Process for the publication of SWESTR
The reference rate SWESTR (Swedish krona Short Term Rate) is published on the Riksbank’s website at 11.00 every banking day. The reference rate is calculated on the basis of the previous banking day’s transactions conducted on the Swedish money market. Here follows a description of the process, called the fixing process, from the reporting of transaction data by the reporting agencies to the publication of SWESTR.
Test period for SWESTR
During a test period starting on 27 January 2021 and lasting for approximately six months, a preliminary value for SWESTR will be published every Swedish banking day. SWESTR shall not be used in financial contracts during the test period.
The figure below illustrates what happens during the fixing process. The process is also described in more detail in points 1-5 further down on this page.
From reporting data to publishing SWESTR
Early in the morning, a number of reporting agencies report transaction data to the Riksbank. These are transactions executed on the Swedish money market on the previous banking day. The reporting agencies are those of the Riksbank’s monetary policy counterparties that are the largest and most active on the money market in Swedish krona. The transactions reported undergo automatic and manual controls to ensure data quality. The filters used for these controls are updated on a daily basis. The transactions forming the basis for SWESTR are unsecured transactions in Swedish kronor for the maturity overnight (O/N).
The Riksbank reviews compliance of the transaction dataset with the robustness requirements for SWESTR.
The transaction dataset is divided into four categories of counterparty and is then processed by trimming extreme values. Trimming takes place by 25 per cent per counterparty category, resulting in a calculation dataset.
The following three calculation methods are available for SWESTR:
- The normal calculation method is applied if all robustness requirements have been fulfilled. SWESTR is calculated as a volume-weighted mean rate based on the trimmed calculation dataset.
- The alternative calculation method is applied if any of the robustness requirements are unfulfilled. In this case, SWESTR is based on the day’s transaction dataset plus historic data from the two previous banking days.
- In the event of technical problems making the current day’s transactions unavailable, SWESTR will be calculated using historical data from the two previous banking days alone.
During the test period, SWESTR will be published at 11.00 (CET). The publication of SWESTR, expressed to the third decimal place, also includes the following information (before trimming):
- Number of transactions on which the calculation is based
- Total transaction volume
- Number of reporting agencies
- Calculation method used: normal or alternative
- If appropriate, the reason why the alternative calculation method has been used
The API provided by the Riksbank for SWESTR is the primary source and the reference rate figure published on the Riksbank’s website is taken from this API.
When necessary, a corrected reference rate will be published
If new or amended transaction data is reported to the Riksbank after calculation of SWESTR has been completed for publication at 11.00, the Riksbank will make a new calculation. In this process, the fixing process above restarts from the beginning.
If the deviation between the recalculated value and publication at 11.00 is greater than two basis points, a corrected reference rate will be published at 14.00. The corrected value for SWESTR replaces the published value from 11.00 as the reference rate.
In addition, a revised historic data series will be published regularly with a time lag. This data series is not the official rate, but incorporates any revisions received afterwards (even those that are two basis points or less).
For more information about calculation method, transaction dataset and robustness requirements see Calculation method and transaction dataset for SWESTR.