60. Exposure to counterparty credit risk
Annual Report
2019
2019
| CONCENTRATION OF CREDIT RISK – INTERBANK AND WHOLESALE MARKETS – EXPOSURE AS AT 31.12.2019* | ||||||||
|---|---|---|---|---|---|---|---|---|
| Interbank market – wholesale | Non-wholesale market | |||||||
| Counterparty | Country | Rating | Deposit | Derivatives (market value, excluding collateral if positive) |
Securities (nominal value) |
Nominal balance sheet exposure |
Nominal offbalance sheet exposure |
Total |
| Counterparty 1 | supranational institution |
AAA | – | 3 | 1 017 | – | – | 1 020 |
| Counterparty 2 | Austria | BBB | 681 | – | – | – | – | 681 |
| Counterparty 3 | Switzerland | AAA | 456 | (11) | – | – | – | 456 |
| Counterparty 4 | UK | A | 341 | – | – | – | – | 341 |
| Counterparty 5 | USA | AA | 266 | – | – | – | – | 266 |
| Counterparty 6 | Austria | A | 199 | (5) | – | – | – | 199 |
| Counterparty 7 | Poland | A | – | 1 | 1 | 150 | – | 152 |
| Counterparty 8 | Finland | AA | – | (88) | – | 20 | 123 | 144 |
| Counterparty 9 | Ireland | AA | 110 | – | – | – | – | 110 |
| Counterparty 10 | USA | AA | – | 88 | – | 5 | 5 | 98 |
| Counterparty 11 | Denmark | A | 74 | (2) | – | – | – | 74 |
| Counterparty 12 | UK | AA | – | 70 | – | – | – | 70 |
| Counterparty 13 | Germany | BBB | – | 67 | – | – | – | 67 |
| Counterparty 14 | Poland | BBB | – | 39 | – | – | – | 39 |
| Counterparty 15 | UK | A | – | 36 | – | – | – | 36 |
| Counterparty 16 | UK | A | – | 32 | – | – | – | 32 |
| Counterparty 17 | Germany | AA | – | 27 | – | – | – | 27 |
| Counterparty 18 | Germany | BBB | – | 25 | – | – | – | 25 |
| Counterparty 19 | Luxembourg | AA | – | – | – | 0 | 20 | 20 |
| Counterparty 20 | France | A | – | 20 | – | – | – | 20 |
*Excluding exposure to the State Treasury and the National Bank of Poland.
| CONCENTRATION OF CREDIT RISK – INTERBANK AND WHOLESALE MARKETS – EXPOSURE AS AT 31.12.2018* | ||||||||
|---|---|---|---|---|---|---|---|---|
| Interbank market – wholesale | Non-wholesale market | |||||||
| Counterparty | Country | Rating | Deposit | Derivatives (market value, excluding collateral if positive) |
Securities (nominal value) |
Nominal balance sheet exposure |
Nominal offbalance sheet exposure |
Total |
| Counterparty 3 | Switzerland | AAA | 985 | (1) | – | – | – | 985 |
| Counterparty 8 | Finland | AA | 600 | (24) | – | 13 | 100 | 713 |
| Counterparty 30 | Belgium | A | 700 | 1 | – | – | – | 701 |
| Counterparty 6 | Austria | A | 581 | – | – | – | – | 581 |
| Counterparty 35 | Norway | A | 515 | – | – | – | – | 515 |
| Counterparty 64 | Switzerland | AA | 493 | – | – | – | – | 493 |
| Counterparty 21 | Austria | BBB | 467 | – | – | – | – | 467 |
| Counterparty 65 | Poland | A | – | 1 | 400 | – | – | 401 |
| Counterparty 66 | Switzerland | AA | 400 | – | – | – | – | 400 |
| Counterparty 67 | Switzerland | AA | 376 | – | – | – | – | 376 |
| Counterparty 68 | China | A | 280 | – | – | – | – | 280 |
| Counterparty 1 | supranational institution |
AAA | – | (1) | 200 | – | – | 200 |
| Counterparty 9 | Ireland | AA | 194 | – | – | – | – | 194 |
| Counterparty 69 | Switzerland | AA | 146 | – | – | – | – | 146 |
| Counterparty 7 | Poland | A | – | – | – | 140 | – | 140 |
| Counterparty 70 | Italy | BBB | 99 | – | – | – | – | 99 |
| Counterparty 12 | UK | AA | – | 97 | – | – | – | 97 |
| Counterparty 10 | USA | AA | – | 71 | – | – | 10 | 81 |
| Counterparty 14 | Poland | BBB | – | 51 | 28 | – | – | 79 |
| Counterparty 13 | Germany | BBB | – | 76 | – | – | – | 76 |
*Excluding exposure to the State Treasury and the National Bank of Poland.
As at 31 December 2019 and 31 December 2018, the Group had access to two clearing houses (in one, as an indirect participant, and in the other – as a direct participant), through which it cleared interest rate derivative transactions specified in the EMIR Regulation and the related delegated and executive regulations, with selected domestic and foreign counterparties. In nominal terms, the share of transactions cleared centrally was 93% of the entire IRS/OIS portfolio, and in the case of FRA, all transactions were submitted for clearing to clearing houses.