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2018 Financial and Social Report

Financial leverage

Bank completed calculation of leverage ratio on consolidated base, as at 31 December 2018, based on CRR, Regulatory Technical Standards (EU) 2015/62 from 10 October 2014 on leverage ratio and Regulation (EU) 2017/2395 from 12 December 2017 on transitional arrangments for mitigating the impact of the introduction of IFRS 9 on own funds and the large exposures treatment of certain public sector exposures denominated in the domestic currency of any Member State.

As at 31 December 2018, the leverage ratio at the Group level was 8.78% using temporary definition of Tier 1 Capital and 8.62% 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.

The distribution of the total exposure measure used in the leverage ratio and leverage levels as at 31 December 2018 are presented in the table below:

Table 39 Distribution of total exposure measure and leverage ratios as at 31 December 2018 (in PLN thous., in %)
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 250 247
Derivatives: current replacement cost 204 893
Derivatives: amount calculated with market value method 122 859
Off-balance sheet items with CCF 10% according to Article 429.10 of CRR 834 873
Off-balance sheet items with CCF 20% according to Article 429.10 of CRR 195 763
Off-balance sheet items with CCF 50% according to Article 429.10 of CRR 32 692
Off-balance sheet items with CCF 100% according to Article 429.10 of CRR 293 374
Other assets 80 980 066
Deducted amount of assets – Tier I Capital – fully implemented definition -522 766
Deducted amount of assets – Tier I Capital – temporary definition -380 748
Total exposure of leverage ratio – using fully implemented definition of Tier I Capital 82 392 002
Total exposure of leverage ratio – using temporary definition of Tier I Capital 82 534 020
Tier I Capital – fully implemented definition 7 100 971
Tier I Capital – temporary definition 7 242 989
Leverage ratio – using the fully implemented Tier 1 Capital definition 8,62%
Leverage ratio – using the temporary Tier 1 Capital definition 8,78%

 

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.

The table below presents the leverage ratio levels in 2018; its level is satisfactory, with slight changes, and therefore a description of factors that had an impact on its levels is not justified.

Table 40 Leverage ratios of the Groups in quarters of 2018 year (in %)
Leverage ratio 31.03.2018 30.06.2018 30.09.2018 31.12.2018
Leverage ratio – using the fully implemented Tier 1 Capital definition 9.64% 9.59% 9.44% 8.62%
Leverage ratio – using the temporary Tier 1 Capital definition 9.81% 9.78% 9.62% 8.78%