56. Credit risk – financial information
Annual Report
2019
2019
Exposure to credit risk
| MAXIMUM EXPOSURE TO CREDIT RISK – FINANCIAL INSTRUMENTS NOT SUBJECT TO IMPAIRMENT REQUIREMENTS | 31.12.2019 | 31.12.2018 |
|---|---|---|
| Hedging derivatives | 645 | 658 |
| Other derivative instruments | 2 795 | 1 907 |
| Securities: | 3 311 | 3 083 |
| held for trading | 1 112 | 235 |
| not held for trading, measured at fair value through profit or loss | 2 199 | 2 848 |
| Loans and advances to customers not held for trading, measured at fair value through profit or loss | 8 286 | 1 106 |
| housing | 15 | 27 |
| business | 148 | 148 |
| consumer | 8 123 | 931 |
| Total | 15 037 | 6 754 |
Past due financial assets subject to impairment or impaired
| EXPOSURES PAST DUE 31.12.2019 | stage 1 | stage 2 | stage 3 | TOTAL | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| up to 30 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | ||
| Loans and advances to customers: | 2 755 | 2 755 | 1 822 | 803 | 22 | 2 647 | 255 | 263 | 1 767 | 2 285 | 7 687 |
| bank loans | 1 286 | 1 286 | 1 010 | 380 | 17 | 1 407 | 216 | 149 | 1 580 | 1 945 | 4 638 |
| housing | 380 | 380 | 718 | 174 | – | 892 | 78 | 78 | 300 | 456 | 1 728 |
| business | 673 | 673 | 142 | 132 | 17 | 291 | 110 | 43 | 1 061 | 1 214 | 2 178 |
| consumer | 233 | 233 | 150 | 74 | – | 224 | 27 | 29 | 219 | 275 | 732 |
| finance lease receivables | 1 469 | 1 469 | 812 | 423 | 5 | 1 240 | 39 | 114 | 187 | 340 | 3 049 |
| Total, net | 2 755 | 2 755 | 1 822 | 803 | 22 | 2 647 | 255 | 263 | 1 767 | 2 285 | 7 687 |
| EXPOSURES PAST DUE 31.12.2018 | stage 1 | stage 2 | stage 3 | TOTAL | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| up to 30 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | ||
| Loans and advances to customers: | 2 155 | 2 155 | 1 966 | 1 149 | 8 | 3 123 | 205 | 273 | 2 244 | 2 722 | 8 000 |
| bank loans | 989 | 989 | 1 062 | 726 | 8 | 1 796 | 160 | 174 | 2 114 | 2 448 | 5 233 |
| housing | 392 | 392 | 742 | 168 | – | 910 | 62 | 75 | 429 | 566 | 1 868 |
| business | 303 | 303 | 146 | 467 | 8 | 621 | 62 | 60 | 1 346 | 1 468 | 2 392 |
| consumer | 294 | 294 | 174 | 91 | – | 265 | 36 | 39 | 339 | 414 | 973 |
| finance lease receivables | 1 166 | 1 166 | 904 | 423 | – | 1 327 | 45 | 99 | 130 | 274 | 2 767 |
| Total, net | 2 155 | 2 155 | 1 966 | 1 149 | 8 | 3 123 | 205 | 273 | 2 244 | 2 722 | 8 000 |
The Group takes into account the minimum levels of matured amounts of PLN 500 for credit exposures to individuals and PLN 3 000 for other credit exposures to specify whether a loan is overdue.
Loans and advances to customers were secured by the following collateral established for the Group: mortgages, registered pledges, transfer of ownership, restrictions on a deposit account, insurance of the credit exposure, as well as guarantees and sureties.
Modifications
| FINANCIAL ASSETS SUBJECT TO MODIFICATION | 2019 | |
|---|---|---|
| Financial assets subject to modification during the period: | Stage 2 | Stage 3 |
| Valuation at amortized cost before modification | 432 | 372 |
| gain(loss) on modification | 4 | (14) |
| Financial assets subject to modification since initial recognition: | 31.12.2019 | |
| gross carrying amount of financial assets subject to modification for which expected losses were calculated over the lifetime and which are classified as Stage 1 after modification |
229 | |
| FINANCIAL ASSETS SUBJECT TO MODIFICATION | 2018 | |
|---|---|---|
| Financial assets subject to modification during the period: | Stage 2 | Stage 3 |
| Valuation at amortized cost before modification | 350 | 349 |
| gain(loss) on modification | – | (7) |
| Financial assets subject to modification since initial recognition: | 31.12.2018 | |
| gross carrying amount of financial assets subject to modification for which expected losses were calculated over the lifetime and which are classified as Stage 1 after modification |
103 | |
Receivables written off during the period, subject to recovery procedures
The table below presents the outstanding amounts of financial assets to be repaid, which were written down during the reporting period and which are still subject to debt recovery activities.
