61. Exposure to the counterparty credit risk

Credit risk of financial institutions in the wholesale market

Credit risk concentration – interbank market – Interbank market exposure as at 31.12.2016*
Counterparty  Type of instrumentTotal
 CountryRatingDeposit (nominal value)Derivative instruments (market valuation, in case of positive valuation excl. collateral)Securities (nominal value) 
Counterparty 1PolandA-0.4900.0900.4
Counterparty 2SwitzerlandAA494.1--494.1
Counterparty 3BelgiumBBB398.27.0-405.2
Counterparty 4SwitzerlandAA397.0--397.0
Counterparty 5LuxembourgA323.0--323.0
Counterparty 6AustriaBBB287.6--287.6
Counterparty 7NorwayA167.2--167.2
Counterparty 8LuxembourgAAA-(19.4)155.0155.0
Counterparty 9USAAA-132.1-132.1
Counterparty 10United KingdomA-110.4-110.4
Counterparty 11PolandA100.7(36.4)-100.7
Counterparty 12PolandBBB-64.6-64.6
Counterparty 13GermanyA-44.7-44.7
Counterparty 14United KingdomA-40.2-40.2
Counterparty 15FranceA-38.1-38.1
Counterparty 16PolandBB-33.5-33.5
Counterparty 17PolandNO RATING20.00.6-20.6
Counterparty 18PolandBB0.311.7-12.0
Counterparty 19United KingdomAAA-10.0-10.0
Counterparty 20PolandBBB-9.6-9.6

* Without accounting for the exposure to the State Treasury and the National Bank of Poland.

Credit risk concentration – interbank market – Interbank market exposure as at 31.12.2015*
Counterparty  Type of instrumentTotal
 CountryRatingDeposit (nominal value)Derivative instruments (market valuation, in case of positive valuation excl. collateral)Securities (nominal value) 
Counterparty 1PolandA800.01.2942.61 743.8
Counterparty 20PolandBBB319.615.4-335.0
Counterparty 9USAAA-139.8-139.8
Counterparty 13GermanyA-98.2-98.2
Counterparty 10United KingdomA-95.1-95.1
Counterparty 28FranceA-69.9-69.9
Counterparty 12PolandBBB-55.5-55.5
Counterparty 15FranceA-52.4-52.4
Counterparty 16PolandBB-48.9-48.9
Counterparty 24GermanyBBB-35.8-35.8
Counterparty 29SwitzerlandA-31.4-31.4
Counterparty 25United KingdomAA-20.8-20.8
Counterparty 32CanadaAA-19.6-19.6
Counterparty 3BelgiumA-19.4-19.4
Counterparty 18PolandBB-18.9-18.9
Counterparty 2SwitzerlandAA16.0--16.0
Counterparty 30DenmarkA-14.0-14.0
Counterparty 33PolandNo rating14.0(0.9)-14.0
Counterparty 27United KingdomBBB-13.8-13.8
Counterparty 26GermanyA-12.6-12.6

* Without accounting for the exposure to the State Treasury and the National Bank of Poland.

As at 31 December 2016, the Group had access to two clearing houses (in one as an indirect participant, as a direct in the other), through which settled the defined in EMIR Regulation (Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories), derivative transactions on interest rate with selected national and foreign partners. In nominal terms, the share of transactions cleared centrally in case of IRS amounted to 57% of the total portfolio of IRS, in the case of the FRA – all the transactions were transactions submitted to the clearing houses for clearing.

As at 31 December 2016 the Group had signed framework agreements, in accordance with ISDA/PBA standards, with 23 local banks and 62 foreign banks and credit institutions and collateral agreements CSA/PBA with 21 local banks and 52 foreign banks and credit institutions. Additionally, the Group was a party of 22 agreements on repo (for standard GMRA/PBA).

Credit risk of financial institutions on a non-wholesale market

In addition to the interbank market exposure, as at 31 December 2016 the Bank had an exposure to financial institutions on the non-wholesale market (e.g. loans granted, bonds purchased outside interbank market).

The structure of exposures over PLN 10 million is presented in the table below:

2016Nominal exposure amountCountry of the counterparty’s registered office
 Balance sheet Off-balance sheet 
Counterparty 1500.0 Poland
Counterparty 2189.1 Poland
Counterparty 2250.0 Poland
Counterparty 230.020.5Denmark
Counterparty 9-60.0USA
 

For comparison, the structure of exposure over PLN 10 million as at 31 December 2015 is presented in the table below:

2015Nominal exposure amountCountry of the counterparty’s registered office
 Balance sheet Off-balance sheet 
Counterparty 1500.0-Poland
Counterparty 90.559.5USA
Counterparty 2250.0-Poland
Counterparty 3318.511.0Sweden
Counterparty 232.717.8Denmark
Counterparty 2189.1-Poland

In 2016, the risk of adjustment of the value of derivatives in respect of counterparty credit risk (CVA) was distinguished from counterparty credit risk.