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- Financial notes
- 58. Exposure to the counterparty credit risk
58. Exposure to the counterparty credit risk
| CONCENTRATION OF CREDIT RISK – INTERBANK MARKET AND NON-WHOLESALE MARKET – EXPOSURE AS AT 31.12.2023* | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | |||||
| Deposit (nominal value) | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | Nominal balance sheet exposure | Nominal off-balance sheet exposure | Cash on NOSTRO accounts | Total | |||
| Counterparty 1 | Poland | A | 63 | – | 9,177 | – | – | – | 9,240 |
| Counterparty 2 | Luxembourg | AAA | – | – | 8,038 | – | – | – | 8,038 |
| Counterparty 3 | Switzerland | AAA | 1,287 | 17 | – | – | – | – | 1,304 |
| Counterparty 4 | France | A | 783 | – | – | – | – | – | 783 |
| Counterparty 5 | Norway | AA | 674 | – | – | – | – | 1 | 675 |
| Counterparty 6 | Switzerland | AA | 642 | – | – | – | – | – | 642 |
| Counterparty 7 | Austria | BBB | 531 | – | – | – | – | – | 531 |
| Counterparty 8 | Belgium | A | 304 | (8) | – | – | – | 199 | 503 |
| Counterparty 9 | The Netherlands | A | 500 | – | – | – | – | – | 500 |
| Counterparty 10 | Switzerland | AA | 492 | – | – | – | – | 3 | 495 |
| Counterparty 11 | Japan | A | 492 | – | – | – | – | – | 492 |
| Counterparty 12 | Germany | AA | – | 404 | – | 8 | 24 | 4 | 440 |
| Counterparty 13 | Switzerland | AA | 435 | – | – | – | – | – | 435 |
| Counterparty 14 | Austria | A | 391 | – | – | – | – | 4 | 395 |
| Counterparty 15 | Switzerland | AA | 394 | – | – | – | – | – | 394 |
| Counterparty 16 | Switzerland | NONE | 394 | – | – | – | – | – | 394 |
| Counterparty 17 | France | A | – | 357 | – | – | – | – | 357 |
| Counterparty 18 | Switzerland | AA | 295 | – | – | – | – | – | 295 |
| Counterparty 19 | Spain | A | 239 | – | – | – | – | – | 239 |
| Counterparty 20 | Germany | BBB | 59 | (92) | – | – | – | 111 | 170 |
| CONCENTRATION OF CREDIT RISK – INTERBANK MARKET AND NON-WHOLESALE MARKET – EXPOSURE AS AT 31.12.2022* | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Counterparty | Country | Rating | Interbank market – wholesale | Non-wholesale market | |||||
| Deposit (nominal value) | Derivatives (market value, excluding collateral if positive) | Securities (nominal value) | Nominal balance sheet exposure | Nominal off-balance sheet exposure | Cash on NOSTRO accounts | Total | |||
| Counterparty 1 | Poland | A | 66 | (32) | 7,667 | – | – | – | 7,733 |
| Counterparty 2 | Luxembourg | AAA | – | – | 3,656 | – | – | – | 3,656 |
| Counterparty 13 | Switzerland | AA | 880 | – | – | – | – | – | 880 |
| Counterparty 6 | Switzerland | AA | 704 | – | – | – | – | – | 704 |
| Counterparty 108 | Germany | AAA | 694 | – | – | – | – | – | 694 |
| Counterparty 16 | Switzerland | AA | 593 | – | – | – | – | – | 593 |
| Counterparty 4 | France | A | 484 | – | – | – | – | – | 484 |
| Counterparty 15 | Switzerland | AA | 399 | – | – | – | – | – | 399 |
| Counterparty 8 | Belgium | A | – | 103 | – | – | – | 290 | 393 |
| Counterparty 12 | Germany | AA | – | 335 | – | 3 | 29 | 5 | 372 |
| Counterparty 17 | France | A | – | 353 | – | – | – | – | 353 |
| Counterparty 20 | Germany | BBB | 56 | 260 | – | – | – | – | 316 |
| Counterparty 18 | Switzerland | AA | 300 | – | – | – | – | – | 300 |
| Counterparty 41 | Poland | A | 279 | 15 | – | – | – | – | 294 |
| Counterparty 22 | United States of America | AA | – | – | – | 4 | 11 | 192 | 207 |
| Counterparty 21 | Poland | A | – | 17 | 2 | 150 | – | – | 170 |
| Counterparty 42 | France | A | – | 42 | – | – | – | 91 | 133 |
| Counterparty 57 | Germany | A | – | – | – | – | – | 126 | 126 |
| Counterparty 23 | United States of America | AA | – | – | – | – | – | 124 | 124 |
| Counterparty 36 | Germany | A | – | 70 | – | – | – | 4 | 74 |
In order to limit the credit risk in respect of derivative transactions and securities transactions, the Group concludes with its counterparties framework agreements (under the ZBP, ISDA and ICMA standards). The framework agreements allow to offset mutual amounts payable (reduction of the settlement risk) and non-payable (reduction of pre-settlement risk), resulting from transactions, and also utilize the close-out netting mechanism upon termination of the framework agreement as a result of default or an event justifying termination with regard to one or both parties to the agreement.
Moreover, the Group concludes with its counterparties collateral agreements (CSA – Credit Support Annex under the ISDA standard, or a Collateral Agreement under the ZBP standard), under which each party undertakes, upon meeting the premises stipulated therein, to establish appropriate collateral together with the right to offset. Exemptions include derivative transactions concluded between members of the Group: PKO Bank Polski S.A. and PKO Bank Hipoteczny S.A., which have been exempted from the obligations imposed by the EMIR Regulation regarding the exchange of collateral.
The Group had access to two clearing houses (CCP) through which it settles clears interest rate derivative transactions specified in the EMIR Regulation with selected domestic and foreign counterparties.
In connection with the requirement to exchange Initial Margin (IM), for certain types of derivative transactions not cleared at a CCP, under the EMIR Regulation, the Group signs IM agreements with its counterparties, based on the ISDA standard. Initial margin is deposited with the depositary by the two parties to the derivative transaction, in the form of acceptable securities, when the so-called IM threshold (the amount by which the IM threshold is reduced) is exceeded. The amount of the calculated IM requirement is monitored until the threshold IM is exceeded.