Information on capital adequacy. of Bank Polska Kasa Opieki S.A. Group. as at 31 December 2008

Transcription

1 Infrmatin n capital adequacy f Bank Plska Kasa Opieki S.A. Grup Warsaw. May 2009

2 The scpe and principles f publishing infrmatin specified in Reslutin N. 6/2007 f the Cmmissin fr Banking Supervisin (KNB) f 13 March 2007 n detailed principles related t the manner f publishing disclsures by banks with regard t qualitative and quantitative infrmatin regarding capital adequacy and the scpe f infrmatin subject t disclsure, defines the Infrmatin Plicy f Bank Peka S.A. f December 2007, published n the Bank s website. Infrmatin Plicy was implemented by the Reslutin f the Management Bard and apprved by the Supervisin Bard. The Bank annunces the infrmatin (see 3.4 f KNB Reslutin N. 6/2007) n the tp cuntry level f cnslidatin, i.e. based n the data fr Bank Peka S.A. Capital Grup. Quantitative disclsures are based n calculatins cnsistent with the rules valid n 31 December EQUITY OF THE CAPITAL GROUP Equity is cmprised f the capital and funds generated by the cmpanies f the Capital Grup in accrdance with the binding regulatins i.e. the apprpriate laws, statutes and agreements f cmpanies. Equity als includes prir perid prfit (lss). The items cmprising the equity f subrdinated entities ther than statutry capital are added t the apprpriate psitins f the parent entity s equity in prtins in which the parent entity wns the subsidiaries. The equity f the Capital Grup includes nly thse parts f the subsidiaries equity which were created after the date f purchase f shares r stcks by the parent entity. In particular this applies t the change in equity resulting frm prfit r lss r frm revaluatin. Capital fr calculatin f capital adequacy rati was established in cmpliance with Article 127 f the Banking Act taking int accunt adjustments resulting frm Reslutin N. 2/2007 f the Cmmissin fr Banking Supervisin f 13 March Cmpnents f the capital used t calculate the capital adequacy rati (CAR) as f the end f December 2008 are shwn in the Table belw: 2

3 Capital fr the CAR calculatin at the cnslidated level (in PLN thusand) Cre capital (Tier 1) Principal funds: Share capital Surplus capital Reserve capital Additinal items f the cre capital: General banking risk prvisin Current perid net prfit reduced by the expected dividends Deductins frm the cre capital (the negative value): Intangible assets Prir perid lsses Unrealised lss n the available fr sale debt instruments Capital expsure t financial entities Supplementary funds (Tier 2) 0 Unrealised gains n the available fr sale instruments Unrealised gains n the available fr sale debt instruments Unrealised gains n the available fr sale capital instruments Deductins frm the supplementary capital (the negative value): Capital expsure t financial institutins Additinal items f wn funds at the cnslidated level Minrity capital Freign exchange differences Capital fr CAR calculatin Belw, individual cmpnents f capital fr CAR calculatin are described: A) Principal funds Statutry capital relates nly t the capital f the Bank as the parent entity and is presented at nminal value specified in the Statute and in the entry in the Enterprises Registry. The ttal number f shares amunted t All shares are rdinary bearer shares paid in full, with a par value f PLN 1 per share. Surplus capital is created frm apprpriatins f prfits and premiums arising n the issue f shares in accrdance with the Statutes f the cmpanies. Mrever the change f the value f the minrities sharehlding caused by the increase f the share f the parent cmpany in the share capital f the Bank was reflected as an increase f this item accrding t the accunting principles applied by Unicredit Grup. The ttal amunt f surplus capital PLN ths. cmprises f a share premium (cming frm the sale f shares in excess f the nminal value f the shares) in the amunt f PLN ths. and ther items f the surplus capital in the amunt f PLN ths. 3

