October 5, 2022

GPW BENCHMARK COMMUNIQUE
CHANGES IN PUBLICATION OF INTEREST RATE INDICES HISTORICAL DATA

GPW Benchmark informs that the publication of historical data on the WIRON index has been suspended.

• The administrator suspends the publication of the historical data of the WIRON index and the WRR index due to the necessary operational and technological adjustments
• GPW Benchmark will present an analytical supplement to the Consultation Document including an impact assessment of the transaction dataset verification
• Recalculation and re-publication of historical data are necessary due to the impact of data verification and the implementation of additional WIRON index methodology refinements
• GPW Benchmark will make the necessary changes to the presentation of data on the website as soon as possible, including changing the name of WIRD to WIRON. In addition the WIRF index will be removed from the website and no longer will be published by the Administrator

The administrator changed the name of the WIRD index (Warsaw Index for Deposit Market) to WIRON (Warsaw Interest Rate Overnight), as presented in the recent announcement of the Steering Committee of the National Working Group for Interest Rate Benchmark Reform^[1] (NWG). Change of the name does not involve a change in the methodological assumptions and stems not only from a finalization of a methodology development stage but also global practice to reflect  the short-term character of the index and the input data which is the basis for the index’ determination. Due to the data verification and some minor, yet important, refinement in methodology, the impact on the  historical index values has been observed, therefore GPWB Benchmark made a decision on temporary suspension of the publication of historical data of WIRON and WRR indices until all the operational, analytical and technological works regarding data publication and distribution is completed

The index data published on the Administrator’s website so far has been based on the history of transaction data previously provided by banks. In September 2022, the database verification process was carried out by banks providing data in order to ensure the fullest possible adequacy of the information resource available to the Administrator. Verification of transaction data provided by potential contributors resulted from the need to prepare high-quality historical data series of the WIRON index, allowing for analytical efforts including a base for calculation of, inter alia, compensation spread according to the method adopted by NWG. The verification of transaction data together with some refinements in the index methodology affected the historical time series of the index’s value. The full verification process was completed by banks in mid-September 2022. The data verification does not affect the current level of the WIRON index that is currently published as WIRD.

Publication of historical data on transactional indices will be provided as soon as possible and will be accompanied by:

(1) preparation and publication of an analytical supplement to the Consultation Paper and the summary of an impact of revisions of historical transaction data for unsecured deposits on WIRON’s time series;

(2) changes on the website related to the change of the name of the WIRD index to WIRON and the cessation of the publication of the WIRF index;

(3) termination of the usage of the name WIBON for indices for predefined terms in order to simplify the communication and description of these indices following the change of the base index name to WIRON. An index for a predefined term based on compounding for a one month period will be defined as WIRON 1M etc.;

(4) carrying out a historical verification of the calculation method, taking into account all so far defined data filters and other elements of the methodology described in the summary of the Consultation Paper and newly implemented concentration filters defined by the Administrator in order to mitigate some potential risks to index representativeness identified during the work of the National Working Group on the reform of Interest Rate Benchmarks.

GPW Benchmark is continuously working on the above mentioned objectives and  no risk of delays in implementing the assumptions of the Road Map adopted by the Steering Committee of the National Working Group is identified at the moment. At the same time, Administrator informs that operational and technological work is underway to ensure the availability of the WIRON index as well as indices for predefined terms and a compound index among main data vendors. Distributors will not be however allowed to publish information on the WRR index and  related indices until the final verification of the parameters of its methodology and necessary technological adjustments are concluded.