Effective 1 January 2017, ASX became the Bank Bill Swap (BBSW) rate administrator. On 21st May 2018, ASX introduced 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 supports the recommendations 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, 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.
BBSW is published each day at 10:30am.
For more information on the new BBSW methodology and Trade Reporting see FAQs.
Access 24 hour delayed BBSW rates.
Consultation on changes to 1 month VWAP methodology
As the Administrator of BBSW, ASX must use a methodology that is designed to ensure the quality, integrity, availability and credibility of the benchmark. A number of regulatory changes have impacted the market that underpins the 1 month BBSW tenor. As a result, the variability in 1 month transactions is greater than other BBSW tenors. This can have the effect of increasing the volatility in the 1 month rate formed using the VWAP methodology.
To improve the stability of the 1 month rate, ASX is proposing an interim solution to narrow the rolling maturity pool for the 1 month tenor only from +/- 5 Business Days to +/- 3 Business Days. ASX is requesting feedback from market participants on the proposed change to the 1 month VWAP methodology by 15th March 2019. The target implementation date is 20th March 2019.
ASX will continue to work closely with the BBSW Advisory Committee on a longer term solution to further enhance the methodology to increase transactional tenor formation whilst ensuring the stability of the rate.
The consultation paper can be accessed here.
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 rates, calculated in accordance with the primary methodology (VWAP Methodology), represent the price at which eligible transactions in Prime Bank paper occur in the market on a Sydney business day.
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.
The Australian government has introduced legislation that would subject the following benchmarks [administered within the ASX Group] to the Australian financial benchmark regulatory regime:
- Bond futures expiry price; calculated by ASX Clear Futures.
Under the EU Benchmarks Regulation, these benchmarks are currently used in the union and therefore fall within the terms of the transition provided under the Regulation, in which time ASX will seek to establish EU equivalence.
For further information on EU Benchmark Regulation see the ESMA Q&A guide.
ASX, as the benchmark administrator for BBSW, is required to have adequate arrangements in place for handling conflicts of interest. For examples of how ASX manages conflicts of interest see BBSW conflicts handling arrangements.
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
- Conventions & Calculation Methodology
- Information for Subscribers
- Contact Information
|ASX BBSW market notices|
|ASX media release|
|Conventions, Trading Guidelines & Calculation Methodology|
|Other reference rates|
|ASX EODBABs methodology|
|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.