Market participants are advised that ASX will conduct an industry wide parallel run for the new Volume Weighted Average Price (VWAP) BBSW methodology from 26^th March 2018.  During this period, ASX will use the trade report data to parallel test the VWAP methodologies.

Market participants should submit trade reports for transactions in Prime Bank paper that occur during the rate set window (8:30am-10:00am AEST/AEDT) in accordance with the BBSW Trade and Trade Reporting Guidelines (BBSW Guidelines) from the 26^th March 2018. 

ASX is aware that some market participants have not finalised some of the necessary contractual arrangements including delegated reporting agreements to be fully compliant with the trade reporting obligations under the BBSW Guidelines. In this instance market participants should report on a best efforts basis at the commencement of the parallel period but must complete any outstanding activities prior to the completion of the parallel period.

Trade reports submitted during this period will be used by ASX to calculate the VWAP rates and the results will be published on the benchmarks page (under New Conventions & Calculation Methodology) 1 week in arrears starting 16^th 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. The target date for commencement of the new methodology will be advised in late April. If necessary, the parallel run may be extended to ensure a smooth transition to the new methodology. ASX will confirm the go live date one week prior to the implementation of the VWAP methodology.

For more information on the new methodology and implementation timeline visit: asx.com.au/services/benchmark.htm

Structured Products

ASX outlined the proposed treatment of structured products issued by Prime Banks in ASX Benchmark Notice 1561.17.12.  Following further feedback from market participants, ASX undertook a further review of the application of the BBSW Trade and Trade Reporting Guidelines to structured products.  Structured products are contractual arrangements which contain optionality to convert into a Prime Bank Negotiable Certificates of Deposit (NCD) or bank bills.  Given, the relative size of the structured product market and the low conversion rate into NCDs and bills, ASX has agreed to exclude structured products from the eligible transactions for the purpose of BBSW calculation for a 12 month period.  A review of the size of the structured product market and its materiality in terms of NCD and bank bill issuance upon conversion will be undertaken in March 2019, at which time further guidance will be provided on their eligibility for inclusion in the BBSW rate set.

Any change to the treatment of structured products under the ASX BBSW Trade and Trade Reporting Guidelines will be advised to the market in March 2019 via an ASX Benchmark Notice and updated Guidelines.

What do I need to do by when?

Market participants should commence trade submission for all eligible trades from Monday 26^th March 2018 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. Bank bill market participants should ensure their compliance policies and procedures are up to date and in alignment with the BBSW Guidelines prior to 26^th March 2018.

Need more information?

Issued by

Contact information

Kristye van de Geer
+61 (02)  9227 0130
benchmarks@asx.com.au

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