| RECEIVABLES WRITTEN OFF | 2019 | 2018 | ||
|---|---|---|---|---|
| Partly written off | Fully written off | Partly written off | Całkowicie Fully written off | |
| Securities | ||||
| measured at fair value through OCI | – | – | 3 | – |
| Loans and advances to customers | ||||
| measured at amortized cost | 41 | 689 | 1 980 | 1 217 |
| housing | 14 | 103 | 515 | 527 |
| business | 8 | 427 | 1 154 | 500 |
| consumer | 19 | 159 | 311 | 190 |
| finance lease receivables | – | 126 | – | 14 |
| not held for trading, mandatorily measured at fair value through profit or loss | 3 | – | – | – |
| Other financial assets | – | 1 | – | – |
| Total | 44 | 816 | 1 983 | 1 231 |
The Group adopted the following criteria for writing off receivables:
- the receivable has fully matured and is in particular the consequence of a loan, advance, contractual overdraft, guarantee or warranty of loan, advance or bond repayment;
- in accordance with IAS and IFRS the allowance for expected loan losses:
- covers 100% of the gross carrying amount of the asset; or
- exceeds 90% of the gross carrying amount of the asset and: actions have been or still are taken in respect of the receivable which did not lead to its recovery, and the assessment of the probability of recovering the receivable, in particular with respect to the determinations of the bailiff or the receiver, transferability of collateral, category of satisfaction, position in the mortgage register, indicate that the whole receivable is unlikely to be recovered; or during the last 12 calendar months, amounts paid towards the repayment of the receivable were insufficient to cover the interest accrued on a current basis.
Quality of the portfolio covered by the rating model for commercial, housing and consumer loans
| EXPOSURE CREDIT RISK BY PD 31.12.2019 | Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| HOUSING LOANS | 112,528 | 5 806 | 2 021 | 89 | 120 444 |
| 0.00 – 0.45% | 6 580 | 12 | – | – | 6 592 |
| 0.45 – 0.90% | 32 268 | 79 | – | 1 | 32 348 |
| 0.90 – 1.78% | 14 728 | 49 | – | 2 | 14 779 |
| 1.78 – 3.55% | 18 044 | 107 | – | – | 18 151 |
| 3.55 – 7.07% | 24 825 | 337 | – | 4 | 25 166 |
| 7.07 – 14.07% | 10 964 | 982 | – | 8 | 11 954 |
| 14.07 – 99.99% | 1 186 | 4 172 | – | 15 | 5 373 |
| 100% | – | – | 2 021 | 59 | 2 080 |
| without internal rating* | 3 933 | 68 | – | – | 4 001 |
| BUSINESS LOANS (including finance lease receivables) |
72 290 | 7 295 | 6 130 | 249 | 85 964 |
| 0.00 – 0.45% | 8 117 | 13 | 3 | 4 | 8 137 |
| 0.45 – 0.90% | 8 302 | 80 | – | – | 8 382 |
| 0.90 – 1.78% | 12 745 | 1 311 | – | 12 | 14 068 |
| 1.78 – 3.55% | 20 104 | 1 353 | – | 2 | 21 459 |
| 3.55 – 7.07% | 16 680 | 1 256 | – | – | 17 936 |
| 7.07 – 14.07% | 5 484 | 1 967 | – | 5 | 7 456 |
| 14.07 – 99.99% | 480 | 1 099 | 6 127 | 112 | 7 818 |
| 100% | – | – | 114 | 114 | |
| without internal rating* | 378 | 216 | – | – | 594 |
| CONSUMER LOANS | 19 918 | 1 722 | 1 188 | 49 | 2 ,877 |
| 0.00 – 0.45% | 4 591 | 24 | – | – | 4 615 |
| 0.45 – 0.90% | 5 492 | 73 | – | – | 5 565 |
| 0.90 – 1.78% | 4 393 | 162 | – | – | 4 555 |
| 1.78 – 3.55% | 2 798 | 256 | – | – | 3 054 |
| 3.55 – 7.07% | 1 320 | 283 | – | – | 1 603 |
| 7.07 – 14.07% | 529 | 307 | – | – | 836 |
| 14.07 – 99.99% | 121 | 574 | – | – | 695 |
| 100% | – | – | 1 188 | 49 | 1 237 |
| without internal rating* | 674 | 43 | – | – | 717 |
| Total | 204 736 | 14 823 | 9 339 | 387 | 229 285 |
*This item refers mainly to Housing Communities and Cooperatives exposures.
