Benchmarks

General Information on Reference Benchmarks

Reference benchmarks play an important role in international financial markets and are commonly used in financial transactions, such as loans, deposits, derivatives, bonds, and structured products. Reference benchmarks (e.g., EURIBOR, WIBOR) constitute a variable element in financial transactions, based on which, for example, the amount due for payment or other parameters related to the execution of the transaction are determined.

An important legal act regulating the development of reference benchmarks, the provision of data for their development, the use of benchmarks in contracts and financial instruments, as well as appropriate supervision, is Regulation (EU) 2016/1011 of the European Parliament and of the Council 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, as amended (the "BMR Regulation"). The BMR Regulation applies directly in Poland in its entirety from January 1, 2018. The Regulation introduces a common framework to ensure the accuracy and integrity of indices used in the European Union as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds. The Regulation aims to ensure the proper functioning of the internal market while providing a high level of consumer and investor protection. The BMR Regulation, subject to a few exceptions, applies only to critical benchmarks, significant benchmarks, EU Climate Transition Benchmarks, and EU Paris-aligned Benchmarks. This means that not all reference benchmarks used by contracting parties are subject to the legal regime of the BMR Regulation.

In agreements with its clients and in financial instruments, depending on the currency of the product, the Bank uses various interest rate reference benchmarks, such as WIBOR, EURIBOR, SARON, and SOFR. In the case of using a variable interest rate in an agreement or financial instrument, an increase in the value of the reference benchmark affects, for example, the increase of the interest portion of the loan installment, causing an increase in the total cost of the loan, or the amount due under the financial instrument. The values of reference benchmarks are determined independently of the Bank by the administrators developing these benchmarks according to a specific methodology and, as a rule, under the supervision of the competent supervisory authorities.

A reference benchmark determined on a given day by the entity developing it (the administrator) is published in accordance with the rules specified in the documentation applicable to such benchmark. The register of administrators of reference benchmarks and benchmarks authorized for use under the BMR Regulation is maintained by the European Securities and Markets Authority (ESMA).

The administrator of a reference benchmark defines the methodology for determining the value of the reference benchmark. The value of a reference benchmark is the value obtained as a result of measuring its underlying market (a certain economic reality, the measurement of which is the objective of the given reference benchmark). Depending on the economic situation, this value may be more or less susceptible to change. The administrator is obliged to select the methodology for developing the reference benchmark in such a way that it complies with legal regulations, in particular, that the measurement of the underlying market is as accurate and reliable as possible, and that the data used to make such measurement are of appropriately high quality. The administrator is obliged to review the adopted method of developing the reference benchmark in terms of the adequacy of this method to measure the underlying market, the adaptation of the method to the changing economic reality, compliance with legal regulations, and the requirements of supervisory authorities. In connection with the above, the methodology for developing a reference benchmark may be subject to changes, which may cause a change in the value of the given reference benchmark. Depending on the legal regime applicable to a given reference benchmark, a change in methodology may be mandatorily preceded by public announcements from the administrator and a published consultation document, and the entire process may be supervised by the competent supervisory authority.

Bearing in mind the volatility of the benchmark's value, it should be emphasized that by entering into an agreement or acquiring a financial instrument that references a reference benchmark, the client or investor accepts the volatility of the benchmark, including changes in the benchmark's value resulting from market changes or changes in the methodology of developing the given reference benchmark, including any material change in the methodology.

The interest rate of the agreement or the payment resulting from the acquisition of a financial instrument is subject to review in accordance with the contractual interest rate period (e.g., the interest rate period for WIBOR 3M lasts 3 months). On the day the interest rate is determined for the next interest period, the Bank will use the currently applicable benchmark published in accordance with the rules established by the administrator of that benchmark to calculate the interest.

Risks Associated with the Use of Reference Benchmarks

Below we present the primary risks that must be taken into account when entering into agreements or acquiring financial instruments referring to a reference benchmark:

• Some reference benchmarks, including their methodology, may be subject to changes (including material changes) introduced by the administrator of the given reference benchmark for regulatory or business reasons;
• The administrator of a given reference benchmark may decide to temporarily or permanently cease developing the benchmark;
• The competent authority may revoke the administrator's authorization to develop the given benchmark;
• Reference benchmarks may cease to be representative of a given market or economic reality due to the cessation of the provision of relevant input data by contributors providing data necessary to develop the given reference benchmark, or reference benchmarks may lose appropriate reliability to measure the given underlying market;
• Reference benchmarks may cease to be published or developed in part or in whole, or with respect to a specific tenor or a specific currency, and appropriate alternative benchmarks may not be designated;
• There may be a justified need to amend financial contracts or financial instruments by referencing risk-free rates.

