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Notice
Market participants are advised that ASX intends to go live with the new BBSW Volume Weighted Average Price (VWAP) methodology on 23rd April 2018.
An industry wide parallel run will take place from 26th March 2018 – 20th April 2018. Market participants should submit eligible trade reports in accordance with the BBSW Trade and Trade Reporting Guidelines (BBSW Guidelines) from this time. Trade reports submitted during the parallel run will be used by ASX to calculate VWAP BBSW rates and the results will be published on the benchmarks page 1 week in arrears. During this period, BBSW will continue to publish each day at 10:15am under the current NBBO calculation mechanism.
At the successful completion of the parallel run, ASX will begin calculation and publication of BBSW each day at 10:30am using the VWAP methodology. The target date for commencement of the new methodology is 23 April 2018. ASX will confirm the go live date one week prior.
For more information on the new methodology and implementation timeline visit: asx.com.au/services/benchmark.htm
What do I need to do by when?
There will be no change to BBSW subscriber emails, vendor pages, Reuters RIC codes or Bloomberg ticker codes. Bank bill market participants should ensure their compliance policies and procedures are up to date and in alignment with the BBSW Guidelines prior to 23rd March 2018.
Need more information?
Issued by
Monique Bell, Manager, ASX Benchmarks