66. Counterparty credit risk exposure

logo
PKO Annual
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
* Excluding exposure to the State Treasury and the National Bank of Poland.

 

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.

Search results: