The Bank Bill Swap rate (BBSW) is administered by ASX Benchmarks Limited, an licenced benchmark administrator under the Corporatiions Act. In 2018, ASX introduced a new BBSW calculation methodology based on whole of market 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 VWAP 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.
BBSW is the primary short-term rate used in 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) and Realised AONIA.
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 one of Australias key interest rate benchmarks.
Consultation on BBSW Fall Back Methodology
ASX Benchmarks is seeking feedback from market participants on the continuing appropriateness of stage three of the BBSW Fall Back Methodology (Bank Bill Futures algorithm) with the introduction of cash settled Bank Bill Futures from September 2020. The Bank Bill Futures will be settled using 3 month BBSW as the Expiry Settlement Price.
The BBSW Fall Back Methodology consultation will be open until 14th February 2020. ASX will publish a market notice to confirm the approach by the end of Q1 2020.
In 2018, the Australian government introduced legislation that subjects the following benchmarks, declared by ASIC to be significant benchmarks to the Australian financial benchmark regulatory regime:
- BBSW, calculated by ASX Benchmarks;
- Bond futures expiry price, calculated by ASX Clear Futures.
Effective from 1st July 2019, ASX Benchmarks was granted an Australian Benchmark Administrator Licence (ABAL) by ASIC to administer BBSW. ASX Benchmarks is licenced under the Corporations Act and is subject to the ASIC Financial Benchmark (Administration) Rules 2018.
In September 2018, ASIC issued an instrument exempting ASX Clear (Futures) from the requirement to hold a benchmark licence in respect of the ASX Bond Futures Expiry Settlement Price.
On 29th July 2019, the European Commission recognised Australia's legal and supervisory framework applicable to the administrators of certain financial benchmarks as equivalent to the requirements under EU Benchmarks Regulation (EU BMR). This allows BBSW to be used in the European Union.
BBSW is included on ESMA's register for third country benchmarks.
For further information on EU BMR see the ESMA Q&A guide.
Fall back provisions
ASX encourages participants to have robust fall back provisions written into their contractual documentation to address the cessation of or Material Change to the BBSW benchmark. Stakeholders should be aware that various factors beyond the control of ASX may necessitate changes to the benchmark. Users of BBSW are advised to periodically consider how they may be affected by the above and to review the suitability of the benchmark in meeting their requirements, giving consideration to the matters in section 6.1 of the BBSW Conventions and Methodology.
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|
|Conventions, Trading Guidelines & Calculation Methodology|
|Other reference rates|
|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.
BBSW suspicious activity
To report suspicious activity in relation to the BBSW benchmark, click on the button below.