4 Reserve capital reserve capital at the level f PLN ths. cmprises f the fllwing items: - Other reserve capital: PLN ths. (created frm apprpriatins f prfits; mrever, the ther reserve capital was reduced by the value f the minrity acquisitin with the ppsite (increase) entry in the surplus capital) - Bnds cnvertible int equity: PLN ths. (bnds cnvertible int equity cver the equity fair value f financial instruments issued as part f transactins settled in equity instruments in accrdance with IFRS 2.) B) Additinal items f the cre capital General banking risk prvisin created in the Bank ut f net prfit after tax in accrdance with the terms f the Banking Act f 29 August Current perid net prfit reduced by the expected burdens and dividends in accrdance with Article 127 f the Banking Act, this item can be cntained in cre capital in amunts nt exceeding the prfit amunts verified by auditrs. The item cmprises f Bank Peka S.A. ttal net prfit f the first half f 2008: PLN ths. On the day f this dcument publicatin, Bank Peka S.A. s 2008 net prfit cntained in the capital amunts t PLN If n 31 December 2008, the capital had been augmented by the net prfit f the entire 2008, the capital adequacy rati wuld have reached 13.70%, and thus exceeded the published rati by 1.5 p.p. C) Deductins frm the cre funds Intangible assets intangible assets (PLN ths.) are deducted frm the cre capital in the full amunt. Prir perid lsses cmprise prir perid uncvered lsses f the cmpanies cnslidated under the full methd. Unrealised lss n the available fr sale instruments - in cmpliance with Reslutin N. 2/2007 f the Cmmissin fr Banking Supervisin f March 13, 2007, unrealised lsses are deducted frm the cre capital in 100%. As f the end f December 2008, they amunted t PLN ths. and in full they related t the instruments available fr sale. Capital expsure t financial cmpanies Ttal deductins frm the capital cncerning capital expsure t financial cmpanies (i.e. capital expsure t dmestic and freign banks, credit institutins and financial institutins, meeting requirements stipulated in 5, Sectin 1 f Reslutin N. 2/2007 f the Cmmissin fr Banking Supervisin) amunted t PLN ths. and cvered items presented in the table belw: Capital expsure t financial cmpanies (in PLN thusand) inclusive f: - shares r interests held amunts qualified as subrdinated liabilities ther capital expsures 0 4

5 By virtue f 2, Sectin 1, pint 1 and Sectin 2, and 4 f Reslutin N. 2/2007 f the Cmmissin fr Banking Supervisin, the capital expsure t financial cmpanies is included in 50% f their amunt in deductins frm the cre funds, and the remaining 50% in the supplementary funds. Hwever, if 50% f the capital expsure in financial cmpanies exceeds the supplementary funds, the difference shuld be deducted frm the cre capital. Thus, the cre capital deductins equalled t PLN ths. D) Supplementary funds The nly item f the Grup s supplementary funds are unrealized gains n instruments classified as available fr sale. As f the end f December 2008, they amunted t PLN ths., f which PLN ths. was realized n debt instruments and PLN ths n capital nes. In cmpliance with 3, Sectin 1 f Reslutin N. 2/2007 f the Cmmissin fr Banking Supervisin, unrealized gains n instruments available fr sale are presented in supplementary funds in 60% f their amunt, equalling t PLN ths. E) Deductins frm supplementary funds Deductins frm supplementary funds include the capital expsure t financial cmpanies ttalling PLN ths. (vide explanatins in pint C) Capital expsure t financial cmpanies). F) Additinal items f the capital at the cnslidated level Minrity interest equity is a share in the equity f the subsidiary entity cnslidated under the full methd and belnging t entities ther than thse cnstituting the Capital Grup. Exchange rate differences cver negative exchange rate differences arising frm recalculatin f the result f the freign branch at the weighted average exchange rate n the balance sheet date in relatin t the average NBP exchange rate, and exchange rate differences resulting frm valuatin f net assets in freign entities. G) Shrt-term capital The Bank des nt include the shrt-term capital (cnf. Article 128 f the Banking Act and 5, Sectin 1 f Reslutin N. 1/2007 f the Cmmissin fr Banking Supervisin) in its wn capital calculatin. Fllwing the prudential rules, the Bank assumes that the shrt term capital equals t 0. REGULATORY CAPITAL REQUIREMENTS Regulatry capital requirements calculatin as f is based n Reslutin N. 1/2007 f the Cmmissin fr Banking Supervisin f 13 March

