BBSW - Revision history

Doug: Layout.

2024-10-05T07:52:58Z

Layout.

← Older revision		Revision as of 07:52, 5 October 2024
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	(LIBOR ended in September 2024.)		''(LIBOR ended in September 2024.)''

Doug: Update for cessation of LIBOR.

2024-10-05T07:51:44Z

Update for cessation of LIBOR.

← Older revision		Revision as of 07:51, 5 October 2024
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	'''BBSW and Interest Rate Benchmark Reform'''		'''BBSW and Interest Rate Benchmark Reform'''

	In response to the weaknesses identified in the setting of financial benchmarks such as the London Interbank Offered Rate (LIBOR), the global regulatory community has, since 2013, been involved in a programme to strengthen financial benchmarks. For Australia, the key interest rate benchmarks were identified as BBSW and AONIA (also known as the “cash rate”) for which reforms were undertaken to enhance their robustness (3). Unlike LIBOR, the local market generates enough transactions to statistically support the BBSW benchmark. This, along with the recent reforms, has meant that BBSW has remained sufficiently robust for Australian regulators to retain BBSW and to promote a “multiple-rate” approach, whereby market participants are expected to choose robust reference rates (e.g., BBSW or AONIA) that best suit each of their products and situations (4).		In response to the weaknesses identified in the setting of financial benchmarks such as the [former] London Interbank Offered Rate (LIBOR), the global regulatory community has, since 2013, been involved in a programme to strengthen financial benchmarks. For Australia, the key interest rate benchmarks were identified as BBSW and AONIA (also known as the “cash rate”) for which reforms were undertaken to enhance their robustness (3). Unlike [the former] LIBOR, the local market generates enough transactions to statistically support the BBSW benchmark. This, along with the recent reforms, has meant that BBSW has remained sufficiently robust for Australian regulators to retain BBSW and to promote a “multiple-rate” approach, whereby market participants are expected to choose robust reference rates (e.g., BBSW or AONIA) that best suit each of their products and situations (4).


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	To promote appropriate use of fallbacks, the RBA will only accept securities referencing BBSW issued after 1 December 2022 as collateral in its domestic market operations if those securities include a fallback that meets its criteria (7).		To promote appropriate use of fallbacks, the RBA will only accept securities referencing BBSW issued after 1 December 2022 as collateral in its domestic market operations if those securities include a fallback that meets its criteria (7).


			(LIBOR ended in September 2024.)


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	* [[International Organization of Securities Commissions]]		* [[International Organization of Securities Commissions]]
	* [[International Swaps and Derivatives Association]] (ISDA)		* [[International Swaps and Derivatives Association]] (ISDA)
	* [[LIBOR]]
	* [[Liquid]]		* [[Liquid]]
	* [[Mid rate]]		* [[Mid rate]]

Doug: Mend link.

2024-07-04T11:22:32Z

Mend link.

← Older revision		Revision as of 11:22, 4 July 2024
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	==See also==		==See also==
	* [[AFMA]]
	* [[AONIA]]		* [[AONIA]]
	* [[ANZ]]		* [[ANZ]]
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	* [[ASX]]		* [[ASX]]
	* [[Australia]]		* [[Australia]]
			* [[Australian Financial Markets Association]]
	* [[Australian Financial Regulation]]		* [[Australian Financial Regulation]]
	* [[Australian Securitisation Forum]] (ASF)		* [[Australian Securitisation Forum]] (ASF)

Doug: Add link.

2024-02-02T04:08:42Z

Add link.

← Older revision		Revision as of 04:08, 2 February 2024
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	* [[Australian Securitisation Forum]] (ASF)		* [[Australian Securitisation Forum]] (ASF)
	* [[Basel III]]		* [[Basel III]]
			* [[Basis point]]
	* [[Benchmark]]		* [[Benchmark]]
	* [[Bid]]		* [[Bid]]
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	* [[Mid rate]]		* [[Mid rate]]
	* [[Migration]]		* [[Migration]]
			* [[Premium]]
	* [[Prime bank]]		* [[Prime bank]]
	* [[Reference rate]]		* [[Reference rate]]

Doug: Layout.

