Historical estimates of SWESTR

News Today the Riksbank is publishing a data series containing historical estimates of SWESTR. The data series gives an indication of what values for SWESTR would have been recorded historically. It is intended to give the financial markets information both to increase the understanding of SWESTR and support the development of a fallback rate for STIBOR.

The Riksbank is today publishing a data series with estimates for SWESTR for the period 4 January 2016 to 31 August 2021 inclusive. This data series gives an indication of what SWESTR would have been if the transaction-based reference rate had been available during this period. The proxy reflects the calculation method and selection of transactions that the Riksbank is currently using to produce SWESTR daily. However, there are some differences in the quality checks of the transaction data. The Riksbank is also publishing an information document containing more details about the data series and the conditions for its use.

A working group under the Swedish Bankers’ Association is currently working on a recommendation for a fallback rate for STIBOR, which will be based on SWESTR. The Riksbank and Finansinspektionen are participating as observers in the working group. In order to reduce the risk of value transfer between contractual parties in connection with the transition from STIBOR to the replacement rate, this shall contain a component that captures the spread between STIBOR and SWESTR. The spread shall be calculated according to international standards based on five years of history of SWESTR in this case. The Riksbank has therefore assisted the working group in producing a historical data series of SWESTR in order to enable calculation of this spread.

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Updated 15/11/2021