Financial and
ESG report 2020

Market risk and other risk types

Table   EU MRA – Qualitative disclosure requirements related to market risk

Qualitative information related to market risk are disclosed in Financial Report (chapter 8) and in Management Report, according to requirements of the Table EU MRA – Qualitative disclosure requirements related to market risk (EBA/GL/2016/11) [445 CRR].

The Group uses standardized approaches to calculate its capital requirements for various types of market risk. As at 31.12.2020 the Group maintained requirements for own funds for general and specific risk of debt instruments and the general interest rate risk. The exposure to market risk was not material. Capital requirements for this risk represented 0.7% of the total amount of capital requirements as at 31 December, 2020.

Risk weighted exposure and own funds requirements to market risk are showed in the below table.

Table 40. EU MR1 – Market risk under the standardised approach (in PLN thous.)

RWA Capital requirements
1 Interest rate risk (general and specific) 332 664 26 613
2 Equity risk (general and specific) 490 39
3 Foreign exchange risk
4 Commodity risk
Options
5 Simplified approach
6 Delta-plus method
7 Scenario approach
8 Securitization (specific risk)
9 Total 333 154 26 652

 

Own funds requirements to settlement risk, delivery risk, large exposures limits excess were not reported as at 31.12.2019.

Table EU MRB –Qualitative disclosure requirements for institutions using the IMA

Table EU MR2-A – Market risk under the IMA

Table EU MR2-B – RWA flow statements of market risk exposures under the IMA

Tabela EU MR3 – IMA values for trading portfolios

Tabela EU MR4 – Comparison of VaR estimates with gain/loss

Information listed in the above tables is not presented, as the Bank does not use internal models to calculate capital requirements to credit risk.

CH-Mataria-w-Gdansku-oddzial-Millennium-2-big CH-Mataria-w-Gdansku-oddzial-Millennium-2-big

Exposures in equities not included in the trading book

As at 31 December 2020 the Group had exposures in equities not included in the trading book with total balance-sheet value of PLN 230,311 thousand. The adopted methods of valuation. balance-sheet classification and effect of measurement at fair value are presented in the table below (Art. 447).

Table 41. Exposures in equities not included in the trading book (in PLN thous.)

Balance-sheet classification Measurement method Balance-sheet value Effect of pricing carried in
revaluation capital
Equity instruments mandatorily at fair value through profit or loss (FVTPL) Valuation models in case of stock and shares not quoted on the active market 200 772 0
Equity instruments at fair value through other comprehensive income (FVTOCI) Fair value measured on the basis of active market quotations or valuation models in case of stock and shares not quoted on the active market 29 539 27 995

 

Below are presented the most important from the point of view of the balance sheet equity exposures of the Group as at 31 December 2020, including the assignment of strategic goals of connected with these equities:

  1. Visa Inc.; balance sheet value of the equity component PLN 134,163 thous. – increase of the position comes from the positive valuation of the part of Visa Incorporation shares admitted to trading;
  2. Polski Standard Płatności sp. z o.o.; balance-sheet value PLN 66,609 thous. – the purpose of the equity exposure is to introduce into the Bank’s offering new products and services for the Bank’s customers (FVTPL);
  3. Biuro Informacji Kredytowej S.A.; balance-sheet value PLN 13,392 thous. – the equity exposure is connected with the banking activity (FVTOCI);
  4. Krajowa Izba Rozliczeniowa S.A.; balance-sheet value PLN 15,316 thous.- the equity exposure is connected with the banking activity (FVTOCI);
  5. Giełda Papierów Wartościowych SA; balance-sheet value PLN 320 thous. – the equity exposure is connected with activity on the capital market (FVTOCI).

In the analysed period (2020) the Group:

  • did not realise profit on sale of shares from the FVTOCI and mandatorily at FVTPL book,
  • in calculating own funds as at 31.12.2020 the positive effect of pricing of shares (net amount with account of deferred tax) from the FVTOCI book, presented in the balance-sheet in revaluation capital was recognised in the amount of PLN 22,676 thous.

Exposure to interest rate risk on positions not included in the trading book

Information on exposures to interest rate risk on positions not included in the trading book are presented in the Yearly Financial Report, in the market risk management section of the financial risk management chapter (Art.448).

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