Capital requirements to credit risk

Calculating risk-weighted exposures in scope of credit risk, Group and Bank use standard method and internal rating based method as for portfolios described in the point 6.1 according to the approval of the competent authorities described in the point 11.1.

Exposure to securitization positions are not present (Explanations in the additional information to the Yearly Financial Report) (Art. 449).

Table 17. EU CR4 – Standardised approach – Credit risk exposure and CRM effects (in PLN thous.)

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		Exposures CCF and CRM		Exposures after CRM		RWA’s and RWA density
	Exposure classes	On-balance sheet amount	Off-balance-sheet amount	On-balance sheet amount	Off-balance-sheet amount	RWAs	RWA density
1	Central governments or central banks	19 845 266		19 845 266		1 655 144	8,30%
2	Regional governments or local authorities	115 192	154 945	115 192	123	23 063	20,00%
3	Public sector entities	167 625	30 655	167 625	2 472	94 129	55,30%
4	Multilateral development banks	182 591		182 591		0	0,00%
5	International organizations
6	Institutions	683 139	117 682	683 139	21 159	140 797	20,00%
7	Corporates	15 474 483	9 027 840	15 474 483	1 990 604	15 056 183	86,20%
8	Retail	20 587 521	458 851	20 587 521	6 351	13 439 348	65,30%
9	Secured by mortgages on immovable property
10	Exposures in default	2 052 368	21 296	2 052 368	21 296	2 730 256	131,70%
11	Items associated with particularly high risk	47		47		70	150,00%
12	Covered bonds
13	Claims on institutions and corporates with a short-term credit assessment
14	Collective investments undertakings
15	Equity exposures	280 599		280 599		280 833	100,10%
16	Other exposures	2 285 483		2 285 483		1 069 301	46,80%
17	Total	61 674 314	9 811 269	61 674 314	2 042 004	34 489 125	54,10%

(*) only on-balance and off-balance positions

The below table presents exposures’ amounts in scope of standardised approach of credit risk own funds requirements and the breakdown by asset class and risk weight.

Table 18. EU CR5 – Standardized approach (in PLN thous.)

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	Exposure classes	Risk weight									Total
		0%	20%	35%	50%	75%	100%	150%	250%	other
1	Central governments or central banks	19 183 208							662 058		19 845 266
2	Regional governments or local authorities		115 315								115 315
3	Public sector entities		7 752		139 845		22 500				170 097
4	Multilateral development bank	182 591									182 591
5	International organizations
6	Institutions		683 138		21 159		1				704 298
7	Corporates	1 382 538	209 244	138 665	136 788		15 564 823	33 030			17 465 087
8	Retail	89 141	38 709	3 708 398	859 973	15 609 895	127 558	160 199			20 593 872
9	Secured by mortgages on immovable property
10	Exposures in default	17 148			50 414		599 818	1 406 284			2 073 664
11	Items associated with particularly high risk							47			47
12	Covered bonds
13	Claims on institutions and corporates with a short-term credit assessment
14	Collective investments undertakings
15	Equity exposures						280 443		156		280 599
16	Other exposures	1 216 182					1 069 301				2 285 483
17	Total	22 070 807	1 054 157	3 847 063	1 208 179	15 609 895	17 664 443	1 599 560	662 214		63 716 317

(*) on-balance and off-balance, securities financing and derivatives, without counterparty credit risk

Credit risk

Counterparty credit risk

Capital requirements to credit risk

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