| EXPOSURE CREDIT RISK BY PD 31.12.2018 | Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| HOUSING LOANS | 106 561 | 5 960 | 2 154 | 106 | 114 781 |
| 0.00 – 0.02% | 7 729 | 15 | – | – | 7 744 |
| 0.02 – 0.07% | 28 309 | 66 | – | – | 28 375 |
| 0.07 – 0.11% | 13 546 | 52 | – | 1 | 13 599 |
| 0.11 – 0.18% | 16 717 | 145 | – | – | 16 862 |
| 0.18 – 0.45% | 22 513 | 321 | – | 5 | 22 839 |
| 0.45 – 1.78% | 10 969 | 568 | – | 9 | 11 546 |
| 1.78 – 99.99% | 2 442 | 4 773 | – | 19 | 7 234 |
| 100% | – | – | 2 154 | 72 | 2 226 |
| without internal rating* | 4 336 | 20 | – | – | 4 356 |
| BUSINESS LOANS (including finance lease receivables) | 64 115 | 8 422 | 6 846 | 513 | 79 896 |
| 0.00 – 0.45% | 7 515 | 1 | – | – | 7 516 |
| 0.45 – 0.90% | 8 694 | 58 | – | – | 8 752 |
| 0.90 – 1.78% | 7 709 | 95 | – | – | 7 804 |
| 1.78 – 3.55% | 10 978 | 785 | – | – | 11 763 |
| 3.55 – 7.07% | 20 671 | 2 252 | – | 18 | 22 941 |
| 7.07 – 14.07% | 7 714 | 2 156 | – | 1 | 9 871 |
| 14.07 – 99.99% | 545 | 2 898 | – | 3 | 3 446 |
| 100% | – | – | 6 846 | 491 | 7 337 |
| without internal rating* | 289 | 177 | – | – | 466 |
| CONSUMER LOANS | 23 664 | 1 786 | 1 776 | 55 | 27 281 |
| 0.00 – 0.45% | 4 012 | 25 | – | – | 4 037 |
| 0.45 – 0.90% | 6 864 | 48 | – | – | 6 912 |
| 0.90 – 1.78% | 5 827 | 64 | – | – | 5 891 |
| 1.78 – 3.55% | 3 742 | 178 | – | – | 3 920 |
| 3.55 – 7.07% | 1 537 | 293 | – | – | 1 830 |
| 7.07 – 14.07% | 871 | 340 | – | – | 1 211 |
| 14.07 – 99.99% | 302 | 746 | – | – | 1 048 |
| 100% | – | – | 1 776 | 55 | 1 831 |
| without internal rating* | 509 | 92 | – | – | 601 |
| Total | 194 340 | 16 168 | 10 776 | 674 | 221 958 |
*This item refers mainly to Housing Communities and Cooperatives exposures.
Quality of the portfolio covered by the rating model for off-balance sheet liabilities
| EXPOSURE CREDIT RISK BY PD 31.12.2019 | Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0.00 – 0.45% | 11 674 | 42 | – | – | 11 716 |
| 0.45 – 0.90% | 14 966 | 43 | – | – | 15 009 |
| 0.90 – 1.78% | 7 580 | 167 | – | – | 7 747 |
| 1.78 – 3.55% | 6 789 | 435 | – | – | 7 224 |
| 3.55 – 7.07% | 6 871 | 650 | – | – | 7 521 |
| 7.07 – 14.07% | 3 924 | 579 | – | – | 4 503 |
| 14.07 – 99.99% | 131 | 107 | – | – | 238 |
| 100% | – | – | 420 | 67 | 487 |
| without internal rating* | 11 140 | 1 293 | – | – | 12 433 |
| Total | 63 075 | 3 316 | 420 | 67 | 66 878 |
*Pozycja dotyczy głównie ekspozycji wobec Skarbu Państwa oraz linii kredytowych dla transakcji pochodnych.
| EXPOSURE CREDIT RISK BY PD 31.12.2018 |
Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0.00 – 0.45% | 11 636 | 21 | – | – | 11 657 |
| 0.45 – 0.90% | 11 214 | 28 | – | – | 11 242 |
| 0.90 – 1.78% | 7 307 | 69 | – | – | 7 376 |
| 1.78 – 3.55% | 6 838 | 711 | – | – | 7 549 |
| 3.55 – 7.07% | 3 422 | 489 | – | – | 3 911 |
| 7.07 – 14.07% | 4 510 | 718 | – | – | 5 228 |
| 14.07 – 99.99% | 195 | 113 | – | – | 308 |
| 100% | – | – | 260 | 80 | 340 |
| without internal rating* | 11 090 | 1 111 | – | – | 12 201 |
| Total | 56 212 | 3 260 | 260 | 80 | 59 812 |
*This item refers mainly the State Treasury exposures and credit lines for derivative transactions.
