GPW Benchmark S.A. Communiqué

GPW Benchmark S.A. (the Administrator) presents the Summary of findings of the Cyclical Review of the Method for Determining the WIBID and WIBOR Reference Rates, including the Waterfall Method and the mandatory assessment of their ability to measure relevant market or economic reality.

• The WIBOR, a critical interest rate benchmark in Poland, has the capacity to measure the underlying market of unsecured interbank deposit, according to the intended purpose of measurement defined in the Regulations for the WIBID and WIBOR Reference Rates¹.
• The Administrator has conducted analyses of the Input Data, i.e. the Committed Quotes and the Model Quotes, transaction data for the Underlying Market, the Related Markets as well as other segments of the money market to evaluate the size of transactional set and assess the situation on the money market over the analysed period.
• As a result of the declining use of WIBOR for the 1Y Fixing Tenor in financial contracts and instruments, the Administrator will consult on when to safely cease provision of Reference Rates for that Fixing Tenor.
• As a result of the review of the Key Elements of the Method, the Administrator decides to elevate the binding nature of the Committed Quotes to one of the Key Elements of the Method.

The Administrator states that the quantitative and qualitative analyses confirm the direct and indirect impact of market, economic, systemic and political factors affecting the functioning of the domestic money market and financial market, on the Input Data contributed by the Fixing Participants. The assessment confirms that similar economic, market, policy and systemic factors affected other money market segments during the period under analysis. It is further indicated that the WIBOR, which aims to measure the market for unsecured interbank deposits, has effectively reflected the economic realities in the unsecured interbank deposits segment, including the impact of changes in economic realities on the domestic money market and changes in NBP monetary policy parameters.

In accordance with the applicable procedures, the Administrator conducted mandatory accompanying reviews - as a result of the review of the Key Elements of the Method, the binding nature of the Committed Quotes (as provided for in Article 11(2)(a) of the Benchmarks Regulation and para.1(c) of Annex I to the Regulation) is elevated to the status of a Key Element of the Method.

The Administrator shall shortly introduce the necessary adjustments to the WIBID and WIBOR Reference Rates documentation resulting from the review, related to the change of the Key Elements of the Method and certain elements of the Method for Determining of the Reference Rates, which will strengthen the rules for verifying the ability of data contributors to transact in the interbank market, as well as will specify elements of the internal control system related to the abovementioned change.

Considering the results of its own assessment and the supervisory authority's position, the Administrator, due to limited scope of use of the WIBOR for Fixing Tenor 1Y and additionally taking consideration the lowest Transactionality Level assigned to this Fixing Tenor, is going to launch public consultations related to the determination of the date appropriate for safe cessation of the provision of the 1Y WIBID and WIBOR Reference Rates.

Summary of findings of the Cyclical Review of the Method for Determining the WIBID and WIBOR Reference Rates² is available at Administrator’s website.