Test period for SWESTR
During the first part of 2021, the Riksbank conducted a test period for SWESTR with the aim of testing, evaluating and improving the way SWESTR is run. During the test period, a preliminary value for SWESTR was published each Swedish banking day. The test period concluded when SWESTR could start to be used in financial contracts beginning with value date 1 September 2021.
The test period ran from value date 26 January 2021 and ended on value date 31 August 2021. Hence, preliminary values for SWESTR were published every Swedish banking day from 27 January 2021 to 1 September 2021.
The aim of the test period was to allow both the Riksbank and reporting agencies to test, evaluate and improve SWESTR systems, routines and processes. During the test period, the Riksbank made adjustments to internal systems and routines as a result of lessons learned from these evaluations.
At the conclusion of the test period, preliminary SWESTR values were removed from the Riksbank’s API and the search function. The data from the test period can instead be found in the Excel file in the Related content section below.
Adjusted trimming method
The methodology for SWESTR was also the subject of a review during the test period. This evaluation resulted in a decision to adjust the method of trimming the transaction dataset when calculating SWESTR.
In the methodology for SWESTR adopted in November 2020, the transaction data was processed ahead of the calculation by trimming 25 per cent of the transaction volume within each of the four counterparty categories. These four categories were then added together and SWESTR was calculated as a volume-weighted average of the rates in the trimmed calculation dataset.
In light of the review conducted during the test period and the feedback that was submitted to the Riksbank during the consultation in autumn 2020, the Riksbank decided in June 2021 to cease using the counterparty categories in the calculation of SWESTR. Trimming with 25 per cent is applied on the combined transaction dataset before a volume-weighted average is calculated. The new calculation method has been applied as from the SWESTR value with value date 1 July 2021, which was published 2 July 2021.
Recalculated series for SWESTR
In conjunction with the decision to adjust the trimming method, it was also decided that the Riksbank would publish recalculated values for SWESTR for the period 26 January 2021 to 30 June 2021 inclusive. The purpose is to provide data for SWESTR during the test period that conforms to the design of SWESTR that will apply going forward. This is for instance important for the private sector’s work regarding a fallback mechanism for STIBOR.
Some systemic errors have since emerged in the transaction reported during parts of the early summer. This has affected the transaction dataset on which the preliminary SWESTR values and the recalculation have been based. Although the reason for the erroneous reporting was not within the Riksbank, the Riksbank is also taking measures to reduce the risk of a similar situation occurring again.
The Riksbank has therefore chosen to provide two times series with recalculated values. These can be found in the Excel file in the links below. One of the time series is a pure recalculation of previous SWESTR values and thus reflects the direct effect of changing the trimming method. The other time series is a more accurate representation of where SWESTR should have been determined in the absence of erroneous reporting. Note that this time series also considers other situations where the transaction dataset has been revised retroactively and reflect all known changes as of 8 July 2021.