Disclosures on capital adequacy of the Bank Pekao S.A. Capital Group as at 30 June, 2018
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1 This document is a free translation of the Polish original. Terminology current in Anglo-Saxon countries has been used where practicable for the purposes of this translation in order to aid understanding. The binding Polish original should be referred to in matters of interpretation. Disclosures on capital adequacy of the Bank Pekao S.A. Capital Group Warsaw, August 2018
2 Table of content Introduction Own funds and prudential consolidation Outline of the differences in consolidation Own funds Common Equity Tier 1 capital Common Equity Tier 1 capital regulatory adjustments Tier 2 capital Capital adequacy assessment Macroprudential supervisory measures Information on risk Risk management objectives and strategies Credit risk, including counterparty risks Market risk, including interest rate risk Operational risk Liquidity risk Risk of excessive financial leverage Internal capital adequacy assessment Impact of IFRS 9 implementation on capital adequacy Declaration of the Management Board of Bank Pekao S.A
3 Introduction Capital adequacy is defined as an extent to which risks taken by Bank Pekao S.A. (hereinafter: Bank ) (measured through capital requirement) can be absorbed by risk coverage capital (measured by own funds) at given significance level (a risk appetite) and at given time horizon. The Bank plans and monitors capital adequacy at two levels: 1. Regulatory requirement (Pillar I) where regulatory capital requirement is compared with regulatory own funds (regulatory capital), 2. Internal models (Pillar II) where internal capital calculated using internal methods is compared with available financial resources specified by Bank. Information Policy of Bank Pekao S.A. (hereinafter: Information policy ) defines scope and principles of publishing information on capital adequacy specified in Regulation (EU) No. 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No. 648/2012, with further amendments as well as Commission Implementing and Delegated Regulations (EU) (hereinafter: CRR or Regulation 575/2013 ). The information policy introduced by a resolution of the Bank s Management Board and approved by the Supervisory Board, is published on the website of Bank. Bank is EU parent institution and according to Information policy disclosures information in this document according to requirements laid-down in Article 13 of Regulation 575/2013 on consolidated basis (prudential consolidation). Disclosures are published on the website of Bank at the time of the Bank Pekao S.A. Group s (hereinafter: Group ) financial statements publication and present information defined in Information policy. Disclosures reflects also the EBA/GL/2016/11 Guidelines on discloser requirements under Part Eight of Regulation (EU) No. 575/2013 (hereinafter: EBA/GL/2016/11 Guidelines ). This document includes information based on calculations made according to the law binding at 30 June The published information is verified by an auditor, then the information is approved by the Management Board of the Bank and acknowledged by the Supervisory Board. 1. Own funds and prudential consolidation Bank determines own funds in line with the law binding at 30 June 2018, particularly with Regulation 575/2013 and The Banking Law Act of 29 August 1997 with further amendments (hereinafter: Banking Act ). Bank disclose information about own funds according to Regulation 575/2013, requirements presented in Commission Implementing Regulation (EU) No. 1423/2013 of 20 December 2013 laying down implementing technical standards with regard to disclosure of own funds requirements for institutions according to Regulation 575/2013 (hereinafter: Regulation 1423/2013 ) and Guidelines EBA/GL/2018/01 on uniform disclosures under Article 473a of Regulation (EU) No 575/2013 as regards the transitional period for mitigating the impact of the introduction of IFRS 9 on own funds (hereinafter: Guidelines EBA/GL/2018/01 ) connected with application of transitional arrangements of introduction of IFRS 9. According to these regulations, own funds comprise of the following items: Common Equity Tier 1 capital which includes i.e.: capital instruments and related share premium, retained earnings, accumulated other comprehensive income, other reserves, funds for general banking risk, Additional Tier 1 capital which includes i.e.: capital instruments, where the conditions laid down in Article 52 of Regulation 575/2013 are met and the share premium related to these instruments, Tier 2 capital which includes i.e.: capital instruments and subordinated loans where the conditions laid down in Article 63 of Regulation 575/2013 are met, the share premium related to these capital instruments and subordinated loans, general credit risk adjustments. 3
