ASX BBSW calculation guidelines

By David Jacobson Since 1 January 2017, ASX has been the Bank Bill Swap (BBSW) rate administrator. In early 2018, ASX will introduce a new BBSW calculation methodology based on actual transactions in Bank Bills (Bills) and Negotiable Certificates of Deposit (NCDs) including a new Volume Weighted Average Price (VWAP) methodology. Background.
In support of the new methodology, ASX has developed the BBSW Trade and Trade Reporting Guidelines.
The guidelines are designed to provide clarity to participants on market practices to be followed when trading Bills and NCDs, to define trade reporting for the purpose of calculating a BBSW rate based on actual transactions and …read more

Source:: Bright Law

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