Additional Description of Individual Types of Risk:

Risk of the administrator changing the method of developing the reference benchmark

The entity developing a given reference benchmark on the basis of its authorization is entitled, as part of its business activities, to introduce changes to the method of developing the reference benchmark in the manner specified in the reference benchmark documentation published by the administrator on its website. In accordance with the general information customarily published by the administrator regarding the process of changing the method of developing the reference benchmark, making such a change by the administrator is usually preceded by a public consultation process, in which the administrator will define the scope of the proposed change and its justification. The justification for making a change in the method of developing the reference benchmark for the administrator may be, for example, the need to adapt the method of developing the reference benchmark to the requirements of the BMR Regulation, guidelines of the supervisory authority, or recommendations of the oversight body. The consequence of the administrator making a change in the method of developing the reference benchmark may be a change in its value. An increase or decrease in the value of the reference benchmark as a result of the change made by the administrator in the method of its development may affect the value of mutual benefits between you and the Bank in connection with the concluded agreement or the valuation of the financial product you hold.

Risk of the administrator permanently or temporarily ceasing to develop the reference benchmark

The entity developing the reference benchmark as part of its business activities is entitled to permanently cease developing the reference benchmark in the manner specified in the reference benchmark documentation published by the administrator on its website, subject to the powers of supervisory authorities in this regard resulting from Articles 21 and 23 of the BMR Regulation. The administrator may decide to cease developing the reference benchmark, in particular, for business reasons (a non-economic factor) or due to the administrator's determination that the data used by the administrator to develop the reference benchmark are not representative of the market or economic reality that the reference benchmark is intended to measure. The process of ceasing to develop the reference benchmark is preceded by a public consultation process usually lasting several months, in which the administrator will specify the date from which it intends to cease developing the reference benchmark. Additionally, the method of developing the reference benchmark customarily indicates that there are circumstances in which, on a given day, the administrator may not be able to determine the value of the reference benchmark, for example, if the administrator does not receive a sufficient amount of data necessary to determine the value of the reference benchmark on that day. The consequence of the permanent or temporary cessation of the development of the reference benchmark by the administrator may be the inability of the Bank to use the reference benchmark to determine the value of mutual benefits resulting from the agreement concluded between the Bank and you. In such a situation, the provisions of the agreement between you and the Bank will apply.

Risk of cessation of development of a given benchmark in whole or in part with respect to a given benchmark and the lack of designation of an alternative benchmark

The entity developing the reference benchmark as part of its business activities is entitled to permanently cease developing the reference benchmark in the manner specified in the reference benchmark documentation published by the administrator on its website. It is also possible to cease development in part, i.e., with respect to a specific interest period (tenor) or a specific currency. In such a case, the administrator will announce that, as of a specific date, it will cease publishing the reference benchmark, e.g., for the 6M tenor or for a specific currency (e.g., Pound Sterling).

Risk of revocation of the administrator's authorization to develop a given reference benchmark

The entity developing a given reference benchmark may conduct its activities on the basis of an authorization obtained in the course of appropriate administrative proceedings conducted by the supervisory authority, the subject of which is to assess whether the given entity meets the conditions referred to in the BMR Regulation. In the cases indicated in Article 35 of the BMR Regulation, the supervisory authority may revoke the authorization granted to the administrator, which will result in deletion from the relevant register of administrators. Such a situation may occur, for example, if a given administrator has ceased to meet the conditions on the basis of which it obtained this authorization. In such a case, the given benchmark may no longer be used in agreements and financial instruments. In the case of benchmarks developed by entities from third countries (e.g., the United Kingdom), a similar effect to the revocation of authorization will be the revocation of the administrator's registration by the European Securities and Markets Authority (ESMA), as referred to in Article 31 of the BMR Regulation.

Risk of lack of representativeness of a given reference benchmark with respect to a given market or economic reality that the given benchmark is intended to measure

The administrator's internal procedures define the rules for the cyclical review of the method for determining a given reference benchmark. If, as part of the review, it is determined that the benchmark does not reflect the market or economic reality that the benchmark is intended to measure, it is possible that the administrator will decide to change the method or cease developing the given reference benchmark. The consequences of changing the method of developing the reference benchmark and ceasing its development are indicated above.

Reform of Reference Benchmarks

Since 2014, a global discussion on the reform of reference benchmarks has been ongoing. The reforms carried out have resulted, among other things, in decisions to reform benchmarks and gradually phase out LIBOR benchmarks, as well as phase out the EONIA benchmark and replace them with new benchmarks, the so-called RFRs (Risk-Free Rates) ("RFR Benchmarks").

