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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


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.


  • ‘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.




From 1 January 2017, ASX is the administrator for the BBSW benchmark rate.  For more information, please visit


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:

For more information including rate definitions and calculation methodology please visit:



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