Despite the uncertainty, the PZU Group intends to continue its current hedge accounting policy in terms of the amount and timing of the cash flows as a result of the IBOR reform in cash flow hedge accounting, which also applies to the reformed benchmarks.
As part of the established hedging relationships, the PZU Group identifies the following interest rate reference rates: WIBOR, EURIBOR. As of the date on which the consolidated financial statements were prepared, these benchmarks were quoted and the resulting flows were exchanged with business partners.
The PZU Group assessed that in the case of EURIBOR there is currently no uncertainty regarding the dates or amounts of cash flows resulting from the IBOR reform. The benchmark has been adjusted to the requirements of the BMR and is calculated by an administrator authorized by regulatory authority. The PZU Group does not expect it will be necessary to change the hedged risk for other benchmarks.
In the case of WIBOR, the PZU Group believes there is uncertainty about the timing and amount of cash flows for the new benchmark. Such uncertainty may influence the assessments of the effectiveness of the relationship and high probability of the hedged position. For the needs of these assessments the PZU Group assumes that the interest rate benchmark on which cash flows from the hedged position or hedging instrument will not change as a result of the WIBOR reform.
As regards hedging instruments, the PZU Group companies joined the ISDA Fallbacks Protocol and actively cooperate with their counterparties to implement the rules of conduct consistent with the ISDA methodology.