ASX End of Day Bank Accepted Bills (EOD BABs) Calculation Methodology and Definitions

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1 ASX End of Day Bank Accepted Bills (EOD BABs) Calculation Methodology and Definitions EFFECTIVE DATE 1 JANUARY 2017

2 Contacts For general enquiries, please contact: CONTENTS Kristye van de Geer Manager Interest Rate Markets T E Kristye.vandegeer@asx.com.au ASX T E benchmarks@asx.com.au 1. Product Description 3 2. Collection Process and Input 3 3. Calculation Process 4 4. Publication of Data 4 5. Review ASX Limited ABN /5

3 BABs/NCDS - End of Day (EOD) 1. Product Description - Product Definition EOD BABS in tenors of one to six months represent the average midrate yield at approximately 4.30 p.m. (AEDT) daily, for Australian Dollar prime bank bills of exchange and Negotiable Certificates of Deposit, accepted or issued by an approved Prime Bank, as described in the ASX Prime Bank Conventions. Settlement is T+1 Nine and twelve month tenors represent the zero coupon curve based on a strip of relevant ASX 90 Day Bank Bill Futures contract prices. - Product Output For one to six month tenors, the average midrate yield at approximately 4.30 p.m. for Australian Dollar 'prime bank' bills of exchange and Negotiable Certificates of Deposit. For 9 and 12 month tenors, the indicative mid discount rate. - Product Output Frequency - Eligibility Criteria Daily (on good business days) The basis of input for one month to six month tenors is the contributor s estimated midpoint of the market bid and offer in Australian Dollar 'prime bank' bills of exchange and Negotiable Certificates of Deposit. For nine and twelve month tenors the basis of input will be the zero coupon curve based on a strip of relevant ASX 90 Day Bank Bill Futures contract prices. - Product Tenors <1m, 1m,2m,3m,4m,5m,6m, (both early and late pools). 9m,12m (straight rate only) 2. Collection Process and Input - Collection Process Between 4:20pm and 4:40pm (AEDT), contributors provide mid rates per tenor via AFMAData contributor system 2016 ASX Limited ABN /5

4 - Data contributed Each contributor provides mid rates on the basis of early month (1 st to 15 th ) & late month (16 th to EOM) for maturities of less than one, one, two, three, four, five, six months and straight mid rates rates for nine and twelve months maturities. 3. Calculation Process Eliminations procedure and treatment of outliers Provided a minimum of three (and as an exception to the rule, two) and maximum of eight eligible input rates are available for all tenors, and provided such contributions are not deemed to be clearly incorrect (in which case the input, if breaching the 5% variance to other submissions condition, is to be validated with the submitter prior to acceptance) one submission equal to the highest rate and one submission equal to the lowest rate will be eliminated. If greater than 8 contributions are received for all tenors, then sequentially one submission equal to the highest rate and one submission equal to the lowest rate will be eliminated, and the cycle repeated, until 8 remain. - Calculation of output data - average rates Output (rounded to the nearest 3 rd decimal place) represents the average of the contributed rates following the application of the eliminations rule. 4. Publication of Data - Minimum contributions for output publication Output data: individual contributions - Information vendor pages If less than three contributions are received for any tenor, no contributions will be displayed and no average rates will be displayed for that tenor. For each tenor, output data if presented on an individual basis is the same as input data (i.e.; a midrate) rounded to 3 decimal places Thomson Reuters (pages BABSEOD, BABSCONT, BABSHISTL, BABSHISTE) and Bloomberg (pages AFMM11, AFRM2, AFRM3, AFRM4, AFRM5) - Time of publication Approximately 4.50pm AEDT 5. Review - Reviewing Committee ASX BBSW Advisory Committee 2016 ASX Limited ABN /5

5 This is not intended to be financial product advice. To the extent permitted by law, ASX Limited ABN and its related bodies corporate excludes all liability for any loss or damage arising in any way including by way of negligence. Copyright 2017 ASX Limited ABN All rights reserved ASX Limited ABN /5

EODBABs Calculation Methodology

EODBABs Calculation Methodology Methodology 4 th December 2017 Methodology 1/7 Contacts For general enquiries, please contact: T 131 279 E benchmarks@asx.com.au Contents Executive Summary 3 Overview... 3 EODBAB Calculation Methodology