| RWAs | Minimum capital requirements | |||||
| 31.12.2020 | 30.09.2020 | 31.12.2019 | 31.12.2020 | |||
| CRR | 1 | Credit risk (excluding CCR) | 45 068 197 | 44 329 754 | 43 082 326 | 3 605 456 |
| Art. 438cd | 2 | of which the standardized approach | 34 010 456 | 33 594 634 | 34 089 757 | 2 720 836 |
| Art. 438cd | 3 | of which the foundation IRB (FIRB) approach | ||||
| Art. 438cd | 4 | of which the advanced IRB (AIRB) approach | 11 057 741 | 10 735 119 | 8 992 569 | 884 619 |
| Art. 438d | 5 | of which equity IRB under the simple risk-weighted approach or the IMA | ||||
| Art. 107 Art. 438cd | 6 | CCR | 291 654 | 256 332 | 120 023 | 23 332 |
| Art. 438cd | 7 | of which mark-to-market | 231 864 | 194 204 | 75 090 | 18 549 |
| 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 | 59 790 | 62 128 | 44 933 | 4 783 |
| 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 | 333 154 | 354 845 | 302 494 | 26 652 |
| 20 | of which standardized approach | 333 154 | 354 845 | 302 494 | 26 652 | |
| 21 | of which IMA | |||||
| Art. 438e | 22 | Large exposures | ||||
| Art. 438f | 23 | Operational risk | 4 782 941 | 4 782 941 | 4 086 613 | 382 635 |
| 24 | of which basic indicator approach | |||||
| 25 | of which standardized approach | 4 782 941 | 4 782 941 | 4 086 613 | 382 635 | |
| 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) | 662 058 | 581 524 | 533 129 | 52 965 |
| Art. 500 | 28 | Floor adjustment | ||||
| 29 | Total | 51 138 003 | 50 305 396 | 48 124 585 | 4 091 040 | |
Capital requirements by exposure classes and risk types
Group and Bank calculate total risk exposure amount and maintain own funds requirements in accordance with CRR article 92.
As at the 31st December, 2020 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
In y-o-y, total risk-weighted assets (RWA) grew up by 6.3% (by ca PLN 3 bn). The increase in RWA on credit risk had a dominant influence on this change (76% of total RWA change), whereas operational risk RWA amounted to 23% of total RWA change. Within credit risk RWA, RWA of exposures to retail customers rose by almost 7%, when RWA of corporate exposures was stabilized and other RWA increased visibly (by ca 20%). In the latter group the most important changes were: increaaase of deferref tax assets RWA (by ca PLN 290 million) and RWA connected to Regulation (EU) 2020/873 amending Regulation (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the COVID-19 pandemic, amounted to ca PLN 183 million. Other risks RWA – except for operational risk – are less important. The analysis of RWA changes is presented in the following Table 10.
| Item | Change | Change |
| in 2020 (in PLN milllion) | in 2020 (in %) | |
| RWA total, including: | 3 013 | 6.3% |
| RWA credit risk (including CCR)*) | 2 272 | 5.2% |
| incl. RWA retail exposures | 1 689 | 6.8% |
| incl. RWA corporate exposures | (37) | (0.2%) |
| incl. RWA other exposures | 620 | 20.2% |
| RWA market risk | 31 | 10.1% |
| RWA CVA **) | 15 | 33.1% |
| RWA operational risk | 696 | 17.0% |
*CCR - counterparty credit risk
**CVA - credit valuation adjustment
**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 2020 (reporting period), 30 September 2020 (previous reporting period), PLN thous | ||
| RWA amounts | Capital requirements | |
| 1. RWAs as at the end of the previous reporting period | 10 735 119 | 858 810 |
| 2. Asset size | 278 861 | 22 309 |
| 3. Asset quality | (34 503) | (2 760) |
| 4. Model updates | 0 | 0 |
| 5. Methodology and policy | 0 | 0 |
| 6. Acquisitions and disposals | 0 | 0 |
| 7. Foreign exchange movements | 83 189 | 6 655 |
| 8. Other | (4 924) | (394) |
| 9. RWAs as at the end of the reporting period | 11 057 741 | 884 619 |
| 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.