Test period for SWESTR

Since January 2021, the Riksbank has been conducting 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 is published each Swedish banking day. The test period will conclude when SWESTR can be used in financial contracts at the end of the summer.

The test period began on value date 26 January 2021 and ends on value date 31 August 2021. Hence, preliminary values for SWESTR will be published every Swedish banking day from 27 January 2021 to 1 September 2021.

The aim of the test period is to allow both the Riksbank and reporting agencies to test, evaluate and improve SWESTR systems, routines and processes. During the test period, the Riksbank has made adjustments to internal systems and routines as a result of these evaluations.

Adjusted method of trimming

The methodology for SWESTR has also been 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 decided in November 2020, the transaction data was processed ahead of the calculation by trimming 25 per cent of the transaction volume within each of four counterparty categories. These four categories were then added up and SWESTR was calculated as a volume-weighted average of the interest 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 during autumn 2020, the Riksbank decided to cease using the counterparty categories in the calculation of SWESTR. Trimming with 25 per cent will henceforth be applied on the combined transaction dataset before a volume-weighted average is calculated. The new calculation method will be applied from SWESTR with value date 1 July 2021, which will be published 2 July 2021.

Recalculated series för SWESTR

In conjunction with the decision to adjust the method of trimming, it was also decided that the Riksbank would provide recalculated values for SWESTR for the period 26 January 2021 to 30 June 2021. 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.

It has since come to attention that there have been certain systemic errors in the reported transaction during parts of the early summer, which has affected the transaction dataset on which the preliminary SWESTR values and the recalculation have been based. The cause of the error was not within the Riksbank.

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 reflect the direct effect of changing the trimming method. The other time series is a more accurate representation of where SWESTR would have been determined in the absence of the 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. The Excel file also contains the previously published values for SWESTR for ease of comparability. The valued contained in the Riksbank’s API and search function will not be changed.

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Updated 12/07/2021