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PL

Integrated Report 2020

20. Hedge accounting

As at 31 December 2020, the Group used fair value hedge (macro fair value hedge).

XLS
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 Bank 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
31.12.2020 17,260,690 531,793 –
31.12.2019 6,506,139 224,532 1,626
Presentation of result on the hedged and hedging transactions The change in fair value of hedging instruments is recognised in the Result on hedge accounting. Interest on IRS transactions and current accounts is recognised in Interest income.

 

The below table presents derivative hedging instruments at their nominal value by residual maturity dates:

XLS
31.12.2020
Hedging derivatives Fair value Nominal value
positive negative < 1 month 1-3 months 3 months
1 year		 1-5 years > 5 years Total
Interest rate agreements
Swap (IRS) 531,793 – 13,844 – 806,376 14,347,698 2,092,772 17,260,690
Hedging derivatives – total 531,793 – 13,844 – 806,376 14,347,698 2,092,772 17,260,690

 

XLS
31.12.2019
Hedging derivatives Fair value Nominal value
positive negative < 1 month 1-3
months		 3 months
1 year		 1-5 years > 5 years Total
Interest rate agreements
Swap (IRS) 224,532 1,626 – 400,000 1,246,294 3,343,237 1,516,608 6,506,139
Hedging derivatives – total 224,532 1,626 – 400,000 1,246,294 3,343,237 1,516,608 6,506,139

 

Additionally, as at 31 December 2020, the Group applies fair value hedge accounting (micro fair value hedge).

XLS
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, DS1029, WS0428, FPC0427, PFR0925.
Hedging instruments Hedging instruments are the standard IRS transactions, i.e. plain vanilla IRS, denominated in PLN, in which the Bank receives a fixed interest rate and pays a floating rate based on WIBOR 6M.
Fair value
IRS Nominal value Assets Liabilities
31.12.2020 1,750,000 – 60,027
31.12.2019 846,800 – 23,007
Presentation of result on the hedged and hedging transactions The change in fair value of hedging transactions is recognised in the Result on hedge accounting. Interest on IRS transactions and hedged items is recognised in Interest income.

 

The liabilities in the item „Differences from hedge accounting” include the adjustment of the value of hedged instruments (deposits) amounting to:

31.12.2020    PLN 482 691 thousand

31.12.2019    PLN 199 584 thousand

The below table presents derivative hedging instruments at their nominal value by residual maturity dates:

XLS
31.12.2020
Hedging derivatives Fair value Nominal value
positive negative < 1
month		 1-3
months		 3 months
1 year		 1-5 years > 5 years Total
Interest rate agreements
Swap (IRS) – 60,027 – – – 950,000 800,000 1,750,000
Hedging derivatives – total – 60,027 – – – 950,000 800,000 1,750,000

 

XLS
31.12.2019
Hedging derivatives Fair value Nominal value
positive negative < 1
month		 1-3
months		 3 months
1 year		 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

 

Amounts recognised in the profit or loss account under fair value hedge accounting:

XLS
Fair value 31.12.2020 31.12.2019
Net interest income on hedging derivative instruments 176,659 146,794
Net interest expense on derivative hedging instruments (99,538) (111,998)
Change in fair value of hedging transactions recognised in the Result on hedge accounting, including: (11,077) (4,386)
change in fair value of hedging instruments (246,040) 99,330
change in fair value of hedged instruments 234,963 (103,716)

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