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2019 Financial
and Social Report

Capital requirements and internal capital

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

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As at the 31st December, 2019 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.

XLS
RWAs Minimum capital requirements
31.12.2019 31.12.2018 30.09.2019 31.12.2019
CRR 1 Credit risk (excluding CCR) 43 082 326 31 504 636 42 076 057 3 446 586
Art. 438cd 2 of which the standardized approach 34 089 757 21 944 694 33 062 801 2 727 181
Art. 438cd 3 of which the foundation IRB (FIRB) approach
Art. 438cd 4 of which the advanced IRB (AIRB) approach 8 992 569 9 559 942 9 013 256 719 406
Art. 438d 5 of which equity IRB under the simple risk-weighted approach or the IMA
Art. 107 Art. 438cd 6 CCR 120 023 125 118 219 322 9 602
Art. 438cd 7 of which mark-to-market 75 090 81 432 159 105 6 007
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 44 933 43 686 60 217 3 595
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 302 494 253 788 304 179 24 200
20 of which standardized approach 302 494 253 788 304 179 24 200
21 of which IMA
Art. 438e 22 Large exposures
Art. 438f 23 Operational risk 4 086 613 3 913 781 5 198 300 326 929
24 of which basic indicator approach 2 311
25 of which standardized approach 4 086 613 3 911 470 5 198 300 326 929
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) 533 129 838 216 518 855 42 650
Art. 500 28 Floor adjustment
29 Total 48 124 585 36 635 539 48 316 713 3 849 967

In y-o-y, total risk-weighted assets (RWA) grew by 31% (by ca PLN 11.5 bn). The increase in RWA on credit risk had a dominant influence on this change (almost 98% of total RWA change), mainly incorporation of former Eurobank loans portfolio (RWA amounted to ca 8.4 bn). Within credit risk RWA, the highest rise of exposures to retail customers was noted (75% of total RWA credit risk change) and then exposures to corporates (15% of that change). RWA for other risks are less important. The analysis of RWA changes is presented in the following Table 10.

XLS
Item Change in 2019 (in PLN milllion) Change in 2019 (in %)
RWA total, including: 11 489 31%
RWA credit risk (including CCR)* 11 266 35%
incl. RWA retail exposures 8 497 52%
incl. RWA of former Eurobank 8 392
incl. RWA corporate exposures 1 674 12%
incl. RWA other exposures 1 095 56%
RWA market risk 49 19%
RWA CVA** 1 3%
RWA operational risk 173 4%
*CCR - counterparty credit risk
**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 2019 (reporting period), 30 September 2019 (previous reporting period), PLN thous

XLS
RWA amounts Capital requirements
1 RWAs as at the end of the previous reporting period 9 013 256 721 060
2 Asset size 339 210 27 137
3 Asset quality -256 635 -20 531
4 Model updates
5 Methodology and policy
6 Acquisitions and disposals
7 Foreign exchange movements -112 795 -9 024
8 Other 9 532 763
9 RWAs as at the end of the reporting period 8 992 569 719 406
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.

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