RFR Benchmarks are generally calculated on the basis of actual transactions in the interbank market or with other counterparties. They are overnight rates, calculated daily, and then adjusted to specific tenors (periods such as 3M, 6M) using an appropriate method. Consequently, they are not identical in their design and application to previous interest rate reference benchmarks. Most importantly, they are determined at or before the start of the period to which they relate, which provides certainty regarding the amounts due calculated at the end of that period.

Below are examples illustrating the differences in the design of both solutions – RFR Benchmarks and term reference benchmarks, e.g., WIBOR, EURIBOR:

• A term benchmark is determined by reference to future and uncertain values of deposit interest rates, whereas RFR Benchmarks are determined based on historical values (embedded in the past);
• A term benchmark is a term interest rate for multiple periods (tenors) such as 3M, 6M, 12M, whereas RFR Benchmarks are exclusively overnight (O/N) rates without a term element;
• A term benchmark includes a bank credit risk premium and a term liquidity risk premium. In contrast, RFR Benchmarks, as a rule, contain a very small additional premium or none at all, thanks to the overnight interest rate structure and the fact that they are often secured.

Due to the daily calculation structure of RFR Benchmarks (overnight interest), it may be necessary to adapt them to agreements and instruments in which a term benchmark for a tenor (period) of, e.g., 3M or 6M was used. For this reason, term RFR Benchmarks, so-called "compounded rates," are additionally developed, which allow the use of RFR Benchmarks to determine interest rates for longer interest periods ("Term RFR Benchmark(s)").

The aforementioned Term RFR Benchmarks, such as the "SARON 3 months Compound Rate," are calculated based on the daily values of the underlying RFR Benchmark – in this example, the SARON benchmark. The administrator calculating such a Term RFR Benchmark takes into account a certain publication period of the RFR Benchmark (e.g., SARON) that corresponds to the interest period (for "SARON 3 months Compound Rate," this will be three months), and then determines the observation period of such RFR Benchmark. The observation period does not have to coincide with the interest period for which the Term RFR Benchmark will be used – thanks to this, the final value of the Term RFR Benchmark will be known before the end of the interest period. The observation period of the underlying benchmark may start, for example, a few days before the start of the interest period for which it will apply. Consequently, the value of the Term RFR "compounded rate" benchmark that will apply to that interest period will be known the same number of days in advance. Administrators use various mathematical formulas and equations to calculate Term RFR Benchmarks; however, the purpose of this is to ensure a comprehensive replacement of term rates with RFR Benchmarks. Thanks to the adjustment applied, the economic effect of the replacement with an RFR benchmark should not differ from the effect obtained when using term reference benchmarks.

Information on Individual Reference Benchmarks

1. WIBID and WIBOR

WIBOR is a critical interest rate reference benchmark within the meaning of the BMR Regulation, developed as of the date of this information by GPW Benchmark S.A. (the administrator). WIBOR and WIBID are developed according to a method independently defined by GPW Benchmark S.A. under the supervision of the Polish Financial Supervision Authority (KNF). Details regarding WIBOR and WIBID, including a description of the method of their development and procedures for receiving and handling complaints regarding the process of their determination, can be found on the administrator's official website: https://www.gpwbenchmark.pl/
1.1. Reform of WIBOR and WIBID Benchmarks
In Poland, a reform of reference benchmarks has been underway since mid-2022, under which the so-called National Working Group on reference benchmark reform (NGR) commenced its work. The NGR consists of, among others, representatives of the Polish Financial Supervision Authority (UKNF), the National Bank of Poland (NBP), the Ministry of Finance, the Bank Guarantee Fund (BFG), the Warsaw Stock Exchange (GPW), the National Depository for Securities (KDPW), Bank Gospodarstwa Krajowego (BGK), GPW Benchmark S.A., as well as representatives of banks, investment funds, insurance companies, and industry organizations representing financial market entities. The primary goal of the NGR was to prepare an action plan for the smooth and secure arrangement of the process of replacing (converting) the WIBOR and WIBID reference benchmarks, which took the form of the so-called "Roadmap". The Roadmap does not constitute a source of universally binding law, but merely indicates certain milestones regarding the replacement of WIBOR that financial market participants can expect in the future.

Information on the assumptions of the Roadmap and information on the implementation of individual stages of the NGR's work can be found on the website of the Polish Financial Supervision Authority https://www.knf.gov.pl/ in the "Reference Benchmarks" tab.

