GPW Benchmark publishes benchmark statement for POLSTR index and family of composite indices
The Warsaw Stock Exchange benchmark rate administrator GPW Benchmark has published on its website a benchmark statement for the POLSTR index and family of composite indices. This is the next formal stage in Poland's benchmark reform.
The benchmark statement summarises the most important elements of the methodology used to develop the POLSTR indices, and the most important procedures related to this. The publication of the statement is required by the EU Benchmark Regulation (BMR).
GPW Benchmark, the administrator of interest rate benchmarks in Poland, began developing and publishing the POLSTR Interest Rate Index and the POLSTR Composite Index Family, i.e. POLSTR 1M, POLSTR 3M, POLSTR 6M and POLSTR Single Base Index (cumulative value of investments bearing interest according to POLSTR).
POLSTR was selected by the financial sector in cooperation with financial security institutions associated in Poland's Steering Committee of the National Working Group for the reference rate reform (KS NGR) as the target interest rate benchmark to replace the WIBOR benchmark in the event of its discontinuation.
POLSTR represents the average interest rate weighted by the volume of deposit transactions in PLN concluded at O/N maturity on the wholesale money market.
POLSTR is a Risk Free Rate (RFR) index, close to the risk-free rate. It is based on the wholesale money market, defined as the market for unsecured deposits made by credit institutions and financial institutions.
The value of the index is determined and published on the next business day after the date of the transactions constituting the input data. POLSTR is a 'backward-looking' index, which means that it gradually takes into account the changing economic reality, including changes in the interest rates of Poland's central bank NBP.
POLSTR compound indices reflect the interest rate calculated using the compound interest method, resulting from the compounding of overnight interest rates expressed by POLSTR values at a specific maturity date predefined in advance.
At the time of publication of the benchmark statement, POLSTR indices are not yet used by financial market participants, which means that they do not constitute benchmarks within the meaning of the BMR Regulation.
The head of Poland's banking lobby, who is also the chairman of KS NGR, informed PAP Biznes at the beginning of June that the first use of POLSTR in financial instruments, thanks to which it will officially become a benchmark, will take place much earlier than the planned issuance of treasury bonds at the end of 2025, and it will not be a product aimed at consumers.
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