KNF przeprowadziła ocenę zdolności wskaźnika referencyjnego stopy procentowej WIBOR do pomiaru rynku oraz realiów gospodarczych

The Polish Financial Supervision Authority (KNF) has published a press statement to inform of a recent evaluation of the WIBOR benchmark in accurately measuring the market and economic conditions. This assessment was carried out in accordance with Article 23, Section 4 of the BMR Regulation and covered a two-year period, spanning from December 16, 2020, to December 15, 2022 which allowed for a comprehensive examination of the index’s performance over an extended period of time. The key objective of the evaluation was to determine the reliability of the benchmark. The KNF thereby looked at various aspects:
(1) First, it examined the „transactionality“ of the input data used to calculate the index. This involved scrutinizing the data sources and assessing whether they accurately reflected market activity related to the WIBOR benchmark.
(2) Additionally, the KNF analyzed the representativeness of the data obtained from the core market and the panel of banks that contributed input data for the entire banking sector. The KNF thereby sought to ensure that the data provided a comprehensive and representative picture of the market conditions and accurately captured the behavior of relevant financial institutions.
(3) At last, the KNF investigated the responsiveness of the WIBOR index to changes in economic and liquidity conditions within the banking sector. This entailed studying the index’s reaction to fluctuations in central bank rates and evaluating how it reflected changes in liquidity conditions.
Based on the qualitative analysis of the source materials and the quantitative analysis of the input data, the KNF concluded that the WIBOR reference index effectively measures the intended market and economic conditions for which it was established. Furthermore, the KNF determined that the index appropriately responds to changes in liquidity conditions, central bank rates, and broader economic factors.
It’s worth noting that the assessment conducted by the KNF was preceded by an evaluation performed by GPW Benchmark SA, the administrator of the WIBOR index itself. GPW Benchmark SA’s assessment met both the regulatory requirements outlined in the BMR Regulation and the expectations set by the KNF and came to the same conclusion.