Effective 1 January 2017, ASX became the Bank Bill Swap (BBSW) rate administrator. In early 2018, ASX will introduce a new BBSW calculation methodology based on actual transactions in Bank Bills (Bills) and Negotiable Certificates of Deposit (NCDs). The Volume Weighted Average Price (VWAP) methodology will support the recommendation of the Council of Financial Regulators and is consistent with IOSCO Principles for Financial Benchmarks.
In support of the new methodology, ASX in consultation with regulators and market participants active in the underlying market, has developed the BBSW Trade and Trade Reporting Guidelines. The guidelines are designed to provide clarity to participants on market practices to be followed when trading Bills and NCDs, to define trade reporting for the purpose of calculating a BBSW rate based on actual transactions and to meet regulatory requirements for Benchmark Administrators. Sections 1, 2 and 3 of the Guidelines come into effect on 4 December 2017 with the commencement of outright trading and the change to the maturity pool convention. The full BBSW Guidelines will come into effect in early 2018 with the commencement of trade reporting. The BBSW transition timeline outlines the key dates and activities occuring in late 2017 and early 2018.
Access 24 hour delayed BBSW rates.
BBSW is the primary short-term rate used in the financial markets for the pricing and valuation of Australian dollar securities and as a lending reference rate. BBSW is currently calculated using a nationally observed best bid and best offer (NBBO) methodology for Prime Bank securities.
ASX also administers End of Day Bank Accepted Bills (EOD BABs).
ASX operates at the heart of Australia’s financial markets and is a core part of the interest rate complex. With a history of successfully operating regulated markets, ASX is well positioned to administer the benchmark Australian interbank rate with integrity and high standards.
ASX maintains a Transitions Policy in accordance with IOSCO Principles for Financial Benchmarks. This can be made available to stakeholders upon request.
Read more here:
- Public Announcements
- Current Conventions & Calculation Methodology
- New Conventions & Calculation Methodology
- Information for Subscribers
- Contact Information
|ASX media releases and market updates|
|Current Conventions & Calculation Methodology|
|Prime Bank Conventions|
|EOD BAB Methodology|
|New Conventions & Calculation Methodology|
|New BBSW Methodology - date TBC|
|Prime Bank Conventions - 4th Dec 2017|
|BBSW Conventions - 4th Dec 2017|
|Information for Subscribers|
|Subscriber Order Forms|
|Subscriber Terms & Conditions|
|BBSW Schedule of Fees|
|Benchmark Complaints Policy|
For general enquiries about the BBSW benchmark, please call ASX Customer Service on 131 279 (within Australia) or +612 9338 0000 (outside Australia).
Or click on the button below to send ASX Customer Service an email.
Feedback, Reporting Misconduct or Complaints
For any feedback, reporting of misconduct or any complaints about ASX, please submit the relevant form.
For any disputes specifically about the BBSW benchmark, please call +61 2 9227 0342 or click on the button below to send us an email.