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2018 Financial and Social Report

Capital requirements by exposure classess and risk types

Group and Bank calculate total risk exposure amount and maintain own funds requirements in accordance with CRR article 92.

As at the 31st December, 2018 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

Amounts of risk exposures and capital requirements, disclosed according to CRR art. 438.c-f, are showed in the below table.

RWAs Minimum capital requirements
31.12.2018 31.12.2017 30.09.2018 31.12.2018
CRR 1 Credit risk (excluding CCR) 31 504 636 27 855 522 29 642 272 2 520 371
Art. 438cd 2 of which the standardized approach 21 944 694 19 301 513 20 935 142 1 755 576
Art. 438cd 3 of which the foundation IRB (FIRB) approach
Art. 438cd 4 of which the advanced IRB (AIRB) approach 9 559 942 8 554 008 8 707 130 764 795
Art. 438d 5 of which equity IRB under the simple risk-weighted approach or the IMA
Art. 107 Art. 438cd 6 CCR 125 118 223 875 100 726 10 009
Art. 438cd 7 of which mark-to-market 81 432 147 884 60 565 6 515
Art. 438cd 8 of which original exposure
9 of which standardized approach
10 of which internal model method (IMM)
Art. 438cd 11 of which risk exposure amount for contributions to the default fund of a CCP
Art. 438cd 12 of which CVA 43 686 75 991 40 161 3 495
Art. 438e 13 Settlement risk
Art. 449oi 14 Securitization exposures in the banking book (after the cap)
15 of which IRB approach
16 of which IRB supervisory formula approach (SFA)
17 of which internal assessment approach (IAA)
18 of which standardized approach
Art. 438e 19 Market risk 253 788 228 878 339 106 20 303
20 of which standardized approach 253 788 228 878 339 106 20 303
21 of which IMA
Art. 438e 22 Large exposures
Art. 438f 23 Operational risk 3 913 781 3 667 260 3 884 896 313 102
24 of which basic indicator approach 2 311
25 of which standardized approach 3 911 470 3 667 260 3 884 896 312 918
26 of which advanced measurement approach
Art. 437.2, Art. 48, Art. 60 27 Amounts below the thereshold for deduction (subject to 250% risk weight) 838 216 718 105 855 150 67 057
Art. 500 28 Floor adjustment
29 Total 36 635 539 32 693 640 34 822 150 2 930 843

In y-o-y, total risk-weighted assets grew by 12% (by ca PLN 3.9 bn). The increase in RWA on credit risk had a dominant influence on this change (almost 94% of total RWA change), mainly on exposures to retail customers (51% of change in RWA credit risk) and exposures to corporates (44% of this change). RWA for other risks are less important. The analysis of RWA changes is presented in the following Table 10.

Item Yearly change in 2018 (in PLN million) Yearly change in 2018 (in %)
Total RWA, including: 3 942 12%
RWA credit risk (including CCR) 1) 3 703 13%
> RWA retail exposures 1 911 14%
> RWA corporate exposures 1 621 13%
> RWA other exposures 171 12%
– RWA market risk 25 11%
– RWA CVA 2) -32 -43%
– RWA operational risk 247 7%

1)CCR – counterparty credit risk

2)CVA – credit valuation adjustment

The below table presents risk-weighted assets flow statements of credit risk exposures under IRB approach, what relates to retail exposures to individual persons secured by residential real estates (RRE) and qualifying revolving retail exposures (QRRE). That information is disclosed in accordance to CRR art. 438.d.

Date: 31 December 2018 (reporting period), 30 September 2018 (previous reporting period), PLN thous

RWA amounts Capital requirements
1 RWAs as at the end of the previous reporting period 8 707 130 696 570
2 Asset size 554 489 44 359
3 Asset quality 234 701 18 776
4 Model updates 0 0
5 Methodology and policy 0 0
6 Acquisitions and disposals 0 0
7 Foreign exchange movements 61 420 4 914
8 Other 2 202 176
9 RWAs as at the end of the reporting period 9 559 942 764 795

relates to retail exposures to individual persons secured by residential real estate collateral (RRE) and qualifying revolving retail exposures (QRRE)

Table EU INS1 – Non-deducted participations in insurance undertakings

Considering that Bank does not have holdings of own funds instruments of an insurance undertaking, a re-insurance undertaking or an insurance holding company and does not have permit according to the paragraph 49.1 CRR, Table EU INS1 (EBA/GL/2016/11) is not presented.