GPW Benchmark S.A. hereby announces that the Regulations of setting TBSP.Price and TBSP.fixPrice reference rates, which are input data for the calculation of the TBSP.Index, have been amended, according to the announcement published by BondSpot S.A. (here). The amendment referred to in the communication enters into force on 14 January 2022.

The modification of the input data determining method was carried out as a result of methodological consultations between GPW Benchmark S.A. and BondSpot S.A.. Its aim is to ensure the best possible ability of input data to reflect the current situation on the domestic treasury bond market. Changing the TBSP.Price and TBSP.fixPrice reference rates method increases TBSP.Index resilience during periods of limited market liquidity.

The amendment to the Regulations of setting TBSP.Price and TBSP.fixPrice reference rates does not constitute a change in the TBSP.Index method.

Simulation of the TBSP.Index calculated on the basis of input data calculated in accordance with the modified method compared to the actual index in the period from 1.10.2021 to 4.01.2021 is presented in the chart below.

Chart 1. TBSP.Index – comparison; data: proprietary calculations based on simulated TBSP.fixPrice rates as supplied by Bondspot S.A. Period of analysis: 1.10.2021 – 4.01.2021.