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.

As at 31 December 2020, the leverage ratio at the Group level was 8.30% using temporary definition of Tier 1 Capital and 8.12% 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 Group does not apply the option to exclude from the total exposure measure with regard to the amount of exposures to central banks, in accordance with the Guidelines EBA / GL / 2020/11.

The distribution of the total exposure measure used in the leverage ratio and leverage levels as at 31 December 2020 are presented in the table below:

Table 43. Distribution of total exposure measure and leverage ratios as at 31 December 2020 (in PLN thous., in %)

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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	66 351
Derivatives: current replacement cost	287 516
Derivatives: amount calculated with market value method	256 641
Off-balance sheet items with CCF 10% according to Article 429.10 of CRR	844 555
Off-balance sheet items with CCF 20% according to Article 429.10 of CRR	441 059
Off-balance sheet items with CCF 50% according to Article 429.10 of CRR	1 577 743
Off-balance sheet items with CCF 100% according to Article 429.10 of CRR	42 412
Other assets	98 586 323
Deducted amount of assets – Tier I Capital – fully implemented definition	(840 647)
Deducted amount of assets – Tier I Capital – temporary definition	(445 796)
Total exposure of leverage ratio – using fully implemented definition of Tier I Capital	101 261 954
Total exposure of leverage ratio – using temporary definition of Tier I Capital	101 656 804
Tier I Capital – fully implemented definition	8 227 534
Tier I Capital – temporary definition	8 438 996
Leverage ratio – using the fully implemented Tier 1 Capital definition	8.12%
Leverage ratio – using the temporary Tier 1 Capital definition	8.30%

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 2020. Its level is satisfactory, with a considerably excess over the value deemed as safe (3%).

Table 44. Leverage ratios of the Groups in quarters of 2020 (in %)

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Leverage ratio	31.03.2020	30.06.2020	30.09.2020	31.12.2020
Leverage ratio – using the fully implemented Tier 1 Capital definition	7.89%	7.91%	7.88%	8.12%
Leverage ratio – using the temporary Tier 1 Capital definition	7.99%	8.03%	8.06%	8.30%

Exposure to liquidity risk

IRB method

Financial Leverage

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