54. Offsetting financial assets and financial liabilities

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PKO Annual
Report Online
2020

The Group enters into offsetting arrangements, i.e. International Swaps and Derivatives Association Master Agreements (ISDA) and Global Master Repurchase Agreements (GMRA), which make it possible to offset financial assets and liabilities (final deduction and settlement of the transaction so-called close out netting) in the event of an infringement with respect to one of the parties of the agreement. These agreements are of particular importance to mitigate the risk posed by derivative instruments, because they enable offsetting both matured liabilities (mitigating the settlement risk) and non-matured liabilities of the parties (mitigating the pre-settlement risk). However, these agreements do not meet the requirements set out in IAS 32, because the right to offset is conditional on the occurrence of a specific future event (instances of infringement).

Exposures arising from derivatives are further secured by margin deposits provided by counterparties as part of executing CSA (Credit Support Annex).

OFFSETTING ASSETS Total financial assets Derivatives Repo transactions
31.12.2020
Recognized financial assets, gross 6 464 6 464
Financial liabilities subject to offsetting, gross (5) (5)
Financial assets recognized in the statement of financial position, net 6 459 6 459
Amounts subject to enforceable framework agreement or similar agreement concerning offsetting, including related to: 1 093 1 093
(i) recognized financial instruments which do not meet the offsetting criteria 516 516
(ii) financial collateral (including cash) 577 577
Net amount 5 366 5 366

OFFSETTING LIABILITIES Total financial liabilities Derivatives Repo transactions
31.12.2020
Recognized financial liabilities, gross 6 487 6 487
Financial assets subject to offsetting, gross (5) (5)
Financial liabilities recognized in the statement of financial position, net 6 482 6 482
Amounts subject to enforceable framework agreement or similar agreement concerning offsetting, including related to: 993 993
(i) recognized financial instruments which do not meet the offsetting criteria 516 516
(ii) financial collateral (including cash) 477 477
Net amount 5 489 5 489

OFFSETTING ASSETS Total financial assets Derivatives Repo transactions
31.12.2019
Recognized financial assets, gross 4 521 3 440 1 081
Financial assets recognized in the statement of financial position, net 4 521 3 440 1 081
Amounts subject to enforceable framework agreement or similar agreement concerning offsetting, including related to: 2 486 2 486
(i) recognized financial instruments which do not meet the offsetting criteria 1 744 1 744
(ii) financial collateral (including cash) 742 742
Net amount 2 035 954 1 081

OFFSETTING LIABILITIES Total financial liabilities Derivatives Repo transactions
31.12.2019
Recognized financial liabilities, gross 3 513 3 513
Financial liabilities recognized in the statement of financial position, net 3 513 3 513
Amounts subject to enforceable framework agreement or similar agreement concerning offsetting, including related to: 2 540 2 540
(i) recognized financial instruments which do not meet the offsetting criteria 1 744 1 744
(ii) financial collateral (including cash) 796 796
Net amount 973 973

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