60. Credit risk – financial information
Exposure to credit risk
The table below presents the maximum exposure for credit risk – balance sheet financial instruments for which the impairment requirements do not apply:
2018
| Maximum exposure to credit risk – balance sheet financial instruments not subject to impairment requirements | 31.12.2018 | 01.01.2018 |
|---|---|---|
| Hedging derivatives | 658 | 887 |
| Other derivative instruments | 1 907 | 1 699 |
| Securities: | 3 083 | 5 121 |
| held for trading | 235 | 431 |
| not held for trading, measured at fair value through profit or loss | 2 848 | 4 690 |
| Loans and advances to customers not held for trading, measured at fair value through profit or loss | 1 106 | 1 070 |
| housing | 27 | 37 |
| business | 148 | 182 |
| consumer | 931 | 851 |
| Total | 6 754 | 8 777 |
| Maximum exposure to credit risk – balance sheet financial instruments not subject to impairment requirements | 31.12.2017 |
|---|---|
| Hedging derivatives | 887 |
| Other derivative instruments | 1 711 |
| Securities: | 8 588 |
| held for trading | 431 |
| financial instruments designated at fair value through profit or loss upon initial recognition | 8 157 |
| Total | 11 186 |
Past due financial assets subject to impairment or impaired
| Exposures past due as at 31.12.2018 | Assets with no significant increase in credit risk since initial recognition (stage 1) | Assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) | Credit-impaired assets (stage 3) | TOTAL EXPOSURES PAST DUE | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| up to 30 days | 30 to 90 days | over 90 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | up to 30 days | 30 to 90 days | over 90 days | TOTAL | ||
| Loans and advances to customers: | 2 155 | – | – | 2 155 | 1 966 | 1 149 | 8 | 3 123 | 205 | 273 | 2 244 | 2 722 | 8 000 |
| loans | 989 | – | – | 989 | 1 062 | 726 | 8 | 1 796 | 160 | 174 | 2 114 | 2 448 | 5 233 |
| housing | 392 | – | – | 392 | 742 | 168 | – | 910 | 62 | 75 | 429 | 566 | 1 868 |
| business | 303 | – | – | 303 | 146 | 467 | 8 | 621 | 62 | 60 | 1 346 | 1 468 | 2 392 |
| consumer | 294 | – | – | 294 | 174 | 91 | – | 265 | 36 | 39 | 339 | 414 | 973 |
| finance lease receivables | 1 166 | – | – | 1 166 | 904 | 423 | – | 1 327 | 45 | 99 | 130 | 274 | 2 767 |
| Other financial assets | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Total, net | 2 155 | – | – | 2 155 | 1 966 | 1 149 | 8 | 3 123 | 205 | 273 | 2 244 | 2 722 | 8 000 |
| Exposures past due 31.12.2017 |
up to 30 days | 30 to 90 days | over 90 days | TOTAL |
|---|---|---|---|---|
| Debt securities: | – | – | 3 | 3 |
| corporate bonds (in foreign currencies) | – | – | 3 | 3 |
| Amounts due from banks | – | – | 1 | 1 |
| Loans and advances to customers: | 4 541 | 976 | 2 765 | 8 282 |
| loans | 2 762 | 606 | 2 639 | 6 007 |
| housing | 1 222 | 320 | 596 | 2 138 |
| business | 1 066 | 153 | 1 555 | 2 774 |
| consumer | 474 | 133 | 488 | 1 095 |
| finance lease receivables | 1 779 | 370 | 126 | 2 275 |
| Other financial assets | 1 | – | 1 | 2 |
| Total, net | 4 542 | 976 | 2 770 | 8 288 |
The Group takes into account PLN 500 of matured for credit exposures to individuals and PLN 3 000 of matured other credit exposures to specify whether a loan is overdue.
Loans and advances to customers were secured by the following collateral established for the PKO Bank Polski SA Group: mortgages, registered pledges, transfer of ownership, restrictions on a deposit account, insurance of the credit exposure, as well as guarantees and sureties.
In the evaluation performed, it was found that in respect of the above financial assets, the expected cash flows fully cover the carrying amount of these exposures.
Modifications
The table below presents information on financial assets which were modified and for which the write-down on expected credit losses is calculated as the credit loss during the term of the exposure (Phases 2 and 3).
| Financial assets subject to modification | 31.12.2018 | |
|---|---|---|
| Financial assets subject to modification during the period: | Stage 2 | Stage 3 |
| measurement at amortized cost before modification | 350 | 349 |
| gain/loss on modification | – | (7) |
| Financial assets subject to modification since initial recognition: | 31.12.2018 | |
| gross carrying amount of financial assets subject to modification for which expected losses were calculated over the lifetime and which are classified as Stage 1 after modification | 103 | |
Receivables written off during the debt recovery periods
The table below presents the outstanding amounts to be repaid from financial assets, which were written off during the reporting period and which are still the subject of debt recovery activities.
| Receivables written off | 2018 | |
|---|---|---|
| Partly written off | Wholly written off | |
| Securities | ||
| measured at fair value through OCI | 3 | – |
| Loans and advances to customers | ||
| measured at amortized cost | 1 980 | 1 217 |
| housing | 515 | 527 |
| business | 1 154 | 500 |
| consumer | 311 | 190 |
| finance lease receivables | – | 14 |
| Total | 1 983 | 1 231 |
The Group adopted the following criteria for writing down receivables:
- the receivable has fully matured and is in particular the consequence of a loan, advance, contractual overdraft, guarantee or warranty of loan, advance or bond repayment,
- in accordance with IAS and IFRS the allowance for expected loan losses:
- covers 100% of the gross carrying amount of the asset; or
- exceeds 90% of the gross carrying amount of the asset, and:
- actions have been or still are taken in respect of the receivable which did not lead to its recovery, and the assessment of the probability of recovering the receivable which in particular accounts for the determinations of the bailiff or the receiver, transferability of collateral, category of satisfaction, mortgage register item indicate inability to recover the whole receivable; or
- during the last 12 calendar months amounts paid towards the repayment of the receivable did not cover the interest accrued on a current basis.
Quality of the portfolio covered by the trading model for commercial, housing and consumer loans
| Exposure credit risk by PD 31.12.2018 |
Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| HOUSING LOANS | 106 561 | 5 960 | 2 154 | 106 | 114 781 |
| 0,00 – 0,02% | 7 729 | 15 | – | – | 7 744 |
| 0,02 – 0,07% | 28 309 | 66 | – | – | 28 375 |
| 0,07 – 0,11% | 13 546 | 52 | – | 1 | 13 599 |
| 0,11 – 0,18% | 16 717 | 145 | – | – | 16 862 |
| 0,18 – 0,45% | 22 513 | 321 | – | 5 | 22 839 |
| 0,45 – 1,78% | 10 969 | 568 | – | 9 | 11 546 |
| 1,78 – 99,99% | 2 442 | 4 773 | – | 19 | 7 234 |
| 100% | – | – | 2 154 | 72 | 2 226 |
| without internal rating1 | 4 336 | 20 | – | – | 4 356 |
| BUSINESS LOANS (including finance lease receivables) | 64 115 | 8 422 | 6 846 | 513 | 79 896 |
| 0,00 – 0,45% | 7 515 | 1 | – | – | 7 516 |
| 0,45 – 0,90% | 8 694 | 58 | – | – | 8 752 |
| 0,90 – 1,78% | 7 709 | 95 | – | – | 7 804 |
| 1,78 – 3,55% | 10 978 | 785 | – | – | 11 763 |
| 3,55 – 7,07% | 20 671 | 2 252 | – | 18 | 22 941 |
| 7,07 – 14,07% | 7 714 | 2 156 | – | 1 | 9 871 |
| 14,07 – 99,99% | 545 | 2 898 | – | 3 | 3 446 |
| 100% | – | – | – | 491 | 491 |
| without internal rating1 | 289 | 177 | 6 846 | – | 7 312 |
| CONSUMER LOANS | 23 664 | 1 786 | 1 776 | 55 | 27 281 |
| 0,00 – 0,45% | 4 012 | 25 | – | – | 4 037 |
| 0,45 – 0,90% | 6 864 | 48 | – | – | 6 912 |
| 0,90 – 1,78% | 5 827 | 64 | – | – | 5 891 |
| 1,78 – 3,55% | 3 742 | 178 | – | – | 3 920 |
| 3,55 – 7,07% | 1 537 | 293 | – | – | 1 830 |
| 7,07 – 14,07% | 871 | 340 | – | – | 1 211 |
| 14,07 – 99,99% | 302 | 746 | – | – | 1 048 |
| 100% | – | – | 1 776 | 55 | 1 831 |
| without internal rating1 | 509 | 92 | – | – | 601 |
| Total | 194 340 | 16 168 | 10 776 | 674 | 221 958 |
1 This item refers to the low credit risk exposures of Housing Communities and Cooperatives.
| Exposure to credit risk by PD
01.01.2018 |
Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| HOUSING LOANS | 100 206 | 5 016 | 3 483 | 133 | 108 838 |
| 0,00 – 0,02% | 7 360 | 8 | – | – | 7 368 |
| 0,02 – 0,07% | 26 143 | 40 | – | – | 26 183 |
| 0,07 – 0,11% | 12 668 | 30 | – | – | 12 698 |
| 0,11 – 0,18% | 15 829 | 46 | – | 2 | 15 877 |
| 0,18 – 0,45% | 21 622 | 134 | – | 6 | 21 762 |
| 0,45 – 1,78% | 9 867 | 288 | – | 9 | 10 164 |
| 1,78 – 99,99% | 2 590 | 4 443 | – | 26 | 7 059 |
| 100% | – | – | 3 483 | 90 | 3 573 |
| without internal rating 1 | 4 127 | 27 | – | – | 4 154 |
| BUSINESS LOANS (including finance lease receivables) | 57 792 | 8 206 | 8 488 | 161 | 74 647 |
