ASX BBSW calculation guidelines

Since 1 January 2017, ASX has been 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) including a new Volume Weighted Average Price (VWAP) methodology. Background.

In support of the new methodology, ASX 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 came 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.

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