Register For Our Mailing List

Register to receive our free weekly newsletter including editorials.

Home / 122

Calculation and use of BBSW and BBSY

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

The Australian Financial Markets Association (AFMA) provides independently determined rates, including 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 products:

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

BBSW

The AFMA 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, is published at approximately 10:15am 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 using a set difference respectively of five basis points above and below the BBSW rate.
  • The Bid and Ask values of BBSW 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 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.

 

Elizabeth Moran is Director of Education and Research at FIIG and is the Editor of FIIG’s weekly newsletter The WIRE.

 

UPDATE

NEW BENCHMARK ADMINISTRATOR

From 1 January 2017, ASX is the administrator for the BBSW benchmark rate.  For more information, please visit http://www.asx.com.au/services/benchmark.htm

LIVE FEED OF BBSW

From 31st July 2017, ASX became the calculation agent for BBSW and End of Day Bank Accepted Bill (EODBAB) rates previously produced by AFMA. Subscribers to the BBSW and EOD BAB service will now receive all rates and communication from ASX Benchmarks.

For 24 hour delayed rates visit: http://www.asx.com.au/prices/asx-benchmark-rates.htm

For more information including rate definitions and calculation methodology please visit: http://www.asx.com.au/services/benchmark.htm

 


 

Leave a Comment:

RELATED ARTICLES

Chris Joye on why stocks and property are set for a poor year

Duration: Friend or foe in a defensive allocation?

Finding the best income-yielding assets

banner

Most viewed in recent weeks

Australian house prices close in on world record

Sydney is set to become the world’s most expensive city for housing over the next 12 months, a new report shows. Our other major cities aren’t far behind unless there are major changes to improve housing affordability.

The case for the $3 million super tax

The Government's proposed tax has copped a lot of flack though I think it's a reasonable approach to improve the long-term sustainability of superannuation and the retirement income system. Here’s why.

Tariffs are a smokescreen to Trump's real endgame

Behind market volatility and tariff threats lies a deeper strategy. Trump’s real goal isn’t trade reform but managing America's massive debts, preserving bond market confidence, and preparing for potential QE.

Meg on SMSFs: Withdrawing assets ahead of the $3m super tax

The super tax has caused an almighty scuffle, but for SMSFs impacted by the proposed tax, a big question remains: what should they do now? Here are ideas for those wanting to withdraw money from their SMSF.

The super tax and the defined benefits scandal

Australia's superannuation inequities date back to poor decisions made by Parliament two decades ago. If super for the wealthy needs resetting, so too does the defined benefits schemes for our public servants.

Getting rich vs staying rich

Strategies to get rich versus stay rich are markedly different. Here is a look at the five main ways to get rich, including through work, business, investing and luck, as well as those that preserve wealth.

Latest Updates

The revolt against Baby Boomer wealth

The $3m super tax could be put down to the Government needing money and the wealthy being easy targets. It’s deeper than that though and this looks at the factors behind the policy and why more taxes on the wealthy are coming.

Superannuation

How to prevent excessive superannuation balances

There is an alternative, simpler approach which could be used to mitigate some of the difficulties that the proposed super tax has for holders of large assets such as properties, businesses and farms in SMSFs.

Shares

US shares: Ambitious multiples on ambitious EPS forecasts

Here's a detailed look at how current valuations and profit forecasts for the S&P 500 stack up versus history. The answer? Both seem excessive, making the market vulnerable to a correction or worse.

Taxation

Family trust tax: When is a loan not a loan?

A recent ruling could change the tax payable by beneficiaries of family trusts. If the ATO has previously demanded extra payments on unpaid present entitlements in your family group, you should watch this space.

Property

Things you must consider before subdividing a property

Subdividing can offer a lucrative first step into property development. Yet it comes with legal, planning and unexpected tax considerations that should be understood from an early stage to avoid surprises.

Investment strategies

5 insights that put market volatility in perspective

Though it may feel like this time is different, markets have shown resilience throughout history when confronted by wars, pandemics and other crises. In many cases, the best course of action has been none at all.

Strategy

Concerns about China's rise to power seem overblown

China has always managed its affairs in a very different way to Western countries and empires. For those concerned about China's rise as a global power, the big question is whether this approach could change.

Sponsors

Alliances

© 2025 Morningstar, Inc. All rights reserved.

Disclaimer
The data, research and opinions provided here are for information purposes; are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. Morningstar, its affiliates, and third-party content providers are not responsible for any investment decisions, damages or losses resulting from, or related to, the data and analyses or their use. To the extent any content is general advice, it has been prepared for clients of Morningstar Australasia Pty Ltd (ABN: 95 090 665 544, AFSL: 240892), without reference to your financial objectives, situation or needs. For more information refer to our Financial Services Guide. You should consider the advice in light of these matters and if applicable, the relevant Product Disclosure Statement before making any decision to invest. Past performance does not necessarily indicate a financial product’s future performance. To obtain advice tailored to your situation, contact a professional financial adviser. Articles are current as at date of publication.
This website contains information and opinions provided by third parties. Inclusion of this information does not necessarily represent Morningstar’s positions, strategies or opinions and should not be considered an endorsement by Morningstar.