Benchmark conventions and calculation methodologies

Based on international best practice, the calculation methodologies for ASX benchmarks help to ensure transparency and certainty for financial market participants.

ASX is responsible for the calculation, publication and administration the BBSW, EODBABs and ASX Realised AONIA benchmarks.

BBSW - a robust financial benchmark

In Q2 of 2018, the BBSW methodology underwent significant reform. In line with global best practice principles (IOSCO Principles for Financial Benchmarks) and based on the recommendations of the Council of Financial Regulators, a transaction-based layer was added to the BBSW calculation waterfall.

This change goes to the heart of global benchmark reform by ensuring BBSW rates are underpinned by an active market in order to produce a robust and reliable benchmark.

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

BBSW Methodology FAQs>

Quick links

BBSW Conventions and Methodology

Overview of the operational aspects, calculation rules, and methodology used in the determination of BBSW.

PDF - 1MB

CONFLICT HANDLING PDF

ASX, as the benchmark administrator for BBSW, is required to have adequate arrangements in place for handling conflicts of interest. For examples of how ASX manages conflicts of interest see BBSW conflict handling arrangements.

PDF - 450KB

ASX REALISED AONIA METHODOLOGY

Overview of ASX Realised AONIA, inputs into the calculation and conventions, and information on how to received ASX Realised AONIA rates.

PDF - 550KB

BBSW error log

The error log contains a record of the errors reported to the BBSW Administrator from 21st May 2018 when the new VWAP BBSW methodology was implemented.

PDF - 403KB

EODBABs Calculation Methodology

An overview of the End of Day Accepted Bill Rates (EODBAB) calculation waterfall.

PDF - 525KB

BBSW TRADE AND TRADE REPORTING GUIDELINES

ASX’s guidelines outline the obligations that apply to all Market Participants that trade Prime Bank Paper, for the purpose of ensuring the integrity of BBSW.

PDF - 1MB

Prime Bank Conventions

Short term securities of Prime Banks are generally expected to trade in a consistent way due to the criteria applied to the selection of banks that have been afforded Prime Bank status.

The Prime Bank Conventions outline the minimum eligibility criteria for the Prime Banks and the ongoing obligations that Prime Banks must adhere to in order to maintain Prime Bank status. Prime Bank Conventions can be found in appendix D of the BBSW Conventions and Methodology.

Fall back provisions

ASX encourages participants to have robust fall back provisions written into their contractual documentation to address the cessation of or Material Change to the BBSW benchmark. Stakeholders should be aware that various factors beyond the control of ASX may necessitate changes to the benchmark. Users of BBSW are advised to periodically consider how they may be affected by the above and to review the suitability of the benchmark in meeting their requirements, giving consideration to the matters in section 6.1 of the BBSW Conventions and Methodology.

ASX maintains a Transitions Policy in accordance with IOSCO Principles for Financial Benchmarks. This can be made available to stakeholders upon request.