2024-02-01T02:50:06Z

Layout.

← Older revision		Revision as of 02:50, 1 February 2024
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	''Interest rates - reference rates - Australia.''		''Interest rates - reference rates - Australia.''

	'''Authors: [https://www.linkedin.com/in/james-leather-treasury/ James Leather FCT CGMA]''', Corium Treasury Limited & '''[https://www.linkedin.com/in/pieterbierkens/ Pieter Bierkens]''', Ex Head of Interest Benchmark Reform, ~~CBA~~.		'''Authors: [https://www.linkedin.com/in/james-leather-treasury/ James Leather FCT CGMA]''', Corium Treasury Limited & '''[https://www.linkedin.com/in/pieterbierkens/ Pieter Bierkens]''', Ex Head of Interest Benchmark Reform, Commonwealth Bank of Australia.

Doug: Layout.

2024-02-01T02:47:48Z

Layout.

← Older revision		Revision as of 02:47, 1 February 2024
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	''Interest rates - reference rates - Australia.''		''Interest rates - reference rates - Australia.''

	'''Authors: ~~'''~~[https://www.linkedin.com/in/james-leather-treasury/ James Leather FCT CGMA], Corium Treasury Limited & [https://www.linkedin.com/in/pieterbierkens/ Pieter Bierkens]''', Ex Head of Interest Benchmark Reform, CBA.~~'''~~		'''Authors: [https://www.linkedin.com/in/james-leather-treasury/ James Leather FCT CGMA]''', Corium Treasury Limited & '''[https://www.linkedin.com/in/pieterbierkens/ Pieter Bierkens]''', Ex Head of Interest Benchmark Reform, CBA.


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	(8) [https://www.coriumtreasury.com/ Corium Treasury]		(8) [https://www.coriumtreasury.com/ Corium Treasury]

	~~[[Category:Accounting,_tax_and_regulation]]~~
	~~[[Category:The_business_context]]~~

	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]
	[[Category:The_business_context]]		[[Category:The_business_context]]

Doug: Add Pieter Bierkens to authors.

2024-02-01T02:46:55Z

Add Pieter Bierkens to authors.

← Older revision		Revision as of 02:46, 1 February 2024
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	''Interest rates - reference rates - Australia.''		''Interest rates - reference rates - Australia.''

			'''Authors: '''[https://www.linkedin.com/in/james-leather-treasury/ James Leather FCT CGMA], Corium Treasury Limited & [https://www.linkedin.com/in/pieterbierkens/ Pieter Bierkens]''', Ex Head of Interest Benchmark Reform, CBA.'''


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	To promote appropriate use of fallbacks, the RBA will only accept securities referencing BBSW issued after 1 December 2022 as collateral in its domestic market operations if those securities include a fallback that meets its criteria (7).		To promote appropriate use of fallbacks, the RBA will only accept securities referencing BBSW issued after 1 December 2022 as collateral in its domestic market operations if those securities include a fallback that meets its criteria (7).


	~~''(Analysis and summary by James Leather CGMA FCT CertBALM, Corium Treasury - see References below for sources)''~~


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	(8) [https://www.coriumtreasury.com/ Corium Treasury]		(8) [https://www.coriumtreasury.com/ Corium Treasury]

			[[Category:Accounting,_tax_and_regulation]]
			[[Category:The_business_context]]

	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]
	[[Category:The_business_context]]		[[Category:The_business_context]]

Doug: Remove surplus text.

2023-10-02T14:24:52Z

Remove surplus text.

← Older revision		Revision as of 14:24, 2 October 2023
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	See [[BBSW calculation methodology]] for mechanics and evolution (1).		See [[BBSW calculation methodology]] for mechanics and evolution (1).

