56.4. Other disclosures
2022 Annual Report
| MAXIMUM EXPOSURE TO CREDIT RISK – FINANCIAL INSTRUMENTS NOT SUBJECT TO IMPAIRMENT REQUIREMENTS | 31.12.2022 | 31.12.2021 |
|---|---|---|
| Hedging derivatives | 1 042 | 933 |
| Other derivative instruments | 13 162 | 10 903 |
| Securities: | 1 895 | 2 297 |
| held for trading | 193 | 248 |
| not held for trading, measured at fair value through profit or loss | 1 702 | 2 049 |
| Loans and advances to customers not held for trading, measured at fair value through profit or loss | 3 565 | 4 559 |
| housing loans | 4 | 4 |
| business loans | 85 | 97 |
| consumer loans | 3 476 | 4 458 |
| Total | 19 664 | 18 692 |
Modifications
| FINANCIAL ASSETS SUBJECT TO MODIFICATION | 2022 | 2021 | ||
|---|---|---|---|---|
| Financial assets subject to modification during the period: | Stage 2 | Stage 3 | Stage 2 | Stage 3 |
| valuation amount at amortized cost before modification | 2 594 | 298 | 1 064 | 608 |
| gain (loss) on modification | (59) | (4) | (8) | (4) |
| Financial assets subject to modification since initial recognition: | 31.12.2022 | 31.12.2021 | ||
| 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 | 1 637 | 38 | ||
Receivables written off during the period, subject to recovery procedures
The table below presents the outstanding amounts of financial assets to be repaid, which were written down during the reporting period and which are still subject to debt recovery activities.
| RECEIVABLES WRITTEN OFF | 2022 | 2021 | ||
| Partly written off | Entirely written off | Partly written off | Entirely written off | |
| Loans and advances to customers | 96 | 179 | 39 | 965 |
|
housing loans |
15 | 21 | 5 | 183 |
|
business loans |
11 | 120 | 14 | 584 |
|
consumer loans |
70 | 24 | 20 | 122 |
|
finance lease receivables |
– | 14 | – | 76 |
| Other financial assets | – | 1 | – | – |
| Total | 96 | 180 | 39 | 965 |
The Group adopted the following criteria for writing off receivables:
- the receivable has fully matured and, in particular, is 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 credit 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 are still being 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 decisions of the bailiff or the receiver) transferability of collateral, level of satisfaction, record in the land and mortgage register indicate that the entire receivable will not be recovered, or that the repayments of the receivable did not cover interest accrued on a current basis over the past 12 calendar months.
Past due financial assets subject to impairment or impaired
| PAST DUE FINANCIAL ASSETS SUBJECT TO IMPAIRMENT OR IMPAIRED (net) | up to 30 days | 30 to 90 days | over 90 days | TOTAL |
| 31.12.2022 | ||||
| Stage 1 | 2 395 | 16 | 1 | 2 412 |
| Loans and advances to customers: | 2 395 | 16 | 1 | 2 412 |
| housing loans | 226 | 4 | – | 230 |
| business loans | 784 | 1 | – | 785 |
| consumer loans | 324 | 1 | – | 325 |
| factoring receivables | 240 | 10 | 1 | 251 |
| finance lease receivables | 821 | – | – | 821 |
| Stage 2 | 2 449 | 423 | 55 | 2 927 |
| Loans and advances to customers: | 2 449 | 423 | 55 | 2 927 |
| housing loans | 498 | 125 | 36 | 659 |
| business loans | 542 | 68 | 4 | 614 |
| consumer loans | 201 | 79 | 12 | 292 |
