-A A+ PL
Notes 65. Risk management of foreign currency loans and advances to customers, by currency

65. Risk management of foreign currency loans and advances to customers, by currency

Annual report
2018

Loans and advances to customers (excluding adjustments relating to fair value hedge accounting)

LOANS AND ADVANCES TO CUSTOMERS BY CURRENCY (excluding adjustments relating to fair value hedge accounting)
31.12.2018		 PLN CHF EUR USD Other Total
Not held for trading, measured at fair value through profit or loss
Loans and advances to customers 1 106 – – – – 1 106
housing 27 – – – – 27
corporate 148 – – – – 148
consumer 931 – – – – 931
Not held for trading, measured at fair value through profit or loss 1 106 – – – – 1 106
Measured at amortized cost
Gross loans 166 902 24 015 12 807 1 995 1 253 206 972
housing 88 157 23 265 3 155 58 146 114 781
business 52 193 505 9 628 1 935 649 64 910
consumer 26 552 245 24 2 458 27 281
Receivables in respect of repurchase agreements 51 – – – – 51
Finance lease receivables 11 039 22 3 607 256 62 14 986
Allowances for expected credit losses (6 724) (826) (372) (139) (143) (8 204)
Measured at amortized cost, net 171 268 23 211 16 042 2 112 1 172 213 805
Total 172 374 23 211 16 042 2 112 1 172 214 911

LOANS AND ADVANCES TO CUSTOMERS (excluding adjustments relating to fair value hedge accounting)
01.01.2018		 PLN CHF EUR USD Other Total
Not held for trading, measured at fair value through profit or loss
Loans and advances to customers 1 070 – – – – 1 070
housing 37 – – – – 37
business 182 – – – – 182
consumer 851 – – – – 851
Not held for trading, measured at fair value through profit or loss 1 070 – – – – 1 070
Measured at amortized cost:
Gross loans 158 718 25 047 9 718 1 472 1 027 195 982
housing 81 168 24 115 3 366 87 102 108 838
business 52 578 621 6 324 1 380 581 61 484
consumer 24 972 311 28 5 344 25 660
Receivables in respect of repurchase agreements 902 – – – – 902
Finance lease receivables 9 509 31 3 339 257 27 13 163
Allowances for expected credit losses (8 671) (1 205) (399) (232) (146) (10 653)
Measured at amortized cost, net 160 458 23 873 12 658 1 497 908 199 394
Total 161 528 23 873 12 658 1 497 908 200 464

LOANS AND ADVANCES TO CUSTOMERS BY CURRENCY (excluding adjustments relating to fair value hedge accounting)
31.12.2017		 PLN CHF EUR USD Other Total
Measured at amortized cost
Gross loans 158 151 24 786 9 524 1 412 1 063 194 936
housing 80 712 23 909 3 353 83 106 108 163
business 51 826 589 6 145 1 324 613 60 497
consumer 25 613 288 26 5 344 26 276
Debt securities (corporate) 1 734 – 125 – – 1 859
Debt securities (municipal) 2 519 – – – – 2 519
Receivables in respect of repurchase agreements 902 – – – – 902
Finance lease receivables 9 377 24 3 485 323 27 13 236
Impairment allowances (6 288) (896) (291) (198) (150) (7 823)
Total 166 395 23 914 12 843 1 537 940 205 629

LOANS AND ADVANCES TO CUSTOMERS IN CHF BY METHOD OF CALCULATING IMPAIRMENT ALLOWANCES (translated into PLN at the exchange rate of 1 CHF = 3.8166) 31.12.2018 Total
Financial institutions   Corporates Households
Measured at amortized cost
Gross amount 1 324 23 712 24 037
assets with no significant increase in credit risk since initial recognition (stage 1) – 118 20 892 21 010
assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) 1 111 1 872 1 984
credit-impaired assets (Stage 3) – 95 948 1 043
Allowances for expected credit losses – (59) (767) (826)
allowances for assets with no significant increase in credit risk since initial recognition (stage 1) – (1) (12) (13)
allowances for assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) – (12) (130) (142)
allowances for credit-impaired assets (stage 3) – (46) (625) (671)
Measured at amortized cost, net 1 265 22 945 23 211
of which: purchased or originated credit-impaired assets (POCI) – – 55 55
Total 1 265 22 945 23 211

