Sweden's Riksbank publishes annual IOSCO benchmark compliance statement for SWESTR

Sweden's Riksbank has published its annual statement of compliance confirming that its administration of the Swedish krona Short Term Rate (SWESTR) and the SWESTR-based average rates and index follows the applicable and relevant IOSCO Principles for Financial Benchmarks. The document describes how the Riksbank applies each principle across governance, the daily determination and publication process, transparency and accountability arrangements. SWESTR is a transaction-based unsecured overnight SEK rate, produced from mandatory money market transaction reporting by the Riksbank’s monetary policy counterparties and published on a t+1 basis to three decimal places. The normal methodology trims 25% of transaction volume and calculates a volume-weighted mean, subject to robustness requirements of at least SEK 2 billion in total volume, at least three reporting agents and no single reporting agent exceeding a 75% volume share. Where the dataset is insufficient or unavailable, an automatic alternative calculation method uses historical SWESTR values adjusted, where appropriate, for changes in the Riksbank’s policy rate; the Riksbank publishes whether the alternative method was used and why. The SWESTR-based average rates (1 week and 1, 2, 3 and 6 months) and the index (total return since 1 September 2021) are published on a t+0 basis, alongside summary statistics on the SWESTR transaction dataset and a correction process that republishes at 12:00 if late data change SWESTR by more than 0.02 percentage points. The Executive Board has tasked the head of the Markets Department to provide the annual certification, supported by the Monetary Policy Department’s evaluation of the daily production process and the Financial Stability Department’s certification covering the internal oversight function.