The bank bill swap rate (BBSW) is the major interest rate benchmark for the Australian dollar and is widely referenced in financial contracts.
As the new BBSW rate administrator, ASX will, in early 2018, 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 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;
- define trade reporting for the purpose of calculating a BBSW rate based on actual transactions; and
- meet regulatory requirements for Benchmark Administrators.
The full BBSW Guidelines will come into effect in early 2018.