LOANS AND ADVANCES TO CUSTOMERS IN CHF
BY METHOD OF CALCULATING IMPAIRMENT ALLOWANCES
(translated into PLN at the exchange rate of 1 CHF = 3.5672)		 01.01.2018 Total
Financial institutions   Corporates Households
Measured at amortized cost
Gross amount 2 418 24 658 25 078
assets with no significant increase in credit risk since initial recognition (stage 1) – 141 21 659 21 800
assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) 2 145 1 572 1 719
credit-impaired assets (Stage 3)
Allowances for expected credit losses – (99) (1 106) (1 205)
allowances for assets with no significant increase in credit risk since initial recognition (stage 1) – (2) (13) (15)
allowances for assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) – (18) (95) (113)
allowances for credit-impaired assets (stage 3) – (79) (998) (1 077)
Measured at amortized cost, net 2 319 23 552 23 873
of which: purchased or originated credit-impaired assets (POCI) – – 60 60
Total 2 319 23 552 23 873

 

 

Loans and advances to customers by currency (excluding adjustments relating to fair value hedge accounting)

LOANS AND ADVANCES TO CUSTOMERS (excluding adjustments relating to fair value hedge accounting) 31.12.2018 Total
PLN CHF EUR USD Other
Not held for trading, measured at fair value through profit or loss 1 106 – – – – 1 106
Measured at amortized cost:
Gross amount 177 992 24 037 16 414 2 251 1 315 222 009
assets with no significant increase in credit risk since initial recognition (stage 1) 156 636 21 010 13 749 1 831 1 165 194 391
assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) 12 086 1 984 1 809 279 10 16 168
credit-impaired assets (Stage 3) 9 270 1 043 856 141 140 11 450
Allowances for expected credit losses (6 724) (826) (372) (139) (143) (8 204)
allowances for assets with no significant increase in credit risk since initial recognition (stage 1) (451) (13) (78) (3) (21) (566)
allowances for assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) (1 024) (142) (72) (7) (4) (1 249)
allowances for credit-impaired assets (stage 3) (5 249) (671) (222) (129) (118) (6 389)
Measured at amortized cost, net 171 268 23 211 16 042 2 112 1 172 213 805
of which: purchased or originated credit-impaired assets (POCI) 409 55 78 – 1 543
Total 172 374 23 211 16 042 2 112 1 172 214 911

 

LOANS AND ADVANCES TO CUSTOMERS (excluding adjustments relating to fair value hedge accounting) 01.01.2018 Total
PLN CHF EUR USD Other
Not held for trading, measured at fair value through profit or loss 1 070 – – – – 1 070
Measured at amortized cost:
Gross amount 169 129 25 078 13 057 1 729 1 054 210 047
assets with no significant increase in credit risk since initial recognition (stage 1) 146 582 21 800 10 121 1 147 911 180 561
assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) 10 696 1 719 2 031 380 4 14 830
credit-impaired assets (Stage 3) 11 851 1 559 905 202 139 14 656
Allowances for expected credit losses (8 671) (1 205) (399) (232) (146) (10 653)
allowances for assets with no significant increase in credit risk since initial recognition (stage 1) (397) (15) (51) (4) (23) (490)
allowances for assets with a significant increase in credit risk since initial recognition, but not credit-impaired (stage 2) (820) (113) (86) (58) (1) (1 078)
allowances for credit-impaired assets (stage 3) (7 454) (1 077) (262) (170) (122) (9 085)
Measured at amortized cost, net 160 458 23 873 12 658 1 497 908 199 394
of which: purchased or originated credit-impaired assets (POCI) 148 60 37 3 – 248
Total 161 528 23 873 12 658 1 497 908 200 464

Risk management of foreign exchange risk associated with mortgage loans for households

The Group analyses its portfolio of foreign currency mortgage loans to households in a specific manner. The Group monitors the quality of the portfolio on an on-going basis and reviews the risk of deterioration in the quality of the portfolio. Currently, the quality of the portfolio is at an acceptable level. The Group takes into consideration the risk of foreign currency mortgage loans for households in the capital adequacy and own fund management.

 Housing loans to households by currency 31.12.2018 31.12.2017
gross allowances netto gross allowances netto
PLN 86 024 (1 060) 84 964 74 369 (916) 73 453
CHF 23 263 (683) 22 580 23 895 (754) 23 141
EUR 3 155 (53) 3 102 3 359 (54) 3 305
USD 58 (6) 52 268 (171) 97
Other 146 (19) 127 111 (22) 89
Total 112 646 (1 821) 110 825 102 002 (1 917) 100 085

LOANS AND ADVANCES TO CUSTOMERS SUBJECT TO FORBEARANCE BY CURRENCY 31.12.2018 Total
PLN CHF EUR USD Other
Performing exposures subject to forbearance 682 322 34 1 – 1 039
Measured at amortized cost: 682 322 34 1 – 1 039
gross amount 741 340 36 1 – 1 118
allowances for expected credit losses (59) (18) (2) – – (79)
Non-performing exposures subject to forbearance 1 390 200 401 5 9 2 005
Not held for trading, measured at fair value through profit or loss 1 – – – – 1
Measured at amortized cost: 1 389 200 401 5 9 2 004
gross amount 2 300 422 447 20 20 3 209
allowances for expected credit losses (911) (222) (46) (15) (11) (1 205)
Loans and advances to customers subject to forbearance, net 2 072 522 435 6 9 3 044

