Benchmark Rates

ASX Benchmarks are at the heart of Australia’s interest rate complex. They bring integrity, transparency and clarity to decision making.

About BBSW

The Bank Bill Swap rate (BBSW) is widely used in both lending transactions and interest rate derivative products with approximately A$18 trillion in notional value referencing BBSW as its base rate.

BBSW is characterised as an interest rate which includes a credit premium representing the market assessment of the premium payable by the Prime Banks, relative to a comparable risk free interest rate.

BBSW is designed to measure the price at which Prime Bank eligible securities trade in the open market between 8:30 and 10 am on a Sydney business day.

ASX also administers End of Day Bank Accepted Bills (EOD BABs) and ASX Realised AONIA.

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Eligible volume is defined as:

Prime Bank paper transacted within the rate set window
Maturity date must fall within the rolling maturity pool date range for that tenor as set out in the ASX BBSW Conventions and Methodology
$10 million minimum notional volume per transaction

As of 21st May 2018 the interbank volume report stands as a historical reference and shows historical interbank BBSW volume data up until 18th May 2018 . All new data is stored and available in the "Volume Report" download above.

Historical Interbank Volume Report download

BBSW Trade Reporting Guidelines

ASX’s guidelines as Administrator outlining the obligations of Market Participants in connection with its generation and administration of the BBSW.

Calculation Methodologies

ASX must use a methodology that is designed to ensure the quality, integrity, availability and credibility of the benchmark.

About

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.