Benchmark Administration

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. The BBSW transition timeline outlines the key dates and activities occuring in late 2017 and early 2018.

An Industry Wide Parallel run began on 26th March 2018 during which time trade report data is being used to calculate and compare the VWAP methodology. The results will be updated on the website weekly in arrears. At the successful completion of the parallel run, ASX will begin calculation and publication of BBSW each day at 10:30am using the new VWAP methodology.

ASX VWAP Parallel run results

For more information on the upcoming changes see Trade Reporting FAQs.

Access 24 hour delayed BBSW rates.

About BBSW

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‚Äôs 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.

Benchmark Regulation

The Australian government has introduced legislation into Parliament that would subject the following benchmarks [administered within the ASX Group] to the Australian financial benchmark regulatory regime:

  • BBSW
  • 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.

Transitions Policy

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
ASX BBSW market notices
ASX media release

 

Current Conventions & Calculation Methodology
BBSW Conventions
Prime Bank Conventions
EOD BAB Methodology

 

New Conventions & Calculation Methodology
New BBSW Methodology - date TBC
Prime Bank Conventions - 2018 TBC

BBSW Conventions - 2018 TBC

ASX VWAP Parallel run results

 

Information for Subscribers
Trade Reporting FAQs
FAQs
Subscriber Order Forms
Subscriber Terms & Conditions
BBSW Schedule of Fees
Benchmark Complaints Policy

 

Disclaimers
Disclaimer BBSW

 

Contact information

General Enquiries

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.

Email ASX Benchmarks

Feedback, Reporting Misconduct or Complaints

For any feedback, reporting of misconduct or any complaints about ASX, please submit the relevant form.

Click here for form

Disputes

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.

Email ASX Pricing