Upcoming change in STIBOR Calculation Methodology Market Adjustment Factor (MAF) data source

The Swedish Financial Benchmark Facility (SFBF) is today announcing a change in the Market Adjustment Factor (MAF) data source used for STIBOR, as a result of the recent evolution of RFR-derived forward-looking Term Reference Rates. 

The MAF data sources used today, SOFR and SONIA futures, will be replaced with ICE Term Reference Rates (TRRs) for SOFR and SONIA. The change is supported by the Panel Banks and the Oversight Committee.  The change of MAF data source is reflected in the updated STIBOR Calculation Methodology document which will come into force on September 19, 2022.

The ongoing review of the STIBOR calculation methodology has indicated that the mirroring of movements on the underlying market can be improved by moving away from the use of SOFR and SONIA futures contracts to the SOFR and SONIA forward looking Term Reference Rates for USD and GBP transactions. These reference rates, ICE TRRs,  have rapidly gained market recognition since their introduction earlier this year. Analysis of the use of ICE TRRs for SOFR and SONIA, in replacement to futures contracts, has proven to be a more dynamic measure for adjusting historical transactions with the application of the MAF.

The change of data source for MAF calculation is a minor amendment and implies no changes for the panel banks nor in any processes by the administrator but is merely a switch in the calculation agent system which generates an automized value for the historical transactions.

For further details please contact SFBF at info@swfbf.se

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The Swedish Financial Benchmark Facility (SFBF) is the administrator responsible for the provision of STIBOR®. To ensure a robust and reliable methodology, SFBF and the independent STIBOR Oversight Committee conduct periodic reviews to consider underlying market dynamics and the usage of STIBOR.