4 All mentioned capitals are subject to deduction adjustments and application of prudential filters. Own funds consist of capital and funds raised by subsidiaries of the Group in line with the binding law Outline of the differences in consolidation Table no. 1 presents differences between accounting and regulatory scopes of consolidation. The carrying amounts disclosed in the statement of financial position in regulatory approach are different from the values presented in the statement of financial position presented in the Condensed Consolidated Interim Financial Statements of Bank Pekao S.A. Group for the period from 1 January 2018 to 30 June 2018 only due to the application of various consolidation rules. Table 1. Differences between accounting and regulatory scopes of consolidation (in PLN thousand). ITEM CARRYING VALUES AS REPORTED IN PUBLISHED FINANCIAL STATEMENTS CARRYING VALUES UNDER SCOPE OF REGULATORY CONSOLIDATION Assets A.1 Cash and due from Central Bank A.2 Loans and advances to banks A.3 Financial assets held for trading A.4 Derivative financial instruments (held for trading) A.5 Loans and advances to customers A.6 Receivables from finance leases A.7 Hedging instruments A.8 Investments (placement) securities A.9 Assets held for sale A.10 Investments in subsidiaries A.11 Investments in associates - - A.12 Intangible assets A.13 Property, plant and equipment A.14 Investment properties A.15 Income tax assets A.15.1 Deferred tax assets that rely on future profitability excluding temporary differences assets A.17 Other assets TOTAL ASSETS
5 ITEM CARRYING VALUES AS REPORTED IN PUBLISHED FINANCIAL STATEMENTS CARRYING VALUES UNDER SCOPE OF REGULATORY CONSOLIDATION Liabilities L.1 Amounts due to Central Bank L.2 Amounts due to other banks L.3 Financial liabilities held for trading L.4 Derivative financial instruments (held for trading) L.5 Amounts due to customers L.6 Hedging instruments L.7 Debt securities issued L.8 Subordinated liabilities L.9 Income tax liabilities L.9.1 Deferred tax liabilities on intangible assets L.10 Provisions L.11 Other liabilities TOTAL LIABILITIES Equity L.12 Share capital L.13 Other capital and reserves L.13.1 Share premium L.13.2 Other reserve capital L.13.3 General banking risk fund L.13.4 Accumulated other comprehensive income L Revaluation of hedging financial instruments (11 561) (11 561) L Unrealised gains/losses from revaluation of financial assets measured at fair value through other comprehensive income L Remeasurements of the defined benefit liabilities (72 683) (72 683) L Foreign currency translation differences - - L.14 Profit from current year and previous years L.14.1 Retained earnings from previous years ( ) ( ) L.14.2 Profit of the current year L.15 Non - controlling interests TOTAL EQUITY TOTAL LIABILITIES AND EQUITY
6 1.2. Own funds Table no. 2, according to Regulation 1423/2013, presents information about own funds components used to calculate total capital ratio as at 30 June Given the clarity and value in use of the document for the readers, the disclosure in table no. 2 is limited to non-zero positions, while maintaining the numbering of the lines with the template presented in the Annex VI of the Regulation 1423/2013. Additionally in table no. 2 are presented references between positions of Group s own funds, as well as used filters and deductions on own funds and statement of financial position items in financial statement. Table 2. Own funds used to calculate consolidated capital ratios (in PLN thousand) AMOUNTS SUBJECT TO PRE-REGULATION 575/2013 TREATMENT OR PRESCRIBED RESIDUAL AMOUNT OF REGULATION 575/2013 REFERENCE COMMON EQUITY TIER 1 CAPITAL: INSTRUMENTS AND RESERVES 1 Capital instruments and the related share premium accounts Tab. 1 point L.12 and point L Retained earnings ( ) - Tab. 1 point L Accumulated other comprehensive income (and other reserves) Tab. 1 point L.13.2 and point L a Funds for general banking risk Tab. 1 point L Common Equity Tier 1 (CET1) capital before regulatory adjustments COMMON EQUITY TIER 1 (CET1) CAPITAL: REGULATORY ADJUSTMENTS 7 Additional value adjustments (negative amount) (44 820) - 8 Intangible assets (net of related tax liability) (negative amount) ( ) - Tab. 1 point A.12 and L Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38(3) are met) (24 047) - Tab. 1 point A Fair value reserves related to gains or losses on cash flow hedges Tab. 1 point L b Adjustments regarding the mitigation of the impact of introduction IFRS 9 in the transition period Total regulatory adjustment to Common Equity Tier 1 (CET1) ( ) - 29 Common Equity Tier 1 (CET1) capital ADJUSTMENTS ADDITIONAL TIER 1 (AT1) CAPITAL: INSTRUMENTS 36 Additional Tier 1 (AT1) capital before regulatory adjustments - - ADDITIONAL TIER 1 (AT1) CAPITAL: REGULATORY ADJUSTMENTS 43 Total regulatory adjustments to Additional Tier 1 (AT1) capital Additional Tier 1 (AT1) capital Tier 1 capital (T1= CET1+AT1) ADJUSTMENTS TIER 2 (T2) CAPITAL: INSTRUMENTS AND PROVISIONS 46 Capital instruments and the related share premium accounts Tab. 1 point L.8 51 Tier 2 (T2) capital before regulatory adjustments TIER 2 (T2) CAPITAL: REGULATORY ADJUSTMENTS 57 Total regulatory adjustments to Tier 2 (T2) capital Tier 2 (T2) capital Total capital (TC=T1+T2) Total risk weighted assets
