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:
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- Bank Bill Swap Rates (BBSW)
- Bank Accepted Bills/Negotiable Certificates of Deposit (BAB/NCD)
- Live Cash and Repurchase Agreements
- Swaps
- Environmental Products Prices
SWAP Rate
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.
BBSW
- 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.
BBSY
- ‘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.