7.5.2.2 Credit risk related to derivative transactions
in PLN millions, unless otherwise stated
All entities with which derivative transactions (excluding embedded derivatives) are entered into by the Group operate in the financial sector.
The Group’s credit exposure related to derivatives by main counterparties is presented in the table below3.
|
As at 31 December 2021 |
As at 31 December 2020 |
|||||||
|---|---|---|---|---|---|---|---|---|
| Financial receivables | Financial liabilities | Fair value | Exposure to credit risk | Financial receivables | Financial liabilities | Fair value | Exposure to credit risk | |
| Counterparty 1 | 227 | (195) | 32 | 227 | 317 | (431) | (114) | 317 |
| Counterparty 2 | 162 | (112) | 50 | 162 | 268 | (195) | 73 | 268 |
| Counterparty 3 | 113 | (437) | (324) | 113 | 137 | (272) | (135) | 137 |
| Counterparty 4 | 78 | (57) | 21 | 78 | 129 | (359) | (230) | 129 |
| Other | 279 | (1 360) | (1 081) | 279 | 148 | (395) | (247) | 148 |
| Total | 859 | (2 161) | (1 302) | 859 | 999 | (1 652) | (653) | 999 |
| Open derivatives* | 849 | (2 002) | (1 153) | 999 | (1 610) | (611) | ||
| Settled derivatives, net | 10 | (159) | (149) | – | (42) | (42) | ||
Taking into consideration the receivables due to open derivatives transactions entered into by the Company (excluding embedded derivatives) as at 31 December 2021 and net receivables[4] due to settled derivatives, the maximum single entity share of the amount exposed to credit risk arising from these transactions amounted to 26%, or PLN 227 million (as at 31 December 2020: 32%, or PLN 317 million).5
In order to reduce cash flows and at the same time to limit credit risk, the Parent Entity carries out net settlements (based on standard framework agreements entered into with its customers, regulating the trade of financial instruments, meaning ISDA or based on a formula of the Polish Bank Association). Moreover, the resulting credit risk is continuously monitored by reviewing the credit ratings and is limited by striving to diversify the portfolio while implementing hedging strategies.
| Poziom ratingu | Stan na 31.12.2021 |
Stan na 31.12.2020 |
|
|---|---|---|---|
| Średniowysoki | od A+ do A- wg S&P i Fitch oraz od A1 do A3 wg Moody’s | 98% | 97% |
| Średni | od BBB+ do BBB- wg S&P i Fitch oraz od Baa1 do Baa3 wg Moody’s | 2% | 3% |
3 Does not concern embedded derivatives.
4 The Parent Entity offsets receivables and liabilities due to settled derivatives, for which the future flows are known at the end of the reporting period, pursuant to the principles of net settlements of cash flows adopted in framework agreements with individual customers.
5 In 2021 the method of calculating the value at credit risk related to derivatives was changed – instead of the positive net fair value, only receivables due to open derivatives (excluding embedded derivatives) are taken into account as well as net receivables due to settled derivatives. The data as at 31 December 2020 were calculated in accordance with the new method.