54. Specific activities in the area of risk management undertaken by the Group in 2022

During the twelve months ended 31 December 2022:

• The Group monitored the situation of its customers and adjusted its credit policy with a view to securing a good quality loan portfolio. As part of the measurement of credit exposures, the Group specifically took into account information on customers’ economic ties with counterparties in Ukraine, Belarus and Russia. For specific actions taken by the Group in the area of risk management in relation to the situation in Ukraine, see note “Impact of the geopolitical situation  in  Ukraine  on  PKO Bank  Polski  SA Group” Section “Risk  management  in  relation  to the situation in Ukraine”.
• Internal regulations were adapted to the requirements of Recommendation R of the PFSA regarding the quarterly monitoring of legal collateral that is taken into account in the estimation of expected credit losses in order to ensure the identification of market conditions/events that may or do affect the legal effectiveness of the collateral and its value taken into account in the estimation of these losses.
• In order to mitigate the level of credit risk resulting from interest rate increases and inflation, changes were made to the parameters used in the assessment of the creditworthiness of individual borrowers applying for housing loans (in accordance with the PFSA’s Recommendation S). As part of these changes, the minimum value of the interest rate buffer was increased to 5 p.p., the minimum subsistence costs were increased, and the maximum acceptable DStI (debt service to income) values were changed.
• In terms of interest rate risk, the banking sector was challenged by larger than expected increases in interest In a series of interest rate increases commenced in the fourth quarter of 2021, the reference rate was increased to 6.75% as at the end of 2022, resulting in persistent negative valuation of the portfolio of debt instruments and derivative instruments hedging interest income. At the same time, the customers’ interest in mortgage loans temporarily based on fixed interest rates continues, affecting the interest income sensitivity measures.
• The Group maintained a safe level of liquidity, allowing for a quick and effective response to potential The Group structured its sources of funding accordingly by adjusting its deposit offering (in particular deposit interest rates) to meet current needs and by repaying maturing funds raised from the financial market through issuance,
• The tasks aimed at expanding the IT systems that enable the collection of ESG data, in particular on environmental risks, and preparing for the systemic disclosure of this data were carried out (see note ESG Risk management).