66. Counterparty credit risk exposure
Report Online
2020
| CONCENTRATION OF CREDIT RISK – INTERBANK MARKET AND NON-WHOLESALE MARKET – EXPOSURE AS AT 31.12.2020* | ||||||||
|---|---|---|---|---|---|---|---|---|
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | Total | |||
| Deposit (nominal value) | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | ||||||
| Counterparty 1 | Poland | A | – | 13 | 3 513 | – | – | 3 526 |
| Counterparty 2 | Luxembourg | AAA | – | – | 2 344 | – | – | 2 344 |
| Counterparty 3 | Belgium | A | 167 | 5 | – | – | – | 172 |
| Counterparty 4 | Poland | A | – | (1) | 2 | 150 | – | 152 |
| Counterparty 5 | United Kingdom | AA | – | 135 | – | – | – | 135 |
| Counterparty 6 | Germany | BBB | – | 130 | – | – | – | 130 |
| Counterparty 7 | France | A | – | (85) | – | 125 | – | 125 |
| Counterparty 8 | Finland | AA | – | (142) | – | 1 | 110 | 111 |
| Counterparty 9 | Ireland | AA | 105 | – | – | – | – | 105 |
| Counterparty 10 | Germany | BBB | 8 | 78 | – | – | – | 86 |
| Counterparty 11 | France | A | – | (3) | – | 72 | – | 72 |
| Counterparty 12 | United States of America | AA | 56 | – | – | – | – | 56 |
| Counterparty 13 | Poland | BBB | – | 48 | 1 | – | – | |
| Counterparty 14 | Norway | AA | – | 37 | – | – | – | 37 |
| Counterparty 15 | Luxembourg | A | – | – | – | 2 | 18 | 20 |
| Counterparty 16 | Ireland | A | – | 17 | – | – | – | 17 |
| Counterparty 17 | United States of America | AA | – | (17) | – | 1 | 12 | 13 |
| Counterparty 18 | France | A | – | 11 | – | – | – | 11 |
| Counterparty 19 | Poland | none | – | 8 | – | – | – | 8 |
| Counterparty 20 | Austria | A | 8 | – | – | – | – | 8 |
| CONCENTRATION OF CREDIT RISK – INTERBANK MARKET AND NON-WHOLESALE MARKET – EXPOSURE AS AT 31.12.2019* | ||||||||
|---|---|---|---|---|---|---|---|---|
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | Total | |||
| Deposit (nominal value) | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | ||||||
| Counterparty 2 | Supranational institution | AAA | – | 3 | 1 017 | – | – | 1 020 |
| Counterparty 72 | Austria | BBB | 681 | – | – | – | – | 681 |
| Counterparty 59 | Switzerland | AAA | 456 | (11) | – | – | – | 456 |
| Counterparty 73 | United Kingdom | A | 341 | – | – | – | – | 341 |
| Counterparty 74 | United States of America | AA | 266 | – | – | – | – | 266 |
| Counterparty 68 | Austria | A | 199 | -5 | – | – | – | 199 |
| Counterparty 4 | Poland | A | – | 1 | 1 | 150 | – | 152 |
| Counterparty 8 | Finland | AA | – | (88) | – | 20 | 123 | 144 |
| Counterparty 9 | Ireland | AA | 110 | – | – | – | – | 110 |
| Counterparty 17 | United States of America | AA | – | 88 | – | 5 | 5 | 98 |
| Counterparty 75 | Denmark | A | 74 | (2) | – | – | – | 74 |
| Counterparty 5 | United Kingdom | AA | – | 70 | – | – | – | 70 |
| Counterparty 6 | Germany | BBB | – | 67 | – | – | – | 67 |
| Counterparty 13 | Polska | BBB | – | 39 | – | – | – | 39 |
| Counterparty 21 | United Kingdom | A | – | 36 | – | – | – | 36 |
| Counterparty 50 | United Kingdom | A | – | 32 | – | – | – | 32 |
| Counterparty 57 | Germany | AA | – | 27 | – | – | – | 27 |
| Counterparty 54 | Germany | BBB | – | 25 | – | – | – | 25 |
| Counterparty 15 | Luxembourg | AA | – | – | – | – | 20 | 20 |
| Counterparty 11 | France | A | – | 20 | – | – | – | 20 |
The Group has access to two clearing houses through which it settles interest rate derivative transactions specified in the EMIR Regulation with selected domestic and foreign counterparties. In order to limit the credit risk in respect of derivative transactions and securities transactions, the Group concludes with its counterparties framework agreements (under the ZBP, ISDA and ICMA standards). The framework agreements allow to offset mutual amounts payable (reduction of the settlement risk) and non-payable (reduction of pre-settlement risk), resulting from transactions, and also utilize the close-out netting mechanism upon termination of the framework agreement as a result of default or an event justifying termination with regard to one or both parties to the agreement.
Moreover, the Group concludes with its counterparties collateral agreements (CSA – Credit Support Annex under the ISDA standard, or a Collateral Agreement under the ZBP standard), under which each party undertakes, upon meeting the premises stipulated therein, to establish an appropriate collateral together with the right to offset. Exemptions include derivative transactions concluded between members of the Group: PKO Bank Polski S.A. and PKO Bank Hipoteczny S.A., which were exempted from the obligation to replacing collaterals under the EMIR Regulation.