64. Exposure to the counterparty credit risk
Credit risk of financial institutions on the wholesale and non-wholesale market
2018
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | Total | |||
| Deposit | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | Nominal amount of balance sheet exposure | Nominal amount of off-balance sheet exposure | ||||
| Counterparty 1 | Switzerland | AAA | 985 | (1) | – | – | – | 985 |
| Counterparty 2 | Finland | AA | 600 | (24) | – | 13 | 100 | 713 |
| Counterparty 3 | Belgium | A | 700 | 1 | – | – | – | 701 |
| Counterparty 4 | Austria | A | 581 | – | – | – | – | 581 |
| Counterparty 5 | Norway | A | 515 | – | – | – | – | 515 |
| Counterparty 6 | Switzerland | AA | 493 | – | – | – | – | 493 |
| Counterparty 7 | Austria | BBB | 467 | – | – | – | – | 467 |
| Counterparty 8 | Poland | A | – | 1 | 400 | – | – | 401 |
| Counterparty 9 | Switzerland | AA | 400 | – | – | – | – | 400 |
| Counterparty 10 | Switzerland | AA | 376 | – | – | – | – | 376 |
| Counterparty 11 | China | A | 280 | – | – | – | – | 280 |
| Counterparty 12 | Supranational institution | AAA | – | (1) | 200 | – | – | 200 |
| Counterparty 13 | Ireland | AA | 194 | – | – | – | – | 194 |
| Counterparty 14 | Switzerland | AA | 146 | – | – | – | – | 146 |
| Counterparty 15 | Poland | A | – | – | – | 140 | – | 140 |
| Counterparty 16 | Italy | BBB | 99 | – | – | – | – | 99 |
| Counterparty 17 | UK | AA | – | 97 | – | – | – | 97 |
| Counterparty 18 | USA | AA | – | 71 | – | – | 10 | 81 |
| Counterparty 19 | Poland | BBB | – | 51 | 28 | – | – | 79 |
| Counterparty 20 | Germany | BBB | – | 76 | – | – | – | 76 |
1 Excluding exposures to the State Treasury and the National Bank of Poland.
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | Total | |||
| Deposit | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | Nominal amount of balance sheet exposure | Nominal amount of off-balance sheet exposure | ||||
| Counterparty 3 | Belgium | BBB | 692 | (6) | – | – | – | 692 |
| Counterparty 40 | Germany | AA | 592 | – | – | – | – | 592 |
| Counterparty 66 | Belgium | A | 480 | – | – | – | – | 480 |
| Counterparty 8 | Poland | A | – | – | 400 | – | – | 400 |
| Counterparty 7 | Austria | BBB | 396 | – | – | – | – | 396 |
| Counterparty 11 | China | A | 332 | – | – | – | – | 332 |
| Counterparty 2 | Sweden | AA | 190 | 84 | – | 27 | 25 | 326 |
| Counterparty 12 | Supranational institution | AAA | 170 | 16 | 130 | – | – | 316 |
| Counterparty 4 | Austria | A | 209 | – | – | – | – | 209 |
| Counterparty 22 | France | A | – | 171 | – | – | – | 171 |
| Counterparty 18 | USA | AA | – | 103 | – | – | 60 | 163 |
| Counterparty 15 | Poland | A | – | – | – | 150 | – | 150 |
| Counterparty 17 | UK | AA | – | 120 | – | – | – | 120 |
| Counterparty 67 | USA | A | 115 | – | – | – | – | 115 |
| Counterparty 21 | France | A | – | 88 | – | – | – | 88 |
| Counterparty 19 | Poland | BBB | 10 | 44 | – | – | – | 54 |
| Counterparty 25 | Denmark | A | 50 | (3) | – | – | – | 50 |
| Counterparty 64 | Poland | B | 50 | – | 50 | |||
| Counterparty 26 | Poland | A | – | 47 | – | – | – | 47 |
| Counterparty 68 | Poland | None | 44 | – | 44 | |||
1 Excluding exposures to the State Treasury and the National Bank of Poland.
As at 31 December 2018 and 31 December 2017, the Group had access to two clearing houses (as an indirect participant in one, and as a direct participant in the other) through which the Bank settled interest rate derivatives referred to in the EMIR Regulation (Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, including the related delegated and executive regulations) with selected domestic and foreign counterparties. In nominal terms, the share of transactions cleared centrally was 77% of the entire IRS/OIS portfolio, and in the case of FRA, all transactions were submitted for clearing to clearing houses.