On 1 January 2018, a new standard took effect in the European Union for the development of benchmarks, based on the BMR, defining the principles of operation and duties of benchmark administrators and entities making use of these benchmarks. The purpose of the new rules is to increase the credibility, transparency and reliability of benchmarks. As a result of the reform, the benchmarks were adjusted to the new rules (including WIBOR and EURIBOR) or ceased to exist (such as LIBOR) having been replaced with alternative indicators. The largest impact of the reform on the PZU Group stems from loans and advances to customers.
As at 31 December 2022, the IBOR reform affecting the currencies covered by the PZU Group’s exposure was largely completed. The table below presents the status of the transition to new benchmarks under the IBOR reform.
| Currency | Benchmark before the reform | Benchmark status as at 1 January 2023 | Benchmark after the reform | As at 31 December 2022 |
|---|---|---|---|---|
| PLN | WIBOR (Warsaw Inter Bank Offered Rate) | consistent with the BMR | Reformed WIBOR / WIRON |
in progress (in terms of fallback clauses) |
| EUR | EURIBOR | consistent with the BMR | EURIBOR | portfolio was not annexed |
| EUR | EUR LIBOR | phased out | EURIBOR | completed |
| CHF | CHF LIBOR | phased out | SARON, SARON Compound | completed |
| USD | USD LIBOR | during liquidation scheduled for the end of September 2024 from July 2023 it will be developed as a synthetic indicator |
SOFR, Term SOFR | currently in effect |
| GBP | GBP LIBOR | during liquidation scheduled for the end of March 2024 developed as a synthetic indicator |
SONIA, Term SONIA | currently in effect |
The table below presents the PZU Group’s exposure to individual unreformed IBOR benchmarks.
| WIBOR (Warsaw Inter Bank Offered Rate) | USD LIBOR | GBP LIBOR | |
|---|---|---|---|
| Assets (gross carrying amount) | 184,002 | 1,331 | 495 |
| Liabilities (gross carrying amount) | 35,653 | 68 | – |
| Off-balance sheet liabilities – granted (nominal value) | 8,197 | 327 | 1 |
| Off-balance sheet liabilities – granted (nominal value) | 297,682 | 5,621 | – |
| Derivatives – concluded under hedge accounting (nominal value) | 50,020 | – | – |