58. Credit risk – Financial information

Level of exposure to credit risk

Exposure to credit risk - Items of the statement of financial position31.12.201631.12.2015
   
Current account in the Central Bank7 459.79 854.1
Amounts due from banks5 345.44 553.0
Trading assets – debt securities311.6766.7
Derivative financial instruments2 900.64 347.3
Financial instruments designated upon initial recognition at fair value through profit and loss - debt securities12 204.113 337.4
Loans and advances to customers200 606.5190 413.7
corporate52 914.952 534.7
housing106 121.3100 668.6
consumer23 221.921 959.8
debt securities (corporate)2 282.82 591.9
debt securities (municipal)2 587.92 692.7
receivables due from repurchase agreements1 339.04 432.2
finance lease receivables12 138.75 533.8
Investment securities - debt securities36 142.427 604.9
Investment securities held to maturity465.6210.3
Other assets - other financial assets2 247.1875.2
   
Total 267 683.0 251 962.6
 
Exposure to credit risk - Off-balance sheet items31.12.201631.12.2015
   
Irrevocable liabilities granted31 077.930 513.9
Guarantees issued6 629.87 199.3
Underwriting of securities3 701.25 490.0
Letters of credit issued1 599.51 838.1
   
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 month1 - 3 monthsover 3 monthsTotal
Loans and advances to customers3 534.5848.9178.54 561.9
Other assets – other financial assets0.30.111.411.8
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 month1 - 3 monthsover 3 monthsTotal
Loans and advances to customers2 308.41 068.5235.53 612.4
Other assets – other financial assets0.20.16.66.9
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 gross31.12.201631.12.2015
   
Amounts due from banks0.20.1
Loans and advances to customers5 048.95 412.8
corporate loans3 962.93 896.2
housing loans788.81 104.2
consumer loans223.6304.5
debt securities73.6107.9
Financial assets available for sale1 296.8397.4
   
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 impaired31.12.201631.12.2015
   
Loans and advances to customers 177 240.0 164 667.9
corporate loans47 029.147 556.6
A (first rate)948.6989.8
B (very good)2 065.41 408.8
C (good)6 664.65 283.1
D (satisfactory)7 204.97 160.6
E (average)12 231.713 291.5
F (acceptable)14 245.216 546.7
G (poor)3 668.72 876.1
consumer and housing loans121 435.2114 282.7
A (first rate)99 924.593 971.1
B (very good)8 939.58 101.6
C (good)5 481.45 344.5
D (average)4 652.94 093.9
E (acceptable)2 436.92 771.6
PKO Leasing SA Group 8 775.7 2 828.6
A (good)7 179.82 407.8
B (average)768.0329.0
C (risky)827.991.8
Investment securities available for sale – debt securities 5 088.1 5 538.4
A (first rate)11.986.5
B (very good)353.4209.5
C (good)712.2685.0
D (satisfactory)1 376.51 532.6
E (average)1 461.61 270.2
F (acceptable)1 069.71 030.8
G (poor)63.2628.4
G3 (low)39.6-
H (bad)-95.4
   
Total 182 328.1 170 206.3
 

External rating classes