Benchmark Administration

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.

Under the new methodology, BBSW will be published each day at 10:30am.

For more information on the new BBSW methodology and Trade Reporting see Trade Reporting FAQs.

Access 24 hour delayed BBSW rates.

ISDA consultation paper on interest rate derivative fallback rates

The International Swaps and Derivatives Association (ISDA) has released its consultation on fallback rates for a number of global interest rate derivative benchmarks, including BBSW. This is part of a global initiative for benchmark reform led by the Financial Stability Board (FSB) and its Official Sector Steering Group (OSSG) to ensure that fallback arrangements included in contractual documentation are robust enough to minimise market disruption in the event of permanent discontinuation of a significant financial benchmark.

The fallbacks will apply if the relevant benchmark is permanently discontinued, based on defined triggers outlined in the consultation paper. The consultation will be open until 12th October 2018 and can be accessed here.

ASX encourages users of BBSW to have robust fallback provisions written into their contractual documentation to address the cessation of or material change to the benchmark. Users of BBSW are advised to periodically review the suitability of the benchmark in meeting their requirements and consider how they may be impacted by the above.

 

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

 

Conventions & Calculation Methodology
BBSW Methodology

Prime Bank Conventions

BBSW Conventions

ASX VWAP Parallel run results

BBSW Error Log

Other reference rates
ASX EODBABs methodology

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