| factoring receivables | 4 | 5 | – | 9 |
| finance lease receivables | 1 204 | 146 | 3 | 1 353 |
| Stage 3 | 358 | 299 | 1 151 | 1 808 |
| Loans and advances to customers: | 358 | 299 | 1 151 | 1 808 |
| housing loans | 34 | 36 | 238 | 308 |
| business loans | 106 | 43 | 483 | 632 |
| consumer loans | 55 | 60 | 316 | 431 |
| factoring receivables | 3 | 2 | 21 | 26 |
| finance lease receivables | 160 | 158 | 93 | 411 |
| Total | 5 202 | 738 | 1 207 | 7 147 |
| PAST DUE FINANCIAL ASSETS SUBJECT TO IMPAIRMENT OR IMPAIRED (net) | up to 30 days | 30 to 90 days | over 90 days | TOTAL |
| 31.12.2021 | ||||
| Stage 1 | 2 581 | – | – | 2 581 |
| Loans and advances to customers: | 2 581 | – | – | 2 581 |
|
housing loans |
84 | – | – | 84 |
|
business loans |
1 035 | – | – | 1 035 |
|
consumer loans |
165 | – | – | 165 |
|
factoring receivables |
557 | – | – | 557 |
|
finance lease receivables |
740 | – | – | 740 |
| Stage 2 | 1 549 | 333 | 52 | 1 934 |
| Loans and advances to customers: | 1 549 | 333 | 52 | 1 934 |
|
housing loans |
402 | 99 | 37 | 538 |
|
business loans |
141 | 47 | 4 | 192 |
|
consumer loans |
160 | 54 | 8 | 222 |
|
factoring receivables |
6 | 11 | – | 17 |
|
finance lease receivables |
840 | 122 | 3 | 965 |
| Stage 3 | 321 | 272 | 923 | 1 516 |
| Loans and advances to customers: | 321 | 272 | 923 | 1 516 |
|
housing loans |
57 | 47 | 160 | 264 |
|
business loans |
47 | 26 | 433 | 506 |
|
consumer loans |
42 | 51 | 217 | 310 |
|
factoring receivables |
2 | 4 | 17 | 23 |
|
finance lease receivables |
173 | 144 | 96 | 413 |
| Total | 4 451 | 605 | 975 | 6 031 |
To specify whether a loan is overdue, the Group takes into account the minimum levels of matured amounts exceeding PLN 400 and 1% with reference to the debtor’s entire credit exposure in the balance sheet of the Bank and other entities belonging to the Bank’s Group.
Loans and advances to customers were secured by the following collateral established for the Group: mortgages, registered pledges, transfer of ownership, restrictions on a deposit account, insurance of the credit exposure, as well as guarantees and sureties.
Quality of the portfolio covered by the rating model for loans and advances granted to customers
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2022 | Gross carrying amount | ||||
| Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI | |
| REAL ESTATE LOANS | 98 224 | 11 016 | 1 860 | 111 100 | 94 |
| 0.00 – 0.02% | 1 215 | 1 | – | 1 216 | – |
| 0.02 – 0.07% | 32 102 | 136 | – | 32 238 | – |
| 0.07 – 0.11% | 18 312 | 125 | – | 18 437 | – |
| 0.11 – 0.18% | 16 904 | 229 | – | 17 133 | 1 |
| 0.18 – 0.45% | 17 498 | 1 954 | – | 19 452 | 5 |
| 0.45 – 1.78% | 6 772 | 4 398 | – | 11 170 | 8 |
| 1.78 – 99.99% | 820 | 4 142 | – | 4 962 | 13 |
| 100% | – | – | 1 860 | 1 860 | 66 |
| no internal rating | 4 601 | 31 | – | 4 632 | 1 |
| CORPORATE LOANS, FACTORING RECEIVABLES, FINANCE LEASE RECEIVABLES | 73 222 | 19 688 | 5 162 | 98 072 | 62 |
| 0.00 – 0.45% | 13 647 | 313 | – | 13 960 | – |
| 0.45 – 0.90% | 9 021 | 344 | – | 9 365 | – |
| 0.90 – 1.78% | 10 835 | 754 | – | 11 589 | – |
| 1.78 – 3.55% | 22 308 | 4 877 | – | 27 185 | 1 |
| 3.55 – 7.07% | 12 012 | 6 832 | – | 18 844 | – |
| 7.07 – 14.07% | 3 617 | 4 466 | – | 8 083 | – |
