Source: http://raportroczny2016.pkobp.pl/en/our-results/objectives-and-principles-risk-management/61-exposure-counterparty-credit-risk
Timestamp: 2019-09-23 15:12:35
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61. Exposure to the counterparty credit risk | Annual Report 2016 PKO Bank Polski
Annual Report 2016 > Our results > Objectives and Principles Risk Management > 61. Exposure to the counterparty credit risk
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*
Country Rating Deposit (nominal value) Derivative instruments (market valuation, in case of positive valuation excl. collateral) Securities (nominal value)
Counterparty 1 Poland A - 0.4 900.0 900.4
Counterparty 2 Switzerland AA 494.1 - - 494.1
Counterparty 3 Belgium BBB 398.2 7.0 - 405.2
Counterparty 4 Switzerland AA 397.0 - - 397.0
Counterparty 5 Luxembourg A 323.0 - - 323.0
Counterparty 6 Austria BBB 287.6 - - 287.6
Counterparty 7 Norway A 167.2 - - 167.2
Counterparty 8 Luxembourg AAA - (19.4) 155.0 155.0
Counterparty 9 USA AA - 132.1 - 132.1
Counterparty 10 United Kingdom A - 110.4 - 110.4
Counterparty 11 Poland A 100.7 (36.4) - 100.7
Counterparty 12 Poland BBB - 64.6 - 64.6
Counterparty 13 Germany A - 44.7 - 44.7
Counterparty 14 United Kingdom A - 40.2 - 40.2
Counterparty 15 France A - 38.1 - 38.1
Counterparty 16 Poland BB - 33.5 - 33.5
Counterparty 17 Poland NO RATING 20.0 0.6 - 20.6
Counterparty 18 Poland BB 0.3 11.7 - 12.0
Counterparty 19 United Kingdom AAA - 10.0 - 10.0
Counterparty 20 Poland BBB - 9.6 - 9.6
* Without accounting for the exposure to the State Treasury and the National Bank of Poland.
note_61_table_1_pko_bp.xlsx
Credit risk concentration – interbank market – Interbank market exposure as at 31.12.2015*
Counterparty 1 Poland A 800.0 1.2 942.6 1 743.8
Counterparty 20 Poland BBB 319.6 15.4 - 335.0
Counterparty 9 USA AA - 139.8 - 139.8
Counterparty 13 Germany A - 98.2 - 98.2
Counterparty 10 United Kingdom A - 95.1 - 95.1
Counterparty 28 France A - 69.9 - 69.9
Counterparty 12 Poland BBB - 55.5 - 55.5
Counterparty 15 France A - 52.4 - 52.4
Counterparty 16 Poland BB - 48.9 - 48.9
Counterparty 24 Germany BBB - 35.8 - 35.8
Counterparty 29 Switzerland A - 31.4 - 31.4
Counterparty 25 United Kingdom AA - 20.8 - 20.8
Counterparty 32 Canada AA - 19.6 - 19.6
Counterparty 3 Belgium A - 19.4 - 19.4
Counterparty 18 Poland BB - 18.9 - 18.9
Counterparty 2 Switzerland AA 16.0 - - 16.0
Counterparty 30 Denmark A - 14.0 - 14.0
Counterparty 33 Poland No rating 14.0 (0.9) - 14.0
Counterparty 27 United Kingdom BBB - 13.8 - 13.8
Counterparty 26 Germany A - 12.6 - 12.6
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).
2016 Nominal exposure amount Country of the counterparty’s registered office
Balance sheet Off-balance sheet
Counterparty 1 500.0 Poland
Counterparty 21 89.1 Poland
Counterparty 22 50.0 Poland
Counterparty 23 0.0 20.5 Denmark
Counterparty 9 - 60.0 USA
note_61_table_3_pko_bp.xlsx
For comparison, the structure of exposure over PLN 10 million as at 31 December 2015 is presented in the table below:
2015 Nominal exposure amount Country of the counterparty’s registered office
Counterparty 1 500.0 - Poland
Counterparty 9 0.5 59.5 USA
Counterparty 22 50.0 - Poland
Counterparty 33 18.5 11.0 Sweden
Counterparty 23 2.7 17.8 Denmark
Counterparty 21 89.1 - Poland
note_61_table_4_pko_bp.xlsx
In 2016, the risk of adjustment of the value of derivatives in respect of counterparty credit risk (CVA) was distinguished from counterparty credit risk.