7 AMOUNTS SUBJECT TO PRE-REGULATION 575/2013 TREATMENT OR PRESCRIBED RESIDUAL AMOUNT OF REGULATION 575/2013 CAPITAL RATIOS AND BUFFERS 61 Common Equity Tier 1 (as a percentage of risk exposure amount) Tier 1 (as a percentage of risk exposure amount) Total capital (as a percentage of risk exposure amount) Institution specific buffer requirement (CET1 requirement in accordance with Article 92(1)(a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) of which: capital conservation buffer requirements of which: countercyclical buffer requirements of which: systemic risk buffer requirements a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount AMOUNTS BELOW THE THRESHOLDS FOR DEDUCTION (BEFORE RISK WEIGHTING) Direct and indirect holdings of the capital of financial sector entities 72 where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38(3) are met) REFERENCE Tab. 1 point A.8, point A.10 and point A Tab. 1 point A.15 Detailed description of main characteristics of capital instruments are presented in table no. 3. 7
8 Table 3. Capital instruments main characteristics. SERIES A SERIES B SERIES C 1 Issuer Bank Pekao S.A. Bank Pekao S.A. Bank Pekao S.A. 2 Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) ISIN: PLPEKAO00016 ISIN: PLPEKAO00016 ISIN: PLPEKAO Governing law(s) of the instrument Polish law Polish law Polish law Regulatory treatment 4 Transitional CRR rules Tier 1 Tier 1 Tier 1 5 Post-transitional CRR rules Tier 1 Tier 1 Tier 1 6 Eligible at solo/(sub-)consolidated / solo & (sub-)consolidated Solo / Consolidated Solo / Consolidated Solo / Consolidated 7 Instrument type (types to be specified by each jurisdiction) Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR 8 Amount recognised in regulatory capital (currency in million, as of most recent reporting date) PLN PLN PLN Nominal amount of instrument PLN 1.00 PLN 1.00 PLN a Issue price PLN 1.00 PLN PLN b Redemption price Accounting classification Share capital Share capital Share capital 11 Original date of issuance Perpetual or dated Perpetual Perpetual Perpetual 13 Original maturity date Without maturity Without maturity Without maturity 14 Issuer call subject to prior supervisory approval Optional call date, contingent call dates and redemption amount Subsequent call dates, if applicable Coupons / dividends Fixed or floating dividend/coupon Variable dividend Variable dividend Variable dividend 18 Coupon rate and any related index Existence of a dividend stopper No No No 20a Fully discretionary, partially discretionary or mandatory (in terms of timing) b Fully discretionary, partially discretionary or mandatory (in terms of amount) Existence of step-up or other incentive to redeem No No No 22 Noncumulative or cumulative Not accumulated Not accumulated Not accumulated 23 Convertible or non-convertible Interchangeable Interchangeable Interchangeable 24 If convertible, conversion trigger(s) If convertible, fully or partially If convertible, conversion rate If convertible, mandatory or optional conversion If convertible, specify instrument type convertible into If convertible, specify issuer of instrument it converts into Write-down features No No No 31 If write-down, write-down trigger(s) If write-down, full or partial If write-down, permanent or temporary If temporary write-down, description of write-up mechanism Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Non-compliant transitioned features No No No 37 If yes, specify non-compliant features
9 SERIES D SERIES E SERIES F 1 Issuer Bank Pekao S.A. Bank Pekao S.A. Bank Pekao S.A. 2 Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) ISIN: PLPEKAO00016 ISIN: PLPEKAO00016 ISIN: PLPEKAO Governing law(s) of the instrument UK / US law Polish law Polish law Regulatory treatment 4 Transitional CRR rules Tier 1 Tier 1 Tier 1 5 Post-transitional CRR rules Tier 1 Tier 1 Tier 1 6 Eligible at solo/(sub-)consolidated / solo & (sub-)consolidated Solo / Consolidated Solo / Consolidated Solo / Consolidated 7 Instrument type (types to be specified by each jurisdiction) Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR 8 Amount recognised in regulatory capital (currency in million, as of most recent reporting date) PLN PLN PLN Nominal amount of instrument PLN 1.00 PLN 1.00 PLN a Issue price PLN PLN PLN b Redemption price Accounting classification Share capital Share capital Share capital 11 Original date of issuance Perpetual or dated Perpetual Perpetual Perpetual 13 Original maturity date Without maturity Without maturity Without maturity 14 Issuer call subject to prior supervisory approval Optional call date, contingent call dates and redemption amount Subsequent call dates, if applicable Coupons / dividends Fixed or floating dividend/coupon Variable dividend Variable dividend Variable dividend 18 Coupon rate and any related index Existence of a dividend stopper No No No 20a Fully discretionary, partially discretionary or mandatory (in terms of timing) b Fully discretionary, partially discretionary or mandatory (in terms of amount) Existence of step-up or other incentive to redeem No No No 22 Noncumulative or cumulative Not accumulated Not accumulated Not accumulated 23 Convertible or non-convertible Interchangeable Interchangeable Interchangeable 24 If convertible, conversion trigger(s) If convertible, fully or partially If convertible, conversion rate If convertible, mandatory or optional conversion If convertible, specify instrument type convertible into If convertible, specify issuer of instrument it converts into Write-down features No No No 31 If write-down, write-down trigger(s) If write-down, full or partial If write-down, permanent or temporary If temporary write-down, description of write-up mechanism Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Non-compliant transitioned features No No No 37 If yes, specify non-compliant features