LOANS AND ADVANCES TO CUSTOMERS SUBJECT TO FORBEARANCE BY CURRENCY 01.01.2018 Total
PLN CHF EUR USD Other
             
Performing exposures subject to forbearance 955 317 168 – – 1 440
Not held for trading, mandatorily measured at fair value
through profit or loss		 – – – – – –
Measured at amortized cost: 955 317 168 – – 1 440
gross amount 1 030 330 175 – – 1 535
allowances for expected credit losses (75) (13) (7) – – (95)
Non-performing exposures subject to forbearance 1 008 305 222 3 9 1 547
Not held for trading, measured at fair value through profit or loss 1 – – – – 1
Measured at amortized cost: 1 007 305 222 3 9 1 546
gross amount 1 941 540 249 6 25 2 761
allowances for expected credit losses (934) (235) (27) (3) (16) (1 215)
Loans and advances to customers subject to forbearance, net 1 963 622 390 3 9 2 987

LOANS AND ADVANCES TO CUSTOMERS IN CHF BY METHOD OF CALCULATING IMPAIRMENT ALLOWANCES (translated into PLN at the exchange rate of 1 CHF = 3.5672) 31.12.2017
Financial institutions Corporates  Households Total
         
Assessed on an individual basis, of which: – 113 102 215
impaired – 104 90 194
Assessed on a portfolio basis, impaired – 17 1 041 1 058
Assessed on a group basis (IBNR) 2 270 23 277 23 549
Loans and advances to customers, gross 2 400 24 420 24 822
Impairment allowances on exposures assessed on an individual basis, of which: – (51) (42) (93)
impaired – (51) (42) (93)
Impairment allowances on exposures assessed on a portfolio basis – (14) (749) (763)
Impairment allowances on exposures assessed on a group basis (IBNR) – (3) (49) (52)
Total impairment allowances – (68) (840) (908)
Loans and advances to customers, net 2 332 23 580 23 914

LOANS AND ADVANCES TO CUSTOMERS SUBJECT TO FORBEARANCE BY CURRENCY 31.12.2017
PLN CHF EUR USD Other Total
Performing exposures subject to forbearance 911 325 173 – – 1 409
Measured at amortized cost: 911 325 173 – – 1 409
gross amount 960 332 174 – – 1 466
Impairment allowances (49) (7) (1) – – (57)
Non-performing exposures subject to forbearance 1 177 260 194 6 8 1 645
Measured at amortized cost: 1 177 260 194 6 8 1 645
gross amount 1 837 532 250 27 25 2 671
Impairment allowances (660) (272) (56) (21) (17) (1 026)
Loans and advances to customers subject to forbearance, net 2 088 585 367 6 8 3 054

LOANS AND ADVANCES TO CUSTOMERS ASSESSED ON A GROUP BASIS (IBNR) 31.12.2017 Total
PLN CHF EUR USD Other
Loans and advances to customers, gross 162 281 23 549 12 375 1 538 935 200 678
     past due 3 715 512 764 8 58 5 057
     not past due 158 566 23 037 11 611 1 530 877 195 621
Impairment allowances on exposures assessed on a group basis (IBNR) (518) (52) (63) (60) (27) (720)
     past due (138) (27) (10) – (1) (176)
     not past due (380) (25) (53) (60) (26) (544)
Loans and advances to customers, net 161 763 23 497 12 312 1 478 908 199 958

LOANS AND ADVANCES TO CUSTOMERS ASSESSED ON A GROUP BASIS (IBNR) SUBJECT TO FORBEARANCE, BY CURRENCY 31.12.2017 Total
PLN CHF EUR USD Other
Loans and advances to customers assessed on a group basis (IBNR) 1 055 397 181 25 26 1 684
Impairment allowances on exposures assessed on a group basis (IBNR) subject to forbearance (57) (14) (2) (2) (1) (76)
Loans and advances to customers subject to forbearance, net 998 383 179 23 25 1 608

As at 31 December 2018, the average LTV for the portfolio of CHF-denominated loans amounted to 64,38% (67,00% as at 31 December 2017) compared with the average LTV for the entire loan portfolio of 59,22% (62,38% as at 31 December 2017).

Notes

64. Exposure to the counterparty credit risk

 image/svg+xml
image/svg+xml

Notes

66. Interest rate risk management

search results: