As at 31 December 2019, the Group used fair value hedge (macro fair value hedge).
| Hedging relationship description |
The hedges are used against interest rate risk, specifically changes in the fair value of fixed-rate assets and liabilities resulting from changes in a specific reference rate. |
| Hedged items |
Fixed-rate PLN, EUR and USD current accounts are the hedged items. |
| Hedging instruments |
Hedging instruments include standard IRS transactions, i.e. plain vanilla IRS in PLN, EUR and USD, in which the Group receives a fixed interest rate and pays a floating rate based on WIBOR 6M, WIBOR 3M, EURIBOR 3M, EURIBOR 1M, USD LIBOR 1M, USD LIBOR 6M. |
|
|
Fair value |
|
IRS |
Nominal value |
Assets |
Liabilities |
| 31.12.2019 |
6,506,139 |
224,532 |
1,626 |
| 31.12.2018 |
7,176,981 |
130,405 |
578 |
| Presentation of result on the hedged and hedging transactions |
The change in fair value of hedging instruments is recognized in the Result on hedge accounting. Interest on IRS transactions and current accounts is recognized in Interest income. |
The below table presents derivative hedging instruments at their nominal value as at 31 December 2019 by residual maturity dates:
|
31.12.2019 |
|
Hedging derivatives |
Fair value |
Nominal value |
|
positive |
negative |
|
1-3 months |
3-12 months |
1-5
years |
> 5
years |
Total |
| Interest rate agreements |
|
|
|
|
|
|
|
|
| Swap (IRS) |
224,532 |
1,626 |
– |
400,000 |
1,246,294 |
3,343,237 |
1,516,609 |
6,506,140 |
| Hedging derivatives – total |
224,532 |
1,626 |
– |
400,000 |
1,246,294 |
3,343,237 |
1,516,609 |
6,506,140 |
|
31.12.2018 |
|
Hedging derivatives |
Fair value |
Nominal value |
|
positive |
negative |
|
1-3 months |
3-12 months |
1-5
years |
> 5
years |
Total |
|
Interest rate agreements |
|
|
|
|
|
|
|
|
| Swap (IRS) |
130,405
|
578 |
17,200
|
– |
1,250,000
|
4,453,885
|
1,455,896
|
7,176,981 |
|
Hedging derivatives – total |
130,405 |
578
|
17,200 |
–
|
1,250,000 |
4,453,885 |
1,455,896 |
7,176,981 |
Additionally, as at 31 December 2019, the Group applies fair value hedge accounting (micro fair value hedge).
| Hedging relationship description |
The hedges are used against interest rate risk, specifically changes in the fair value of fixed-rate assets and liabilities resulting from changes in a specific reference rate. |
| Hedged items |
The hedged items are: Fixed rate bond PS0422 and the loan No. LD0536200061 on fixed rate in EUR . |
| Hedging instruments |
Hedging instruments are the standard IRS transactions, i.e. plain vanilla IRS, denominated in PLN and EUR, in which the Group receives a fixed interest rate and pays a floating rate based on WIBOR 6M and EURIBOR 1M. |
|
|
Fair value |
|
IRS |
Nominal value |
Assets |
Liabilities |
| 31.12.2019 |
846,801 |
– |
23,007 |
| 31.12.2018 |
854,543 |
– |
26,550 |
| Presentation of result on the hedged and hedging transactions |
The change in fair value of hedging transactions is recognized in the Result on hedge
accounting. Interest on IRS transactions and hedged items is recognized in Interest income.
|
The liabilities in the item „Differences from hedge accounting” include the adjustment of the value of hedged instruments (deposits) amounting to:
31.12.2019: PLN 199,584 thousand
31.12.2018: PLN 96,472 thousand
The below tables present derivative hedging instruments at their nominal value as at 31 December 2019 by residual maturity dates:
|
31.12.2019 |
|
Hedging derivatives |
Fair value |
Nominal value |
|
positive |
negative |
|
1-3 months
|
3-12 months |
1-5 years |
> 5 years
|
Total |
|
Interest rate agreements |
|
|
|
|
|
|
|
|
| Swap (IRS) |
– |
23,007 |
561 |
1,122 |
95,117 |
750,000 |
– |
846,800 |
|
Hedging derivatives – total |
–
|
23,007 |
561
|
1,122 |
95,117 |
750,000 |
–
|
846,800 |
|
31.12.2018 |
|
Hedging derivatives |
Fair value |
Nominal value |
|
positive |
negative |
|
1-3 months |
3-12 months |
1-5 years |
> 5 years |
Total |
| Interest rate agreements |
|
|
|
|
|
|
|
|
| Swap (IRS) |
– |
26,550 |
– |
1,700 |
5,099 |
847,744 |
– |
854,543 |
| Hedging derivatives – total |
– |
26,550 |
– |
1,700 |
5,099 |
847,744 |
– |
854,543 |
Amounts recognized in the profit or loss account under fair value hedge accounting:
| Fair value |
31.12.2019 |
31.12.2018 |
| Net interest income on hedging derivative instruments |
146,794 |
115,233 |
| Net interest income on hedged instruments |
(111,998) |
(93,592) |
| Change in fair value of hedging transactions recognized in the Result on hedge accounting, including: |
(4,386) |
(9,997) |
| change in fair value of hedging instruments |
99,330 |
(97,480) |
| change in fair value of hedged instruments |
(103,716) |
87,483 |
