MARKET DEFINITIONS
The purpose of 'BBSW' is to provide independent & transparent reference rates for the pricing and revaluation of Australian Dollar derivatives and securities.
The definition for 'BBSW' is the rate for a reset date will be the average mid rate, for Australian Dollar bills of exchange, accepted by an approved bank, having a tenor with a designated maturity, that appears on an approved information vendors service (eg. Thomson Reuters Screen BBSW page) at approximately 10.08am AEST, on the reset date.
The AFMA BBSW Committee is responsible for the overall management of the BBSW reference rate, rates directly related to the BBSW reference rate, the procedure for the production of the BBSW reference rate and the resolution of any disputes among AFMA members involving the BBSW and directly related rates.
PDF Download [Filesize: 166.44kb]The purpose of Bank Accepted Bill / Negotiable Certificates of Deposit ('BAB/NCD') end-of-day (EOD) Reference Rates provide independent & transparent reference rates for the pricing and revaluation of an organisation's Australian Dollar denominated short-term securities portfolios & short-term interest rate risk positions.
The definition for 'BABSEOD' Reference Rates for a reset date will be the average mid rate at approximately 4.30 p.m. Sydney time, for Australian Dollar 'prime bank' bills of exchange, accepted by an approved 'prime bank', having a tenor of designated maturities out to 1 year. Reference Rates input are provided on a business day in Sydney.
PDF Download [Filesize: 81.75kb]ELIGIBLE ISSUES
Government & Semi-Government Bonds
'End-of-day' reference rates are calculated for "benchmark" Government Bonds with maturities greater than six (6) months at time of issue. Government Bonds reference rates are provided for bonds issues by: Commonwealth of Australia; New South Wales Treasury Corporation; Treasury Corporation of Victoria; Queensland Treasury Corporation; Western Australia Treasury Corporation; South Australian Government Financing Authority; Tasmanian Public Finance Corporation; and the Northern Territory Treasury Corporation and where at least three Contributing Price Makers ("Price Maker") are willing to provide regular AFMAdata Government Bond Reference Rates for the relevant Issue. Corporate Bonds
End-of-day' reference rates are calculated for "benchmark" Corporate Bonds (including Mortgage Backed Securities) that are defined as Australian Dollar denominated fixed term debt securities that are primarily cleared through Austraclear and where:
- they are issued by a bank, corporate or other non-government entity, acceptable to the AFMA Debt Capital Markets ("DCM") Committee;
- the Issue has a minimum face value greater than AUD 100 million outstanding;
- the Issue has more than twelve (12) months to run to maturity at time of issue; and
- at least three Contributing Price Makers are willing to provide regular Reference Rates
Note: End-of-day reference rates are also calculated for all "benchmark" Floating Rate Note (FRN) issues.
CONTRIBUTING FINANCIAL INSTITUTIONS:
Contributing 'price makers' are recommended and approved, from time to time, by the AFMA DCM Committee.
Current Contributing Price Makers:
- Australian & New Zealand Banking Group Limited
- Citigroup Global Markets
- Commonwealth Bank of Australia
- Deutsche Bank AG
- Macquarie Bank Limited
- National Australia Bank Limited
- Royal Bank of Canada
- Royal Bank of Scotland
- Societe Generale, Australia
- TD Securities
- Westpac Banking Corporation
COLLECTION
Contributing Price Makers electronically submit to the calculation agent their closing Mid Yield Reference Rate or their Exchange For Physical ("EFP") spreads between 4:30pm and 5:30pm (AEST) each day.
CALCULATION
Average mid yields for individual Issues are submitted (via Microsoft Excel spreadsheet) by contributing price markers. All bond reference rates are calculated using standard deviation methodology (all contributions lying more than "1" standard deviation from the mean are excluded from the calculated yield).
If less than three (3) Price Makers provide reference rates then an asterix (*) will be inserted.
