Friday 05 June 2015 by Elizabeth Moran Education (basics)

Calculating BBSW and BBSY

The Bank Bill Swap Rate is an important metric in many markets including the ASX listed and over-the-counter bond markets. It’s used as the floating rate note (FRN) benchmark, as a foundation to determine periodic (most commonly quarterly) interest re-sets on these FRNs. It also shows the market’s expectation of future interest rates

The Australian Financial Markets Association (AFMA) provides independently determined rates, including the Bank Bill Swap Rate (BBSW) that can be used for the revaluation of investments by governments and financial institutions. These rates are collected and published (intra day, end-of-day, end-of-week and/or end-of-month) for the following wholesale over-the-counter financial products:

  • Bank Bill Swap Rates (BBSW)
  • Bank Accepted Bills/Negotiable Certificates of Deposit (BAB/NCD)
  • Live Cash and Repurchase Agreements
  • Swaps
  • Environmental Products Prices


The Australian Financial Markets Association (AFMA) Bank Bill Swap (BBSW) Benchmark Rates represent the midpoint of the nationally observed live and executable best bid and best offer (NBBO) for AFMA Prime Bank Eligible Securities. The NBBO calculation is the average of all good samples of the best bid and best offer, such samples sourced from authorised trading venues and taken at three randomised intervals at and around 10:00am.


  • The average of all good NBBO midpoint samples, rounded to four decimal places, are published at approximately 10:15am on Thomson Reuters page BBSW, and on Bloomberg LLP page ‘AFMB’ as the BBSW benchmark rate, for each tenor.
  • BBSW mid rates are published on the AFMA website on the following Business Day, thus making them available to the general public.
  • Financial news media outlets regularly report on BBSW rates, both in tabular form and in commentary.


  • ‘Bid’ and ‘Ask’ values for each tenor are published at approximately 10:15am on Thomson Reuters page “BBSY” and on Bloomberg LLP page ‘AFRS’ using a set difference respectively of five basis points above and below the BBSW rate.
  • The Bid and Ask values of BBSW as published on page BBSY are used, amongst other things, by market participants to price floating rate loans. Being directly derived from BBSW and where the only difference is the predetermined and non-variable bid/ask spread to BBSW, rates published on BBSY are a familial derivative of BBSW and not a separate benchmark.
  • The ten (10) basis point spread between the Bid and Ask values may not be changed without the express consent of both the AFMA Benchmarks Committee and the AFMA Market Governance Committee, and consideration of any change to this spread must be subject to prior consultation with market participants.

For more information, please see AFMA BBSW A Guide to the Bank Bill Swap (BBSW) Benchmark Rate

To view BBSW on a 24 hour delayed basis please click here .


The contents of this document are copyright. Other than under the Copyright Act 1968 (Cth), no part of it may be reproduced or  distributed to a third party without FIIG’s prior written permission other than to the recipient’s accountants, tax advisors and lawyers for the purpose of the recipient obtaining advice prior to making any investment decision. FIIG asserts all of its intellectual property rights in relation to this document and reserves its rights to prosecute for breaches of those rights.

Certain statements contained in the information may be statements of future expectations and other forward-looking statements. These statements involve subjective judgement and analysis and may be based on third party sources and are subject to significant known and unknown uncertainties, risks and contingencies outside the control of the company which may cause actual results to vary materially from those expressed or implied by these forward looking statements. Forward-looking statements contained in the information regarding past trends or activities should not be taken as a representation that such trends or activities will continue in the future. You should not place undue reliance on forward-looking statements, which speak only as of the date of this report. Opinions expressed are present opinions only and are subject to change without further notice.

No representation or warranty is given as to the accuracy or completeness of the information contained herein. There is no obligation to update, modify or amend the information or to otherwise notify the recipient if information, opinion, projection, forward-looking statement, forecast or estimate set forth herein, changes or subsequently becomes inaccurate.

FIIG shall not have any liability, contingent or otherwise, to any user of the information or to third parties, or any responsibility whatsoever, for the correctness, quality, accuracy, timeliness, pricing, reliability, performance or completeness of the information. In no event will FIIG be liable for any special, indirect, incidental or consequential damages which may be incurred or experienced on account of the user using information even if it has been advised of the possibility of such damages.

FIIG provides general financial product advice only. As a result, this document, and any information or advice, has been provided by FIIG without taking account of your objectives, financial situation and needs. Because of this, you should, before acting on any advice from FIIG, consider the appropriateness of the advice, having regard to your objectives, financial situation and needs. If this document, or any advice, relates to the acquisition, or possible acquisition, of a particular financial product, you should obtain a product disclosure statement relating to the product and consider the statement before making any decision about whether to acquire the product. Neither FIIG, nor any of its directors, authorised representatives, employees, or agents, makes any representation or warranty as to the reliability, accuracy, or completeness, of this document or any advice. Nor do they accept any liability or responsibility arising in any way (including negligence) for errors in, or omissions from, this document or advice. Any reference to credit ratings of companies, entities or financial products must only be relied upon by a ‘wholesale client’ as that term is defined in section 761G of the Corporations Act 2001 (Cth). FIIG strongly recommends that you seek independent accounting, financial, taxation, and legal advice, tailored to your specific objectives, financial situation or needs, prior to making any investment decision. FIIG does not provide tax advice and is not a registered tax agent or tax (financial) advisor, nor are any of FIIG’s staff or authorised representatives. FIIG does not make a market in the securities or products that may be referred to in this document. A copy of FIIG’s current Financial Services Guide is available at

An investment in notes or corporate bonds should not be compared to a bank deposit. Notes and corporate bonds have a greater risk of loss of some or all of an investor’s capital when compared to bank deposits. Past performance of any product described on any communication from FIIG is not a reliable indication of future performance. Forecasts contained in this document are predictive in character and based on assumptions such as a 2.5% p.a. assumed rate of inflation, foreign exchange rates or forward interest rate curves generally available at the time and no reliance should be placed on the accuracy of any forecast information. The actual results may differ substantially from the forecasts and are subject to change without further notice. FIIG is not licensed to provide foreign exchange hedging or deal in foreign exchange contracts services. The information in this document is strictly confidential. If you are not the intended recipient of the information contained in this document, you may not disclose or use the information in any way. No liability is accepted for any unauthorised use of the information contained in this document. FIIG is the owner of the copyright material in this document unless otherwise specified.

The FIIG research analyst certifies that any views expressed in this document accurately reflect their views about the companies and financial products referred to in this document and that their remuneration is not directly or indirectly related to the views of the research analyst. This document is not available for distribution outside Australia and New Zealand and may not be passed on to any third party without the prior written consent of FIIG. FIIG, its directors and employees and related parties may have an interest in the company and any securities issued by the company and earn fees or revenue in relation to dealing in those securities.