20. Hedge accounting
As at 31 December 2021, 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 Bank receives a fixed interest rate and pays a floating rate based on WIBOR 3M, WIBOR 6M, EURIBOR 1M, EURIBOR 3M, EURIBOR 6M, USD LIBOR 3M, USD LIBOR 6M. | |||
| Fair value | ||||
| IRS | Nominal value | Assets | Liabilities | |
| 31.12.2021 | 25,073 220 | 65,465 | 1,028,790 | |
| 31.12.2020 | 17,260 690 | 531,793 | – | |
| 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 liabilities in the item „Differences from hedge accounting” include the adjustment of the value of hedged instruments (deposits) amounting to:
- 31.12.2021 PLN -1,083,866 thousand
- 31.12.2020 PLN 482,691 thousand
The below table presents derivative hedging instruments at their nominal value by residual maturity dates:
| 31.12.2021 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 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) | 65,465 | 1,028,790 | 500,000 | 545,994 | 6,189,910 | 14,700,739 | 3,136,577 | 25,073,220 |
| Hedging derivatives – total | 65,465 | 1,028,790 | 500,000 | 545,994 | 6,189,910 | 14,700,739 | 3,136,577 | 25,073,220 |
| 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 |
Additionally, as at 31 December 2021, 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. | |||
| Hedging instruments | Hedging instruments are the standard IRS transactions, i.e. plain vanilla IRS, denominated in PLN, in which the Bank receives a floating rate based on WIBOR 6M and pays a fixed interest rate. | |||
| Fair value | ||||
| IRS | Nominal value | Assets | Liabilities | |
| 31.12.2021 | 750,000 | – | 13,817 | |
| 31.12.2020 | 1,750,000 | – | 60,027 | |
| 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 below table presents derivative hedging instruments at their nominal value by residual maturity dates:
| 31.12.2021 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 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) | – | 13,817 | – | – | 750,000 | – | – | 750,000 |
| Hedging derivatives – total | – | 13,817 | – | – | 750,000 | – | – | 750,000 |
| 31.12.2020 | ||||||||
|---|---|---|---|---|---|---|---|---|
| Hedging derivatives | Fair value | Nominal value | ||||||
| positive | negative | < 1 month | 1-3 months | 3 months-1 year | 3 months-1 year | > 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 |
Amounts recognised in the profit or loss account under fair value hedge accounting:
| Fair value | 31.12.2021 | 31.12.2020 |
|---|---|---|
| Net interest income on hedging derivative instruments | 195,568 | 176,659 |
| Net interest expense on derivative hedging instruments | (53,031) | (99,538) |
| Change in fair value of hedging transactions recognised in the Result on hedge accounting, including: | 50,369 | (11,077) |
| change in fair value of hedging instruments | (1,472,733) | (246,040) |
| change in fair value of hedged instruments | 1,523,101 | 234,963 |
Additionally, the Group applies cash flow hedge accounting as of 31 December 2021. The cash flow hedge relationship was established in March 2021, and therefore there were no balances relating to this type of hedge at 31 December 2020.
| Hedging relationship description | The hedges are used against interest rate risk, specifically no changes in the interest cash flows on the hedged item, resulting from the changes in a specific reference rate. |
| Hedged items | The hedged items are: Floating rate bond WZ1131. |
| Hedging instruments | Hedging instruments include standard IRS transactions, i.e. plain vanilla IRS in which the Bank receives a fixed rate and pays a floating rate based on WIBOR 6M. |
| IRS | Nominal value | Fair value of assets | Fair value of liabilities |
| 31.12.2021 | 625,000 | – | 85,365 |
| Presentation of result on hedging and hedging transactions | The change in fair value of derivative hedging instruments designated as hedging of cash flows is recognised directly in the Revaluation reserve in the part constituting the effective part of the hedge. The ineffective part of the hedge is recognised in the statement of profit or loss under Result on hedge accounting. | ||
The below table presents derivative hedging instruments at their nominal value by residual maturity dates as of 31 December 2021.
| 31.12.2021 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 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) | – | 85,365 | – | – | – | – | 625,000 | 625,000 |
| Hedging derivatives – total | – | 85,365 | – | – | – | – | 625,000 | 625,000 |
| Cash flow hedges | 31.12.2021 |
|---|---|
| Interest income on hedging derivatives | 7,912 |
| Interest expense on hedging derivatives | (2,267) |
Changes in revaluation reserve due to valuation of derivative hedging instruments in cash flow hedge accounting.
| Interest rate risk | 31.12.2021 |
|---|---|
| Balance at the beginning of the period | – |
| Hedging gains or losses recognised in other comprehensive income during the reporting period | (85,303) |
| Balance at the end of the period | (85,303) |