Financial markets in general have been highly volatile during 2022 which coincides with the implementation of the transaction-based calculation methodology and this market volatility has been reflected in a more volatile STIBOR.
Since the beginning of 2022 STIBOR has been calculated under a revised calculation methodology that is anchored in real transactions to the greatest extent possible and designed to reflect the underlying market. On 30 September 2022 it was the first time that Panel Banks had to consider two factors that have an impact upon turn of year 3M STIBOR values. One was the impact of a new Swedish bank tax and the other the resolution fund fee that apply to liabilities held over the end of the year i.e.. with a maturity date in 2023. Both of these factors are scenarios under which Panel Banks are permitted to adjust their Bid/Offer spread as a component of their contributed input data due to ‘Balance-sheet considerations’.
Following publication, the 3months and 6 months tenors were re-determined and republished as erroneous STIBOR data was discovered. The re-calculation using the corrected data exceeded thresholds for the tenors per the post publication and re-determination policy and thus resulted in a re-determination and re-publication. SFBF released a communication as soon as a re-determination was identified. At all times the SFBF followed the prescribed procedures.
SFBF constantly monitors STIBOR values and analyses input data, the behaviour of contributors and the performance of the calculation methodology.
Details on the STIBOR calculation methodology can be found here.