October 28, 2022

GPW BENCHMARK COMMUNIQUE
INTRODUCTION OF NEW POLISH TREASURY BOND INDICES

GPW Benchmark decided to create Treasury Bond Index Family, which includes TBSP.Index and 5 new fixed income indices including bond portfolios of different maturity dates:

• The indices included in a Treasury Bond Index Family reflect the realities and trends in the wholesale market for fixed-rate and zero-coupon bonds organized by BondSpot.
• Each of the indices takes into account changes in the reference rates of treasury bonds in its composition, the value of accrued interest and income from the reinvestment of interest coupons (income-type indices).
• Publication of the indices will start on November 28, 2022.

The introduced set of indices better reflects of short-, mid-and long term investment horizon in a Treasury bond segment. The new indices will provide an additional tool for a comparative analysis regarding treasury bonds in Poland. The offer is an Administrator response to the needs and requests coming from financial market participants. The set of indices shall contribute to an expansion of investment instruments using standardised indices of Treasury Bondspot Poland.

The input data used in new treasury bond indices calculation method are TBSP reference rates, being already used in the TBSP.Index method. TBSP reference rates are easily available data published on BondSpot website https://www.bondspot.pl/tbsp_reference_prices.

Detailed information on the final method and the initial parameters for the newly introduced indices shall be found in the Rules for Treasury Bond Index Family. The rules shall become effective on November 28, 2022. On that date the TBSP.Index are repealed and TBSP.Index becomes effectively one of the Treasury Bond Index Family indices.

The offer of treasury bond indices from November 28, 2022

* the TBSP.Index method remains unchanged

Publication of the above mentioned indices will start on November 28, 2022.