Supervision over the work related to the reform is exercised by the NGR Steering Committee. In 2025, the NGR Steering Committee selected the POLSTR index as the recommended RFR-type reference benchmark to replace WIBOR. Information regarding the POLSTR reference benchmark can be found in section 2 below.

1.2. Significant Decisions of GPW Benchmark S.A. regarding WIBOR and WIBID
As part of the information regarding WIBOR and WIBID, we draw your attention to the significant decisions of GPW Benchmark S.A. regarding WIBOR and WIBID made in 2025 and 2026.

Decision of September 30, 2025, regarding the WIBID and WIBOR reference rates for O/N, T/N, SW, 2W, and 1Y tenors.

On September 30, 2025, GPW Benchmark S.A., the administrator of interest rate reference benchmarks, announced its decision to cease developing selected WIBID and WIBOR reference rates for the following tenors on the dates specified below:

• Overnight (O/N): as of October 1, 2026;
• Tomorrow/Next (T/N): as of December 22, 2025;
• 2 weeks (2W): as of December 22, 2025;
• 1 year (1Y):
  • as of December 22, 2025, based on the existing method;
  • as of December 22, 2026, in connection with the obligation imposed on the administrator by the supervisory authority to continue publishing the reference benchmark pursuant to Article 21 of the BMR Regulation, after changing the method of developing the WIBOR reference benchmark for the 1Y tenor.

The decision to cease developing the WIBID and WIBOR Reference Rates for certain tenors was made pursuant to Article 21 of the BMR Regulation. The 1-week tenor, i.e., WIBOR/WIBID SW, remained a point on the money curve, calculated as an index within the meaning of the BMR Regulation for the purpose of information transparency. According to the decision, the values of the index calculated for the SW tenor may not be applied or used in agreements and financial instruments. On May 19, 2026, GPW Benchmark S.A. announced that the publication of the WIBID SW and WIBOR SW indices would cease as of October 1, 2026.

Decision of May 18, 2026, of GPW Benchmark S.A. regarding the cessation of developing WIBOR and WIBID for 1M, 3M, and 6M tenors under an orderly wind-down as of January 1, 2037.

On May 18, 2026, GPW Benchmark S.A. announced its decision to cease developing WIBOR and WIBID under an orderly wind-down as of January 1, 2037.
As a result of this decision, December 31, 2036, will be the last day of developing WIBID and WIBOR for the 1-month (1M), 3-month (3M), and 6-month (6M) tenors. The liquidation date of the WIBID and WIBOR Reference Rates, i.e., January 1, 2037, was indicated by the administrator based on analyses of data available to the administrator regarding the actual maturity profile of receivables in the domestic banking sector weighted by actual repayments, publicly available data provided by the National Bank of Poland, and data on the maturity structure of treasury and non-treasury bonds whose interest rates are based on the critical reference benchmark WIBOR.

Detailed information regarding the above decisions of GPW Benchmark S.A. can be found on the website of GPW Benchmark S.A. https://www.gpwbenchmark.pl/in the "News" tab and on the website of the Polish Financial Supervision Authority www.knf.gov.pl in the "Reference Benchmarks" tab.

Key information for the WIBOR and WIBID benchmarks can also be found in the following PDF documents:
WIBOR 

WIBID

2. POLSTR

POLSTR is an interest rate benchmark developed and published by GPW Benchmark S.A. Detailed information on the benchmark's value, a description of the key elements of the development methodology, the procedure for complaints related to the determination of POLSTR, and the rules for its publication are available on the website of GPW Benchmark S.A. (the administrator): https://www.gpwbenchmark.pl
POLSTR is an interest rate benchmark close to a risk-free rate (RFR) and is developed based on actual deposit transactions concluded with a term starting on the day of their conclusion and ending on the next business day (O/N – overnight). In accordance with the assumptions of the Roadmap, POLSTR is intended to replace the WIBOR benchmark in the near future and is to be used in financial contracts and financial instruments.

