GPW Benchmark Publishes Summary Of Consultations Over RFR Indices Methodology And Reviews Its Methodology

• Administrator changes parameters of methodology for preliminary indices WIRD, WIRF and WRR following the consultation process
• GPW Benchmark commences publication of compound index and indices for predefined periods for WIRD, WIRF and WRR

GPW Benchmark informs that some parameters of the methodology for preliminary indices WIRD, WIRF and WRR for O/N maturity has been changed as a result of public consultation process and additional analysis and consultations held within the national working group for the reform of benchmarks¹:

Newly introduced parameters are:

• Maximum transaction volume threshold for a single transaction, with an option of overwriting an actual transaction volume with threshold’s level in case of exceeding it
• Minimum number of contributors required for index to be determined as a factor that prevents determination of an index in case of extremely low representativeness Minimum total daily volume of an index as a parameter that mitigates representativeness loss in case of setting of an index based on low transaction volume on a given day

Modified parameters:

• Rounding precision for an ON index (change from 4 to 3 decimal places)
• Fallback procedure as a replacement procedure used in case of insufficient input data making an index determination impossible with a standard procedure
• filter for outliers – calculated based on an algorithm referring to the daily median of interest rates

Detailed descriptions of indexes methods are available on GPW Benchmark website https://gpwbenchmark.pl/indices-details. They are effective for all ON indices from publication date of Aug 1^st, i.e. Jul 29^th as an index date.

Moreover on Aug 1^st GPWB starts publication of compound index and indices for predefined periods based on WIRD, WIRF and WRR available on https://gpwbenchmark.pl/index-data-and-statistics. Reviewed determination principles and description of the methodology for term indices will be provided in an English version of Summary of Public Consultations² available on GPW Benchmark - Papers and Analysis. Those indices will be published at 1.30 pm.

Historical values for indices will also be modified and made available on the website https://gpwbenchmark.pl/index-data-and-statistics. Due to finalization of a verification process of transaction data for unsecured deposits for 2019, historical values for WIRF and WIRD and time series for compound indices as well as indices for predefined periods based on them, will be presented starting from Jan 2nd 2019.

For WRR and compound indices as well as indices for predefined periods based on it, historical values will also include time series starting from Jan 2nd 2019, but all the analysis and results shall be deemed as test values. Final historical values for those indices will be available on the website after verification of transaction data for secured transaction and adjustments of the calculation system to a modified matching rules related to the need of taking into account centrally cleared repo transactions concluded on Bondspot trading venue.