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

 

  •   14 August 2015
  •      
  •   

 

Leave a Comment:

RELATED ARTICLES

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

The RBA's balancing act

Bonds are copping a bad rap

banner

Most viewed in recent weeks

Want your loved ones to inherit your super? You can’t afford to skip this one step

One in five Australians die before retirement and most have not set up their super properly so their loved ones can benefit from all their hard work and savings. 

Super is catching up, but ageing is a triple-threat

An ageing Australia is shifting the superannuation system’s focus from accumulation to the lifecycle of retirement. While these pressures have been anticipated for decades, they are now converging at scale and driving widespread industry change.

Has Australia wasted the last 30 years?

The 20 years after Peter Costello left Treasury have been deemed wasted...by Peter Costello. The missed opportunities for Australia began long before.  

Indexation implications – key changes to 2026/27 super thresholds

Stay on top of the latest changes to superannuation rates and thresholds for 2026, including increases to transfer balance cap, concessional contributions cap, and non-concessional contributions cap.

The 5% deposit scheme is bad for homeowners and Australia

An ‘affordability’ scheme making the county more vulnerable to economic shocks and contributing to the deteriorating financial situation of everyday Australians.

The refinery problem: A different kind of energy crisis in 2026

The Strait of Hormuz closure due to US-Iran conflict severely disrupted global energy supply chains. While various emergency measures mitigated the crude impact, the refined product market faces unprecedented stress.

Latest Updates

Superannuation

Indexation implications – key changes to 2026/27 super thresholds

Stay on top of the latest changes to superannuation rates and thresholds for 2026, including increases to transfer balance cap, concessional contributions cap, and non-concessional contributions cap.

Economy

Central banks need higher inflation targets

In a shift away from solely targeting low inflation, central banks are considering raising inflation targets to combat economic challenges, but face potential drawbacks and conflicts in policy implementation.

Exchange traded products

The missing 30%: how LIC returns are understated, and why it matters

The perceived underperformance of LICs compared to ETFs is due to existing comparison data excluding crucial information, highlighting the need for proper assessment and transparent reporting.

Latest from Morningstar

Alpha isn’t dead. You’ve just been measuring it wrong

New research shows smarter portfolio construction—not new factors—is the real edge in the hunt for alpha. However, finding it requires a fundamentally different mindset.

Investment strategies

The diversification illusion: why 'balanced' portfolios may be exposed

Many 'diversified' portfolios are increasingly driven by the same narrow set of forces. As concentration builds beneath the surface, understanding how portfolios behave - not just how they’re constructed - is critical for investors.

Investment strategies

The case for staying the course in credit

Rising oil prices and inflation pushed Australian yields higher. Markets expect further tightening, but weaker growth may reverse rates. Locking income and maintaining duration is a sound strategy for widening credit spreads.

Investment strategies

One risk after another

Investors often focus on front-of-mind risks, reacting to each headline event without considering long-term impacts. Cass Sunstein and Timur Kuran define this as an "availability cascade," affecting financial decision-making.

Sponsors

Alliances

© 2026 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.