6 Minimum capital requirements cncerning individual risk types are presented in the table belw: Regulatry capital requirements in PLN thusand Credit risk Market risk including: Freign exchange risk 0 - Cmmdities risk 0 - Equity risk 4 - Specific risk f debt instruments General risk f interest rates Settlement/delivery and cunterparty risk Exceeding the expsure cncentratin limit and the large expsure limit 0 Exceeding the capital cncentratin threshld 0 Operatinal risk Ttal capital requirement Capital Capital Adequacy Rati 12,22% Capital requirement fr peratinal risk, which cnstitutes 13% f the ttal capital requirement, was taken int accunt first time in Calculatin f peratinal risk capital requirement at the Bank is based n the standard apprach (Annex N. 14 t the Reslutin N. 1/2007 f the Cmmissin fr Banking Supervisin f 13 March 2007). Capital requirement fr credit risk, which is calculated n the basis f the standard methd (Annex N. 4 t Reslutin N. 1/2007 f the Cmmissin fr Banking Supervisin f 13 March 2007), cnstitutes 81 % f the ttal capital requirement. Credit risk capital requirement is cmpsed f: capital requirement fr balance sheet expsures in the amunt PLN ths, capital requirement fr granted ff-balance-sheet cntingent liabilities and ff-balance-sheet transactins in the amunt PLN ths. Credit risk capital requirement structure by expsure classes is shwn in the table belw: Credit risk capital requirement structure by expsure classes (balance sheet expsures and expsures resulting frm granted ff-balance-sheet cntingent liabilities and balance-sheet transactins). 6

7 Expsure class in PLN thusand Expsures r cntingent expsures t central gvernments and central banks Expsures r cntingent expsures t lcal gvernments and lcal authrities Expsures r cntingent expsures t administrative bdies and nncmmercial undertakings Expsures r cntingent expsures t multilateral develpment banks 0 Expsures r cntingent expsures t internatinal rganisatins 0 Expsures r cntingent expsures t institutins Expsures r cntingent expsures t crprates Expsures r cntingent retail expsures Expsures r cntingent expsures cllaterised by real estate Past due expsures Expsures belnging t regulatry high risk categries 916 Expsures in the frm f cvered bnds 0 Securitisatin psitins 0 Shrt term expsures t institutins and crprates 528 Expsures in the frm f cllective investments undertakings 0 Other expsures Ttal The bjective f capital adequacy assessment accrding t regulatry requirement is t meet requirements f external regulatins. These regulatins aim at ensuring that banks perate at minimum required capital levels calculated using simplified cmmn framewrk. INTERNAL CAPITAL ADEQUACY ASSESSMENT Fr the purpse f assessing internal capital adequacy (started since January 2008), the Bank has been using the methds develped internally, which shuld better reflect the real risk prfile f the Bank. While assessing the internal capital adequacy, the Bank takes int cnsideratin the fllwing risks, cnsidered material: credit risk (including cunterparty credit risk, cncentratin risk, cuntry risk and residual risk), market risk (including interest rate risk in trading bk, exchange rate risk, equity risk, cmmdity risk and vlatility risk), liquidity risk (including liquidity mismatch risk, liquidity cntingency risk, market liquidity risk, peratinal liquidity risk, funding risk and margin calls liquidity risk), interest rate risk in banking bk, real estate risk, peratinal risk, cmpliance risk, reputatin risk, business risk, 7

8 strategic risk, financial investments risk. Fr each risk deemed material, the Bank develps and applies assessment and measurement methdlgy. Tw appraches t risk assessment are applied by the Bank: qualitative, fr risks which are hard t measure r fr which capital cannt absrb lsses (cmpliance, liquidity, strategic and reputatin risks), quantitative, fr risks that can be measured by ecnmic capital (remaining risks). The targeted methdlgy f risk measurement and assessment f the resulting capital requirements, t be applied by the Bank, are Value at Risk mdels based n assumptins stemming frm risk appetite (99,97% cnfidence level and ne year time hrizn). The abve-mentined methds are cmpliant with the UCI Grup guidelines and cmplemented with stress-tests r scenari analyses. Fr risks, fr which this methdlgy has nt been develped and implemented yet, the Bank applies the interim methdlgy (standard apprach plus stress testing). Ecnmic capital figures fr cmpensating the risks that can be assessed quantitatively are aggregated int ne ecnmic capital figure inclusive f diversificatin effect. After the diversificatin effect between different risks is included, ttal aggregated ecnmic capital is nt greater (is equal r smaller) than the sum f ecnmic capital figures fr individual risks. Accrding t Plish regulatins, capital adequacy, frm bth: the regulatry capital requirements perspective (Pillar I) and the internal capital perspective (Pillar II), is referred t the regulatry wn funds. It shuld be stressed that regulatry capital shuld cver nt nly Pillar I risks but als all material risks which the Bank incurs (Pillar II). 8