Pekao hedges its interest rate risks associated with the volatility of market reference rates (WIBOR) generated by the portfolio of loan receivables from clients and variable-interest securities denominated in PLN, by using interest rate swaps (IRS).
| Currency | 31 December 2022 Maturity |
31 December 2021 Maturity |
|||||||||
| Up to 3 months | Over 3 months up to 1 year | Over 1 year to 5 years | Over 5 years | Total | Up to 3 months | Over 3 months up to 1 year | Over 1 year to 5 years | Over 5 years | Total | ||
| Par value | PLN | 200 | 3,372 | 17,010 | 7,959 | 28,541 | – | 1,000 | 16,703 | 6,120 | 23,823 |
| Average interest rate of the fixed-rate part | 1.1 | 1.3 | 1.7 | 4.7 | 2.5 | – | 1.7 | 1.6 | 2.0 | 1.7 | |
| Impact of the hedge relationship on the statement of financial position and the financial result | 31 December 2022 | 31 December 2021 |
|---|---|---|
| Hedging instruments | ||
| Par value | 28,541 | 23,823 |
| Carrying amount – assets | 104 | – |
| Carrying amount – liabilities | 3,089 | 1,403 |
| Change in the fair value of the hedging instrument, on the basis of which hedge inefficiency is estimated | (1,250) | (2,191) |
| Profit or loss arising out of net position hedge, captured in a separate line item of other comprehensive income | – | – |
| Hedge inefficiency amount recognized in the profit and loss account | 2 | (14) |
| Amount transferred from cash flow hedge accounting capital to the profit and loss account as reclassification adjustment | – | – |
| Hedged items | ||
| Amount equal to the change in the fair value of a hypothetical derivative representing the hedged item, which forms the basis for estimating hedge inefficiency in the period | 1,234 | 2,196 |
| Balance of the hedge accounting capital item for relations, for which hedge accounting will be continued after the end of the reporting period | (2,760) | (1,508) |
| Balance remaining in the hedge accounting capital item for those relations, to which hedge accounting is no longer applied | – | – |