Notice

Confirmation of change to 1 month BBSW VWAP methodology

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Notice reference number: 0202.19.03
Date published: 18/03/19
Effective as of: 25/03/19
Last updated: 18/03/19

ASX recently published a consultation paper inviting market participants to provide feedback on interim changes to the 1 month BBSW VWAP methodology. To improve the stability of the rate, the consultation proposed narrowing the rolling maturity pool for the 1 month tenor only from +/- 5 Business Days to +/- 3 Business Days.

In order to implement a timely solution, feedback was requested by 15th March 2019. Based on the feedback received from market participants the above change will be implemented effective 25th March 2019.

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?

From the 25th March 2019, Prime Banks are required to quote and deliver Bank Paper that falls within +/- 3 Business Days of the 1 month straight run maturity date for the purpose of contributing to the NBBO calculation.

Need more information?

Issued by

Monique Bell, Benchmark manager

Contact information

+61 (02)  9227 0208
benchmarks@asx.com.au

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