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ASX releases reporting guidelines for benchmark rate process

ASX Ltd. published the trade and trade reporting guidelines for the new method of calculation of the benchmark Bank Bill Swap Rate.

The BBSW rates are now calculated based on trading of bank paper in the rate set window, with a volume weighted average price calculation methodology, according to the guidelines released Oct. 10.

The calculation relies on market participants trading at outright yields within the rate set window to establish the volume necessary for the volume-weighted average price. Trading in the rate set window must reflect the market participants' genuine business purposes at the time of the rate set window.

Market participants must address conflicts of interest, including in relation to perceived or actual conflicts arising in their trading and reporting activity. Participants must also have in place adequate arrangements for the management of conflicts of interest.

ASX took over as administrator for the benchmark BBSW from Jan. 1. Australian regulators changed the rate process after a global rate rigging scandal. Previously, the BBSW was set using a nationally observed best bid and best offer methodology.

The Reserve Bank of Australia and the Australian Securities and Investments Commission welcomed the new guidelines, with ASIC Commissioner Cathie Armour commenting that the guidelines "will support the market's trust in the robustness and reliability of the BBSW."

ASIC and the RBA expect all bank bill market participants to adhere to the guidelines and support the new methodology.