The Steering Committee of the National Working Group (NWG SC) appointed in connection with the benchmark reform, at its meetings on 21 November 2024 and 6 December 2024, held a discussion and decided to select the proposed index marked with technical name WIRF– and based on unsecured deposits of Credit Institutions and Financial Institutions as the ultimate interest rate benchmark to replace the WIBOR benchmark. The administrator of WIRF– as defined in the Benchmark Regulation (BMR) will be GPW Benchmark S.A., a company registered with the European Securities and Markets Authority (ESMA). Thus, the NWG SC has reviewed and modified its previous decision to select WIRON (originally: WIRD)¹ based on the grounds stated below and mentioned in previous communications from the NWG.

The selection of the proposed index had been preceded by the review and analysis of risk-free rate (RFR) alternatives to WIBOR, a process that had begun on 29 March 2024. The purpose of the process was to review the decision of the NWG SC made in September 2022 based on a wider scope of analysis and market data in the fast changing macroeconomic environment of the Polish economy. The process involved further internal analyses carried out by the institutions engaged in the NWG SC’s work, including Komisja Nadzoru Finansowego, Narodowy Bank Polski and GPW Benchmark S.A., and two rounds of public consultations with all stakeholders, including financial market participants, held from 24 May to 1 July 2024 (the first round) and from 4 to 31 October 2024 (the additional round).

The additional round of consultations evaluated four proposed WIRF indices: 

• WIRF, i.e. a proposed index whose input data characterise unsecured deposits made by Credit Institutions, Financial Institutions, and Other Financial Institutions (hereinafter: Eligible Transactions Pool), 
• WIRF+, i.e. a proposed index for which input data concur with the Eligible Transactions Pool increased by the deposits of public institutions², 
• WIRF–, i.e. a proposed index for which input data describe the Eligible Transactions Pool reduced by the deposits of Other Financial Institutions,
• WIRF+/–, i.e. a proposed index for which input data characterise the Eligible Transactions Pool increased by the deposits of public institutions and reduced by the deposits of Other Financial Institutions.

The consultation paper for the additional round of public consultations, prepared with the assistance of GPW Benchmark S.A., had been published together with appendices in the NWG domain on the KNF website. The feedback had been sent to GPW Benchmark S.A.³ 

The NWG SC had considered the feedback from the additional consultation round as well as a cumulative assessment of the quantitative and qualitative features of each proposed index, including: 

• temporal volatility and its link to the changes in the NBP interest rates and the changes in market conditions;
• the potential to be used in a wide range of contracts and financial instruments;
• the information pool related to the number and volume of transactions;
• the risk that the ultimate index will not be determined on particular days;
• publication of the ultimate index on a date that responds to the needs of the financial market;
• possibility of creating interest rate term structure. 

A detailed list of the assessment criteria applied by the NWG SC can be found in the Appendix.

The decision of the NWG SC was consistent with the prevailing opinions of market participants expressed during the additional round of public consultations.

In support of the high ratings for the proposed WIRF– index, the participants in the public consultations had indicated mainly the homogeneity of the eligible transactions pool, relatively low volatility of the proposed index and the highest probability of creating an active derivatives market for such ultimate index and as a result interest rate term structure. It had also been noted that the proposed WIRF– index was characterised by the lowest volume, but still adequate, of eligible transactions pool.

The next step for the NWG SC will be to update the Roadmap as part of the current schedule of activities aimed at replacing the WIBOR benchmark with the ultimate WIRF– benchmark, whose final name is to be chosen in the course of further work.

The NWG SC is also planning to review and update, in the near future, the NWG’s recommendations issued so far, in particular the standards for the application of a new RFR benchmark in new banking, leasing and factoring products and financial instruments, as well as the standards for voluntary conversion for legacy portfolio of contracts and financial instruments that use the WIBOR benchmark.

WIRF– is ultimately to become the key interest rate benchmark as defined in the BMR which can be applied in financial contracts (e.g. credit agreements), financial instruments (e.g. debt securities or derivatives) and by investment funds (e.g. to determine the asset management fees). 

The activities of the National Working Group led by the Steering Committee aim to ensure the reliability, transparency and accuracy in the process of determining and applying the new interest rate benchmark. 

The following members of the NWG SC participated in the decision on the selection of a proposed index to ultimately replace the WIBOR benchmark:

• Tadeusz Białek – President of the Management Board of the Polish Bank Association – Chair of the NWG SC, 
• Marcin Gadomski – Member of the Management Board of Bank Pekao S.A. – Deputy Chair of the NWG SC,
• Artur Soboń – Member of the Management Board of Narodowy Bank Polski – Member of the NWG SC, 
• Jurand Drop – Undersecretary of State at the Ministry of Finance – Member of the NWG SC,
• Marcin Mikołajczyk – Deputy Chair of Komisja Nadzoru Finansowego – Member of the NWG SC, 
• Grzegorz Owczarek – Director of the Resolution Planning Department, Bank Guarantee Fund – Member of the NWG SC.

The NWG SC selected the proposed WIRF– index.

As agreed by the NWG SC, due to her role of representing the Administrator,

• Aleksandra Bluj – Vice-President of the Management Board of GPW Benchmark S.A. – Deputy Chair of the NWG SC 

did not participate in the decision. 

At the same time, the NWG SC recognised that further work was needed to develop the market of repurchase transactions and a potential WRR-type index as a measure for that market, so that such index can be used as an alternative to WIRF–, which is to replace the WIBOR benchmark.

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¹https://www.knf.gov.pl/en/news?articleId=79464&p_id=19
²PPD 3.1.9 – fixed-rate deposit transactions in PLN concluded with the Social Insurance Institution (ZUS), Social Insurance Fund (FUS), Demographic Reserve Fund (FRD), and Bridging Pension Fund (FEP).
³https://www.knf.gov.pl/en/?articleId=90831&p_id=19