What is Realised AONIA?

Realised AONIA is a backward looking rate based on the observed RBA Interbank Overnight Cash Rate (also known as AONIA) compounded daily over the relevant period in accordance with the ASX calculation methodology. Realised AONIA reflects the rate at which overnight unsecured funds are transacted in the Australian interbank cash market over prior periods covering 1 month through to 6 months.

Rationale

In recent years, the reform and resilience of global interest rate benchmarks has been a key focus of the G20 and the Financial Stability Board. Regulatory and legal bodies have been working with market participants on the development and adoption of alternative benchmarks to move the market away from the traditional Interbank Offered Rates (IBOR’s) by the end of 2021. In Australia, the ASX has worked closely with market participants and the regulators on the reform of BBSW to ensure the rate is governed and calculated in accordance with global best practice principles. While BBSW remains a key Australian interest rate benchmark, the development of alternative rates in offshore markets has implications for the Australian market and users of BBSW.

Overnight risk free or close to risk free rates (RFRs) are considered a robust alternative to the IBORs, given the size and liquidity of the overnight market. Regulatory bodies are also encouraging the use of RFRs where a rate including a bank credit spread may not be appropriate. As a result, a number of new overnight RFRs have been developed or are in in the process of being developed offshore.

As the Administrator of BBSW, ASX is well positioned to leverage its existing capabilities and governance framework to provide market participants with additional reference rates. In line with offshore developments, ASX will begin calculation and publication of Realised AONIA rates from 27^th May 2019.

ASX is also working with market participants on the development of a secured funding rate to begin publication in late 2019/ early 2020. More information on the secured funding rate will be available in due course.

How to access Realised AONIA rates

Existing BBSW subscribers will receive Realised AONIA rates via email from 27th May 2019. Fees will initially be waived for existing BBSW subscribers. This waiver applies for internal use only and excludes vendor platforms. Subscribers wishing to reference Realised AONIA in contractual documentation or create product over Realised AONIA can contact the ASX market data team (marketdata.admin@asx.com.au) for information on a subscription package.

Two years of historical Realised AONIA data will be made available to BBSW subscribers upon request. To request access to the historical rates contact benchmarks@asx.com.au.

What do I need to do by when?

Market participants interested in the use of risk free reference rates are encouraged to use the Realised AONIA (live and historical) rates to assess potential system limitations in handling backward looking rates and any enhancements required to accommodate such rates.

Need more information?

Issued by

Monique Bell, Benchmark Manager

Contact information

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

Disclaimer