10 SERIES G SERIES H SERIES I 1 Issuer Bank Pekao S.A. Bank Pekao S.A. Bank Pekao S.A. 2 Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) ISIN: PLPEKAO00016 ISIN: PLPEKAO00016 ISIN: PLPEKAO Governing law(s) of the instrument Polish law Polish law Polish law Regulatory treatment 4 Transitional CRR rules Tier 1 Tier 1 Tier 1 5 Post-transitional CRR rules Tier 1 Tier 1 Tier 1 6 Eligible at solo/(sub-)consolidated / solo & (sub-)consolidated Solo / Consolidated Solo / Consolidated Solo / Consolidated 7 Instrument type (types to be specified by each jurisdiction) Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR Ordinary shares, Art. 50 CRR 8 Amount recognised in regulatory capital (currency in million, as of most recent reporting date) PLN PLN PLN Nominal amount of instrument PLN 1.00 PLN 1.00 PLN a Issue price PLN PLN PLN b Redemption price Accounting classification Share capital Share capital Share capital 11 Original date of issuance Perpetual or dated Perpetual Perpetual Perpetual 13 Original maturity date Without maturity Without maturity Without maturity 14 Issuer call subject to prior supervisory approval Optional call date, contingent call dates and redemption amount Subsequent call dates, if applicable Coupons / dividends Fixed or floating dividend/coupon Variable dividend Variable dividend Variable dividend 18 Coupon rate and any related index Existence of a dividend stopper No No No 20a Fully discretionary, partially discretionary or mandatory (in terms of timing) b Fully discretionary, partially discretionary or mandatory (in terms of amount) Existence of step-up or other incentive to redeem No No No 22 Noncumulative or cumulative Not accumulated Not accumulated Not accumulated 23 Convertible or non-convertible Interchangeable Interchangeable Interchangeable 24 If convertible, conversion trigger(s) If convertible, fully or partially If convertible, conversion rate If convertible, mandatory or optional conversion If convertible, specify instrument type convertible into If convertible, specify issuer of instrument it converts into Write-down features No No No 31 If write-down, write-down trigger(s) If write-down, full or partial If write-down, permanent or temporary If temporary write-down, description of write-up mechanism Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Non-compliant transitioned features No No No 37 If yes, specify non-compliant features
11 BONDS SERIES A 1 Issuer Bank Pekao S.A. 2 Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) ISIN: PLPEKAO Governing law(s) of the instrument Polish law Regulatory treatment 4 Transitional CRR rules Tier 2 5 Post-transitional CRR rules Tier 2 6 Eligible at solo/(sub-)consolidated / solo & (sub-)consolidated Solo / Consolidated 7 Instrument type (types to be specified by each jurisdiction) Subordinated bonds, Art. 62 CRR 8 Amount recognised in regulatory capital (currency in million, as of most recent reporting date) PLN Nominal amount of instrument PLN a Issue price PLN b Redemption price PLN Accounting classification Financial liabilities amortized cost 11 Original date of issuance Perpetual or dated Dated 13 Original maturity date Issuer call subject to prior supervisory approval Yes 15 Optional call date, contingent call dates and redemption amount , PLN Subsequent call dates, if applicable - Coupons / dividends - 17 Fixed or floating dividend/coupon Floating coupon 18 Coupon rate and any related index Wibor 6M + margin 19 Existence of a dividend stopper - 20a Fully discretionary, partially discretionary or mandatory (in terms of timing) Mandatory 20b Fully discretionary, partially discretionary or mandatory (in terms of amount) Mandatory 21 Existence of step-up or other incentive to redeem No 22 Noncumulative or cumulative Not accumulated 23 Convertible or non-convertible Interchangeable 24 If convertible, conversion trigger(s) - 25 If convertible, fully or partially - 26 If convertible, conversion rate - 27 If convertible, mandatory or optional conversion - 28 If convertible, specify instrument type convertible into - 29 If convertible, specify issuer of instrument it converts into - 30 Write-down features No 31 If write-down, write-down trigger(s) - 32 If write-down, full or partial - 33 If write-down, permanent or temporary - 34 If temporary write-down, description of write-up mechanism - 35 Position in subordination hierarchy in liquidation (specify instrument type immediately Gratification last in the event of the senior to instrument) Issuer's bankruptcy or its liquidation 36 Non-compliant transitioned features No 37 If yes, specify non-compliant features - In next chapters main positions of Common Equity Tier 1 capital and Tier 2 capital are described. The Group has no Additional Tier 1 capital. 11