	As such, BBSW is an interest rate which includes a credit premium representing the market assessment of the premium payable by the Prime Banks relative to a comparable risk-free interest rate (RFR). BBSW is ~~widely~~ used in many financial contracts (mainly lending and interest rate derivative products), for which it will act as the base interest rate, typically before a margin is applied (2).		As such, BBSW is an interest rate which includes a credit premium representing the market assessment of the premium payable by the Prime Banks relative to a comparable risk-free interest rate (RFR). BBSW is used in many financial contracts (mainly lending and interest rate derivative products), for which it will act as the base interest rate, typically before a margin is applied (2).

	The BBSW ‘bid’ and ‘ask’ rates are known as ‘BBSY’ and are +/- 5 basis points to BBSW. BBSY is published on Refinitiv page ‘BBSY’ and on Bloomberg (1).		The BBSW ‘bid’ and ‘ask’ rates are known as ‘BBSY’ and are +/- 5 basis points to BBSW. BBSY is published on Refinitiv page ‘BBSY’ and on Bloomberg (1).

imported>Doug Williamson: Layout.

2022-11-25T16:29:50Z

Layout.

← Older revision		Revision as of 16:29, 25 November 2022
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	However, the RBA has commented that BBSW’s status as a robust benchmark should not be taken for granted (5). It has pointed out that, although growing, the bank bill market from which BBSW rates are derived (see BBSW calculation methodology), is declining both as a share of managed funds’ assets and major banks’ liabilities. This is partly due to the liquidity standards introduced over recent years (e.g. Basel 3), which reduced the value that banks place on short-term wholesale funding (5). This has especially been evident in the 1-month BBSW tenor, with potential users of the rate being advised to give careful consideration to using alternative benchmarks, such as 3-month BBSW or AONIA (the Australian cash rate) (5).		However, the RBA has commented that BBSW’s status as a robust benchmark should not be taken for granted (5). It has pointed out that, although growing, the bank bill market from which BBSW rates are derived (see BBSW calculation methodology), is declining both as a share of managed funds’ assets and major banks’ liabilities. This is partly due to the liquidity standards introduced over recent years (e.g. Basel 3), which reduced the value that banks place on short-term wholesale funding (5). This has especially been evident in the 1-month BBSW tenor, with potential users of the rate being advised to give careful consideration to using alternative benchmarks, such as 3-month BBSW or AONIA (the Australian cash rate) (5).

	In addition, regardless of the robustness of BBSW, there is expected to be a natural migration away from using BBSW in some products, where it might have been used historically, towards AONIA. This applies in particular, to financial products that contain reference to a risk-free rate in another currency~~. because market participants are expected to find that AONIA is a more suitable reference rate to use in these products~~. Such products may include: ~~the~~ cross-currency swaps ~~market~~ (where certain IBORs have been replaced by the respective RFRs); and multi-currency lending facilities and other financial contracts (to align RFR usage across currencies) (6).		In addition, regardless of the robustness of BBSW, there is expected to be a natural migration away from using BBSW in some products, where it might have been used historically, towards AONIA. This applies in particular, to financial products that contain reference to a risk-free rate in another currency. Such products may include: cross-currency swaps (where certain IBORs have been replaced by the respective RFRs); and multi-currency lending facilities and other financial contracts (to align RFR usage across currencies) (6).

imported>Doug Williamson: Add links.

2022-11-23T18:46:05Z

Add links.

← Older revision		Revision as of 18:46, 23 November 2022
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	* [[ASX]]		* [[ASX]]
	* [[Australia]]		* [[Australia]]
	* [[Australian Financial Markets Association]] (AFMA)
	* [[Australian Financial Regulation]]		* [[Australian Financial Regulation]]
	* [[Australian Securitisation Forum]] (ASF)		* [[Australian Securitisation Forum]] (ASF)
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	==References==		==References==

	(1) [https://www2.asx.com.au/content/asx/search.html?q=bbsy ASX Bank ~~Bill Swap (~~BBSW) Conventions and BBSW Methodology - Effective 10th February 2020]		(1) [https://www2.asx.com.au/content/asx/search.html?q=bbsy ASX Bank BBSW Conventions and BBSW Methodology - Effective 10th February 2020]