Group and Bank calculate total risk exposure amount and maintain own funds requirements in accordance with CRR article 92.
As at the 31st December, 2016. total risk exposure amount was calculated as the sum of the following items: +
- Risk weighted exposure amounts for credit risk and dilution risk according to internal rating based method for retail exposures for individual customers secured on residential real estates (RRE) and revolving retail exposures (QRRE) and these calculated according the standard method as for other portfolios
- Own funds requirements to settlement/delivery risk and free deliveries
- Own funds requirements to trading book business for position risk and large exposures exceeding the limits specified in articles 395-401 CRR
- Own funds requirements to market risk as for foreign-exchange risk, settlement risk and commodities risk
- Own funds requirements to credit valuation adjustment risk
- Own funds requirements to operational risk
- Own funds requirements to counterparty credit risk.
Review of risk-weighted assets and capital requirements (PLN thous.) +
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| RWA (Risk-weighted assets) | Own funds requirements |
||||
|---|---|---|---|---|---|
| 2016 | 2015 | 2016 | |||
| 1 | Credit risk (excluding CCR) | 23 842 589 | 23 952 732 | 1 907 407 | |
| Art. 438cd | 2 | of which the standardized approach | 16 606 159 | 16 264 035 | 1 328 493 |
| Art. 438cd | 3 | of which the foundation IRB (FIRB) approach | 0 | 0 | 0 |
| Art. 438cd | 4 | of which the advanced IRB (AIRB) approach | 7 236 430 | 7 688 697 | 578 914 |
| Art. 438d | 5 | of which equity IRB under the simple risk-weighted approach or the IMA (Internal Model Approach) | 0 | 0 | 0 |
| Art. 107 Art. 438cd | 6 | CCR (Counterparty Credit Risk) | 400 413 | 523 136 | 32 033 |
| Art. 438cd | 7 | of which mark-to-market | 222 283 | 275 923 | 17 783 |
| Art. 438cd | 8 | of which original exposure | 0 | 0 | 0 |
| 9 | of which standardized approach | 0 | 0 | 0 | |
| 10 | of which internal model method (IMM – Internal Models Method)) | 0 | 0 | 0 | |
| Art. 438cd | 11 | of which risk exposure amount for contributions to the default fund of a CCP (Central Counterparty) | 0 | 0 | 0 |
| Art. 438cd | 12 | of which CVA (Credit Valuation Adjustment) | 178 130 | 247 213 | 14 250 |
| Art. 438e | 13 | Settlement risk | 0 | 0 | 0 |
| Art. 449oi | 14 | Securitization exposures in the banking book (after the cap) | 0 | 0 | 0 |
| 15 | of which IRB approach | 0 | 0 | 0 | |
| 16 | of which IRB supervisory formula approach (SFA – Supervisory Formula Approach) | 0 | 0 | 0 | |
| 55827+40533 | 17 | of which internal assessment approach (IAA – Internal Assessment Approach) | 0 | 0 | 0 |
| 18 | of which standardized approach | 0 | 0 | 0 | |
| Art. 438e | 19 | Market risk | 292 788 | 363 793 | 23 423 |
| 20 | of which standardized approach | 292 788 | 363 793 | 23 423 | |
| 21 | of which IMA (Internal Model Approach) | 0 | 0 | 0 | |
| Art. 438e | 22 | Large exposures | 0 | 0 | 0 |
| Art. 438f | 23 | Operational risk | 3 487 204 | 3 389 071 | 278 976 |
| 24 | of which basic indicator approach | 0 | 0 | 0 | |
| 25 | of which standardized approach | 3 487 204 | 3 389 071 | 278 976 | |
| 26 | of which advanced measurement approach | 0 | 0 | 0 | |
| Art. 437.2, Art. 48, Art. 60 | 27 | Other items (subject to 250% risk weight) | 697 842 | 243 446 | 55 827 |
| 28 | Other items (subject to 100% risk weight) | 506 657 | 685 484 | 40 533 | |
| 29 | Floor adjustment | 7 503 110 | 7 606 055 | 600 249 | |
| 30 | Total | 36 730 604 | 36 763 716 | 2 938 448 | |
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