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Notice
ASX Benchmarks has published a Consultation Paper on proposed enhancements to the transaction layer of the BBSW methodology with the objective of increasing the frequency with which BBSW rates are calculated under the primary layer of the waterfall, while also ensuring the quality of the rate.
The BBSW methodology enhancements consultation paper is available on the ASX website.
The proposed enhancements to the BBSW calculation methodology outlined in the Consultation Paper are to:
- Widen the maturity pool for the 2- to 6-month tenors from +/- 5 Business Days to +/- 10 Business Days and to introduce an asymmetric maturity pool for the 1-month tenor of -5/+10 Business Days
- Lower the volume threshold for the 1-, 3- and 6-month tenors from $200m to $100m
- Introduce a weighted Least Squares Regression (LSR) methodology to complement the existing VWAP methodology
- Progress to the NBBO layer of the BBSW waterfall under specific circumstances
Section 2.2.3 of the ASIC Benchmark (Administration) Rules 2018 (ASIC Rules) requires ASX as the Benchmark Administrator to design a methodology that ensures the quality, integrity, availability, reliability and credibility of the financial benchmark.
ASX is requesting feedback on the proposed BBSW methodology enhancements by the 27th August 2020. ASX will issue a BBSW Market Notice in September 2020 to advise market participants and BBSW subscribers of the results of the consultation and communicate next steps.
What do I need to do by when?
Market participants are encouraged to provide feedback on the proposed change to ASXBPricing@asx.com.au by 27th August 2020.
Need more information?
Issued by
Luke Flory
Benchmark Manager