58. Credit risk – Financial information

Level of exposure to credit risk

Past due of financial assets

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

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.

External rating classes