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

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

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PKO Annual
Report Online
2020

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

For many financial instruments, the market values are unattainable hence the fair values presented 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).

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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;
  • PLN corporate bonds secured with State Treasury guarantees – discounted cash flow method, calculated using yield curves, prices available in Bloomberg (BVAL – Bloomberg Valuation Service) and Refinitiv Eikon;
  • corporate and municipal bonds – discounted cash flow method, calculated using profitability curves and credit margins.
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 derived 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 a 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.
Debt securities in issue The Bank: the model of expected cash flows discounted using the current interbank market rates and market quotations.
PKO Bank Hipoteczny S.A.:
  • mortgage covered bonds – listed on the Luxembourg Stock Exchange (in EUR) and on the Warsaw Stock Exchange (in PLN);
  • bonds under the Public Bond Issue Programme – listed on the Catalyst market;
  • bonds of the Bond Issue Programme – the model of expected cash flows discounted using the current interbank market rates and market quotations.
PKO Finance AB: quotations on the Luxembourg Stock Exchange.
PKO Leasing S.A.: the model of expected cash flows discounted using the current market 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.
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level of fair value hierarchy 31.12.2020 31.12.2019
carrying amount fair value carrying amount fair value
Cash and balances with Central Bank nd 7 474 7 474 14 677 14 677
Amounts due from banks 2 2 557 2 557 4 092 4 092
Securities (excluding adjustments relating to fair value hedge accounting) 1, 2, 3 46 522 47 729 13 454 13 518
treasury bonds (in PLN)  1 29 647 30 682 7 406 7 470
treasury bonds (in foreign currencies)  1 39 39 60 60
corporate bonds (in PLN) secured with State Treasury guarantees  1 9 887 10 015 – –
municipal bonds (in PLN)  2 5 060 5 056 4 563 4 563
corporate bonds (in PLN)  1, 2, 3 1 518 1 539 1 083 1 083
corporate bonds (in foreign currencies)  2 371 398 342 342
Reverse repo transactions 2 – – 1 081 1 081
Loans and advances to customers (excluding adjustments relating to fair value hedge accounting)  3 216 590 216 993 221 916 220 927
housing loans 3 116 318 115 054 118 448 116 405
corporate loans 3 58 961 60 134 64 294 65 074
consumer loans 3 22 932 23 386 21 539 21 809
factoring receivables 3 1 628 1 628 1 311 1 311
finance lease receivables 3 16 751 16 791 16 324 16 328
Receivables in respect of insurance activities 3 798 798 858 858
Other financial assets 3 1 937 1 937 1 766 1 766
Amounts due to banks 2 2 626 2 626 1 818 1 818
Repo transactions 3 281 140 281 167 254 771 254 718
Amounts due to customers 3 223 691 223 689 193 769 193 716
amounts due to households 3 43 705 43 734 49 648 49 648
amounts due to business entities 3 13 744 13 744 11 354 11 354
Liabilities in respect of insurance activities 3 1 740 1 740 1 777 1 777
Loans and advances received 3 2 267 2 267 2 779 2 779
Debt securities in issue 1, 2, 3 32 098 32 584 31 148 31 595
Subordinated liabilities 2 2 716 2 768 2 730 2 730
Other financial liabilities 3 3 011 3 011 3 217 3 217
Financial notes 52. Fair value hierarchy
Financial notes 54. Offsetting financial assets and financial liabilities

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