Register For Our Mailing List

Register to receive our free weekly newsletter including editorials.

Home / 122

Calculation and use of BBSW and BBSY

The Bank Bill Swap Rate (BBSW) is an important metric in many markets including the ASX listed (such as hybrids) and over-the-counter bond markets. It’s used as the floating rate note (FRN) benchmark to determine periodic (most commonly quarterly) interest re-sets. It also shows the market’s expectation of future interest rates.

The Australian Financial Markets Association (AFMA) provides independently determined rates, including BBSW that can be used for the revaluation of investments by governments and financial institutions. These rates are collected and published (intra-day, end-of-day, end-of-week and/or end-of-month) for the following wholesale over-the-counter products:

  • Bank Bill Swap Rates (BBSW)
  • Bank Accepted Bills/Negotiable Certificates of Deposit (BAB/NCD)
  • Live Cash and Repurchase Agreements
  • Swaps

BBSW

The AFMA BBSW benchmark rates represent the midpoint of the nationally observed live and executable best bid and best offer (NBBO) for AFMA Prime Bank Eligible Securities. The NBBO calculation is the average of all good samples of the best bid and best offer, such samples sourced from authorised trading venues and taken at three randomised intervals at and around 10:00am.

  • The average of all good NBBO midpoint samples, rounded to four decimal places, is published at approximately 10:15am as the BBSW benchmark rate, for each tenor.
  • BBSW mid rates are published on the AFMA website on the following Business Day, thus making them available to the general public.
  • Financial news media outlets regularly report on BBSW rates, both in tabular form and in commentary.

BBSY

  • ‘Bid’ and ‘Ask’ values for each tenor are published at approximately 10:15am using a set difference respectively of five basis points above and below the BBSW rate.
  • The Bid and Ask values of BBSW are used, amongst other things, by market participants to price floating rate loans. Being directly derived from BBSW and where the only difference is the predetermined and non-variable bid/ask spread to BBSW, rates published on BBSY are a familial derivative of BBSW and not a separate benchmark.
  • The 10 basis point spread between the Bid and Ask values may not be changed without the express consent of both the AFMA Benchmarks Committee and the AFMA Market Governance Committee, and consideration of any change to this spread must be subject to prior consultation with market participants.

 

Elizabeth Moran is Director of Education and Research at FIIG and is the Editor of FIIG’s weekly newsletter The WIRE.

 

UPDATE

NEW BENCHMARK ADMINISTRATOR

From 1 January 2017, ASX is the administrator for the BBSW benchmark rate.  For more information, please visit http://www.asx.com.au/services/benchmark.htm

LIVE FEED OF BBSW

From 31st July 2017, ASX became the calculation agent for BBSW and End of Day Bank Accepted Bill (EODBAB) rates previously produced by AFMA. Subscribers to the BBSW and EOD BAB service will now receive all rates and communication from ASX Benchmarks.

For 24 hour delayed rates visit: http://www.asx.com.au/prices/asx-benchmark-rates.htm

For more information including rate definitions and calculation methodology please visit: http://www.asx.com.au/services/benchmark.htm

 


 

Leave a Comment:


RELATED ARTICLES

Chris Joye on why stocks and property are set for a poor year

With rates peaking, the time for bonds has come

Why bank hybrids are being priced at a premium

banner

Most viewed in recent weeks

Welcome to Firstlinks Edition 581 with weekend update

A recent industry event made me realise that a 30 year old investing trend could still have serious legs. Could it eventually pose a threat to two of Australia's biggest companies?

  • 10 October 2024

The nuts and bolts of family trusts

There are well over 800,000 family trusts in Australia, controlling more than $3 trillion of assets. Here's a guide on whether a family trust may have a place in your individual investment strategy.

Welcome to Firstlinks Edition 583 with weekend update

Investing guru Howard Marks says he had two epiphanies while visiting Australia recently: the two major asset classes aren’t what you think they are, and one key decision matters above all else when building portfolios.

  • 24 October 2024

Warren Buffett is preparing for a bear market. Should you?

Berkshire Hathaway’s third quarter earnings update reveals Buffett is selling stocks and building record cash reserves. Here’s a look at his track record in calling market tops and whether you should follow his lead and dial down risk.

Preserving wealth through generations is hard

How have so many wealthy families through history managed to squander their fortunes? This looks at the lessons from these families and offers several solutions to making and keeping money over the long-term.

A big win for bank customers against scammers

A recent ruling from The Australian Financial Complaints Authority may herald a new era for financial scams. For the first time, a bank is being forced to reimburse a customer for the amount they were scammed.

Latest Updates

Property

Coalition's super for housing plan is better than it looks

Housing affordability is shaping up as a major topic as we head toward the next federal election. The Coalition's proposal to allow home buyers to dip into their superannuation has merit, though misses one key feature.

Planning

Avoiding wealth transfer pitfalls

Australia is in the early throes of an intergenerational wealth transfer worth an estimated $3.5 trillion. Here's a case study highlighting some of the challenges with transferring wealth between generations.

Retirement

More people want to delay retirement and continue working

A new survey suggests that most people aged 50 or over don't intend to stop work completely when they reach retirement age. And a significant proportion of those who delay retirement do so for non-financial reasons.

Economy

US debt, the weak AUD and the role of super funds

The more the US needs capital and funding, the higher its currency goes. For Australia, this has become a significant problem as the US draws our capital to sustain its growth, putting pressure on our economy and the Aussie dollar.

Investment strategies

America eats the world

As the S&P 500 rips to new highs, the US now accounts for a staggering two-thirds of the world equity index. This looks at how America came to dwarf other markets, and what could change to slow or halt its momentum.

Gold

What's next for gold?

Despite a recent pullback, gold has been one of the best performing assets this year. What are the key factors behind the rise and what's needed for the bull market in the yellow metal to continue?

Taxation

Consulting on the side? Don't fall into these tax traps

Consultants must be aware of the risks of Personal Service Income rules applying to their income. Especially if they want to split their income or work through a company.

Sponsors

Alliances

© 2024 Morningstar, Inc. All rights reserved.

Disclaimer
The data, research and opinions provided here are for information purposes; are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. Morningstar, its affiliates, and third-party content providers are not responsible for any investment decisions, damages or losses resulting from, or related to, the data and analyses or their use. To the extent any content is general advice, it has been prepared for clients of Morningstar Australasia Pty Ltd (ABN: 95 090 665 544, AFSL: 240892), without reference to your financial objectives, situation or needs. For more information refer to our Financial Services Guide. You should consider the advice in light of these matters and if applicable, the relevant Product Disclosure Statement before making any decision to invest. Past performance does not necessarily indicate a financial product’s future performance. To obtain advice tailored to your situation, contact a professional financial adviser. Articles are current as at date of publication.
This website contains information and opinions provided by third parties. Inclusion of this information does not necessarily represent Morningstar’s positions, strategies or opinions and should not be considered an endorsement by Morningstar.