading of securities through modern digital infrastructure. "Achieving this vision requires forward-thinking institutions willing to engage with new market models and help shape the future." Currently, BPX's venue is making progress towards live market operations, and further institutions are expected to join as onboarding continues. Dominic Lowres, head of electronic trading and execution strategy at Investec, said: "Markets are evolving quickly, but greater innovation can often mean greater complexity for investors. Joining BPX reflects Investec's commitment to backing market infrastructure that can broaden access to new asset classes in a practical, transparent and client-focused way." In June 2025, BPX received authorisation from the Financial Conduct Authority (FCA) to operate a regulated marketplace for traditional and tokenised securities. Moreover, the exchange operator is also one of the only firms admitted to the joint Bank of England and FCA Digital Securities Sandbox, with the aim of providing infrastructure to bolster the growth of digital assets.

Tradeweb Markets has expanded its dealer algorithmic execution offering for US Treasuries, adding strategies from Citi and RBC Capital Markets to its suite. The expansion builds on last year's US launch and provides institutional clients with deeper liquidity access and diversified execution styles. The dealer algorithmic capabilities allow institutional investors to execute US Treasury orders over defined time horizons with key dealer liquidity providers. Tradeweb plans to continue expanding its dealer network by onboarding additional global dealers. The company's US government bond marketplace saw record activity in 2025, with $237.2 billion in average daily volume executed on the platform, up 11.6% year-over-year. Institutional investors can access liquidity from 38 providers across multiple trading protocols including request-for-quote, list trading and executable streams.