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2019 Financial
and Social Report

Financial Leverage

Bank completed calculation of leverage ratio on consolidated base, as at 31 December 2019, 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.

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As at 31 December 2019, the leverage ratio at the Group level was 8.11% using temporary definition of Tier 1 Capital and 8.00% 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 2019 are presented in the table below:

Table 43. Distribution of total exposure measure and leverage ratios as at 31 December 2019 (in PLN thous., in %)

XLS
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 205 425
Derivatives: current replacement cost 187 787
Derivatives: amount calculated with market value method 238 858
Off-balance sheet items with CCF 10% according to Article 429.10 of CRR 745 596
Off-balance sheet items with CCF 20% according to Article 429.10 of CRR 340 348
Off-balance sheet items with CCF 50% according to Article 429.10 of CRR 1 084 847
Off-balance sheet items with CCF 100% according to Article 429.10 of CRR 52 327
Other assets 98 038 512
Deducted amount of assets – Tier I Capital – fully implemented definition -696 573
Deducted amount of assets – Tier I Capital – temporary definition -575 870
Total exposure of leverage ratio – using fully implemented definition of Tier I Capital 100 197 127
Total exposure of leverage ratio – using temporary definition of Tier I Capital 100 317 830
Tier I Capital – fully implemented definition 8 017 836
Tier I Capital – temporary definition 8 138 540
Leverage ratio – using the fully implemented Tier 1 Capital definition 8,00%
Leverage ratio – using the temporary Tier 1 Capital definition 8,11%

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 2019. Its level is satisfactory, with a considerably excess over the value considered as safe (3%). The small drop in 2nd quarter stemmed from Eurobank incorporation.

Table 44. Leverage ratios of the Groups in quarters of 2019 (in %)

XLS
Leverage ratio 31.03.2019 30.06.2019 30.09.2019 31.12.2019
Leverage ratio – using the fully implemented Tier 1 Capital definition 9,48% 8,18% 8,14% 8,00%
Leverage ratio – using the temporary Tier 1 Capital definition 9,62% 8,31% 8,27% 8,11%
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