Quality of the portfolio covered by the rating model for amounts due from Banks
| 31.12.2019 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| AMOUNTS DUE FROM BANKS | Stage 1 | Stage 2 | Stage 3 | POCI | RAZEM |
| EXTERNAL RATINGS | 4,077 | – | – | – | 4 077 |
| AAA | 462 | – | – | – | 462 |
| AA | 1 107 | – | – | – | 1 107 |
| A | 1 540 | – | – | – | 1 540 |
| BBB | 793 | – | – | – | 793 |
| BB | 1 | – | – | – | 1 |
| B | 174 | – | – | – | 174 |
| INTERNAL RATINGS | 16 | – | – | – | 16 |
| 0.97% | 6 | – | – | – | 6 |
| 3.13% | 10 | – | – | – | 10 |
| TOTAL | 4 093 | – | – | – | 4 093 |
| 31.12.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| AMOUNTS DUE FROM BANKS | Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL |
| EXTERNAL RATINGS | 7 649 | – | – | – | 7 649 |
| AAA | 985 | – | – | – | 985 |
| AA | 2 651 | – | – | – | 2 651 |
| A | 3 263 | – | – | – | 3 263 |
| BBB | 638 | – | – | – | 638 |
| BB | 10 | – | – | – | 10 |
| B | 101 | – | – | – | 101 |
| CCC | 1 | – | – | – | 1 |
| INTERNAL RATINGS | 13 | – | – | – | 13 |
| 0.06% | 4 | – | – | – | 4 |
| 0.97% | 9 | – | – | – | 9 |
| TOTAL | 7 662 | – | – | – | 7 662 |
Quality of the portfolio covered by the rating model for debt securities
| 31.12.2019 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| DEBT SECURITIES | Stage 1 | Stage 2 | Stage 3 | POCI | RAZEM |
| EXTERNAL RATINGS | 63 548 | – | – | – | 63 548 |
| AAA | 1 064 | – | – | – | 1 064 |
| A | 60 195 | – | – | – | 60 195 |
| BBB | 2 207 | – | – | – | 2 207 |
| BB | 82 | – | – | – | 82 |
| INTERNAL RATINGS | 9 878 | 79 | – | 463 | 10 420 |
| 0.00-0.45% | 8 133 | – | – | – | 8 133 |
| 0.45-0.90% | 764 | 77 | – | – | 841 |
| 0.90-1.78% | 162 | 2 | – | – | 164 |
| 1.78-3.55% | 542 | – | – | – | 542 |
| 3.55-7.07% | 31 | – | – | – | 31 |
| 7.07-14.07% | 246 | – | – | – | 246 |
| 100,00% | – | – | – | 463 | 463 |
| without internal rating | 3 314 | – | 4 | – | 3 318 |
| TOTAL | 76 740 | 79 | 4 | 463 | 77 286 |
| 31.12.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| DEBT SECURITIES | Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL |
| EXTERNAL RATINGS | 50 619 | – | – | – | 50 619 |
| AAA | 207 | – | – | – | 207 |
| AA | 91 | – | – | – | 91 |
| A | 45 902 | – | – | – | 45 902 |
| BBB | 3 829 | – | – | – | 3 829 |
| BB | 73 | – | – | – | 73 |
| B | 517 | – | – | – | 517 |
| INTERNAL RATINGS | 9 489 | 447 | 3 | 471 | 10 410 |
| 0.00-0.45% | 7 670 | – | – | – | 7 670 |
| 0.45-0.90% | 908 | 367 | – | – | 1 275 |
| 0.90-1.78% | 221 | 16 | – | – | 237 |
| 1.78-3.55% | 125 | – | – | – | 125 |
| 3.55-7.07% | 315 | – | – | – | 315 |
| 7.07-14.07% | 250 | – | – | – | 250 |
| 14.07-99.99% | – | 64 | – | – | 64 |
| 100,00% | – | – | 3 | 471 | 474 |
| without internal rating | 38 | – | 38 | ||
| TOTAL | 60 146 | 447 | 3 | 471 | 61 067 |