If no reference rates are received then it will result in no display for that day.
Yields are calculated to three decimal places and are rounded to the nearest half basis point.
SCREEN DISPLAY
Display of Bond Reference Rates on AFMAdata pages are in ascending order of maturity and for each Issue includes issuer name, amount outstanding, fixed or floating coupon, maturity, price (mid-yield or trading margin).
Calculated Bond Reference Rates will be published on the AFMAdata pages, via the information vendors: Bloomberg; Reuters and MoneyLine Telerate by no later than by 5.50pm (AEST) on the day to which they apply.
CONFIDENTIALITY
All Prices are submitted by Contributing Price Makers on the basis that they will not be disclosed to any party other than AFMA or the calculation agent. AFMA will monitor all prices quoted to ensure they are reasonable and consistent over time. A "no name" report on the performance of Contributing Price Makers will be considered by the Debt Securities & DCM Committees from time to time. If in the opinion of those Committees there is any significant irregularity in rates that are submitted, AFMA will consult with the relevant Contributing Price Maker and if the irregularity continues the relevant Contributing Price Maker may be removed by AFMA from the pricing process.
Australian Dollar (AUD) / United States of America (USD) end-of-day (EOD) Foreign Exchange Forward Swap Reference Points provide independent & transparent reference points/rates for the pricing and revaluation of an organisation’s Forward Foreign Exchange AUD/USD short and medium term 'forward book' risk positions.
The definition for 'AUD/USD Forward Points' is the interest rate differential between Australian & United States of America interest rates for a given period expressed as foreign exchange "forward swap" points.
The definition for 'AUD/USD Forward FX EOD Reference Points' for a reset date will be the average 'mid point' for each period at approximately 4.30 p.m. Sydney time.
PDF Download [Filesize: 80.05kb]AFMAdata Interest Rate Options reference pricing for Caps & Swaptions are based on mid prices quoted by the Contributing Banks listed below and provides independent & transparent end-of-day (EOD) reference rates for revaluation of an organisation’s Australian Dollar IRO risk positions.
CALCULATION
Interest Rate Options (Caps & Swaptions) EOD reference mid prices for each period will be provided daily by the contributing financial organisations to enable mid prices for all periods to be calculated.
Contributed EOD IRO mid prices received will have an elimination process applied, with the highest and lowest prices eliminated. The remaining eligible mid prices for each period will be then averaged and rounded to the nearest 2 (two) basis points to produce AFMA ‘IRO’ EOD reference mid prices.
If 5 or less contributions are received, the EOD reference mid prices will be calculated with no elimination process being undertaken. The screen will also display an ‘ * ’ to denote that the required number of contributions were not received for that particular day.
If less than 3 contributions are received no EOD reference mid price will be published for that day.
Contributed Cap prices are displayed on page IROPEOD on a row-by-row basis across all tenors and will not necessarily belong to the same contributor.
Caps:
Cap mid prices are produced at EOD for various tenors on the following basis:
- 1, 2, 3, 4, 5, 7 and 10 year
Indicative strike prices are displayed and are sourced from the AFMAdata IRSWEOD process and displayed with the Cap mid prices.
Swaptions:
Swaption mid 'straddle' prices are produced at EOD for various tenors on the following basis:
- 1 month / 1 year, 1 month / 3 year, 1 month / 5 year, 1 month / 10 years
- 3 months / 1 year, 3 months / 3 year, 3 months / 5 year, 3 month / 10 year
- 6 months / 1 year, 6 months / 3 year, 6 months / 5 year, 3 month / 10 year
- 1 year / 1 year, 1 year / 3 year, 1 year / 5 year, 1 year / 10 year
- 2 year / 1 year, 2 year / 3 year, 2 year / 5 year, 2 year / 10 year
- 5 year / 5 year
BASIS
Start date is 'Spot', meaning settlement tomorrow. Indicative strike prices for Caps are published as a guide only and are all on a quarterly basis.
