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Notice
Market participants are advised that ASX will be going live with the new Volume Weighted Average Price (VWAP) BBSW methodology effective 21st May 2018, following the successful completion of the parallel run.
An industry wide parallel run began on 26th March 2018 and will continue until 18th May 2018. The results of the parallel run to date are available on the benchmarks page (under New Conventions & Calculation Methodology). As advised in Notice 0397.18.04 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 new VWAP methodology has been developed in consultation with market participants and the regulators. ASX would like to acknowledge and thank participants for their valuable contribution and engagement throughout the transition period. ASX will continue to work with market participants to ensure BBSW remains a robust and reliable benchmark for all users.
BBSW will continue to publish each day at 10:15am under the current NBBO calculation mechanism up until 18th May 2018 (inclusive). From 21st May 2018, BBSW will be published each day at 10:30am (AEST or AEDT where applicable). BBSW subscriber emails will be sent each day at 10:30am. There are no change to vendor pages, Reuters RIC codes or Bloomberg ticker codes.
For more information on the new methodology visit: asx.com.au/services/benchmark.htm
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Issued by
Monique Bell, Manager, ASX Benchmarks
Contact information
+61 (02) 9227 0208
benchmarks@asx.com.au