Pursuant to Article 23(4) of the BMR¹, Komisja Nadzoru Finansowego (hereinafter: ‘KNF’ or ‘supervisory authority’) has performed its own assessment of the capacity of the WIBOR critical interest rate benchmark to measure the underlying market and economic reality, as referred to in point 3 of the Description of the Reference Rates Method ².

The KNF’s assessment of the capacity of the WIBOR critical interest rate benchmark to measure the underlying market and economic reality included:

1) the analysis of tradability of the input data used to determine the WIBOR interest rate benchmark; 

2) the analysis of representativeness of data from the underlying market and representativeness of the panel of contributor banks in relation to the whole banking sector, and; 

3) the analysis of the capacity of the value of the WIBOR critical interest rate benchmark to respond to the changing economic conditions and liquidity conditions in the banking sector.

Considering the results of the qualitative analysis of the source material and the results of the quantitative analysis of the input data, the supervisory authority has concluded that the WIBOR critical interest rate benchmark has the capacity to measure the underlying  market and economic reality  for which purpose it has been designated. According to the KNF’s assessment, the WIBOR benchmark properly responds to changes of liquidity conditions, the central bank’s interest rates, and economic reality.

In accordance with Article 23(2) of the BMR, the assessment carried out by the KNF was preceded by the submission by GPW Benchmark S.A. of the administrator’s assessment of the capacity of the critical benchmark determined by the administrator to measure a given market or economic reality. The scope of and the period covered by the administrator’s assessment met both the requirements under the BMR and the supervisory expectations of the KNF.

The period assessed by GPW Benchmark S.A. and the KNF covered the two years from 16 December 2020 to 15 December 2022. 

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¹ Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds and amending Directives 2008/48/EC and 2014/17/EU and Regulation (EU) No 596/2014 (OJ L 171, 29.6.2016, p. 1, as amended).

²  Description of the Reference Rates Method constitutes Annex 1 to the Regulations for the WIBID and WIBOR Reference Rates, available on the website of GPW Benchmark S.A. at: https://gpwbenchmark.pl/en-dokumentacja.