Sydney business days are weekdays (Monday to Friday) other than NSW public holidays. For further detail on AFMA "business day" conventions, please refer to the AFMA web site http://www.afma.com.au/ or see specific OTC Financial Product Conventions under the same section.
REVALUATION
Price contributions are provided for each tenor as at 4.30 p.m. Sydney time to reflect each panellist's view of EOD mid prices as defined above. Prices are provided on a Sydney business day and must be updated between 4.30p.m. and 4.40p.m. for inclusion in AFMAdata EOD IRO & Swaption process.
AVAILABILITY
Calculated AFMAdata IRO EOD reference mid prices will be available to all participating vendors and contributing financial institutions, no later than 5.00 p.m. on a Sydney Business Day.
CONTRIBUTING BANKS
- Australian & New Zealand Banking Group Limited
- Citibank Limited
- Commonwealth Bank of Australia
- Deutsche Bank AG
- HSBC Bank of Australia
- JP Morgan Chase
- Macquarie Bank Limited
- National Australia Bank Limited
- Royal Bank of Scotland
- SG Australia Limited
- Westpac Banking Corporation
| 1.1 Caps | 1 year | 2 years | 3 years | 4 years | 5 years | 7 years | 10 years |
| 1 year | Mid Price: | Mid Price: | Mid Price: | Mid Price: | Mid Price: | Mid Price: | Mid Price: |
| Indicative Strike (sourced from IRSWEOD) | Strike: | Strike: | Strike: | Strike: | Strike: | Strike: | Strike: |
| 1.1 Swaption | 1 month | 3 month | 6 month | 1 year | 2 years | 5 years |
| 1 year | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | |
| 3 year | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | |
| 5 year | Mid 'Straddle' Price: | |||||
| 10 year | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: | Mid 'Straddle' Price: |
AFMA Swap reference rates are based on 'mid' swap spreads against AUD bond futures prices/rates quoted by contributing banks at 10.00 a.m. and 4.45 p.m. daily and are displayed on all approved information vendor systems.
CALCULATION
10.00a.m. Swaps Fixing
The 'mid' swap spread rates provided by the contributing financial institutions (listed below) are added/subtracted to/from the SFE3 year bond futures contract "last traded" price (2-6 yr swaps) and SFE10 year futures contract "last traded" price for (7-15 yr swaps) as at 10.00 a.m. Sydney time, for the 10.00 a.m. reference rates setting. A Yield rate is also given by contribution financial institutions for a 1 year maturity swap.
Contingency procedures in the event of unavailable SFE pricing data
Should for any reason the underlying SFE bond futures contract pricing data be unavailability for sampling at 10.00a.m., then AFMAdata will undertake a manual calculation of a 'proxy' SFE 3 year and 10 year bond futures contract price at or around 10.00 a.m. Sydney time, for the 10.00 a.m. swaps reference rates setting.
AFMAdata will ring the contributing banks listed below and obtain an indicative SFE 3 year and 10 year bond futures contract price. From these prices an elimination process will be undertaken to eliminate, the highest and lowest rates for each individual tenor until a minimum of six mid-rates remain. The arithmetic average of those remaining mid-rates will then be used as 'proxy' for SFE 3 year and 10 year bond futures contract prices in the normal swaps 10.00 a.m. reference rate fixing process.
Given that the Australian Bureau of Statistics (ABS) releases critical economic data at 11.30a.m., any contingency rate fixing arrangements should be completed by 11.00am at the latest.
EOD Price Swaps Fixing
Likewise, the same methodology applies for the end-of-day (EOD) reference rates with the 'mid' swap spread rates applied to the closing SFE prices for the 3 & 10 bond contracts to generate the EOD Swap reference rate settings to produce a yield "MID" swap rate. The two highest and two lowest rates are then eliminated for each maturity. A spread is then applied to produce BID/MID/OFFER swaps rates. A Yield rate is also given by contribution financial institutions for a 1 year maturity swap.