| 0,00 – 0,45% | 7 194 | 2 | – | – | 7 196 |
| 0,45 – 0,90% | 7 045 | 52 | – | – | 7 097 |
| 0,90 – 1,78% | 6 262 | 26 | – | – | 6 288 |
| 1,78 – 3,55% | 9 368 | 535 | – | – | 9 903 |
| 3,55 – 7,07% | 18 749 | 1 866 | – | – | 20 615 |
| 7,07 – 14,07% | 7 946 | 2 114 | – | – | 10 060 |
| 14,07 – 99,99% | 866 | 3 366 | – | – | 4 232 |
| 100% | – | – | 8 488 | 161 | 8 649 |
| without internal rating 1 | 362 | 245 | 607 | ||
| CONSUMER LOANS | 21 661 | 1 608 | 2 322 | 69 | 25 660 |
| 0,00 – 0,45% | 3 923 | 10 | – | – | 3 933 |
| 0,45 – 0,90% | 6 183 | 17 | – | – | 6 200 |
| 0,90 – 1,78% | 5 210 | 31 | – | – | 5 241 |
| 1,78 – 3,55% | 3 316 | 84 | – | – | 3 400 |
| 3,55 – 7,07% | 1 401 | 237 | – | – | 1 638 |
| 7,07 – 14,07% | 778 | 295 | – | – | 1 073 |
| 14,07 – 99,99% | 316 | 655 | – | – | 971 |
| 100% | – | – | 2 322 | 69 | 2 391 |
| without internal rating 1 | 534 | 279 | – | 813 | |
| Total | 179 659 | 14 830 | 14 293 | 363 | 209 145 |
1 This item refers to the low credit risk exposures of Housing Communities and Cooperatives.
Distribution of the portfolio encompassed by the rating model for off-balance sheet liabilities
| Exposure credit risk by PD 31.12.2018 |
Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0,00 – 0,45% | 11 636 | 21 | – | – | 11 657 |
| 0,45 – 0,90% | 11 214 | 28 | – | – | 11 242 |
| 0,90 – 1,78% | 7 307 | 69 | – | – | 7 376 |
| 1,78 – 3,55% | 6 838 | 711 | – | – | 7 549 |
| 3,55 – 7,07% | 3 422 | 489 | – | – | 3 911 |
| 7,07 – 14,07% | 4 510 | 718 | – | – | 5 228 |
| 14,07 – 99,99% | 195 | 113 | – | – | 308 |
| 100% | – | – | 260 | 80 | 340 |
| without internal rating 1 | 11 090 | 1 111 | – | – | 12 201 |
| Total | 56 212 | 3 260 | 260 | 80 | 59 812 |
1This item refers to the low credit risk exposures of the State Treasury.
| Exposure to credit risk by PD 01.01.2018 |
Carrying amount, gross | ||||
| Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0,00 – 0,45% | 10 643 | 22 | – | – | 10 665 |
| 0,45 – 0,90% | 9 054 | 20 | – | – | 9 074 |
| 0,90 – 1,78% | 7 092 | 10 | – | – | 7 102 |
| 1,78 – 3,55% | 8 225 | 74 | – | – | 8 299 |
| 3,55 – 7,07% | 4 510 | 164 | – | – | 4 674 |
| 7,07 – 14,07% | 3 190 | 214 | – | – | 3 404 |
| 14,07 – 99,99% | 650 | 52 | – | – | 702 |
| 100% | – | – | 706 | – | 706 |
| without internal rating 1 | 8 868 | 1 117 | – | – | 9 985 |
| Total | 52 232 | 1 673 | 706 | – | 54 611 |
1 This item refers to the low credit risk exposures of the State Treasury.
| 31.12.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| Amounts due from banks | Stage 1 | Stage 2 | Stage3 | POCI | TOTAL |
| EXTERNAL RATINGS | 7 649 | – | – | – | 7 649 |
| AAA | 985 | – | – | – | 985 |
| AA | 2 651 | – | – | – | 2 651 |
| A | 3 263 | – | – | – | 3 263 |
| BBB | 638 | – | – | – | 638 |
| BB | 10 | – | – | – | 10 |
| B | 101 | – | – | – | 101 |
| CCC | 1 | – | – | – | 1 |
| INTERNAL RATINGS | 13 | – | – | – | 13 |
| 0,06% | 4 | 4 | |||
| 0,97% | 9 | – | – | – | 9 |
| TOTAL | 7 662 | – | – | – | 7 662 |
| 31.12.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| Debt securities | Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL |
| EXTERNAL RATINGS | 50 619 | – | – | – | 50 619 |
| AAA | 207 | – | – | – | 207 |
| AA | 91 | – | – | – | 91 |
| A | 45 902 | – | – | – | 45 902 |
| BBB | 3 829 | – | – | – | 3 829 |
| BB | 73 | – | – | – | 73 |
| B | 517 | – | – | – | 517 |
| CCC | – | – | – | – | – |
| INTERNAL RATINGS | 9 489 | 447 | 3 | 471 | 10 410 |
| 0,00-0,45% | 7 670 | – | – | – | 7 670 |
| 0,45-0,90% | 908 | 367 | – | – | 1 275 |
| 0,90-1,78% | 221 | 16 | – | – | 237 |
| 1,78-3,55% | 125 | – | – | – | 125 |
| 3,55-7,07% | 315 | – | – | – | 315 |
| 7,07-14,07% | 250 | – | – | – | 250 |
| 14,07-99,99% | – | 64 | – | – | 64 |
| 100,00% | – | – | 3 | 471 | 474 |
| without internal rating | 38 | – | 38 | ||
| TOTAL | 60 146 | 447 | 3 | 471 | 61 067 |