12 1.3. Common Equity Tier 1 capital Capital instruments in Common Equity Tier 1 capital in amount of PLN thousand apply only to Bank s share capital as parent undertaking and its value is shown according to statute and an entry in the register of entrepreneurs by nominal value. The number of shares is , all shares are ordinary bearer shares, entirely paid, with nominal value per one share equals PLN 1. Share premium related to these capital instruments arose with their issuance above their nominal value equals to PLN thousand. Retained earnings defined as previous year retained earnings plus the eligible interim or year-end profits according to International Accounting Standards amount PLN ( ) thousand and concern, among others introduction of IFRS 9. Current reporting period net profit verified by the statutory auditor, reduced by all foreseeable charges and dividend, can be included into Common Equity Tier 1 capital only with the permission of Polish Financial Supervision Authority (hereinafter: KNF ). At 30 June 2018, Bank s current profit for 2018 was not included into this position. Accumulated other comprehensive income defined according to International Accounting Standards, amounted to PLN thousand are presented after deduction of any tax charge foreseeable at the moment of its calculation and before use of prudential filters. Other reserves defined as capital in the meaning of applicable accounting standards, are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings. Other reserves are presented net of any tax charge foreseeable at the moment of the calculation and amount PLN thousand. Funds for general banking risk in amount PLN thousand is created from profit after tax according to Banking Act Common Equity Tier 1 capital regulatory adjustments Intangible assets (after reduction by the amount of associated deferred tax liabilities), which amount to PLN thousand, decrease Common Equity Tier 1 capital. Reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value, including projected cash flows in amount of PLN thousand are excluded from the accumulated other comprehensive income, according to Article 33(a) of Regulation 575/2013. Adjustments in transitional period in amount PLN thousand resulting from introduction of IFRS9. Additional value adjustments due to prudential valuation are applied for every asset measured at fair value, according to Article 34 of Regulation 575/2013 and amount to PLN thousand. Deferred tax assets that rely on future profitability and do not arise from temporary differences, decrease Common Equity Tier 1 capital according to Article 36 of Regulation 575/2013 in the amount of PLN thousand. 12
13 1.5. Tier 2 capital Subordinated bonds series A were issued on 30 October 2017 and are included in the Tier 2 capital, according to the approval of the KNF of 21 December As at 30 June 2018 their value of PLN thousand was recognized in own funds. 2. Capital adequacy assessment The objective of capital adequacy assessment according to regulatory requirement is to ensure that banks maintain minimum capital levels calculated using common framework. Capital requirements were calculated (for credit risk, market risk and operational risk) at consolidated level as at 30 June 2018, according to the Regulation 575/2013 using following approaches (in brackets particular articles of Regulation 575/2013 are presented): Standardised Approach for credit risk (Part III, Title II, Chapter 2), Financial Collateral Comprehensive Method for credit risk mitigation (Part III, Title II, Chapter 4), Mark-to-Market Method for counterparty credit risk (Part III, Title II, Chapter 6), Standardised Approach for specific risk and duration-based calculation for general risk of debt instruments (Part III, Title IV, Chapter 2, Section 2), Standardised Approach for general and specific risk of equity instruments (Part III, Title IV, Chapter 2, Section 3), Standardised Approach for pre-funded contributions to the default fund of a qualifying central counterparty (Part III, Title II, Chapter 6), Standardised Approach for foreign-exchange risk (Part III, Title IV, Chapter 3), Simplified Approach for commodities risk (Part III, Title IV, Chapter 4), Standardised Approach for credit risk valuation adjustment risk (Part III, Title VI), Advanced Measurement Approach for operational risk (Part III, Title III, Chapter 4) for the Bank and Standardised Approach (Part III, Title III, Chapter 3) for the subsidiaries of the Bank. According to law, Group is required to maintain minimal values of capital ratios resulting from Pillar I level resulting from art. 92 of Regulation 575/2013, capital requirement of Pillar II resulting from art point. 