Consultation on changes to 1 month BBSW VWAP methodology

What's this about:
  • Benchmark Rates
  • Trading
  • Clearing
  • Settlement
  • Product
  • Operations
  • Compliance
  • Interest Rate Futures
  • OTC Cleared
  • BBSW
  • BBSY
  • Benchmark
  • Administrator
  • VWAP
  • 1 month BBSW
Notice reference number: 0160.19.03
Date published: 05/03/19
Effective as of: 20/03/19
Last updated: 05/03/19

As the Administrator of BBSW, ASX must use a methodology that is designed to ensure the quality, integrity, availability and credibility of the benchmark. A number of regulatory changes have impacted the market that underpins the 1 month BBSW tenor.  As a result, the variability in 1 month transactions (particularly in terms of maturity) is greater than the other BBSW tenors. This can have the effect of increasing the volatility in the 1 month rate formed using the Volume Weighted Average Price (VWAP) methodology. 

To improve the stability of the 1 month rate, ASX is proposing an interim solution to narrow the rolling maturity pool for the 1 month tenor only from +/- 5 Business Days to +/- 3 Business Days.

The rolling maturity pool will remain unchanged for all other BBSW tenors. Prime Banks would be required to quote and deliver Bank Paper that falls within +/-3 Business Days of the straight run maturity date for the purpose of contributing to the 1 month NBBO calculation. 

In order to implement a timely solution to improve the stability of the 1 month rate, ASX is requesting market participant feedback on the change to the 1 month VWAP methodology by 15th March 2019. The target implementation date is 20th March 2019. Confirmation of the change and implementation date will be sent by the 18th March 2019.  The consultation paper can be accessed here.

ASX will continue to work closely with the BBSW Advisory Committee on a longer term solution to further enhance the methodology to increase transactional tenor formation whilst ensuring the stability of the rate.


What do I need to do by when?

Market participants are encouraged to provide feedback on the proposed change to by 15th March 2019.

Need more information?

Issued by

Monique Bell, Benchmark Manager

Contact information

+61 (02)  9227 0208