Warsaw, 5 January 2024
Communique of GPW Benchmark
On the discontinuation of WIRON Compound Index
GPW Benchmark as a licensed interest rate benchmarks administrator informs that it will discontinue provision of WIRON Compound Index as of 11 January 2024. The current WIRON Compound Index starting date is set as of 2 January 2019.
The decision on the discontinuation of WIRON Compound Index is due to the analysis of the impact of verification and update of WIRON input data historical database on the historical WIRON Compound Index1 taking into account the index’s characteristic and the starting date of the Index.
The update of the transactions database reflects errors in representation of economic reality, which the index aims to measure that is limited to a specific period of time. Nevertheless in the case of WIRON Compound Index it permanently records the impact of errors occurred in a specific period of time for the future trajectory of the Index. The value of the WIRON Compound Index determined on the basis of historical input data will be thus permanently different from the value that would have been calculated on the basis of updated database of input data for the past period in which errors impacted the value of the index as well as for the future provision of the index. To the contrary, the values of WIRON and WIRON Compound Rates does reflect only the current measurement of the reference period.
In order to avoid any uncertainty regarding the nature of the impact of the errors in representation the historical changes in the money market by WIRON Compound Index, the Administrator considers as justified the discontinuation of the Index with the starting date of the Index defined as 2 January 2019. The Administrator underlines that its decision tends to avoid legal and communicative concerns in the context where there is no widespread knowledge about the different kinds of benchmarks based on the compounding and its characteristics. In this regard, the Administrator decision is also motivated by the educational reasons.
At the same time, it was critical for the Administrator, to adapt the offer of index products in the context of inability to conduct the complete disclosure of the impact of the updated input data database for 2019-20 by the contributors due to the operational reasons. The inability to determine precisely the overall effect of the updated input data on WIRON Compound Index, was considered as a significant reason to discontinue the Index in conformity with the Procedure of review and changes of the methods of the Interest Rate Benchmarks.
The date on which WIRON Compound Index will no longer be provided as of 11 January 2024 was accepted by the Oversight Committee as well as the communication without delay of that information to the public.
The Administrator will take the urgent steps to start the provision of WIRON Compound Index with a new starting date. The characteristics of the Index will remain unchanged. The correction of errors and data revision will have effect on deviation of trajectory of the compound indices from the simulation of indices based on updated data. Nevertheless the administrators expects that in the light of the introduction of more transparent rules for the update of data according to the FINREP Instruction and the external audits conducted in 2023 under new legal regime, the harmonization of reporting requirements was done and this fact will considerably limit the errors un the reporting.
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1 According to p. 3.3.1 of the Rules of WIRON Indices Family as Input Data for determining the WIRON Compound Indices, the Administrator uses the WIRON values, determined and distributed in real time in accordance with the Rules of WIRON Interest Rate Index. The Revision Data Report for the 4Q 2023 presents correction of the errors in the input data and its impact on WIRON.