Notice

ASX to take over Calculation of BBSW and EOD BAB rates

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Notice reference number: 0779.17.07
Date published: 25/07/17
Effective as of: 31/07/17
Last updated: 25/07/17

Please be advised that effective 31st July 2017, ASX will take over the calculation of the Bank Bill Swap rate (BBSW) and End of Day Bank Accepted Bill (EODBAB) rates from AFMA. ASX became the administrator for BBSW and EODBAB’s on 1st January 2017.

The current BBSW calculation methodology will remain unchanged at this date.

As of 31st July 2017 EODBAB’s will move to a new methodology. The rate will now be calculated to 4 decimal places, in line with BBSW; and will be based on an algorithm rather than contributions. ASX is taking a phased in approach to the calculation of EODBAB’s with the initial phase being 100% algorithmic. The national best bid best offer (NBBO) methodology will be added in the second half of 2017.

What do I need to do by when?

No action is required. Subscribers please be sure notify ASX if you do not receive rates from 31st July 2017. All rates will be sent from benchmarks@asx.com.au.

Need more information?

Issued by

Monique Bell, Manager, ASX Benchmarks

Contact information

Monique Bell
+61 (02)  9227 0208
monique.bell@asx.com.au

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