2a of The Banking Act and combined buffer requirement resulting from Act of 5 August 2015 on macroprudential supervision over the financial system and crisis management entered into force since 1 January 2016 in scope of capital buffers (hereinafter: Act on macroprudential supervision ). Pillar II buffer referred to above, results from recommendation of KNF to banks with significant CHF mortgage loans exposure to maintain additional capital requirements. Pekao Bank Hipoteczny S.A., which is subsidiary of Bank, on 21 November 2017 was recommended to maintain a buffer in order to hedge risk arising from mortgage loans denominated in foreign currency to households 0.59 p.p., which should consist at least 75% of Tier 1 capital (which corresponds to 0.44 p.p.). Due to the low exposure of mortgage loans denominated in foreign currency in total credit portfolio, Bank did not receive such recommendation from the KNF. The additional capital requirement imposed on Pekao Bank Hipoteczny S.A. effects on consolidated capital requirement by 0.01 p.p. for total capital ratio and p.p. for Tier 1 capital ratio. Details of the combined buffer requirement are presented in Chapter 3 of Disclosures. Minimum capital ratios required by law which Bank is required to maintain are: Common Equity Tier I ratio (CET 1) in amount of 9.88%. Capital Tier I ratio (T1) in amount of 11.38%, Total capital ratio (TCR) in amount of 13.38%, The risk weighted assets and the regulatory capital requirements for above-mentioned risks as at 30 June 2018 are presented in the table no. 4 (in accordance with the EU OV1 template shown in the EBA/GL/2016/11 Guidelines) and the chart no. 1. The values of the regulatory capital ratios are presented in the table no
14 Table 4. Risk weighted amounts and capital requirements (in PLN thousand). TITLE RISK WEIGHTED AMOUNTS MINIMUM CAPITAL REQUIREMENTS Credit risk (excluding CCR) of which the standardised approach of which the foundation IRB (FIRB) approach of which the advanced IRB (AIRB) approach of which equity IRB under the simple risk-weighted approach or the IMA CCR of which mark to market of which original exposure of which the standardised approach of which internal model method (IMM) of which risk exposure amount for contributions to the default fund of a CCP of which CVA Settlement risk Securitisation exposures in the banking book (after the cap) of which IRB approach of which IRB supervisory formula approach (SFA) of which internal assessment approach (IAA) of which standardised approach Market risk of which the standardised approach of which IMA Large exposures Operational risk of which basic indicator approach of which standardised approach of which advanced measurement approach (*) Amounts below the thresholds for deduction (subject to 250% risk weight) Floor adjustment Total (*) The Bank has obtained an approval for the calculation of regulatory capital for operational risk using the advanced method AMA. According to the KNF decision, the regulatory requirement used for reporting purposes is the higher one of two values: the requirement calculated using the advanced method or 50% of the requirement calculated using the standardised method. Due to the fact that the value calculated using the advanced AMA method is lower, the presented value is 50% of the regulatory requirement calculated using the standardised method. Table 5. Capital ratios (in PLN thousand) Total amount of risk exposure Common Equity Tier 1 (CET1) Tier 2 (T2) capital Total capital (TC=T1+T2) CET1 ratio (%) T1 ratio (%) TCR (%)
15 Chart 1. Regulatory capital requirements. Credit risk Operational risk Market risk Counterparty credit risk 0.4% 1.6% 5.8% 92.2% 3. Macroprudential supervisory measures On 1 January 2016 entered into force since Act on macroprudential supervision. According to this act, on 30 June 2018 Group has following buffers: 1. Capital conservation buffer of 1.875% which is based on Article 84 of Act on macroprudential supervision, 2. Other Systemically Important Institution (O-SII) buffer of 0.5%, 3. Institution specific countercyclical capital buffer of 0%, 4. Systemic risk buffer in amount of 3%. On 19 December 2017 KNF, pursuant to Article 46 of Act on macroprudential supervision, has imposed on the Bank, on the individual and consolidated basis, the Other Systemically Important Institution (O-SII) buffer in the amount of 0.5% of the total risk exposure, calculated in accordance to Article 92(3) of Regulation 575/2013. Since 1 January 2016 countercyclical capital buffer amounts 0% for credit exposures in Poland. This rate is in force until minister competent for financial institutions will change it via regulation. On 30 June 2018 such regulation has not been published. Group calculates institution specific countercyclical capital buffer taking into account credit exposures in other countries and theirs buffer rates. According to Minister of Finance Regulation of 1 September 2017, regarding systemic risk buffer, systemic risk buffer in amount of 3% of the total risk exposure is calculated in accordance to Article 92(3) of Regulation 575/2013 and applies only for credit exposures in Poland. Systemic risk buffer applies since 1st January Table no. 6 presents information on geographical location of the relevant credit exposures, according to Commission Delegated Regulation (EU) 2015/1555 of 28 May 2015 supplementing Regulation No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the disclosure of information in relation to the compliance of institutions with the requirement for a countercyclical capital buffer (art. 440 of Regulation 575/2013). 15
