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Notice
Market participants and BBSW subscribers are advised that a number of BBSW tenors were published between 24 December 2020 and 8 January 2021 showing a calculation methodology of ‘Manual’.
The following table shows the actual calculation methodology used for each tenor that has not been confirmed in a prior market notice:
Publication date: 5 January 2021
Tenor |
Calculation method shown in file |
Actual calculation methodology |
1 month |
Manual |
NBBO |
2 month |
Manual |
NBBO |
3 month |
VWAP |
VWAP |
4 month |
NBBO |
NBBO |
5 month |
NBBO |
NBBO |
6 month |
WLSR |
WLSR |
Publication date: 6 January 2021
Tenor |
Calculation method shown in file |
Actual calculation methodology |
1 month |
Manual |
NBBO |
2 month |
Manual |
NBBO |
3 month |
WLSR |
WLSR |
4 month |
NBBO |
NBBO |
5 month |
WLSR |
WLSR |
6 month |
NBBO |
NBBO |
Publication date: 7 January 2021
Tenor |
Calculation method shown in file |
Actual calculation methodology |
1 month |
Manual |
NBBO |
2 month |
WLSR |
WLSR |
3 month |
WLSR |
WLSR |
4 month |
NBBO |
NBBO |
5 month |
NBBO |
NBBO |
6 month |
WLSR |
WLSR |
Publication date: 8 January 2021
Tenor |
Calculation method shown in file |
Actual calculation methodology |
1 month |
Manual |
NBBO |
2 month |
Manual |
NBBO |
3 month |
WLSR |
WLSR |
4 month |
NBBO |
NBBO |
5 month |
NBBO |
NBBO |
6 month |
NBBO |
NBBO |
Until this issue is resolved, ASX will publish a market notice at the end of each week detailing the actual calculation methodology used for each rate and tenor that week, if any rates were published showing ‘Manual’ calculation. Prior market notices can be found here for 24 December 2020 – 4 January 2021.
What do I need to do by when?
No action required.
Need more information?
Issued by
Luke Flory, Manager, Benchmarks
Contact information
+61 (02) 9227 0577
benchmarks@asx.com.au