| 14.07 – 99.99% | 1 723 | 2 067 | – | 3 790 | – |
| 100% | – | – | 5 162 | 5 162 | 61 |
| no internal rating | 59 | 35 | – | 94 | – |
| CONSUMER LOANS | 23 702 | 3 160 | 1 878 | 28 739 | 57 |
| 0.00 – 0.45% | 5 070 | 51 | – | 5 121 | – |
| 0.45 – 0.90% | 6 004 | 103 | – | 6 107 | – |
| 0.90 – 1.78% | 5 359 | 311 | – | 5 670 | – |
| 1.78 – 3.55% | 3 540 | 488 | – | 4 028 | – |
| 3.55 – 7.07% | 1 805 | 528 | – | 2 333 | 1 |
| 7.07 – 14.07% | 831 | 528 | – | 1 359 | 1 |
| 14.07 – 99.99% | 225 | 1 099 | – | 1 324 | 2 |
| 100% | 1 878 | 1 877 | 52 | ||
| no internal rating | 868 | 52 | – | 920 | 1 |
| Total | 195 148 | 33 864 | 8 900 | 237 912 | 213 |
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2021 | Gross carrying amount | ||||
| Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI | |
| REAL ESTATE LOANS | 104 386 | 14 830 | 2 005 | 121 221 | 81 |
| 0.00 – 0.02% | 7 420 | 16 | – | 7 436 | – |
| 0.02 – 0.07% | 36 546 | 367 | – | 36 913 | 1 |
| 0.07 – 0.11% | 15 527 | 514 | – | 16 041 | 1 |
| 0.11 – 0.18% | 16 429 | 1 280 | – | 17 709 | 1 |
| 0.18 – 0.45% | 18 461 | 5 132 | – | 23 593 | 5 |
| 0.45 – 1.78% | 5 543 | 4 679 | – | 10 222 | 8 |
| 1.78 – 99.99% | 714 | 2 823 | – | 3 537 | 8 |
| 100% | – | – | 1 912 | 1 912 | 57 |
| no internal rating | 3 746 | 19 | 93 | 3 858 | – |
| CORPORATE LOANS, FACTORING RECEIVABLES, FINANCE LEASE RECEIVABLES | 65 105 | 18 561 | 5 681 | 89 347 | 107 |
| 0.00 – 0.45% | 10 733 | 123 | – | 10 856 | – |
| 0.45 – 0.90% | 7 489 | 1 749 | – | 9 238 | – |
| 0.90 – 1.78% | 10 282 | 748 | – | 11 030 | – |
| 1.78 – 3.55% | 18 883 | 3 699 | – | 22 582 | 1 |
| 3.55 – 7.07% | 10 224 | 6 864 | – | 17 088 | – |
| 7.07 – 14.07% | 3 730 | 3 071 | – | 6 801 | – |
| 14.07 – 99.99% | 166 | 1 931 | – | 2 097 | – |
| 100% | – | – | 5 396 | 5 396 | 106 |
| no internal rating | 3 598 | 376 | 285 | 4 259 | – |
| CONSUMER LOANS | 23 064 | 3 152 | 1 646 | 27 862 | 50 |
| 0.00 – 0.45% | 7 605 | 171 | – | 7 776 | – |
| 0.45 – 0.90% | 5 840 | 221 | – | 6 061 | – |
| 0.90 – 1.78% | 4 411 | 432 | – | 4 843 | – |
| 1.78 – 3.55% | 3 254 | 608 | – | 3 862 | – |
| 3.55 – 7.07% | 1 062 | 579 | – | 1 641 | – |
| 7.07 – 14.07% | 528 | 396 | – | 924 | 1 |
| 14.07 – 99.99% | 80 | 688 | – | 768 | 1 |
| 100% | – | – | 1 595 | 1 595 | 45 |
| no internal rating | 284 | 57 | 51 | 392 | 3 |
| Total | 192 555 | 36 543 | 9 332 | 238 430 | 238 |
Quality of the portfolio covered by the rating model for off-balance sheet liabilities
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2022 |
Gross carrying amount |
||||
| Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0.00 – 0.45% | 23 912 | 1 294 | – | 25 206 | – |
| 0.45 – 0.90% | 12 720 | 98 | – | 12 818 | – |
| 0.90 – 1.78% | 10 742 | 834 | – | 11 576 | – |
| 1.78 – 3.55% | 8 639 | 1 406 | – | 10 045 | – |
| 3.55 – 7.07% | 5 872 | 1 456 | – | 7 328 | – |
| 7.07 – 14.07% | 2 542 | 2 323 | – | 4 865 | – |
| 14.07 – 99.99% | 27 | 135 | – | 162 | – |
| 100% | – | – | 820 | 820 | 289 |
| no internal rating | 11 628 | 1 235 | – | 14 568 | – |
| Total | 76 082 | 8 781 | 820 | 85 683 | 289 |
1This item refers mainly the State Treasury exposures and credit lines for derivative transactions
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2021 | Gross carrying amount | ||||
| Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI | |
| OFF-BALANCE SHEET LIABILITIES | |||||
| 0.00 – 0.45% | 17 128 | 124 | – | 17 252 | 1 |
| 0.45 – 0.90% | 8 287 | 1 505 | – | 9 792 | – |
| 0.90 – 1.78% | 9 117 | 567 | – | 9 684 | – |
| 1.78 – 3.55% | 7 746 | 985 | – | 8 731 | – |
| 3.55 – 7.07% | 7 139 | 2 185 | – | 9 324 | – |
| 7.07 – 14.07% | 2 505 | 3 656 | – | 6 161 | – |
| 14.07 – 99.99% | 37 | 109 | – | 146 | – |
| 100% | – | – | 1 609 | 1 609 | 58 |
| no internal rating | 4 869 | 1 354 | – | 6 223 | – |
| Total | 56 828 | 10 485 | 1 609 | 68 922 | 59 |
1 This item refers mainly the State Treasury exposures and credit lines for derivative transactions.
Quality of the portfolio covered by the rating model for amounts due from banks
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2022 | Gross carrying amount | ||||
| AMOUNTS DUE FROM BANKS | Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI |
| EXTERNAL RATINGS | 16 103 | – | – | 16 103 | – |
| AAA | 700 | – | – | 700 | – |
| AA | 4 205 | – | – | 4 205 | – |
| A | 9 797 | – | – | 9 797 | – |
| BBB | 148 | – | – | 148 | – |
| BB | 26 | – | – | 26 | – |
| B | 2 | – | – | 2 | – |
| CCC | 1 225 | – | – | 1 225 | – |
| Total | 16 103 | – | – | 16 103 | – |
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2021 | Gross carrying amount | ||||
| AMOUNTS DUE FROM BANKS | Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI |
| EXTERNAL RATINGS | 9 010 | – | – | 9 010 | – |
| AA | 374 | – | – | 374 | – |
| A | 7 579 | – | – | 7 579 | – |
| BBB | 424 | – | – | 424 | – |
| BB | 22 | – | – | 22 | – |
| B | 595 | – | – | 595 | |
| CCC | 16 | – | – | 16 | |
| Total | 9 010 | – | – | 9 010 | – |
Quality of the portfolio covered by the rating model for debt securities
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2022 | Gross carrying amount | ||||
| DEBT SECURITIES | Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI |
| EXTERNAL RATINGS | 106 502 | – | – | 106 502 | – |
| AAA | 5 715 | – | – | 5 715 | – |
| AA | 41 | – | – | 41 | – |
| A | 96 728 | – | – | 96 728 | – |
| BBB | 1 550 | – | – | 1 550 | – |
| BB | 2 468 | – | – | 2 468 | – |
| INTERNAL RATINGS | 26 201 | 758 | 374 | 27 333 | 359 |
| 0.00-0.45% | 24 663 | 420 | – | 25 083 | – |
| 0.45-0.90% | 720 | 2 | – | 722 | – |
| 0.90-1.78% | 62 | 76 | – | 138 | – |
| 1.78-3.55% | 202 | – | – | 202 | – |
| 3.55-7.07% | 188 | 113 | – | 301 | – |
| 7.07-14.07% | – | 147 | – | 147 | – |
| 100.00% | – | – | 374 | 374 | 359 |
| no internal rating | 366 | – | – | 366 | – |
| Total | 132 703 | 758 | 374 | 133 835 | 359 |
| CREDIT RISK EXPOSURES BY PD PARAMETER 31.12.2021 | Gross carrying amount | ||||
| DEBT SECURITIES | Stage 1 | Stage 2 | Stage 3 | TOTAL | of which POCI |
| EXTERNAL RATINGS | 107 189 | – | – | 107 189 | – |
| AAA | 3 654 | – | – | 3 654 | – |
| AA | 42 | – | – | 42 | – |
| A | 98 986 | – | – | 98 986 | – |
| BBB | 2 071 | – | – | 2 071 | – |
| BB | 2 436 | – | – | 2 436 | – |
| INTERNAL RATINGS | 25 221 | 446 | 397 | 26 064 | 380 |
| 0.00-0.45% | 22 224 | – | – | 22 224 | – |
| 0.45-0.90% | 1 469 | 101 | – | 1 570 | – |
| 0.90-1.78% | 146 | – | – | 146 | – |
| 1.78-3.55% | 211 | 83 | – | 294 | – |
| 3.55-7.07% | 13 | 100 | – | 113 | – |
| 7.07-14.07% | 15 | 162 | – | 177 | – |
| 100% | – | – | 397 | 397 | 380 |
| no internal rating | 1 143 | – | – | 1 143 | – |
| Total | 132 410 | 446 | 397 | 133 253 | 380 |