16 Table 6. Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer (in PLN thousand). GENERAL CREDIT TRADING BOOK SECURITISATION OWN FUNDS REQUIREMENTS VALUE FOR STANDARDISED APPROACH VALUE IRB SUM OF LONG AND SHORT POSITION OF TRADING BOOK VALUE OF TRADING BOOK FOR INTERNAL MODELS VALUE FOR STANDARDISED APPROACH VALUE IRB OF WHICH: GENERAL CREDIT OF WHICH: TRADING BOOK OF WHICH: SECURITISATION TOTAL OWN FUNDS REQUIRE- MENTS WEIGHTS COUNTERCYCLICAL CAPITAL BUFFER RATE (%) Breakdown by country PL Poland SE Sweden GB United Kingdom LU Luxembourg IT Italy DE Germany CH Switzerland UA Ukraine US United States GR Greece FR France TR Turkey BS Bahama Islands CY Cyprus SI Slovenia NL Netherlands AT Austria SK Slovakia BE Belgium CZ Czech Republic LI Liechtenstein IL Israel NO Norway RU Russia
17 GENERAL CREDIT TRADING BOOK SECURITISATION OWN FUNDS REQUIREMENTS VALUE FOR STANDARDISED APPROACH VALUE IRB SUM OF LONG AND SHORT POSITION OF TRADING BOOK VALUE OF TRADING BOOK FOR INTERNAL MODELS VALUE FOR STANDARDISED APPROACH VALUE IRB OF WHICH: GENERAL CREDIT OF WHICH: TRADING BOOK OF WHICH: SECURITISATION TOTAL OWN FUNDS REQUIRE- MENTS WEIGHTS COUNTERCYCLICAL CAPITAL BUFFER RATE (%) FI Finland EE Estonia IE Ireland BA Bosnia and Hercegovina TH Thailand TW Taiwan KR South Korea ID Indonesia RO Romania HR Croatia ES Spain LT Lithuania HU Hungary CN China TN Tunisia DK Denmark PK Pakistan CA Canada BY Belarus EC Ecuador RS Serbia IS Iceland ZA South African Republic IN India PT Portugal EG Egypt
18 GENERAL CREDIT TRADING BOOK SECURITISATION OWN FUNDS REQUIREMENTS VALUE FOR STANDARDISED APPROACH VALUE IRB SUM OF LONG AND SHORT POSITION OF TRADING BOOK VALUE OF TRADING BOOK FOR INTERNAL MODELS VALUE FOR STANDARDISED APPROACH VALUE IRB OF WHICH: GENERAL CREDIT OF WHICH: TRADING BOOK OF WHICH: SECURITISATION TOTAL OWN FUNDS REQUIRE- MENTS WEIGHTS COUNTERCYCLICAL CAPITAL BUFFER RATE (%) MT Malta NG Nigeria LV Latvia VG British Virgin Islands MC Monaco AF Afghanistan MD Moldova AE United Arab Emirates BZ Belize AD Andorra GE Georgia NZ New Zealand SC Seychelles UZ Uzbekistan BR Brazil CL Chile OM Oman AM Armenia BG Bulgaria AU Australia CM Cameroon DZ Algeria HK Hong Kong
19 GENERAL CREDIT TRADING BOOK SECURITISATION OWN FUNDS REQUIREMENTS VALUE FOR STANDARDISED APPROACH VALUE IRB SUM OF LONG AND SHORT POSITION OF TRADING BOOK VALUE OF TRADING BOOK FOR INTERNAL MODELS VALUE FOR STANDARDISED APPROACH VALUE IRB OF WHICH: GENERAL CREDIT OF WHICH: TRADING BOOK OF WHICH: SECURITISATION TOTAL OWN FUNDS REQUIRE- MENTS WEIGHTS COUNTERCYCLICAL CAPITAL BUFFER RATE (%) KZ Kazakhstan QA Qatar VE Venezuela GG Guernsey - Channel Islands Total
20 Table no. 7 presents amount of institution-specific countercyclical capital buffer. Table 7. Amount of institution-specific countercyclical capital buffer (in PLN thousand) Total risk exposure amount Institution specific countercyclical buffer rate (%) Institution specific countercyclical buffer requirement - 4. Information on risk 4.1. Risk management objectives and strategies Risk management strategy determines main elements of the risk approach for the Bank and Group resulting from adopted business strategy. Risk management strategy covers objectives of risk management with accompanying key principles of risk treatment, target structure of risk connected with business activities and acceptable risk levels (risk appetite). The aim of risk management framework applied by the Bank and Group is to assure achievement of business goals while preserving stability of capital returns. In order to assure this, the Bank/Group hedges itself against the realization of risk by identifying, and where justifiable, avoiding, or where not taking and mitigating each risk influencing its activity. New products, business and projects are launched only after analysis of inherent risks. It is worth highlighting that the Bank/Group focuses its activities on lines of business where they possess considerable experience enabling to assess risks related to them. The risk management system, ensuing directly from the adopted risk management strategy, has been described in detail in the as at 31 December, 2017 and in the Condensed Consolidated Interim Financial Statements of Bank Pekao S.A. Group for the period from 1 January 2018 to 30 June Credit risk, including counterparty risks Credit risk is the risk of an unexpected change in the borrower's creditworthiness, which could cause a change in the credit exposure to that borrower. The change in the exposure value may result from insolvency of the borrower or a decrease in the borrower's creditworthiness. Counterparty credit risk is the risk of insolvency of the of derivative transaction party. The main objective of credit risk and counterparty risk management is to ensure the Bank's sustainable growth while maintaining the quality of assets, compliant with the risk appetite. In connection with the implementation of IFRS 9, the credit risk and counterparty risk management process was adjusted to measure the impairment of financial assets. The changed model was described in the Financial Statements for the period from 1 January 2018 to 30 June For the remaining scope, no significant modifications were introduced compared to the solutions described in the Disclosures on capital adequacy of Bank Pekao S.A. Capital Group as of 31 December
