Level of exposure to credit risk
Exposure to credit risk - Items of the statement of financial position | 31.12.2016 | 31.12.2015 |
Current account in the Central Bank | 7 459.7 | 9 854.1 |
Amounts due from banks | 5 345.4 | 4 553.0 |
Trading assets – debt securities | 311.6 | 766.7 |
Derivative financial instruments | 2 900.6 | 4 347.3 |
Financial instruments designated upon initial recognition at fair value through profit and loss - debt securities | 12 204.1 | 13 337.4 |
Loans and advances to customers | 200 606.5 | 190 413.7 |
corporate | 52 914.9 | 52 534.7 |
housing | 106 121.3 | 100 668.6 |
consumer | 23 221.9 | 21 959.8 |
debt securities (corporate) | 2 282.8 | 2 591.9 |
debt securities (municipal) | 2 587.9 | 2 692.7 |
receivables due from repurchase agreements | 1 339.0 | 4 432.2 |
finance lease receivables | 12 138.7 | 5 533.8 |
Investment securities - debt securities | 36 142.4 | 27 604.9 |
Investment securities held to maturity | 465.6 | 210.3 |
Other assets - other financial assets | 2 247.1 | 875.2 |
Total | 267 683.0 | 251 962.6 |
Exposure to credit risk - Off-balance sheet items | 31.12.2016 | 31.12.2015 |
Irrevocable liabilities granted | 31 077.9 | 30 513.9 |
Guarantees issued | 6 629.8 | 7 199.3 |
Underwriting of securities | 3 701.2 | 5 490.0 |
Letters of credit issued | 1 599.5 | 1 838.1 |
Total | 43 008.4 | 45 041.3 |
Past due of financial assets
Financial assets gross which are past due but not impaired: | 31.12.2016 | |||
up to 1 month | 1 - 3 months | over 3 months | Total | |
Loans and advances to customers | 3 534.5 | 848.9 | 178.5 | 4 561.9 |
Other assets – other financial assets | 0.3 | 0.1 | 11.4 | 11.8 |
Total | 3 534.8 | 849.0 | 189.9 | 4 573.7 |
Financial assets gross which are past due but not impaired: | 31.12.2015 | |||
up to 1 month | 1 - 3 months | over 3 months | Total | |
Loans and advances to customers | 2 308.4 | 1 068.5 | 235.5 | 3 612.4 |
Other assets – other financial assets | 0.2 | 0.1 | 6.6 | 6.9 |
Total | 2 308.6 | 1 068.6 | 242.1 | 3 619.3 |
Collaterals for the above receivables include: mortgages, registered pledges, transfers of property rights, account lock-ups, loan exposure insurances, warranties and guarantees.
The conducted assessment proved that for the above-mentioned financial assets the expected cash flows fully cover the carrying amount of these exposures.
Financial assets assessed on an individual basis for which individual impairment has been recognised
Financial assets assessed on an individual basis for which individual impairment has been recognised by carrying amount gross | 31.12.2016 | 31.12.2015 |
Amounts due from banks | 0.2 | 0.1 |
Loans and advances to customers | 5 048.9 | 5 412.8 |
corporate loans | 3 962.9 | 3 896.2 |
housing loans | 788.8 | 1 104.2 |
consumer loans | 223.6 | 304.5 |
debt securities | 73.6 | 107.9 |
Financial assets available for sale | 1 296.8 | 397.4 |
Total | 6 345.9 | 5 810.3 |
Loans and advances to customers were secured by the following collaterals established for PKO Bank Polski SA Group mortgage, registered pledge, the debtor’s promissory note and transfer of receivables.
The financial effect of the collateral held in respect of the amount that best represents the maximum exposure to credit risk as at 31 December 2016 amounts to PLN 2 800.9 million (as at 31 December 2015 the amount was PLN 2 992.4 million, respectively).
Internal rating classes
Taking the type of the Group’s business activity and the amount of credit and leasing debts into consideration, the most important portfolios are managed by the Bank and PKO Leasing SA.
Exposures to corporate clients 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,
- small and medium enterprises (excluding certain product groups which are assessed in a simplified manner).
Loans and advances which are not individually impaired and are not rated, are characterized with a satisfactory level of the credit risk. It concerns, in particular, retail loans (including housing loans) which do not have individually significant exposures and thus do not create significant credit risk.
Financial assets not past due not impaired | 31.12.2016 | 31.12.2015 |
Loans and advances to customers | 177 240.0 | 164 667.9 |
corporate loans | 47 029.1 | 47 556.6 |
A (first rate) | 948.6 | 989.8 |
B (very good) | 2 065.4 | 1 408.8 |
C (good) | 6 664.6 | 5 283.1 |
D (satisfactory) | 7 204.9 | 7 160.6 |
E (average) | 12 231.7 | 13 291.5 |
F (acceptable) | 14 245.2 | 16 546.7 |
G (poor) | 3 668.7 | 2 876.1 |
consumer and housing loans | 121 435.2 | 114 282.7 |
A (first rate) | 99 924.5 | 93 971.1 |
B (very good) | 8 939.5 | 8 101.6 |
C (good) | 5 481.4 | 5 344.5 |
D (average) | 4 652.9 | 4 093.9 |
E (acceptable) | 2 436.9 | 2 771.6 |
PKO Leasing SA Group | 8 775.7 | 2 828.6 |
A (good) | 7 179.8 | 2 407.8 |
B (average) | 768.0 | 329.0 |
C (risky) | 827.9 | 91.8 |
Investment securities available for sale – debt securities | 5 088.1 | 5 538.4 |
A (first rate) | 11.9 | 86.5 |
B (very good) | 353.4 | 209.5 |
C (good) | 712.2 | 685.0 |
D (satisfactory) | 1 376.5 | 1 532.6 |
E (average) | 1 461.6 | 1 270.2 |
F (acceptable) | 1 069.7 | 1 030.8 |
G (poor) | 63.2 | 628.4 |
G3 (low) | 39.6 | - |
H (bad) | - | 95.4 |
Total | 182 328.1 | 170 206.3 |
External rating classes