Internal capital
Grupa i Bank obliczają i stale utrzymują kwotę kapitału wewnętrznego, odpowiedniego do zabezpieczenia rodzaju i skali ryzyka, zgodnie z art. 73 Dyrektywy 2013/36/UE.
Grupa i Bank realizują proces wewnętrznej oceny adekwatności kapitałowej (tzw. ICAAP), bazując na modelach kapitału wewnętrznego (ekonomicznego).
The Group and the Bank calculate and maintain on an ongoing basis internal capital amount, that is considered to cover adequately the nature and level of the risk to which they are or might be exposed, according to art. 73 od Directive 2013/36/UE.
Group and Bank carry out the internal capital adequacy assessment process (ICAAP) in reliance on the models of internal (economic) capital.
Group and Bank define economic capital as the amount of capital which is needed to cover all the unexpected economic losses that may occur during a specified future period and that are estimated with specific probability, without jeopardizing interests of the Group’s depositors/creditors. Internal capital calculations incorporate all the material risk types to which the Group is exposed and are based on a set of parameters developed on the basis of the individual features and characteristics of the Polish market. The models quantify the value of expected and unexpected losses on account of the risk types considered to be material, at the assumed confidence level and in a 1-year time horizon.
Internal capital is calculated and maintained as to every risk type evaluated as a material one and as to risk types, to which own funds requirements are maintained, according to CRR.
Methodologies to estimate internal capital to risk types +
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| Risk type | Internal capital estimation method |
|---|---|
| Credit risk and counterparty credit risk | VaR for credit risk – modified Credit Risk + model |
| Market risk – trading portfolio | Modified VaR model |
| Market risk – interest rate in banking portfolio | Modified VaR model |
| Risk of equities in banking portfolio | Own funds requirements to equities |
| Credit valuation adjustment risk | Own funds requirements to credit valuation adjustment risk |
| Additional internal capital stemming from decision of the competent authority on maintaining own funds to cover risk of retail exposures denominated in FX secured on residential real estates | Modified methodology of calculation of additional own funds requirements to cover risk of retail exposures denominated in FX secured on residential real estates |
| Operational risk | Modified standard method |
The Group has taken a conservative approach to the correlation between individual risk types (the fact that different risk types do not convert to losses simultaneously) and calculates the effect of diversification on the entire loss distribution.
In line with the recommendations issued by the banking supervision authority, individual risk types and the diversification effect are subjected to stress tests. The total diversified internal capital is subject to economic assessment of capital adequacy, by a comparison with „risk bearing capacity” (available financial resources). The Group conservatively assumes that the available financial resources are equivalent to regulatory own funds which form the basis for calculating the total capital ratio.
The internal capital adequacy assessment process following the Group's approach is closely linked to the risk, capital and business management processes in place in the Group. It consists of the following stages: +
- Classification and assessment of materiality of risk types, to determine the method for incorporating them in the risk management process and in the ICAAP process,
- Measurement (quantification) of risk,
- Aggregation of internal capital to secure material risk of operations, while taking into account the effect of correlation between risk types,
- Assessment of capital adequacy by comparing the Bank’s economic risk (internal capital) to its capacity to cover the risk,
- Allocation of internal capital to business lines/areas of operation,
- Use of allocated internal capital to measure risk-based efficiency, set risk limits, reallocate capital while taking into account risk-weighted returns,
- Control and monitoring of the risk level, available financial resources, capital limits and objectives.
Capital adequacy assessment carried out at the end of 2016 indicates a high level of this adequacy, which is shown in a significant surplus of capital resources (equivalent to regulatory own funds) as compared to economic risk (internal capital value) and risk calculated on the basis of supervisory regulations (the value of minimum capital requirements to cover risk). Internal capital at the end of 2016 is lower than the capital requirements in the 1st Pillar, both in the Standardized Approach and the IRB Approach (taking into account the following additional requirement resulting from a temporary supervisory restriction) for credit risk.
Both the Bank and the Group meet the statutory requirements regarding the level of own funds and the internal capital set forth in Article 128 of the Banking Law Act and in the CRR.