Ineligible Contributions
Contributor rates that are ineligible for inclusion in the SWAPS calculation process include those that:
- Fail to update by the end of 10.10a.m. Sydney time; or
- Fail to update all MID rates for each instrument; or
- The use of special characters and alphabetic characters (will only accept numerical values and a decimal point is required for the 1year yield rate value)
Elimination & Averaging Procedure
The calculation mechanism uses the mid rates for all input rates. From these mid-rates an elimination process will eliminate, the highest and lowest rates for each individual tenor until a maximum of eight mid-rates remain.
These contributions will then be displayed on page IRSW10AM for 10:00am fixing and IRSWEOD for End of Day fixing.
Note
- If between five and eight eligible input rates are available for any tenor only those contributions will be displayed on IRSW10AM for that tenor.
- If less than five eligible input rates are available for any tenor, no contributions will be displayed and no average rates will be displayed for that tenor.
Rates displayed on page IRSW10AM/IRSWEOD on a row by row basis across all tenors will not necessarily belong to the same contributor.
Before calculating the SWAP rates, the highest and lowest mid-rates are eliminated. The average of the remaining mid-rates will be calculated to three decimal places for each tenor and displayed under the eligible contributor rates on pages IRSW10AM & IRSWEOD respectively.
The 'average' mid Swaps rates for each tenor are then calculated to 3 decimal places rounded to the nearest ½ basis point.
Refer to the diagram below:
BID/OFFER SPREADS
AFMA Swaps Committee has agreed that the following spreads will be applied to the swap 'mid' prices for the purpose of creating BID/OFFER swap revaluations:
- 1 & 2 years – 6 basis points;
- 3, 4, 5 years – 8 basis points;
- 7 & 10 years – 10 basis points; and
- 15 years – 14 basis points.
These spreads are subject to annual review by the AFMA Swaps Committee
CONTRIBUTING BANKS
- Australian & New Zealand Banking Group Limited
- Bank of Scotland (formerly HBOS)
- BNP Paribas
- Commonwealth Bank of Australia
- Citibank Limited
- Deutsche Bank AG
- J.P. Morgan Chase Bank
- Lloyds TSB Australia
- Macquarie Bank Limited
- National Australia Bank Limited
- Royal Bank of Scotland
- Societe Generale, Australia Limited
- Toronto Dominion Bank
- UBS Australia Limited
- Westpac Banking Corporation
DEFINITION
Where the contributor assesses the mid rate in the market at around 3:30pm (EST) for a flat 10MW fixed electricity swap. The rates are independent of the contributor’s open position and there is no adjustment for credit.
COLLECTION
The forward price processes are overseen by the AFMA Committee which can approve additional contributors at any time.
Prices are emailed to electricity@afmadata.com.au and electricity@afma.com.au by 5:00 pm on each Sydney Business Day.
A quorum is four (4) contributors for NSW, VIC and QLD. At AFMA's discretion, the curve for a state may not be published if there are fewer than 4 contributors for NSW, Vic or QLD.
Contributors are to provide prices for the next:
- Four (4) quarters
- Next three (3) full financial years
- Next three (3) full calendar years
for all or some of the 3 states.
CALCULATION METHODOLOGY
For each state/period, the mean and standard deviation of all contributed rates are calculated. Prices more than one standard deviation above or below that mean are eliminated as outliers.
The mean and standard deviation of the remaining rates is then calculated and shown in the output table along with the number accepted. As well, except for the first day of a quarter, the change in the mean from the most recent calculation day is shown.
AVAILABILITY
- Calculated data is emailed to AFMAdata Electricity subscribers as an Excel spreadsheet ("EOD yyyy mm dd FINAL")
- All XML record and page data is published to the information vendors as per the Market timetable
AFMA aims to make this data available no later than 5:30pm.
