Financial leverage
Bank completed calculation of leverage ratio on consolidated base, as at 31 December 2016, based on CRR and Regulatory Technical Standards (EU) 2015/62 from 10 October 2014 on leverage ratio.
As at 31 December 2016, the leverage ratio at the Group level was 8.97% using temporary definition of Tier 1 Capital and 8.85% using fully implemented definition of Tier 1 Capital.
When calculating leverage, the Group does not apply the derogations set forth in Articles 499.2 and 499.3 of CRR. Leverage ratio is calculated both with respect to Tier 1 capital and using the temporary definition of Tier 1 capital.
Distribution of total exposure measure and leverage ratios as at 31 December 2016, (in PLN thous. %) +
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| The amount and distribution of total exposure used in the leverage ratio | Value |
|---|---|
| Exposure to equity financing transactions. exposure in accordance to Article 429.5 and 429.8 of CRR | 90 512 |
| Derivatives: current replacement cost | 248 138 |
| Derivatives: amount calculated with market value method | 315 073 |
| Off-balance sheet items with CCF 10% according to Article 429.10 of CRR | 721 753 |
| Off-balance sheet items with CCF 20% according to Article 429.10 of CRR | 103 571 |
| Off-balance sheet items with CCF 50% according to Article 429.10 of CRR | 124 478 |
| Off-balance sheet items with CCF 100% according to Article 429.10 of CRR | 327 593 |
| Other assets | 69 241 702 |
| Deducted amount of assets – Tier I Capital – fully implemented definition | -406 240 |
| Deducted amount of assets – Tier I Capital – temporary definition | -314 102 |
| Total exposure of leverage ratio – using fully implemented definition of Tier I Capital | 70 766 581 |
| Total exposure of leverage ratio – using temporary definition of Tier I Capital | 70 858 718 |
| Tier I Capital – fully implemented definition | 6 264 662 |
| Tier I Capital – temporary definition | 6 356 800 |
| Leverage ratio – using the fully implemented Tier 1 Capital definition | 8.85% |
| Leverage ratio – using the temporary Tier 1 Capital definition | 8.97% |
The Group does not apply amounts that have been excluded from the total exposure measure in accordance with CRR 429.11.
With the Risk Strategy assumptions currently in place, the Group assesses the risk of excessive financial leverage as immaterial and therefore no specific procedures have been developed in this area.
Leverage ratios of the Groups in quarters of 2016 year (in %) +
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| Leverage ratio | 31.03.2016 | 30.06.2016 | 30.09.2016 | 31.12.2016 |
|---|---|---|---|---|
| Leverage ratio – using the fully implemented Tier 1 Capital definition | 9.46% | 9.28% | 9.30% | 8.85% |
| Leverage ratio – using the temporary Tier 1 Capital definition | 9.44% | 9.36% | 9.39% | 8.97% |