Key information for the POLSTR benchmark can also be found in the following PDF documents:
POLSTR 

POLSTR Compounded Rate

3. EURIBOR

EURIBOR is a critical interest rate reference benchmark within the meaning of the BMR Regulation, developed as of the date of this information document by the European Money Markets Institute (EMMI), on the basis of an authorization granted by the Belgian Financial Services and Markets Authority (FSMA). EURIBOR is developed according to a method independently defined by EMMI under the supervision of the Belgian Financial Services and Markets Authority. Details regarding EURIBOR, including a description of the key elements of the EURIBOR development methodology, the benchmark statement, and procedures for receiving and handling complaints regarding the process of determining the EURIBOR reference benchmark, have been published by EMMI on its website at: www.emmi-benchmarks.eu/euribor-org/
Key information for the EURIBOR benchmark can also be found in the following PDF document:
EURIBOR

4. SOFR and CME Term SOFR

SOFR is an interest rate reference benchmark for the US dollar, developed and published by the Federal Reserve Bank of New York (Fed), which is an American bank of the Federal Reserve System, and therefore an entity from a third country. SOFR is determined based on overnight deposits secured by US Treasury securities in the repo market. Detailed information on the benchmark is published on the Fed's website: Secured Overnight Financing Rate Data - FEDERAL RESERVE BANK of NEW YORK
CME Term SOFR is a term interest rate reference benchmark for the US dollar calculated and published by CME Group Benchmark Administration Limited (the administrator), and therefore an entity from a third country. CME Term SOFR is a so-called forward-looking benchmark, published for the following tenors: 1M, 3M, 6M, and 12M. The methodology for determining CME Term SOFR uses a combination of one-month and three-month SOFR futures contracts. Detailed information on the Term SOFR benchmark is presented on the website: Futures & Options Trading for Risk Management - CME Group in the "Data" tab.
Key information for the SOFR and CME Term SOFR benchmarks can also be found in the following PDF documents:
SOFR SOFR Term

5. SONIA and FTSE Term SONIA

SONIA (Sterling Overnight Index Average) is an interest rate reference benchmark for the Pound Sterling, developed and published by a third-country entity – the Bank of England. The SONIA benchmark is based on actual transactions and reflects the average of the interest rates that banks pay to borrow Pound Sterling overnight from other financial institutions and other institutional investors.

The SONIA benchmark has been developed since 1997, but it was reformed in 2018 by applying a transaction-based methodology. Since August 3, 2020, the SONIA Compounded Index has also been published, supporting the use of the compounded-in-arrears interest convention. Details regarding SONIA, including a description of the key elements of the SONIA development methodology and procedures for receiving and handling complaints regarding the process of determining the reference benchmark, have been published by the Bank of England on its website at: www.bankofengland.co.uk
FTSE Term SONIA (formerly Refinitiv Term SONIA) is a term interest rate reference benchmark for the Pound Sterling, calculated and published by a third-country entity – FTSE International Limited. The underlying input data for calculating the FTSE Term SONIA (formerly Refinitiv Term SONIA) rate are obtained from various providers and processed in accordance with a waterfall methodology. The primary source of data is quotes obtained from electronic platforms for centrally cleared GBP SONIA OIS contracts.

Please be informed that as a result of the rebranding of London Stock Exchange Group products (of which Refinitiv Benchmark Services (UK) Limited is a part) carried out in the fourth quarter of 2023, the name of the Refinitiv Term SONIA benchmark was changed to FTSE Term SONIA, and as of December 16, 2024, the administrator changed from Refinitiv Benchmark Services (UK) Limited (RBSL) to FTSE International Limited.

Information on the FTSE Term SONIA benchmark can be found in the relevant tabs dedicated to the benchmark on the website: https://www.lseg.com

Key information for the SONIA and FTSE Term SONIA benchmarks can also be found in the following PDF documents:
SONIA 

FTSE TERM SONIA

6. TONAR and TORF

TONAR is an interest rate reference benchmark for the Japanese Yen developed by a third-country entity – the Bank of Japan. In February 2020, QUICK Corp was designated as the calculation and publication agent for the TONA term reference rate, and in May 2020, QUICK Corp began daily publication of prototype term rates of various tenors.

TORF is one of the alternative interest rate reference benchmarks for the Japanese Yen that replaced JPY LIBOR. TORF is calculated and published by QUICK Benchmarks Inc. (a third-country entity) based on derivative transactions whose underlying asset is the uncollateralized overnight call rate.

Key information for the TONAR and TORF benchmarks can also be found in the following PDF documents:
TONAR

TORF

7. SARON and SARON Compound

SARON (Swiss Average Rate Overnight) is an interest rate reference benchmark for the Swiss Franc, calculated and published by SIX Index AG (hereinafter: "SIX"). SARON is based on the secured money market and calculated as an overnight reference rate based on data from the Swiss Franc repo market.

On the other hand, SARON Compound is created based on daily SARON rates.
SARON and SARON Compound are developed according to a method independently defined by SIX under the supervision of the Swiss Financial Market Supervisory Authority (FINMA). Details regarding SARON and SARON Compound, including a description of the key