Does anyone know the relationship between BBSW and BBSY rate? I can find the current BBSW rate, but how do I get the BBSY rate? Benchmark Rates Thanks.
BBSW is the alpha code used by Financial Markets dealers for screen trading and data sharing by "money market dealers" and was used since the 1980s. It stands for Bank Bill Swap Rate. The BBSW rate indicator is a rate that is published based on a specific time each day (10:15am) and calculated daily based on INTERBANK and major bank parcels of 90 days bank bills that meet the definition. In 2017 AFMA surrendured control to ASX (explanation follows). It is a mid point rate based on parcels of bills that is quoted by "prime banks" incl the big 4. BBSY is a lesser derivative of the same 90 day bank bill but is independent of BBSW. Why ? Because many banks tried to rort the setting of the BBSW rate. Many of those banks have faced court and financial penalties with some banks cleared. The newer BBSW mechanism looks at trades in a longer period with more participants. The settlement included transfer of rate setting to ASX Limited from the Australian Financial Markets Assn (AFMA). ASX Limited manage the BBSY process and it comprises a broader panel for a like market. The rate is a transparent algorithm and uses an average rate. The Bank Bills do not need to be prime A1+ rated. eg a second tier ank etc but do include them. A example of the difference is in the bank bills used for reference. A $5m parcel of bank bills could be used in BBSY where BBSW would be based on a Big 4 bank issue of a parcel of $10m. A further difference is BBSY includes third tier merchant banks and other dealers. Many lenders also reference BBSY "bid" as a reference rate for loans. Most loans will have a "PLUS XX.XX% margin) applied so that BBSW/BBSY are a reference rate only. The difference is often limited to a few basis points (higher for BBSY) BSW Waterfall Stage 1. Volume Weighted Average Price (VWAP) is based on actual transactions in eligible securities that occur during the rate set window of 8:40:00 am to 10:00:00 am Stage 2. National Best Bid and Offer (NBBO) - The current methodology, which uses live exectutable bids and offers to calculate BBSW, will operate only if Stage 1 fails to form BBSW Stage 3. Algorithmic calculation - this would draw on relevant market pricing information that is available only in the circumstance where both Stage 1 and Stage 2 fail to form BBSW BBSY ‘Bid’ and ‘Ask’ values for each BBSW tenor are published on Thomson Reuters page ‘BBSY’ and on Bloomberg LLP page ‘ASX29’ using a set difference respectively of five basis points above and below the BBSW rate. The Bid and Ask values of BBSW as published on these pages 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 and ASX29 are a familial derivative of BBSW and not a separate benchmark. The ten (10) basis point spread between the Bid and Ask values may not be changed without the express consent of ASX, and consideration of any change to this spread must be subject to prior consultation with the Committee and market participants.
