Market risk and other risk types
The Group uses standardized approaches to calculate its capital requirements for various types of market risk. The Group had requirements for own funds for specific risk of debt instruments and the general interest rate risk. The exposure to market risk was not material. Capital requirements for this risk represented about 1% of the total amount of capital requirements (without the regulatory floor) as at 31 December 2016.
Risk-weighted exposures and capital requirements to market risk (PLN thous.) +
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| RWA | Capital requirements | ||
|---|---|---|---|
| 1 | Interest rate risk (general and specific) | 292 788 | 23 423 |
| 2 | Equity risk (general and specific) | 0 | 0 |
| 3 | Foreign exchange risk | 0 | 0 |
| 4 | Commodity risk | 0 | 0 |
| Options | 0 | 0 | |
| 5 | Simplified approach | 0 | 0 |
| 6 | Delta-plus method | 0 | 0 |
| 7 | Scenario approach | 0 | 0 |
| 8 | Securitization (specific risk) | 0 | 0 |
| 9 | Total | 292 788 | 23 423 |
Own funds requirements to settlement risk, delivery risk, large exposures limits excess were not reported as at 31.12.2016.
Exposure to market risk +
Information on exposures to market risk are presented in the Yearly Financial Report, in the market risk management section of the financial risk management chapter (8.4). (Art. 445)
Exposures in equities not included in the trading book +
As at 31 December 2016 the Group had exposures in equities not included in the trading book with total balance-sheet value of PLN 42,890 thousand. The adopted methods of valuation, balance-sheet classification and effect of measurement at fair value are presented in the table below. (Art. 447)
Exposures in equities not included in the trading book (in PLN thous.)
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| Balance-sheet classification |
Measurement method |
Balance-sheet value |
Effect of pricing carried in revaluation capital |
|---|---|---|---|
| Shares and stock available for sale | Valuation models in case of stock and shares not quoted on the active market | 42 611 | 1 603 |
| Shares and stock available for sale | Fair value measured on the basis of active market quotations | 279 | 270 |
Below are presented the most important from the point of view of the balance sheet, equity exposures of the Group as at 31 December 2016, including the assignment of strategic goals of connected with these equities: +
- Visa Europe Ltd.; balance sheet value PLN 24.445 thous. – equity exposure is connected with banking activity; As member of Visa Europe Ltd the Bank is among the beneficiaries of the transaction concluded on 2 November 2015 between Visa Inc. and Visa Europe Ltd. As a result of the conversion, Bank received EUR 59.2 m in cash, 21.493 preference shares and is entitled to receive a deferred payment in amount of ca EUR 5 m. deducted by a potential adjustments.
- Polski Standard Płatności sp. z o.o.; balance-sheet value PLN 17.232 thous. – the purpose of the equity exposure is to introduce into the Bank’s offering new products and services for the Bank’s customers.
- Biuro Informacji Kredytowej S.A.; balance-sheet value PLN 400 thous. – the equity exposure is connected with the banking activity;
- Krajowa Izba Rozliczeniowa S.A.; balance-sheet value PLN 313 thous. – the equity exposure is connected with the banking activity;
- Giełda Papierów Wartościowych SA; balance-sheet value PLN 279 thous. – the equity exposure is connected with activity on the capital market.
In the analysed period (2016) the Group: +
– did not change accounting principles or methods of pricing for stocks and shares.
– did not realise profit on sale of shares from the “available for sale” book, nevertheless as a result of the settlement of the transaction described in the above point 1) the Group reported gross revenues of PLN 305.641 thous. (that settlement has been broadly described in the Yearly Financial Report for 2016)
– in calculating own funds as at 31.12.2016 the positive effect of pricing of shares (ne t amount with account of deferred tax) from the “available for sale” book, presented in the balance-sheet in revaluation capital was taken in amount of PLN 1.517 thous.
Exposure to interest rate risk on positions not included in the trading book +
Information on exposures to interest rate risk on positions not included in the trading book are presented in the Yearly Financial Report, in the market risk management section of the financial risk management chapter (8.4). (Art.448)