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Notice
Market participants are advised that the industry wide parallel run for the new Volume Weighted Average Price (VWAP) BBSW methodology has been extended into May. As a result of the longer parallel run period, ASX will not be going live with the VWAP calculation on 23rd April 2018 as previously indicated in notice 0114.18.02.
ASX is aware that some market participants have not finalised all of the necessary contractual arrangements, including delegated reporting agreements, to be fully compliant with the trade reporting obligations under the BBSW Guidelines. After consultation with participants around market readiness, a decision was made to extend the parallel run period in order to give participants time to be fully compliant with the BBSW Guidelines.
The industry wide parallel run commenced on 26th March 2018. The results of the parallel run are available on the benchmarks page (under New Conventions & Calculation Methodology). These results will be updated weekly in arrears, from 16th April 2018.
During the industry wide parallel run, BBSW will continue to publish each day at 10:15am under the current NBBO calculation mechanism.
At the successful completion of the parallel run, ASX will begin calculation and publication of BBSW each day at 10:30am using the VWAP methodology. ASX will provide further details on the go live date for the new methodology in the coming weeks.
For more information on the new methodology and implementation timeline visit: asx.com.au/services/benchmark.htm
What do I need to do by when?
Market participants should continue to submit trade reports for all eligible trades via the Approved Trading Venues – ICAP (Australia), Tullett Prebon (Australia) and Yieldbroker.
There will be no change to BBSW subscriber emails, vendor pages, Reuters RIC codes or Bloomberg ticker codes.