| 01.01.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| Amounts due from banks | Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL |
| EXTERNAL RATINGS | 4 066 | – | – | – | 4 066 |
| AAA | 7 | – | – | – | 7 |
| AA | 1 030 | – | – | – | 1 030 |
| A | 2 340 | – | – | – | 2 340 |
| BBB | 585 | – | – | – | 585 |
| BB | 21 | – | – | – | 21 |
| B | 4 | – | – | – | 4 |
| CCC | 79 | – | – | – | 79 |
| INTERNAL RATINGS | 1 167 | – | – | – | 1 167 |
| 0,01% | 60 | – | – | – | 60 |
| 0,02% | 9 | – | – | – | 9 |
| 0,06% | 1 014 | – | – | – | 1 014 |
| 0,20% | 33 | – | – | – | 33 |
| 0,97% | 51 | – | – | – | 51 |
| TOTAL | 5 233 | – | – | – | 5 233 |
| 01.01.2018 | Carrying amount, gross | ||||
|---|---|---|---|---|---|
| Debt securities | Stage 1 | Stage 2 | Stage 3 | POCI | TOTAL |
| EXTERNAL RATINGS | 44 809 | – | – | – | 44 809 |
| AAA | 130 | – | – | – | 130 |
| A | 40 199 | – | – | – | 40 199 |
| BBB | 3 445 | – | – | – | 3 445 |
| BB | 599 | – | – | – | 599 |
| B | 436 | – | – | – | 436 |
| INTERNAL RATINGS | 8 137 | – | – | 473 | 8 610 |
| 0,00-0,45% | 6 214 | – | – | – | 6 214 |
| 0,45-0,90% | 752 | – | – | – | 752 |
| 0,90-1,78% | 385 | – | – | – | 385 |
| 1,78-3,55% | 198 | – | – | – | 198 |
| 3,55-7,07% | 23 | – | – | – | 23 |
| 7,07-14,07% | 420 | – | – | – | 420 |
| 14,07-99,99% | 145 | – | – | – | 145 |
| 100,00% | – | – | – | 473 | 473 |
| without internal rating | 13 | – | – | – | 13 |
| TOTAL | 52 959 | – | – | 473 | 53 432 |
Impaired exposures include balance sheet credit exposures that satisfy the premises of impairment, except for those for which the differences that were found during the measurement of impairment using the individualized method between the gross carrying amount (or the balance sheet equivalent of its off-balance sheet part) and the value of the expected cash flows cash are immaterial (do not exceed the level explained by the potential error of expert estimates).
Internal ratings (data for 2017 according to IAS 39)
Taking into account the nature of the Group’s operations and the volume of credit and lease receivables, the most important portfolios are the ones managed by the Bank and PKO Leasing SA.
Exposures to corporate customers which are not individually impaired are classified according to customer rating as part of the internal rating classes, from A to G (in respect of financial institutions from A to F).
The following portfolios are covered by the rating system:
- corporate market customers;
- firms and enterprises (excluding certain product groups assessed in a simplified manner).
Loans and advances which are not individually impaired and are not rated, are characterized with a satisfactory level of credit risk. This applies in particular to retail loans (including housing loans) which do not have individually significant exposures and therefore do not give rise to significant credit risk.
| Financial assets not impaired, not past due | 31.12.2017 |
|---|---|
| Loans and advances to customers | 196 406 |
| business loans | 50 584 |
| A (first rate) | 875 |
| B (very good) | 5 616 |
| C (good) | 9 575 |
| D (satisfactory) | 9 236 |
| E (average) | 11 205 |
| F (acceptable) | 10 541 |
| G (poor) | 3 536 |
| consumer and housing loans | 119 712 |
| A (first rate) | 105 780 |
| B (very good) | 8 976 |
| C (good) | 3 054 |
| D (average) | 1 216 |
| E (acceptable) | 686 |
| PKO Leasing SA Group | 4 851 |
| A (good) | 3 281 |
| B (average) | 1 365 |
| C (risky) | 205 |
| without an internal rating – customers from the financial, non-financial and public sectors (consumer loans, housing loans and other) | 21 259 |
| Available-for-sale debt securities | 5 147 |
| A (first rate) | 55 |
| B (very good) | 409 |
| C (good) | 1 061 |
| D (satisfactory) | 1 589 |
| E (average) | 1 131 |
| F (acceptable) | 795 |
| G (poor) | 74 |
| G3 (low) | 33 |
| TOTAL | 201 553 |