21 The quantitative information Capital requirement standardized approach The Group uses only the standardized approach for calculation of the credit risk capital requirement. Tables no. 8 and 9 present detailed information on the use of standardized approach, in accordance with the templates of EU CR4 and EU CR5 presented in EBA/GL/2016/11 Guidelines. Table 8. Standardised approach credit risk exposure and CRM effects (in PLN thousand). CLASSES BEFORE CCF AND CRM POST CCF AND CRM RWA AND RWA DENSITY ON-BALANCE- SHEET AMOUNT OFF-BALANCE- SHEET AMOUNT ON-BALANCE- SHEET AMOUNT OFF-BALANCE- SHEET AMOUNT RWA RWA DENSITY 1 Central governments or central banks % 2 Regional governments or local authorities % 3 Public sector entities % 4 Multilateral development banks % 5 International organisations Institutions % 7 Corporates % 8 Retail % 9 Secured by mortgages on immovable property % 10 Exposures in default % 11 Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings Equity exposures % 16 Other exposures % 17 Total % 21
22 CLASSES 1 2 Table 9. Standardised approach breakdown of credit risk exposure (post conversion factor and post risk mitigation techniques) by asset class and risk weight (in PLN thousand). Central governments or central banks Regional governments or local authorities RISK WEIGHT 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% OTHERS DEDUCTED Public sector entities Multilateral development banks International organisations Institutions Corporates Retail Secured by mortgages on immovable property Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings Equity exposures Other exposures Total TOTAL OF WHICH UNRATED 22
23 Table no. 10 presents extents of the use of CRM techniques, in accordance with the EU CR3 template shown in the EBA/GL/2016/11 Guidelines. Table 10. CRM techniques overview (in PLN thousand). UNSECURED SECURED SECURED BY COLLATERAL SECURED BY FINANCIAL GUARANTEES SECURED BY CREDIT DERIVATIVES 1 Total loans Total debt securities Total exposures (*) Of which defaulted (*) Item includes balance sheet and off-balance sheet exposure. Within the calculation of its own funds requirements for credit risk, the Group uses the credit assessments assigned by the external credit assessment institutions (ECAI). The process of carrying the issuer's and issue s rating to individual Group s exposures complies with the Regulation 575/2013 (Part III, Title II, Chapter 2). The Group's internal regulations govern the use of external ratings and define the names of external credit rating institutions whose ratings may be used. As at 30 June 2018, the Group used external ratings issued by Fitch Ratings. Credit quality of exposures In accordance with the EBA/GL/2016/11 Guidelines the following tables contain information on credit quality, past-due exposures, non-performing and forborne exposures. table no. 11 credit quality of on-balance-sheet and off-balance-sheet exposures (EU CR1-A template), table no. 12 credit quality of on-balance-sheet and off-balance-sheet exposures by industry (EU CR1-B template), table no. 13 credit quality of on-balance-sheet and off-balance-sheet exposures by geographical areas (EU CR1-C template), table no. 14 analysis of accounting on-balance-sheet past-due exposures regardless of their impairment status (EU CR1-D template), table no. 15 overview of non-performing and forborne exposures as per the Commission Implementing Regulation (EU) 680/2014 (EU CR1-E template), table no. 16 identify the changes in stock of general and specific credit risk adjustments held against loans and debt securities that are defaulted or impaired (EU CR2-A template), table no. 17 identify the changes in stock of defaulted loans and debt securities (EU CR2-B template). 23
24 Table 11. Credit quality of exposures by exposure class and instrument (in PLN thousand). DEFAULTED GROSS CARRYING VALUES OF NON-DEFAULTED SPECIFIC CREDIT RISK ADJUSTMENT GENERAL CREDIT RISK ADJUSTMENT ACCUMULATED WRITE-OFFS CREDIT RISK ADJUSTMENT CHARGES OF THE PERIOD (*) NET VALUES ( ) 1 Central governments or central banks Regional governments or local authorities (287) Public sector entities Multilateral development banks International organisations Institutions (38) Corporates of which: SMEs Retail of which: SMEs Secured by mortgages on immovable property of which: SMEs Exposures in default Items associated with particularly high risk Covered bonds Claims on institutions and corporates with a short-term credit assessment Collective investments undertakings Equity exposures Other exposures Total standardised approach Total of which: Loans of which: Debt securities of which: Off-balance-sheet exposures (*) Amount included in specific credit risk adjustment due to opening balance of expected credit losses determined in accordance with the IFRS 9 as at 1 January 2018, taking into account transitional period. 24
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