The Riksbank to investigate year-end effect in SWESTR
News The Riksbank's work to promote a transition to the transaction-based reference rate SWESTR includes gathering views from potential users in the market. Some comments from market participants have touched on what is commonly known as the ‘year-end effect’. For this reason, the Riksbank will now conduct a survey to enable a more detailed examination.
SWESTR (Swedish krona Short Term Rate) is a reference rate calculated and published by the Riksbank. It is calculated based on transactions in Swedish kronor made in the money market at the shortest maturity, that is, overnight.
The year-end effect is the temporary decline in the SWESTR value on the last business day of the year. The reason for this is that the banks whose transactions form the basis for SWESTR in many cases choose to offer their customers significantly lower overnight deposit rates over the year-end to compensate for the costs of resolution fee and bank tax. In order to better understand how much the year-end effect impacts the willingness to use SWESTR as a reference rate and what possible changes might be appropriate, the Riksbank has put together a survey. The Riksbank is asking for answers to questions such as: what alternatives to the current design of SWESTR may be relevant to remove or reduce the consequences of the year-end effect. The answers will be important for the Riksbank’s continued efforts to promote the use of SWESTR. An anonymised compilation of the responses will be presented on the Riksbank's website and the result will also be discussed at the upcoming Forum for Reference Rates and the Advisory Group for SWESTR.
The Riksbank is inviting relevant market participants and potential users of SWESTR to participate in the survey. Participants in the Forum for Reference Rates and the Advisory Group for SWESTR will receive an email with a link to the survey. Others wishing to participate are asked to email swestr@riksbank.se to have the link sent by email.
If possible, please answer the nine questions based on your own organisation’s overall perspective and feel free to elaborate on your answers where possible. We look forward to receiving your responses by 12 June 2023 at the latest.
For other questions, please email swestr@riksbank.se.