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Financial notes 49. Financial assets and financial liabilities not presented at fair value in the consolidated statement of financial position

49. Financial assets and financial liabilities not presented at fair value in the consolidated statement of financial position

The Group holds financial assets and financial liabilities which are not presented at fair value in the statement of financial position.

For many financial instruments, the market values are unattainable hence the presented fair values are estimated with the use of an array of measurement techniques.

All model calculations include certain simplifying assumptions and therefore are sensitive to those assumptions. For certain categories of financial instruments, it has been assumed that their carrying amount equals approximately their fair values, which is due to lack of expected material differences between their carrying amount and fair value resulting from the features of these categories (such as short term nature, high correlation with market parameters, a unique nature of the instrument).

Annual Report
2019

Item Major methods and assumptions used when estimating fair
values of financial instruments not measured at fair value
Amounts due from
and to banks
  • interbank placements and deposits – the model based on expected cash flows discounted using the current interbank market rates
  • interbank deposits and placements with maturities of up to 7 days or with variable interest, loans or advances granted and received on the interbank market with variable interest (with interest rate changes occurring every 3 months or less) – fair value equals the carrying amount
Securities
  • Treasury bonds – market quotations
  • corporate and municipal bonds – discounted cash flow method
Loans and advances to
customers
  • not impaired:

the model based on estimating the present value of future cash flows by discounting cash flows using current interest rates; the model takes into account the credit risk margin and adjusted maturities stemming from the loan agreements. The current level of margins was determined for transactions concluded in the last quarter ending on the balance sheet date involving instruments with the similar credit risk profile. The current margin for loans in PLN adjusted for the cost of foreign currency acquisition in basis-swap transactions was applied to loans in foreign currencies

  • finance lease receivables – the model of expected cash flows discounted using the internal rate of return for lease transactions of the same type concluded by the Group during the period directly preceding the end of the reporting period;
  • impaired: fair values are equal to carrying amounts;
  • loans and advances to customers: a part of the housing loan portfolio (the “old” housing loan portfolio), loans with no specific repayment schedule, loans due as at the moment of valuation – fair values are equal to carrying amounts;
Amounts due to customers
  • deposits and other amounts due to customers other than banks with fixed maturities; the model of expected cash flows discounted using current interest rates appropriate for the individual deposit products. The fair value is calculated for each deposit and liability, and then the fair values for the entire deposit portfolio are grouped by product type and by customer segment.
  • amounts due to customers: liabilities with no specific repayment schedule, other specific products for which no active market exists – fair values are equal to carrying amounts
Liabilities in respect of securities in issue The Bank: The model of expected cash flows discounted using the current interbank market rates and market quotations
PKO Finance AB: Bloomberg quotations.
Subordinated
liabilities		 The model of expected cash flows discounted based on yield curves.
Cash and balances with the Central Bank and amounts due to the Central Bank Fair values are equal to carrying amounts.
Other financial assets and financial liabilities Fair values are equal to carrying amounts.

level of fair
value hierarchy		 31.12.2019
carrying
amount		 fair
value
Cash and balances with Central Bank n/a 14 677 14 677
Amounts due from banks 2 4 092 4 092
Securities 1, 3 13 454 13 518
Loans and advances to customers 223 144 222 155
housing loans 3 118 478 116 435
business loans 3 65 605 66 385
consumer loans 3 21 656 21 926
receivables in respect of repurchase agreements 2 1 081 1 081
finance lease receivables 3 16 324 16 328
Other financial assets 3 2 624 2 624
Amounts due to banks 2 2 568 2 568
Amounts due to customers 256 480 256 480
amounts due to individuals 3 186 691 186 691
amounts due to business entities 3 56 406 56 406
amounts due to public sector 3 11 354 11 354
loans and advances received 3 2 029 2,029
Liabilities in respect of securities in issue 1, 2 31 148 31 595
Subordinated liabilities 2 2 730 2 730
Other financial liabilities 3 3 600 3 600

31.12.2018
level of fair
value hierarchy		 carrying
amount		 fair
value
Cash and balances with Central Bank n/a 22 925 22 925
Amounts due from banks 2 7 661 7 661
Securitie 1,3 8 473 8 476
Loans and advances to customers 213 806 213 438
housing loans 3 112 770 111 761
business loans 3 60 918 61 294
consumer loans 3 25 570 25 820
receivables in respect of repurchase agreements 2 51 51
finance lease receivables 3 14 497 14 512
Other financial assets 3 2 825 2 825
Amounts due to the Central Bank 2 7 7
Amounts due to banks 2 2 001 2 001
Amounts due to customers 241 036 240 973
amounts due to individuals 3 165 182 165 120
amounts due to business entities 3 55 302 55 301
amounts due to public sector 3 16 459 16 459
loans and advances received 3 4 093 4 093
Liabilities in respect of securities in issue 1, 2 28 627 28 725
Subordinated liabilities 2 2 731 2 731
Other financial liabilities 3 2 364 2 364

49. Financial assets and financial liabilities not presented at fair value in the consolidated statement of financial position

48. Fair value hierarchy

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49. Financial assets and financial liabilities not presented at fair value in the consolidated statement of financial position

50. Offsetting financial assets and financial liabilities

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